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Re: [amibroker] Re: Passing array to Backtester



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Thanks Mike,

Yea, van tharp's stuff makes a lot of sense to me :)

The example you've posted still uses only price data, which is kind of straight forward referring back to price.  I am using that value of the ATR of price.  The problem is trying to make this value(array) available in the backtester part of the code.


Nick

On Jul 15, 2009, at 1:32 PM, Mike wrote:



This is a popular topic lately. Van Tharp must be doing well with his new book ;)

See my earlier post on the subject for how to calculate the risk anyway you see fit. Note that the expectancy shown in that post was the formula provided by the original poster, it is not the formula used by Van Tharp, so refer to the methodology, but not the formula:

http://finance.groups.yahoo.com/group/amibroker/message/139969

Mike

--- In amibroker@xxxxxxxxxps.com, Nick Willemse <nick.willemse@...> wrote:
>
> Hi Everyone,
> 
> I'm trying to add Risk and R-Multiples to the TradeList. I've looked 
> at the example using MaxLossPercent to add r-multiples and that is 
> pretty straight forward. However, my risk per trade is based on some 
> multiple of the ATR. So I put the risk points per trade in an array, 
> then I tried using the addtocomposite and Foreign functions to get 
> this array to the backtester section, but it seems that all the data 
> is zero when it gets to the backtester. Is there any other way to 
> make this array holding the risks per trade available to the 
> backtester to output this for each trade?
> 
> Here's some of the code:-
> 
> 
> Risk = 2.5 * ATR(14);
> i = 0;
> MSL = 0;
> for( bar=1; bar < BarCount; bar++)
> {
> if (Buy[bar] == 1 OR Short[bar] == 1)
> {
> MSL[i] = Risk[bar];
> // _TRACE("MSL = " + MSL[i]); //this outputs correct values
> i++;
> }
> }
> AddToComposite( MSL,"~MSL","V", atcFlagDeleteValues | 
> atcFlagEnableInBacktest); // if i plot this it looks fine
> 
> ...
> 
> if(AAAction == actionPortfolio)
> {
> MSL = Foreign("~MSL", "X",0);
> _TRACE("MSL=" + MSL[0]); // this output 0 for every index in the 
> array
> ...
> 
> }
> 
> 
> 
> Nick
>




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