Hi Mike,
sorry for getting back so late.
Your comments shed some light on my
probs.
If I may, a few more things need to be
clarified:
1. In the CBL low.level loop below, will the signal
loop be processed for one instance of "i", then the following trade loop (open
and closed trades). Afterwords, i gets incremented by one and the whole starts
again?
2. If so, did I understand you correctly that
closed and open trade lists hold ALL closed (respectively open) trades that have
been generated by signals (from signal list) up to the value "i" holds for any
given moment? I.e. if "i" holds the value of "10" the trade lists (open or
close) hold ALL trades up to that bar even though the bar number is now beign
store but the date (entry and exit)?
3. The command "postprocess" in mid- and low-level
turns signals into trades and thus moves them from one list to the other?! But
then the postprocess comand should stand beetween signal and trade list, right.
Otherwhise the shift would occur the NEXt time the loop is being
processed?!
4. You wrote" If necessary, you can write code
to monitor the lists on a bar by bar basis to track the trade activity" -
could you givew me a short clue what to do? Would I have to used "list trades"
and "updatestats" in each run of the loop after each trade?
5. You wrote "The bar index of the trade
entry/exit is not stored as part of the trade object. But, the entry/exit dates
are. Using that information you could calculate the bar index if you really
needed it." I may be interested how to do this as well. A short hint would
be fine.
I don´t wnat to make it more
complex than it is, but I sometimes just don´t understand the inner workings of
CBT and thus can´t come up with the proper code.
Sorry for my ignorance!
Markus
----- Original Message -----
Sent: Thursday, October 29, 2009 12:36
AM
Subject: [amibroker] Re: Trade lists vs.
signal list in custom backtester
Hi,
Using the mid and low level backtester, trades get added/removed
to/from the lists on a bar by bar basis at the point where the respective
signals get processed (e.g. bo.ProcessTradeSignals(i) in mid level
backtester).
Once taken, open trades remain in the open list, possibly
spanning multiple bar indices, until they are closed. When closed, the trades
are moved to the closed list and will remain there for the duration of the
backtest.
A trade does not appear in any list until a signal is
accepted by the backtester (e.g. the lists at bar 100 will not contain a trade
that only gets opened at bar 110). Once taken, it will always be accessible in
one of the lists from that point forward. If necessary, you can write code to
monitor the lists on a bar by bar basis to track the trade
activity.
The bar index of the trade entry/exit is not stored as part
of the trade object. But, the entry/exit dates are. Using that information you
could calculate the bar index if you really needed it.
Mike
---
In amibroker@xxxxxxxxxps.com,
"Markus Witzler" <funnybiz@xx.> wrote:
>
>
Hello,
>
> I have trouble understanding trade lists (open/closed)
in custom backtester.
>
> As opposed to signal lists which carry
an index variable and thus only process signals for a specific bar, trade
lists haven´t.
>
> Consider the following code template in
low-level CBT mode
> SetCustomBacktestProc("");
> if
(Status("action") == actionPortfolio)
> {
> bo =
GetBacktesterObject(); // Get backtester object
>
bo.PreProcess(); // Do pre-processing
> for (i = 0; i <
BarCount; i++) // Loop through all bars
> {
> for (sig =
bo.GetFirstSignal(i); sig; sig = bo.GetNextSignal(i))
> { //
Loop through all signals at this bar
> . . . .
> } // End of for
loop over signals at this bar
> for (trade = bo.GetFirstTrade();
trade; trade = bo.GetNextTrade())
> {
> . . . .
>
}
> for (trade = bo.GetFirstOpenPos(); trade; trade =
bo.GetNextOpenPos())
> {
> . . . .
> }
>
bo.HandleStops(i); // Handle programmed stops at this bar
>
bo.UpdateStats(i, 1); // Update MAE/MFE stats for bar
>
bo.UpdateStats(i, 2); // Update stats at bar's end
> } // End of
for loop over bars
> bo.PostProcess(); // Do
post-processing
> }
> I understand, that each run, signal list is
being processed for a different value of "i". But how is trade list being
used. Since there is no index variable "i", I can´t figure out if trade
objects are being searched for a different value of "i" than in signal list,
or if whole list of trades (for all bars) is being processed at each
occurrence of "i" in the main loop.
>
> Can someone help me clear
this up?
>
> Thanks
>
>
Markus
>
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