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Everything is explained with examples in the User's
Guide
See example 3.
============
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Friday, December 26, 2008 1:26
AM
Subject: [amibroker] Adding a Custom
Metric to Backtest Report
I have been able to add custom metrics to the Optimization
Reports, but for some reason can't add a column to the Trade List Backtest
report. Hoping someone might be able to chime in here, as the custom
backtester confuses me.
What I want to do is fairly simple. In my
actual trading system, I cycle through hundreds of possible conditions per
bar. If any one condition is true, then I Buy. I want to add a custom metric
to the backtest report that lists which condition generated the Buy
signal.
For the sake of debugging, below is a very simplified AFL (not
my actual system). I simply want to feedback the condition number into the
backtester. But it does not work. If I add an optimize statement at the top,
it will add the custom metric to the Optimization report. But even then
that column does not reflect correct values.
So how do I add the
column to the Backtest report? I would have thought the below code
would do the trick. And how do I feedback the correct values? Perhaps I need
to FPUT each condition, during the loop, to an external file, then FGET the
file for every trade in the backtester? That might work, but feels
inefficient:
//------------------------------------------------------------------------
// SIMPLE TRADING SYSTEM BASED ON
VARIOUS CONDITIONS
//------------------------------------------------------------------------
FastMA
= MA( C, 10
);
SlowMA
= MA( C, 20
);
Condition1 = Cross(FastMA,
SlowMA);
Condition2 = Cross(SlowMA,
FastMA);
Condition3 = Cross(C, SlowMA);
Condition4
= Cross(SlowMA,
C );
for(a = 1; a < 5;
a++)
{
Condition = VarGet( "Condition" + NumToStr( a, 1.0, 0 ) );
Buy =
Condition;
Sell = BarsSince(Buy) > 12;
}
//---------------------------------------------------------------------------
// WANT TO ADD THE CUSTOM COLUMN,
"CONDITION" TO BACKTEST REPORT
//---------------------------------------------------------------------------
SetCustomBacktestProc( "" );
if ( Status( "action" ) == actionPortfolio )
{
bo =
GetBacktesterObject();
bo.Backtest( 1
);
// Call Backtest but set NoTradeLists to
true
bo.AddCustomMetric( "Condition", a, 0,0,0
); // Add the custom metric
bo.ListTrades();
// Now generate the backtest report with custom
metric
}
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