[amibroker] Re: Adding a Custom Metric to Backtest Report

["ozzyapeman" <zoopfree@xxxxxxxxxxx>]

Thank you for pointing out that specific example. That helps me add the column to the backtest report. 

But I am still at a loss in feeding back the actual "Condition" value to the custom metric. If I was building that custom metric from other metrics already in the report, it would be easy (and I have done so in the past). 

But how do I pass back the value of an actual variable from my trading AFL, each time a Buy is true?

This is what I now have, but the Condition column always shows "5" in the backtest report :


//------------------------------------------------------------------------
// 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); // run default backtest procedure   
   
   // iterate through closed trades first
   for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
   {
       trade.AddCustomMetric("Condition", a  );
   }
    
    bo.ListTrades();
}





--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> Everything is explained with examples in the User's Guide
> http://www.amibroker.com/guide/a_custommetrics.html
> 
> See example 3.
> ============
> 
> Best regards,
> Tomasz Janeczko
> amibroker.com
>   ----- Original Message ----- 
>   From: ozzyapeman 
>   To: amibroker@xxxxxxxxxxxxxxx 
>   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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