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In your calculation of TradeRisk, how are the variables EntryPrice and
ExitPrice calculated?
Regards,
GP
--- In amibroker@xxxxxxxxxxxxxxx, "justinwonono" <justinwonono@xxx> wrote:
>
> // =====
>
>
> 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@> 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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