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Mike, thanks a bunch! That's amazingly helpful!
I will take some time to wrap my head around your code. Didn't realize my own code was so buggy.
For now, just a few follow-up questions (for you, or anyone who is kind enough to chime in):
A.
I looked up PosistionSize in the help manual, and did not see any reference to negative numbers. What does PositionSize = -10 mean?
B.
While I do want to only track the first condition that is true, in (2) you mention that if I wanted to track ALL conditions, I should use a bit flag. Not sure what you mean by that. Could you please give me an example of that in this line, as I might also want an alternative version that does track all conditions:
PositionScore = IIf( Condition AND NOT PositionScore, a, PositionScore );
C.
I agree that using values that the backtester needs could prove dangerous. That's why I also posted an example using AddToComposite. I realize that code also had the same bugs you pointed out earlier. But what about my use of AddToComposite. If I subsituted ATC instead of position score...is the following the correct use? I can't seem to recall the values from the composite symbol when I get to the backtester portion of the code. Condition column remains blank in the report:
//--------------------------------------------------------------------
// SIMPLE TRADING SYSTEM BASED ON VARIOUS CONDITIONS
//--------------------------------------------------------------------
FastMA = MA( C, 10 );
SlowMA = MA( C, 200 );
Condition1 = Cross( FastMA, SlowMA );
Condition2 = Cross( SlowMA, FastMA );
Condition3 = Cross( C, SlowMA );
Condition4 = Cross( SlowMA, C );
Buy = Sell = Short = Cover = 0;
PositionSize = -10;
for ( a = 1; a < 5; a++ )
{
Condition = VarGet( "Condition" + NumToStr( a, 1.0, 0 ) );
Buy = Buy OR Condition;
// Use Composite symbol to store the Condition numbers whenever a Condition is True.
AddToComposite( IIf(Condition, a, 0), "~Condition", "V", 1+2+8+16); // 1+2+8+16 enables all ATC in all AA procedures
}
Buy = ExRemSpan(Buy, 12);
Sell = Ref(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, "Mike" <sfclimbers@xxx> wrote:
>
> Ozzy,
>
> Your immediate problem is that you are refering to the MarginDeposit
> *variable* in your backtester code, when what you actually want to do
> is refer to the MarginDeposit *property* of the trade object.
>
> However, using MarginDeposit or PointValue, do not seem to work. So I
> would suggest not going with option e) of Thomasz's note unless
> overloading the Score property (which maps to PositionScore
> variable). I have provided an example below taking that approach,
> though I do not encourage it since PostionScore is used by the
> backtester when deciding which trades to take (in other words, don't
> mess with values that the backtester needs!).
>
> A few other observations:
>
> 1) Your Buy logic appears buggy. As written, Buy will always be set
> to the value returned by Condition4 (i.e. you clobber the Buy value
> at each iteration of the loop, so the last iteration will always
> win). I suspect that you want an OR operation here to Buy whenever
> any of the conditions are met.
>
> 2) Same problem with your MarginDeposit calculation; It is
> destructive. If you want to keep the *first* condition that was true,
> do as is provided in the example. If you want to keep the *last*
> condition that was true, remove the "AND NOT PositionScore" clause.
> If you want to track *all* conditions, you'll need to use a bit flag.
>
> 3) Given that your Sell condition is a function of Buy, there is no
> need to keep recalculating it within the loop. Wait 'till Buy has
> finished being defined, then calculate Sell once after the fact.
>
> 4) If I understand your Sell intent correctly (i.e. hold for 12 days
> then sell), there is a better way to do it. See ExRemSpan usage in
> example below.
>
> Mike
>
> //--------------------------------------------------------------------
> ----
> // SIMPLE TRADING SYSTEM BASED ON VARIOUS CONDITIONS
> //--------------------------------------------------------------------
> ----
>
> FastMA = MA( C, 10 );
> SlowMA = MA( C, 200 );
>
> Condition1 = Cross( FastMA, SlowMA );
> Condition2 = Cross( SlowMA, FastMA );
> Condition3 = Cross( C, SlowMA );
> Condition4 = Cross( SlowMA, C );
>
> Buy = Sell = Short = Cover = PositionScore = 0;
> PositionSize = -10;
>
> for ( a = 1; a < 5; a++ )
> {
> Condition = VarGet( "Condition" + NumToStr( a, 1.0, 0 ) );
> Buy = Buy OR Condition;
> PositionScore = IIf( Condition AND NOT PositionScore, a,
> PositionScore ); // