[amibroker] Re: Custom Trade Metrics

["C Alvarez" <yahoo@xxxxxxxxxxxx>]

The HV column has all blanks in it.

Thanks for the help. Here is the formula.

Cey

////////////////////////////////////////////////////

SetCustomBacktestProc(""); 
/* Now custom-backtest procedure follows */ 
if( Status("action") == actionPortfolio ) 
{ 
    bo = GetBacktesterObject(); 
    bo.Backtest(1); // run default backtest procedure 
   for(trade=bo.GetFirstTrade(); trade; trade=bo.GetNextTrade()) 
   { 
	sym = trade.Symbol();
	SetForeign(sym );
	HVtrade = 100* StDev(log(C/Ref(C,-1)),100)*sqrt(252);
	RestorePriceArrays();
	trade.AddCustomMetric("HV", HVtrade );
   } 
    bo.ListTrades(); 
} 
// trading system here 
Buy = MA(C,50) > MA(C,200) AND C >MA(C,200);
Sell = C < MA(C,200);

Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell, Buy);

--- In amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paultsho@xxxx> wrote:
> Can you post your formula and results?
>  
> Paul Ho
> 
>  
> 
>   _____  
> 
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] 
On Behalf
> Of C Alvarez
> Sent: Saturday, 18 June 2005 1:17 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Custom Trade Metrics
> 
> 
> I added the SetForeign call and the HV formula still does not 
work. 
> Is this something that I need to calculate manually? 
> Any more help?
> 
> Thanks,
> Cey
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paultsho@xxxx> wrote:
> > the problem is with this line "HVtrade = 100*
> > StDev(log(C/Ref(C,-1)),100)*sqrt(250);
> > you need to get the trade symbol and then use foreign to get the 
> price array
> > before doing your calculaltion
> >  
> > Paul Ho
> > 
> >  
> > 
> > 
> >   _____  
> > 
> > From: amibroker@xxxxxxxxxxxxxxx 
[mailto:amibroker@xxxxxxxxxxxxxxx] 
> On Behalf
> > Of C Alvarez
> > Sent: Saturday, 18 June 2005 4:21 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Custom Trade Metrics
> > 
> > 
> > I am trying to add the custom metric of what the Historical 
> > Volatility was when the trade was entered. 
> > 
> > I tried the following code, but all I get are blanks. Do we not 
> have 
> > access to the price arrays? Or what am I doing wrong?
> > 
> > Thank you,
> > Cey
> > 
> > Here is the code:
> > SetCustomBacktestProc(""); 
> > if( Status("action") == actionPortfolio ) 
> > { 
> >    bo = GetBacktesterObject(); 
> >    bo.Backtest(1); 
> >    for(trade=bo.GetFirstTrade(); trade; trade=bo.GetNextTrade()) 
> >    { 
> >            HVtrade = 100* StDev(log(C/Ref(C,-1)),100)*sqrt(250);
> >          trade.AddCustomMetric("HV", HVtrade);
> >    } 
> >     bo.ListTrades(); 
> > } 
> > 
> > 
> > 
> > 
> > 
> > Please note that this group is for discussion between users only.
> > 
> > To get support from AmiBroker please send an e-mail directly to 
> > SUPPORT {at} amibroker.com
> > 
> > For other support material please check also:
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> > 
> > 
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