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GP...Here's the simple BO test system i'm using, nothing flash, &
backtest entry/exit prices work as expected.
Regards
=========
SetTradeDelays( 0, 0, 0, 0 );
SetOption("InitialEquity", 50000 );
SetOption("MaxOpenPositions", 10 );
SetOption("AllowPositionShrinking", False );
SetOption("PriceBoundChecking", True );
SetOption("UsePrevBarEquityForPosSizing", False );
SetOption("AllowSameBarExit", True );
SetOption("ActivateStopsImmediately", True );
SetOption("CommissionMode", 2 ); // $ Amt
SetOption("CommissionAmount", 20 ); //
SetChartOptions(0,chartShowArrows|chartShowDates);
CapitalRisk = 0.01;
PlotStyle=Param( "PlotStyle", 3 , 1, 3, 1 );
Pstyle = IIf(PlotStyle==1,1,IIf(PlotStyle==2,64,128) );
Tick = IIf( L <= 0.10, 0.001, IIf(L > 0.50 , 0.01, 0.005));
TriggerTicks = 1;
BOTicks = TriggerTicks * tick;
// Entry Trigger
UpperChannel= HHV( High , 20 ) ;
LowerChannel = LLV( Low , 20 ) ;
ExitTriggerPrice = Ref(LowerChannel,-1) - BOTicks ;
Buy = Cross( Ref(Close,-1) , Ref(UpperChannel, -2) ) ;
Sell = Cross( Ref(LowerChannel,-2) , Ref(Close,-1) ) ;
// Remove Consecutive Triggers
Buy = ExRem(Buy, Sell);
Sell = ExRem(Sell, Buy);
TradeRisk = IIf(Buy, BuyPrice - ExitTriggerPrice ,0); // ie exitprice
= init stop
TradeRiskPcnt = IIf(Buy, TradeRisk / BuyPrice ,0) ;
Buy=IIf(Buy==1 AND TradeRiskPcnt > 0.10 , 0 , Buy); // ignore > 10%
trade risk
PositionSize = -(CapitalRisk *100) * BuyPrice/TradeRisk;
Buy=IIf(Buy==1 AND PositionSize < -33 , 0 , Buy);
AddToComposite(TradeRisk, "~trisk" + Name(),"C",atcFlagDefaults |
atcFlagEnableInBacktest );
Equity( 1 ); // evaluates trades and stops
// Exploration Layout
Filter = 1;
AddColumn(O, "O", 1.4);
AddColumn(H, "H", 1.4);
AddColumn(L, "L", 1.4);
AddColumn(C, "C", 1.4);
AddColumn(V, "V", 1.0);
// Std Tittle
Title = WriteVal( DateTime(), formatDateTime ) + " " + Name() +
"\n" + "O = " + WriteVal(O, 1.4) + " ; H = " + WriteVal(H, 1.4) + " ;
L = " + WriteVal(L, 1.4) + " ; C = " + WriteVal(C, 1.4)
;
Plot( C, "Close", colorBlack , Pstyle + styleThick );
Plot( UpperChannel, "UpperChannel", colorBlue , styleLine );
Plot( LowerChannel , "LowerChannel ", colorBlue , styleLine );
PlotShapes(Buy*shapeUpArrow,colorGreen,0,Low);
PlotShapes(Sell*shapeDownArrow,colorRed,0,High);
// =====
SetCustomBacktestProc("");
/* ustom-backtest procedure follows */
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 first
for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
{
//
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]);
_TRACE( "Symbol = " + trade.Symbol + " : EntryPrice = " +
trade.EntryPrice + " : ExitPrice = " + trade.ExitPrice );
// 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");
}
====
[2668] Custom BT Start
[2668] Symbol = BHP : dt[84] = 15/06/2000 : TRisk[84] = {EMPTY}
[2668] Symbol = BHP : EntryPrice = 7.96475 : ExitPrice = 7.93425
[2668] Trade.EntryDateTime = 15/06/2000 Risk = {EMPTY}
[2668] Symbol = BHP : dt[132] = 22/08/2000 : TRisk[132] = {EMPTY}
[2668] Symbol = BHP : EntryPrice = 8.44485 : ExitPrice = 8.04767
=====
===========
--- In amibroker@xxxxxxxxxxxxxxx, "gp_sydney" <gp.investment@xxx> wrote:
>
> In your calculation of TradeRisk, how are the variables EntryPrice and
> ExitPrice calculated?
>
> Regards,
> GP
>
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