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Mike,
Great - thank you very much for the input.
I had actually missed your reply and went on the internet to search for a solution.
I did find 2 old blog posts describing a way to implement the e-ratio (which is exactly what I want to implement)
I did reply to my own question before seeing yours, but it is not showing up - maybe because there were 2 links in it...
In any case the overview of the solution was the following:
My implementation of the Edge Ratio, included below, involves two profound Amibroker fudges. The first is the use of the AddToComposite function to create a composite ticker symbol in which to hold the ATR array of a given stock for later retrieval within the Custom Back Tester via the Foreign function. The second fudge is the use of the VarSet/VarGet function to create a quasi array. This was necessary to overcome the limitation where array elements cannot exceed in number the value of barcount-1.
It seems to use the Custom backtester with the SetForeign function as well.
I'll try both and I am sure they'll help me climb the Amibroker learning curve...
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> Hi,
> Welcome to the group. AddColumn is used for explorations, not backtests.
> To get what you are asking for, in a backtest, you would need write
> custom backtester code to add your own custom metric. Custom metrics in
> general are described here:
> http://www.amibroker.com/guide/a_custommetrics.html However, that does
> not cover your special case in that you will need to use
> SetForeign/RestorePriceArrays to make your calculation:
> http://www.amibroker.com/guide/afl/afl_view.php?id=54 Have a look at
> the following and see if it is what you are after. The custom backtester
> stuff is explained here:
> http://www.amibroker.org/userkb/2008/03/16/amibroker-custom-backtester-i\
> nterface-2/
> I've additionally added support for printing out the ATR during an
> exploration. Run your backtest to get some data. Then run an exploration
> for the same date range and cross check the ATR values. There will be
> some rounding errors. But, otherwise should match up.
> I have not tested the code extensively, so do your own due diligence.
> Mike
>
> SetTradeDelays(0, 0, 0, 0); SetPositionSize(2, spsPercentOfEquity);
> weekDays = DayOfWeek();
> Buy = weekDays == 1; BuyPrice = Open;
> Sell = weekDays == 5; SellPrice = Close;
> SetCustomBacktestProc("");
> if (Status("action") == actionPortfolio) { bo =
> GetBacktesterObject(); bo.Backtest(true);
> dates = DateTime(); indices = BarIndex();
> for (trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade()) {
> SetForeign(trade.Symbol); entryBar =
> LastValue(ValueWhen(trade.EntryDateTime == dates, indices));
> foreignATR = ATR(14); trade.AddCustomMetric("Entry ATR",
> foreignATR[entryBar]); RestorePriceArrays(); }
> bo.ListTrades(); }
> Filter = Buy; AddColumn(ATR(14), "Entry ATR");
> --- In amibroker@xxxxxxxxxxxxxxx, "Jez" <jez@> wrote:
> >
> > Hi guys,
> > Jut downloaded Amibroker at the weeekend - I started reading all the
> user guide, AFL library, etc. (much better than my other software -
> tradersStudio..).
> >
> > I am stuck with one thing though: I want to be able to backtest a
> system and record the value of the ATR at the start of the trade for
> each of the trades. I tried to imitate on the AFL Example - Enhanced
> from the library and did something like:
> >
> > } else if (AASettings == 5) {
> > // [Backtest] //
> > SetTradeDelays(1, 1, 1, 1);
> > AddColumn(ATR, "ATR", 1.3);
> > }
> >
> >
> > but that did not work. Any pointers on how I could get that done
> please.
> >
> > The reason for this is that I want to calculate the e-ratio for a
> trade entry signal.
> >
> > Thanks
> > -Jez
> >
>
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