Markus,
Run the script below on a watchlist of just a handful of symbols (e.g. 4)
over a short duration (e.g. month of October), then study the TRACE
output.
The TRACE output will show the complete lifecycle of signal to position to
closed trade. To see the TRACE output, make sure that your AmiBroker Log
window is opened to the Trace tab. You may additionally need to right click in
the body area of the Trace tab page and make sure that "Trace Output
-> Internal" is selected.
To answer your specific questions:
1. I'm not entirely sure what you are asking. But, I believe that the
answer is yes, as shown in the TRACE output. At each bar, signals are either
accepted or rejected for that bar. Accepted signals will cause a new trade to
be added to the position list (entry signal) or an existing trade to be moved
from the open position list to the closed list (exit signal). This process is
repeated for each bar in sequence.
2. Yes. This can be seen in the TRACE output. The open and closed lists
include a running tally up to the current bar index.
3. No. The call to ProcessTradeSignals is the call responsible for
shuttling signals to open positions and open positions to closed trades (on a
bar by bar basis), not PostProcess.. PostProcess is a one time call at
the very end to clear out memory and move the remaining open trades to the
closed list.
Actually, AmiBroker does not seem to expose the final transfer of open
trades to closed except as reflected in the report. I was surprised to
see that the closed trade list does not get affected after PostProcess (using
standard edition 5.26.5), contrary to the documentation which says "When
backtest is completed (after PostProcess call) AmiBroker closes out all open
positions, so trade list includes all trades." You can send a follow up to
support for that one.
4. No, do not use ListTrades. Depending on what you were trying to do,
you could use UpdateStats, but I would advise staying away from that
until you really knew what was going on. It's pretty rare that you would
need that.
5. The last lines of the sample script show how to use LastValue and
ValueWhen to get the bar of the trade based on the date.
Mike
SetTradeDelays(0,
0, 0, 0);
SetPositionSize(2,
spsPercentOfEquity);
weekDay = DayOfWeek();
Buy = weekDay == 1;
BuyPrice = Open;
Sell = weekDay == 5;
SellPrice = Close;
SetCustombacktestProc("");
if (Status("action") == actionPortfolio) {
bo =
GetBacktesterObject();
bo.PreProcess();
for (bar = 0;
bar < BarCount; bar++) {
_TRACE("Bar " + bar);
count =
0;
for (trade = bo.GetFirstOpenPos(); trade; trade =
bo.GetNextOpenPos()) {
count++;
}
_TRACE(" There were " + count +
" open positions at the start of the
bar");
count = 0;
for (trade = bo.GetFirstTrade(); trade; trade =
bo.GetNextTrade()) {
count++;
}
_TRACE(" There were " + count +
" closed trades at the start of the
bar");
count = 0;
count2 = 0;
for (sig = bo.GetFirstSignal(bar); sig; sig =
bo.GetNextSignal(bar)) {
if (sig.IsEntry()) {
count++;
} else {
count2++;
}
}
_TRACE(" There were " + count +
" entry signals found during the
bar");
_TRACE(" There were " + count2 +
" exit signals found during the
bar");
bo.ProcessTradeSignals(bar);
count = 0;
for (trade = bo.GetFirstOpenPos(); trade; trade =
bo.GetNextOpenPos()) {
count++;
}
_TRACE(" There were " + count +
" open positions after the bar");
count = 0;
for (trade = bo.GetFirstTrade(); trade; trade =
bo.GetNextTrade()) {
count++;
}
_TRACE(" There were " + count +
" closed trades after the bar");
}
count = 0;
for (trade = bo.GetFirstTrade(); trade; trade =
bo.GetNextTrade()) {
count++;
}
_TRACE("There were " + count + " closed trades before final processing");
bo.PostProcess();
count =
0;
for (trade = bo.GetFirstTrade(); trade; trade =
bo.GetNextTrade()) {
count++;
}
_TRACE("There were " + count + " closed trades after final processing (including closed open
trades)");
indices = BarIndex();
dates = DateTime();
trade = bo.GetFirstTrade();
_TRACE("The entry bar of the first trade
was " + LastValue(ValueWhen(trade.EntryDateTime == dates, indices)));
_TRACE("The exit bar of the first trade was
" + LastValue(ValueWhen(trade.ExitDateTime == dates, indices)));
}
--- In amibroker@xxxxxxxxxps.com, "Markus Witzler"
<funnybiz@xxx> wrote:
>
> 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 -----
> From: Mike
> To:
amibroker@xxxxxxxxxps.com
> 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@ 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
> >
>