For what it's worth, static arrays were introduced to
the 32 bit version in 5.24.0 as seen here: http://www.amibroker.com/devlog/wp-content/uploads/2009/03/readme5240.html
If the feature is not yet available in the 64 bit version, creating a static
variable for every bar of every symbol would probably be overkill. You could
instead get greatly improved timings just by creating the ATR arrays once per
symbol, as opposed to once per trade. For example;
SetTradeDelays( 0, 0, 0, 0 );
PositionSize = -2;
weekDay =
DayOfWeek();
Buy = weekDay ==
1;
BuyPrice = Open;
Sell = weekDay ==
5;
SellPrice = Close;
SetCustomBacktestProc(
"" );
if ( Status( "action" ) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest( True );
dates = DateTime();
bi = BarIndex();
for ( trade
= bo.GetFirstTrade( ); trade; trade = bo.GetNextTrade( ) )
{
foreignATR =
VarGet( trade.Symbol +
"ATR" );
undefined =
IIF( IsNull( foreignATR ),
true, false );
if ( LastValue( undefined ) )
{
_TRACE( "Constructing ATR(14) for " +
trade.Symbol );
SetForeign( trade.Symbol ) ;
foreignATR
= ATR( 14 );
VarSet( trade.Symbol +
"ATR", foreignATR );
RestorePriceArrays();
}
entryBar =
LastValue( ValueWhen( trade.EntryDateTime ==
dates, bi ) );
trade.AddCustomMetric(
"Entry ATR", foreignATR[ entryBar] );
}
bo.ListTrades(
);
}
Mike
--- In amibroker@xxxxxxxxxps.com, B S <bs2167@xxx>
wrote:
>
> Thanks Tomasz. One stupid follow up
question: my understanding is that StaticVarSet will take only a
single number not an array, therefore do i need to create a loop outside the
CBT from 0 to BarCount - 1 and create a static variable for every bar as
follows?
>
> StaticVarSet( "MyAtr"+Name( )+BarIndex() , ATR(14)
);
>
> ________________________________
>
From: Tomasz Janeczko groups@xxx
> To:
amibroker@xxxxxxxxxps.com
> Sent: Wed, January 20, 2010 6:06:41
PM
> Subject: Re: [amibroker] CBT - trade.addcustommetric() - 13x
slower - bad code/settings?
>
> Â
> Hello,
>
> Foreign is costly. Move your calculations OUTSIDE custom backtest
part.
> ATR can easily be calculated outside CBT and passed via Static
variable.
>
> So instead of Foreign use Static variables. Store
your ATR into static variables keyed with
>
> StaticVarSet(
"MyAtr"+Name( ), ATR(14) );
>
> and inside custom backtester use
StaticVarGet( "MyAtr"+trade. Symbol);
>
> Best regards,
>
Tomasz Janeczko
> amibroker.com
>
> On 2010-01-20 23:39, B
S wrote:
> Hi-
> >
> >I have run into some major
performance problems when trying to add a single simple metric to the backtest
results. I have no doubt that its something I'm doing, I just have no
idea what that might be. I have seen a post or two in the past on how
to accomplish what I'm trying to do (as the examples below will
replicate), but there was no follow up on the performance of the proposed
solutions. Since there was no further discussion, I'm wondering if the
code is fine but my settings (or something else) may be causing the
problem. Below I list what I believe to be all pertinent information -
would very much appreciate any help on this.
> >
> >Base
system is tested on 5 symbols, 5min data, from 1/1/2000 - 12/31/2006. Quick
AFL is checked in the setting and data is padded and aligned.Â
I'm running the 64bit version of AB 5.22.Â
> >
>
>Performance without calling CBT : 65 secs
> >
>
>------------ --------- --------- --------- --------- ---
>
>
> >Performance with the code below added: 72 secs (very
good)
> >(code is from http://www..amibroke r.org/userkb/
2008/03/16/ amibroker- custom-backteste r-interface- 2/Â )Â
>
>SetCustomBacktestPr oc("");
> >if (Status("action") ==
actionPortfolio)
> >{
> > bo = GetBacktesterObject();
// Get backtester object
> > bo.Backtest(True); // Run backtests
with no trade listing
> > stat = bo.GetPerformanceStats(0); //
Get Stats object for all trades
> > winAvgProfit =
stat.GetValue("WinnersAvgProfit");
> > loseAvgLoss =
stat.GetValue("LosersAvgLoss");
> > for (trade =
bo.GetFirstTrade(); trade; trade = bo.GetNextTrade())
> > {
// Loop through all closed trades
> > prof = trade..GetProfit();
// Get trade profit in dollars
> > relProf = 0; // This will be
profit/avgProfit as %
> > if (prof > 0) // If a winner (profit
> 0)
> > relProf = prof / winAvgProfit * 100; // Profit relative
to average
> > else // Else if a loser (profit <= 0)
> >
relProf = -prof / loseAvgLoss * 100; // Loss relative to average
> >
trade.AddCustomMetric("Rel Avg Profit%", relProf); // Add metric
>
> } // End of for loop over all trades
> > bo.ListTrades();
// Generate list of trades
> >}
> >------------ ---------
--------- --------- --------- --------- --------- --------- ---------
--------- ------
> >Performance with the code below added to record
ATR at entry: 854 secsSetCustomBacktestPr oc("");
>
>if(Status("action") == actionPortfolio)
> >{
>
>bo = GetBacktesterObject();
>
>bo.Backtest(True);
> >dates = DateTime();
> >bi =
BarIndex();
> >for(trade = bo.GetFirstTrade( ); trade; trade =
bo.GetNextTrade( ))
> >{
> >SetForeign(trade.Symbol) ;
> >entryBar = LastValue(ValueWhen(trade.EntryDateTim e ==
dates, bi));
> >foreignATR = ATR(14);
>
>trade.AddCustomMetr ic("Entry ATR",foreignATR[ entryBar] );
>
>RestorePriceArrays();
> >}
> >bo.ListTrades( );
> >}
> >Anyone have any ideas where I may be going
wrong?
> >Â
> >
>