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Thanks a bunch. I finally found the post addressing this. Here is
the code for anyone following this thread:
/********************* CUSTOM BACKTEST PROCEDURE ********************/
function FindValueAtDateTime( array, dt, Value )
{
found = -1;
for( i = 0; i < BarCount AND found == -1; i++ )
{
if( dt[ i ] == Value ) found = i - 1; //Coded by Tomasz = i,
but I want the value from the day BEFORE the signal
}
result = Null;
if( found != -1 ) result = array[ found ];
return result;
}
SetCustomBacktestProc("");
dt = DateTime();
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest(1); // run default backtest procedure
// iterate through closed trades and add some info
for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
{
SetForeign(trade.Symbol);
trade.AddCustomMetric("Industry",IndustryID(1) ); //Want to
see IndustryID by trade
trade.AddCustomMetric("PScore",trade.Score,0);
//Lookup actual price at trade entry
foi = Foreign( trade.Symbol, "I" );
temp = FindValueAtDateTime( foi, dt, trade.EntryDateTime );
// _TRACE( "Temp=" + temp );
trade.AddCustomMetric("Actual OI", temp/100 );
//Lookup Volume at trade entty
foi = Foreign( trade.Symbol, "V" );
temp = FindValueAtDateTime( foi, dt, trade.EntryDateTime );
trade.AddCustomMetric("Volume", temp, 0 );
}
// iterate through open trades and add same info
for( trade = bo.GetFirstOpenPos(); trade; trade =
bo.GetNextOpenPos() )
{
SetForeign(trade.Symbol);
trade.AddCustomMetric("Industry",IndustryID(1)); //Want to see
IndustryID by trade
trade.AddCustomMetric("PScore",trade.Score,0);
//Lookup actual price at trade entry
foi = Foreign( trade.Symbol, "I" );
temp = FindValueAtDateTime( foi, dt, trade.EntryDateTime );
// _TRACE( "Temp=" + temp );
trade.AddCustomMetric("Actual OI", temp );
//Lookup Volume at trade entty
foi = Foreign( trade.Symbol, "V" );
temp = FindValueAtDateTime( foi, dt, trade.EntryDateTime );
trade.AddCustomMetric("Volume", temp, 0 );
}
bo.ListTrades();
}
/********************** END C.B.T. PROCEDURE ************************/
--- In amibroker@xxxxxxxxxxxxxxx, "vlanschot" <vlanschot@xxx> wrote:
>
> You can use the following function, originally based on a version by
> TJ:
>
> function FindStatAtEndTrade (Stat, dt, Value)
> {
> found = -1;
> for( i = 0; i < BarCount AND found==-1; i++ )
> {
> if( dt[ i ] == Value ) found = i;
> }
>
> result = Null;
> if( found > 1 ) result = Stat[ found ];
>
> return result;
> //return IIf( found != -1, Stat[ found], Null ); // Stat at
> end /close of trade
> }
>
> Also, look at message #83288 for Paul's example, and Graham also has
> posted examples on this (I think).
>
> PS
>
> --- In amibroker@xxxxxxxxxxxxxxx, "gp_sydney" <gp.investment@>
> wrote:
> >
> > You need to pass your indicator arrays, or at least the values on
> the
> > entry days, to the custom backtest procedure. For the whole arrays,
> I
> > think you need to use AddToComposite and Foreign, or for individual
> > values you can use dynamic/static variables with appropriate names
> > (eg. including stock code plus entry date/time).
> >
> > No idea about fundamental data though.
> >
> > Regards,
> > GP
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "trustdnb" <trustdnb@> wrote:
> > >
> > > Thanks for the tip GP, but I am still coming up a little short for
> > > what I am trying to accomplish. What I want to do is show the
> value of
> > > chosen indicators (e.g. RSI, ROC, etc.) for each trade that was
> > > entered. I would also like to add a few columns that display
> > > fundamental indicators (mkt cap, EPS, etc.). The problem is that
> the
> > > arrays that hold the "bar-by-bar" RSI values are not directly
> > > available to the backtester on a "trade-by-trade" basis.
> > >
> > > The only workaround I have been able to come up with is to use
> > > PositionScore. If I want to see the RSI values for each trade. I
> > > simply set PositionScore = RSI (14) and then show the RSI value by
> > > using trade.score(). There are two problems however: (1) I cant
> show
> > > more than one value this way and (2) Using PositionScore will
> change
> > > the trades that my system takes.
> > >
> > > Is there a better way to do this? Here is my current code:
> > >
> > > PositionScore = RSI (14);
> > > SetCustomBacktestProc("");
> > >
> > > if( Status("action") == actionPortfolio )
> > > {
> > > bo = GetBacktesterObject();
> > > bo.Backtest(1);
> > >
> > > NumTrades = 0;
> > >
> > > for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade
> () )
> > > {
> > >
> > > trade.AddCustomMetric("RSI", trade.score() );
> > > NumTrades++;
> > > }
> > >
> > > bo.ListTrades();
> > >
> > > }
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "gp_sydney" <gp.investment@>
> wrote:
> > > >
> > > > You can do this with the high-level custom backtester interface.
> > > >
> > > > See example 3 in the help section "Adding custom backtest
> metrics".
> > > >
> > > > Regards,
> > > > GP
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "trustdnb" <trustdnb@> wrote:
> > > > >
> > > > > Is is possible to add custom columns to the backtest results
> > screen?
> > > > > What I would like to be able to do is sort my trade results
> by net
> > > > > profit or by winners/losers and see if the winners all have
> low RSI,
> > > > > high relative strength, etc. Alternatively, is there a way to
> > add per
> > > > > trade profit or win/loss to the exploration screen? The
> exploration
> > > > > doesn't seem to have access to the trade variables (e.g.
> > > > > Buyprice/Sellprice).
> > > > >
> > > > > Thanks,
> > > > > Muhammad
> > > > >
> > > >
> > >
> >
>
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