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Thanks Tomasz! That finally works!
This copy-paste artist is happy. ;-)
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> All wrong. Wrong loop ending condition, using trade (closed trade list) instead of signal list.
> Correct code is below.
> Again: if you don't know what you are coding it is STRONGLY encouraged to use
> COMMISSION table instead. Just set custom commission table to implement slippage.
> It is way easier and more straightforward than any other method. I completelly don't understand
> the insistency of copy-paste artists on making it hard way while way easier method (no coding at all) is available.
>
>
> Slippage = 0.0002;
>
> if ( Status( "action" ) == actionPortfolio )
> {
> bo = GetBacktesterObject();
>
> bo.PreProcess(); // Initialize backtester
>
> for ( bar = 0; bar < BarCount; bar++ )
> {
> for( sig = bo.GetFirstSignal( bar ); sig; sig = bo.GetNextSignal( bar ) )
> {
> sig.Price = sig.Price + IIf( sig.IsEntry(), Slippage, -Slippage );
> }
>
> bo.ProcessTradeSignals( bar );
> }
>
> bo.PostProcess(); // Finalize backtester
> }
>
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: ozzyapeman
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, March 19, 2009 4:54 AM
> Subject: [amibroker] Re: Simple slippage implemented in CBT generates COM error
>
>
> Graham, thanks for that example.
>
> I modified the example to try to solve my slippage problem. From every way I look at it, I now appear to have all the correct controls. Yet it still has no effect! Note that I can't use GetPrice on Closed trades, according to the reference guide.
>
> I really hate looking like a coding klutz, but do you, or anyone see what I am still doing wrong?!
>
>
> if ( Status( "action" ) == actionPortfolio )
> {
> bo = GetBacktesterObject();
>
> bo.PreProcess(); // Initialize backtester
>
> for ( bar = 0; bar < BarCount-1; bar++ )
> {
> bo.ProcessTradeSignals( bar );
>
> for ( Trade = bo.GetFirstTrade(); Trade; Trade = bo.GetNextTrade() )
> {
> if ( NOT Trade.IsOpen() )
> {
> if ( Trade.IsLong() ) // Exit Long
> {
> ExitTrue = Trade.ExitPrice - Slippage;
> Trade.ExitPrice = ExitTrue;
> }
>
> else // Exit Short
> {
> ExitTrue = Trade.ExitPrice + Slippage;
> Trade.ExitPrice = ExitTrue;
>
> }
> }
> }
> }
>
> bo.PostProcess(); // Finalize backtester
> }
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@> wrote:
> >
> > You have not included all the required control functions and method
> > for getting the signals, here is example from knowledge base, you can
> > see what is missing. This example does a different actual change to
> > the trades, but the whole process is the same.
> >
> > if( Status("action") == actionPortfolio )
> > {
> > bo = GetBacktesterObject();
> >
> > bo.PreProcess(); // Initialize backtester
> > <<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<
> >
> > for(bar=0; bar < BarCount; bar++)
> > //<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<
> > { //<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<
> > bo.ProcessTradeSignals( bar );
> > //<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<
> >
> > CurEquity = bo.Equity;
> >
> > for( pos = bo.GetFirstOpenPos(); pos; pos = bo.GetNextOpenPos() )
> > {
> > posval = pos.GetPositionValue();
> >
> > diff = posval - 0.01 * EachPosPercent * CurEquity;
> > price = pos.GetPrice( bar, "O" );
> >
> > // rebalance only if difference between desired and
> > // current position value is greater than 0.5% of equity
> > // and greater than price of single share
> > if( diff != 0 AND
> > abs( diff ) > 0.005 * CurEquity AND
> > abs( diff ) > price )
> > {
> > bo.ScaleTrade( bar, pos.Symbol, diff < 0, price, abs( diff ) );
> > }
> > }
> > } //<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<
> > bo.PostProcess(); // Finalize backtester
> > //<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<
> > }
> >
> > 2009/3/19 ozzyapeman zoopfree@:
> > > The custom commission table unfortunately doesn't allow me to do what I
> > > want, which is to slip exits by an amount that varies according to market
> > > time. The example I am pasting here is simplified. I'm trying to model based
> > > on what I am seeing in live trades.
> > >
> > > Thanks on ProcessTradeSignals. But I still must be doing something wrong,
> > > because no effect:
> > >
> > >
> > > if ( Status( "action" ) == actionPortfolio )
> > > {
> > > bo = GetBacktesterObject();
> > >
> > > for
> > > ( sig = bo.GetFirstSignal(); sig; sig = bo.GetNextSignal() )
> > > {
> > >
> > > sig.ProcessTradeSignals();
> > >
> > > 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;
> > > }
> > > }
> > > }
> > > }
> > >
> > >
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" groups@ 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@xxxxxxxxxxxxxxx
> > >> 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@xxxxxxxxxxxxxxx, "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;
> > >> > }
> > >> >
> > >> > }
> > >> > }
> > >> > }
> > >> >
> > >>
> > >
> > >
> > >
> >
> >
> >
> > --
> > Cheers
> > Graham Kav
> > AFL Writing Service
> > http://www.aflwriting.com
> >
>
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