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dear mike,
10000 thank you for clarifing my concept. with your idea with small
change as follow i got the desired result.
if ( trade.IsLong() )
{
SetForeign( trade.Symbol, True, True );
pw = TimeFrameGetPrice( "l", inWeekly, -1 );
qw = TimeFrameGetPrice( "l", inWeekly, -2 );
wqs = Min( pw, qw );
Buypr = C[entrybar] ;
bstopamount = Buypr - ( wqs - 1 );
Buystop = bstopamount[entrybar] ;
risk = bstopamount[entryBar] * 100;
RestorePriceArrays(True);
}
else
{
SetForeign( trade.Symbol, True, True );
yw = TimeFrameGetPrice( "h", inWeekly, -1 );
zw = TimeFrameGetPrice( "h", inWeekly, -2 );
wzs = Max( yw, zw );
shrtpr = C[entrybar] ;
sstopamount = ( wzs + 1 ) - shrtpr;
Shortstop = sstopamount[entrybar] ;
risk = sstopamount[entryBar] * 100;
RestorePriceArrays(True);
}
thank you again.
asit
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
>
> Hi,
>
> I ran the code on symbol AAV from 1/1/07 to 12/31/08 and it generated
> the extra columns with values. I have not made any attempt to validate
> the values, but there are definately values being generated. The
> complete code (taken from what you originally posted) is below. I have
> not made any attempt to clean it up or get rid of the duplication
> resulting from copying the calculations in the loop. I am only trying to
> show the concept:
>
> 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 );
> /* calling custom backtest*/
> 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();
> }
>
> Note that it will only provide values for completed trades. Trades that
> are still open after the backtest will not have any values set.
>
> If you are still getting blank columns, try adding custom metrics for
> all the values used in the calculation to see what they are (e.g.
> entryBar, pw[entryBar], qw[entryBar], etc.)
>
> Mike
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "asitasu" <asitasu@> wrote:
> >
> > 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@ 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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