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dear mike,
thank you for your help to clarify the matter.
but still i am getting blank colom in bactest report.
i am tring it for single symbol only.
help me.
asit.
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
>
> Hi,
>
> There are a few errors with your second example.
>
> The first error is that in your second example "risk" is an array. When
> calling "trade.addcustommetric(...)", you must pass a scaler (i.e. a
> single value) not an array. Notice that in your first example risk was a
> scaler.
>
> The second error is that in your second example "risk" gets recalculated
> for every symbol. So, when referring to "risk" in your custom backtester
> code, which symbol's "risk" are you expecting to get? The active symbol
> during custom backtesting is "~~~Equity", so you will be getting the
> "risk" for ~~~~Equity, which is not what you want. Notice that in your
> first example "risk" was a fixed value.
>
> To solve both problems, you must recalculate risk for each trade using
> the symbol of that trade, and using the values from the entry bar of
> that trade (i.e. calculate using scalers instead of entire array).
>
> Your custom backtester code would then look something like this:
>
> SetCustomBacktestProc( "" );
>
> if ( Status( "action" ) == actionPortfolio )
> {
> bo = GetBacktesterObject();
> bo.backtest( 1 );
> Sumprofitperrisk = 0;
> numtrades = 0;
> bars = BarIndex();
> dates = DateTime();
>
> for ( trade = bo.getfirsttrade(); trade; trade = bo.getnexttrade() )
> {
> entryBar = LastValue( ValueWhen( trade.EntryDateTime == dates,
> bars ) );
>
> if (trade.IsLong()) {
> SetForeign(trade.Symbol, true, true);
> pw = TimeFrameGetPrice( "l", inWeekly, -1 );
> qw = TimeFrameGetPrice( "l", inWeekly, -2 );
> wqs = Min( pw, qw );
> bstopamount = BuyPrice - ( wqs - 1 );
> risk = bstopamount[entryBar] * BuyPrice[entryBar];
> RestorePriceArrays(true);
> } else {
> SetForeign(trade.Symbol, true, true);
> yw = TimeFrameGetPrice( "h", inWeekly, -1 );
> zw = TimeFrameGetPrice( "h", inWeekly, -2 );
> wzs = Max( yw, zw );
> sstopamount = ( wzs + 1 ) - ShortPrice;
> risk = sstopamount[entryBar] * ShortPrice[entryBar];
> RestorePriceArrays(true);
> }
>
> rmultiple = trade.getprofit() / risk;
> trade.addcustommetric( "initial risk $" , risk );
> trade.addcustommetric( "R-multiple" , rmultiple );
> Sumprofitperrisk = Sumprofitperrisk + rmultiple ;
> numtrades++;
> }
>
> expectancy3 = Sumprofitperrisk / numtrades ;
>
> bo.addcustommetric( "Expectancy (per risk)", expectancy3 );
> bo.listtrades();
> }
>
>
> I have not tested the code above, so make sure to test it out before
> accepting it. Also, I have not tried to verify whether or not your
> calculations are valid. I just copied what you already had and moved the
> calculation of "risk" to inside the backtester.
>
> Mike
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "asitasu" <asitasu@> wrote:
> >
> > dear mike,
> >
> > i understood where you want me to direct. for you reference i am
> giving full afl for my system which works fine giving me two extra
> coloms of initial risk & expectancy/trade coloumwise. but when i try to
> change risk perameter as shown in following afl i get blnak colom of
> initial risk & expectancy/trade. so i wnt to know how to get initial
> risk coloum when using risk = enty - stop value.
> >
> > afl.
> > Capital = 100000;
> > SetOption("InitialEquity", Capital );
> > RoundLotSize = 1;
> > possize = 0.8*Capital;
> > allocationrisk = 0.8; // max capital employed per trade
> > risk = 0.05*Capital; // % max risk per trade
> > /* calling custom backtest*/
> > SetCustomBacktestProc("");
> > if( Status("action") == actionPortfolio )
> > {
> > bo = GetBacktesterObject();
> > bo.backtest(1);
> > Sumprofitperrisk = 0;
> > numtrades = 0;
> > // iterate for closed trades
> > for( trade = bo.getfirsttrade(); trade; trade = bo.getnexttrade() )
> > {
> > rmultiple = trade.getprofit()/risk;
> > trade.addcustommetric("initial risk $" , risk );
> > trade.addcustommetric("R-multiple" , rmultiple );
> > Sumprofitperrisk = Sumprofitperrisk + rmultiple ;
> > numtrades++;
> > }
> > expectancy3 = Sumprofitperrisk / numtrades ;
> > bo.addcustommetric( "Expectancy (per risk)", expectancy3 );
> > bo.listtrades();
> > }
> >
> > xb = IIf(C > EMA(C,7),20,0);
> > xs = IIf(C < EMA(C,7),-20,0);
> > y = TimeFrameGetPrice("h",inMonthly,-1);
> > z = TimeFrameGetPrice("h",inMonthly,-2);
> > p = TimeFrameGetPrice("l",inMonthly,-1);
> > q = TimeFrameGetPrice("l",inMonthly,-2);
> > r = TimeFrameGetPrice("h",inMonthly);
> > s = TimeFrameGetPrice("l",inMonthly);
> > wz = Max(y,z);
> > zb = IIf(r > wz ,30,0);
> > wq = Min(p,q);
> > zs = IIf(s < wq,-30,0);
> > yw = TimeFrameGetPrice("h",inWeekly,-1);
> > zw = TimeFrameGetPrice("h",inWeekly,-2);
> > pw = TimeFrameGetPrice("l",inWeekly,-1);
> > qw = TimeFrameGetPrice("l",inWeekly,-2);
> > rw = TimeFrameGetPrice("h",inWeekly);
> > sw = TimeFrameGetPrice("l",inWeekly);
> > wzs = Max(yw,zw);
> > yb = IIf(rw > wzs ,25,0);
> > wqs = Min(pw,qw);
> > ys = IIf(sw < wqs,-25,0);
> > score = xb+yb+zb+xs+ys+zs;
> > avrage = MA(V,30);
> > diffvol = (V-avrage)/avrage;
> > Buy = C > Ref(HHV(H,2),-1) AND C>O AND score > 70 ;
> > BuyPrice = C;
> > bstopamount = BuyPrice-(wqs - 1);
> > Sell = L < wqs;
> > SellPrice = wqs - 1;
> > ExRem(Buy,Sell);
> > Short = C < Ref(LLV(L,2),-1) AND C<O AND score < -70 ;
> > ShortPrice = C ;
> > sstopamount = (wzs +1) - ShortPrice;
> > Cover = rw > wzs ;
> > CoverPrice = wzs + 1;
> > SetPositionSize( 100, spsShares ) ;
> > ExRem(Short,Cover);
> > //PositionSize =IIf(Buy,
> Min((risk/bstopamount)*BuyPrice,possize),Min((risk/sstopamount)*ShortPri\
> ce,possize));
> > //PositionScore = PositionSize ; //(V- MA(V,7))/MA(V,7) ; OR
> ma(v,5)/ma(v,20); prefer stocks that High vol thrust;
> > //ApplyStop(0,1,4,1);
> >
> > thisk works fine.
