|
PureBytes Links
Trading Reference Links
|
And here is a version using AddToComposite, which again should work as far as I can see. But like the previous example, it results in an empty "Condition" column 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;
AddToComposite( IIf(Buy, a, 0), "~Condition", "V", atcFlagEnableInBacktest);
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", Foreign("~Condition", "V") );
}
bo.ListTrades();
}
--- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@xxx> wrote:
>
> Taking the suggestion from Tomasz, I use the reserved variable
> "MarginDeposit" to store my condition numbers, which I then feed back
> into the custom backtester. In my mind, the following code should do the
> trick. I don't get any syntax errors and I can't see any flaw in logic.
> Yet my "Condition" column in the backtest report contains no values.
>
> In the code below, shouldn't the MarginDeposit array contain all values
> of "a" for each Buy? If not, why not, and what would be the right
> approach? Been pulling my hair out for a couple of days on this problem.
> And I know it has to be something simple:
>
>
>
> //----------------------------------------------------------------------\
> --
> // 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;
> MarginDeposit = IIf(Condition, a, 0); // Reserved variable
> "MarginDeposit" is used to store the
> // Condition numbers whenever a
> Condition is True.
>
> 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", MarginDeposit );
> }
>
> bo.ListTrades();
> }
>
>
>
>
>
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" zoopfree@ wrote:
> >
> > Thanks Tomasz. That's helpful. I had forgotten that we can use one of
> > the setoptions to store and recall data.
> >
> > One last key question (for anyone). And I feel like a klutz asking
> > something so simple, given that I've been doing AFL now for six
> months.
> > But sometimes these simple things can be elusive.
> >
> > How do I flag each "a" value every time there is a Buy, without going
> > into a Barcount loop? I find that Barcount loops always slow down my
> > AFLs.
> >
> > I can't just do:
> >
> > if(Buy) {then do something}
> >
> > since if() does not work with arrays.
> >
> > Is there any way around this, so that I can dynamically pass "a"
> values
> > into a setoption or static var? Or is this simply a case where a
> > Barcount loop *must* be used?
> >
> >
> >
> >
> //----------------------------------------------------------------------\
> \
> > --
> > // 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@ wrote:
> > >
> > > You need to pass that in either
> > > a) series (set) of static variables
> > > or
> > > b) addtocomposite/foreign
> > > or
> > > c) files (fopen/fputs/fgets/fclose)
> > > or
> > > d) unused trade/position variable (can be for example margindeposit
> if
> > you don't use it).
> > >
> > > Best regards,
> > > Tomasz Janeczko
> > > amibroker.com
> > > ----- Original Message -----
> > > From: "ozzyapeman" zoopfree@
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Friday, December 26, 2008 5:50 PM
> > > Subject: [amibroker] Re: Adding a Custom Metric to Backtest Report
> > >
> > >
> > > > Thanks Mike. I eventually figured as much.
> > > >
> > > > Still trying to figure out a way to dynamically pass the correct
> "a"
> > > > value to the backtester.
> > > >
> > > > Any ideas on a general approach to this? I need to somehow collect
> > an
> > > > "a" value each time there is a Buy, and store those somewhere so
> > they
> > > > can be read back by the custom backtester code.
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" sfclimbers@ wrote:
> > > >>
> > > >> Hi,
> > > >>
> > > >> Note that your loop will iterate until 'a' equals 5, at which
> point
> > > >> the looping will terminate. In your backtest code, you are
> > referring
> > > >> to the value of 'a' which we've just established will always be
> 5.
> > > >> The custom backtest code is run *after* the rest of the script
> code
> > > >> has been run for all symbols.
> > > >>
> > > >> Mike
> > > >>
> > > >> --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@> wrote:
> > > >> >
> > > >> > 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@>
> > 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
> > > >> > > }
> > > >> > >
> > > >> >
> > > >>
> > > >
> > > >
> > > >
> > > > ------------------------------------
> > > >
> > > > **** IMPORTANT ****
> > > > This group is for the discussion between users only.
> > > > This is *NOT* technical support channel.
> > > >
> > > > *********************
> > > > TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail
> > directly to
> > > > SUPPORT {at} amibroker.com
> > > > *********************
> > > >
> > > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > > > http://www.amibroker.com/devlog/
> > > >
> > > > For other support material please check also:
> > > > http://www.amibroker.com/support.html
> > > >
> > > > *********************************
> > > > Yahoo! Groups Links
> > > >
> > > >
> > > >
> > >
> >
>
__._,_.___
**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
*********************
TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
*********************
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
*********************************
![]()
__,_._,___
|