Re: [amibroker] Re: Simple slippage implemented in CBT generates COM error

["Tomasz Janeczko" <groups@xxxxxxxxxxxxx>]

You don't need custom backtester to do such things.

BuyPrice = BuyPrice + Slippage:

SellPrice = SellPrice - Slippage;

CoverPrice = CoverPrice + Slippage:

ShortPrice = ShortPrice - Slippage.

 

When using ApplyStop make sure to switch "ExitAtStop" argument to false

and it will use prices defined above.

Best regards,
Tomasz Janeczko
amibroker.com

----- Original Message -----

From: Aron

To: amibroker@xxxxxxxxxxxxxxx

Sent: Thursday, March 19, 2009 8:08 AM

Subject: Re: [amibroker] Re: Simple slippage implemented in CBT generates COM error

Tomasz Janeczko 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

Hello Tomasz,

I would deeply appreciate if you provided an example on how to adjust Exits in CBT in order to account for spread and slippage.

For FX scalping systems backtesting (takeProfit = 2-3 pips. ) , I think it is crucial to be able to do this since all depends on spread and slippage (if commissions ==0).

Unfortunately, the code I have come up with is not quite working :

// EURUSD example
// price = (bid+ask)/2

if ( Status( "action" ) == actionPortfolio )
{
    bo = GetBacktesterObject();
    bo.PreProcess();

    for ( bar = 0; bar < BarCount; bar++ )
    {
        for ( sig = bo.GetFirstSignal( bar ); sig; sig = bo.GetNextSignal( bar ) )
        {
            symbol = sig.symbol;
            hi = Foreign( symbol, "High" );
            lo = Foreign( symbol, "Low" );

         
            slippage = 0.0001;
            spread = 2 * 0.0001;
         

          

            if ( sig.IsExit() )
            {
                if ( sig.isLong ) // Exit Long
                {
                    TrueExit = sig.price - slippage;
                  
                    if ( TrueExit >= lo[bar] - 0.5*spread && TrueExit <= hi[bar] - 0.5*spread ) // bid pricebound check
                    {
                        sig.price = TrueExit;
                       // bo.ExitTrade( BAR, sig.Symbol, sig.Price );
                    }
                    else
                        sig.price = -1;



                }
                else // Exit short
                {
                    TrueExit = sig.price + slippage;

                    if ( TrueExit >= lo[bar] + 0.5*spread && TrueExit <= hi[bar] + 0.5*spread ) // ask pricebound check
                    {
                        sig.price = TrueExit;
                        //bo.ExitTrade( BAR, sig.Symbol, sig.Price );
                    }
                    else
                        sig.price = -1;

                }
            }
        }

        bo.ProcessTradeSignals( bar );

        bo.handlestops( bar );
      
    }

    for ( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
    {
        trade.addcustommetric( "numPips", ( trade.exitprice - trade.entryprice ) / trade.ticksize );
    }

    bo.PostProcess();
}

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