> >
> > but following chane gives blank coloum.
> >
> > Capital = 100000;
> > SetOption("InitialEquity", Capital );
> > RoundLotSize = 1;
> > xb = IIf(C > EMA(C,7),20,0);
> > xs = IIf(C < EMA(C,7),-20,0);
> > y = TimeFrameGetPrice("h",inMonthly,-1);
> > z = TimeFrameGetPrice("h",inMonthly,-2);
> > p = TimeFrameGetPrice("l",inMonthly,-1);
> > q = TimeFrameGetPrice("l",inMonthly,-2);
> > r = TimeFrameGetPrice("h",inMonthly);
> > s = TimeFrameGetPrice("l",inMonthly);
> > wz = Max(y,z);
> > zb = IIf(r > wz ,30,0);
> > wq = Min(p,q);
> > zs = IIf(s < wq,-30,0);
> > yw = TimeFrameGetPrice("h",inWeekly,-1);
> > zw = TimeFrameGetPrice("h",inWeekly,-2);
> > pw = TimeFrameGetPrice("l",inWeekly,-1);
> > qw = TimeFrameGetPrice("l",inWeekly,-2);
> > rw = TimeFrameGetPrice("h",inWeekly);
> > sw = TimeFrameGetPrice("l",inWeekly);
> > wzs = Max(yw,zw);
> > yb = IIf(rw > wzs ,25,0);
> > wqs = Min(pw,qw);
> > ys = IIf(sw < wqs,-25,0);
> > score = xb+yb+zb+xs+ys+zs;
> > avrage = MA(V,30);
> > diffvol = (V-avrage)/avrage;
> > Buy = C > Ref(HHV(H,2),-1) AND C>O AND score > 70 ;
> > BuyPrice = C;
> > bstopamount = BuyPrice-(wqs - 1);
> > Sell = L < wqs;
> > SellPrice = wqs - 1;
> > ExRem(Buy,Sell);
> > Short = C < Ref(LLV(L,2),-1) AND C<O AND score < -70 ;
> > ShortPrice = C ;
> > sstopamount = (wzs +1) - ShortPrice;
> > Cover = rw > wzs ;
> > CoverPrice = wzs + 1;
> > SetPositionSize( 100, spsShares ) ;
> > ExRem(Short,Cover);
> > risk = IIf(Buy, bstopamount*BuyPrice,sstopamount*ShortPrice); // max
> risk per trade
> > /* calling custom backtest*/
> > SetCustomBacktestProc("");
> > if( Status("action") == actionPortfolio )
> > {
> > bo = GetBacktesterObject();
> > bo.backtest(1);
> > Sumprofitperrisk = 0;
> > numtrades = 0;
> > // iterate for closed trades
> > for( trade = bo.getfirsttrade(); trade; trade = bo.getnexttrade() )
> > {
> > rmultiple = trade.getprofit()/risk;
> > trade.addcustommetric("initial risk $" , risk );
> > trade.addcustommetric("R-multiple" , rmultiple );
> > Sumprofitperrisk = Sumprofitperrisk + rmultiple ;
> > numtrades++;
> > }
> > expectancy3 = Sumprofitperrisk / numtrades ;
> > bo.addcustommetric( "Expectancy (per risk)", expectancy3 );
> > bo.listtrades();
> > }
> >
> > can any one help.
> >
> > asit.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" sfclimbers@ wrote:
> > >
> > > See "custom metrics" in the user guide:
> > >
> > > http://www.amibroker.com/guide/a_custommetrics.html
> > >
> > > Mike
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "asitasu" <asitasu@> wrote:
> > > >
> > > > dear frieds,
> > > >
> > > > i want to add extra collume of risk(no % risk) in backtest report
> how to add this by use of afl? i want risk to be calculated on base of
> trade
> > > > entry & stop loss price. say for example i enter at Rs 2515 and at
> time of entry my stop loss is Rs 2375.50, than risk per unit is 139.5(ie
> 2515 - 2375.50).
> > > >
> > > > help me.
> > > >
> > > > asit.
> > > >
> > >
> >
>
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