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Jeff- will this work for looking back over only x number of trades at each new trade, or will it tally the sqn for all previous closed trades each time? Thanks
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> SetForeign has no impact on user defined arrays (e.g. MyRisk). It only affects the arrays of the current symbol (e.g. Buy, Sell, BuyPrice, SellPrice, etc.).
>
> So, take whatever code you used to calculate MyRisk and move it directly into the custom backtester between the SetForeign and RestorePriceArrays.
>
> In other words, calculate MyRisk on the fly. You cannot access it after the fact.
>
> Alternatively, you could write to composite symbols or static arrays. But, it's probably easier to do it in the custom backtest code.
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "jeffarcherjr" <jeffarcherjr@> wrote:
> >
> >
> >
> > Mike:
> >
> > Thanks for your reply. I've had a go at implementing that, but there's a devil in the details somewhere.
> >
> > I defined a variable MyRisk, which shows up correctly when I run an Exploration, however custombacktestproc appears unable to find it when I do a Backtest.
> >
> > The custommetrics involving MyRisk all result in zero, everything else about the code below appears to give correct results, including MyClose giving me the correct close price for the symbol/date which I put in there in case I had made a syntax error, and my trade count giving the correct number of trades.
> >
> > Any suggestions would be much appreciated!
> >
> > Jeff
> >
> > Code:
> >
> >
> > //custom backtest indicators to measure system performance
> > SetOption("UseCustomBacktestProc", True );
> > SetCustomBacktestProc("",True);
> > if( Status("action") == actionPortfolio ) // point to correct iteration of backtest engine
> > {
> > //initialize custom backtest engine
> > backtestobject = GetBacktesterObject();
> >
> > // run the standard backtest
> > backtestobject.Backtest(1);
> >
> > // pointers to find specific trades
> > bars = BarIndex();
> > dates = DateTime();
> >
> > // intialize variables for SQN Calculations
> > SumR = 0;
> > SumR2 = 0;
> > Trades = 0;
> > expectancyR = 0;
> > stdDevR = 0;
> > SQN = 0;
> > R = 0;
> >
> > //add data to trade list, starting with closed trades
> > for( trade = backtestobject.GetFirstTrade(); trade; trade = backtestobject.GetNextTrade() )
> > {
> > SetForeign( trade.Symbol, True, True );
> > entryBar = LastValue( ValueWhen( trade.EntryDateTime == dates, bars ) );
> > R = MyRisk[entryBar];
> > trade.addcustommetric("MyRisk",R);
> > trade.addcustommetric("MyClose",Close[entrybar]);
> > sumR += R;
> > sumR2 += R^2;
> > Trades++;
> > RestorePriceArrays(True);
> > }
> >
> > //add data for trades still open at end of process
> > for( trade = backtestobject.GetFirstOpenPos(); trade; trade = backtestobject.GetNextOpenPos() )
> > {
> > SetForeign( trade.Symbol, True, True );
> > entryBar = LastValue( ValueWhen( trade.EntryDateTime == dates, bars ) );
> > R = MyRisk[entryBar];
> > trade.addcustommetric("MyRisk",R);
> > trade.addcustommetric("MyClose",Close[entrybar]);
> > sumR += R;
> > sumR2 += R^2;
> > Trades++;
> > RestorePriceArrays(True);
> > }
> >
> > //SQN calculations
> > if (Trades > 0)
> > {
> > testcalc = Trades * 2;
> > expectancyR = sumR / Trades;
> > stdDevR = sqrt((sumR2 - (sumR^2 / Trades)) / (Trades - 1));
> > SQN = ((expectancyR / stdDevR) * sqrt(Min(100, Trades)));
> > }
> >
> > //display results
> > backtestobject.AddCustomMetric("TestCalc", testcalc);
> > backtestobject.AddCustomMetric("Trades", Trades);
> > backtestobject.AddCustomMetric("sumR", SumR);
> > backtestobject.AddCustomMetric("sumR2", SumR2);
> > backtestobject.AddCustomMetric("ExpectancyR ($)", expectancyR);
> > backtestobject.AddCustomMetric("StdDevR", stdDevR);
> > backtestobject.AddCustomMetric("SQN", SQN);
> > backtestobject.ListTrades();
> >
> > }
> >
>
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