sig.ProcessTradeSignals();
}
--- In amibroker@xxxxxxxxxps.com, "Tomasz Janeczko"
<groups@xxx> wrote:
>
> Hello,
>
> You need to call ProcessTradeSignals.
>
> BTW: it is easier to just define custom commission table
(AA->Settings "Commission table: Define...")
> that includes slippage than wresting with code.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: ozzyapeman
> To: amibroker@xxxxxxxxxps.com
> Sent: Thursday, March 19, 2009 2:31 AM
> Subject: [amibroker] Re: Simple slippage implemented in CBT
generates COM error
>
>
> Okay on #1, I realize that the COM error was due to the bit of
legacy code: SetCustomBacktestProc( "" );
>
> However, the slippage code seems to have no effect whatsoever on
the backtest trade report.
>
> What might I be doing wrong?
>
>
>
> --- In amibroker@xxxxxxxxxps.com, "ozzyapeman" zoopfree@
wrote:
> >
> > Hello, hoping someone can help on this. I am using ApplyStop,
which does
> > not have a slippage factor. I'm trying to avoid using a
BarCount loop to
> > implement slippage on exits and instead am trying to modify
the signal
> > list of the CBT to implement slippage, before the backtester
engine
> > processes the trades.
> >
> > But I am running into two problems, namely:
> >
> >
> > 1. Get error COM method/function 'GetFirstSignal' call
failed, on the
> > for loop line, even though that line and prior ones were
copied and
> > pasted direct from the reference guide.
> >
> >
> > 2. More of a question at this point: What if my calculation
of ExitTrue
> > price is below the Low, or above the High of the bar? Will the
> > backtester engine simply ignore that signal? Or is there some
way I can
> > filter out that possibility directly in the code below?
> >
> >
> >
> > In this example, Slippage = 0.0002 elsewhere in my code,
backtesting on
> > Forex:
> >
> >
> > SetCustomBacktestProc( "" );
> >
> > if ( Status( "action" ) == actionPortfolio )
> > {
> > bo = GetBacktesterObject();
> >
> > for( sig = bo.GetFirstSignal(); sig; sig =
bo.GetNextSignal() )
> > {
> > if( sig.IsExit() )
> > {
> > if ( sig.IsLong() ) // Exit Long
> > {
> > ExitTrue = sig.Price - Slippage;
> > sig.Price = ExitTrue;
> > }
> >
> > else // Exit Short
> > {
> > ExitTrue = sig.Price + Slippage;
> > sig.Price = ExitTrue;
> > }
> >
> > }
> > }
> > }
> >
>