[amibroker] Re: Custom bactester metrics & Van Tharps per trade r multiple

["justinwonono" <justinwonono@xxxxxxxxxxxx>]

// =====


Hi GP,
Thanks for your time & interest. 
I managed to sort out the date problem, but as the trace results show
, for some reason, I can't pick up the composite risk value even
though data  is definitely there.

Even if i just loop through without the date matching selection, no
data shows in the trace.

Any ideas?

Regards

justinwonono

=======
....
AddToComposite(TradeRisk, "~trisk" + Name(),"C",atcFlagDefaults |
atcFlagEnableInBacktest );
.....


SetCustomBacktestProc("");


if( Status("action") == actionPortfolio )
   {
    _TRACE("Custom BT Start");
    bo = GetBacktesterObject();
    bo.Backtest(1); // run default backtest procedure
    SumProfitPerRisk = 0;
    NumTrades = 0;

// iterate through closed trades 

   for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )

   {

// risk is calculated as the maximum value we can loose per trade
				

    dt = DateTime();
    TradeRisk = 0;
    TradeDate = DateTime();
    Risk = 0;
    TRisk = Foreign("~trisk_" + trade.Symbol,"C");
	
    for( i = 1; i < BarCount; i++ )
    {
     if (  Trade.EntryDateTime == dt[i] )
     {

//    if (TRisk[i]  > 0)
//    {

       TradeDate = dt[i];
       Risk = TRisk[i];

_TRACE( "Symbol = " + trade.Symbol + " : dt[" + i + "] = " + NumToStr(
TradeDate , formatDateTime ) + " : TRisk[" + i + "] = " + TRisk[i]);

//     break;			
//     }

      }
     }


_TRACE(" Trade.EntryDateTime = " + NumToStr( Trade.EntryDateTime,
formatDateTime ) + " Risk = " + Risk );


   RMultiple = trade.GetProfit()/Risk ;
   trade.AddCustomMetric("Initial risk $", Risk );
   trade.AddCustomMetric("R-Multiple", RMultiple );
   SumProfitPerRisk = SumProfitPerRisk + RMultiple;
   NumTrades++;
  }

   expectancy3 = SumProfitPerRisk / NumTrades;
   bo.AddCustomMetric( "Expectancy (per risk)", expectancy3 );
   bo.ListTrades();

_TRACE("Custom BT End");

}

=======
[3536] Custom BT Start
[3536] Symbol = BHP : dt[1] = 13/02/2004 : TRisk[1] = {EMPTY}
[3536]  Trade.EntryDateTime = 13/02/2004 Risk = {EMPTY}
[3536] Symbol = SGB : dt[3] = 17/02/2004 : TRisk[3] = {EMPTY}
[3536]  Trade.EntryDateTime = 17/02/2004 Risk = {EMPTY}
=======



-- In amibroker@xxxxxxxxxxxxxxx, "gp_sydney" <gp.investment@xxx> wrote:
>
> >    Risk = ValueWhen((Foreign("~trisk_" + trade.Symbol, dt )==
> >    Trade.EntryDateTime), Foreign("~trisk_" + trade.Symbol,"C")) ;
> 
> In this statement, the:
> 
> Foreign("~trisk_" + trade.Symbol, dt)
> 
> part is incorrect. The second parameter to Foreign is supposed to be
> the array type ("C", "O", etc) but you have the DateTime array.
> 
> Regards,
> GP
> 
> 




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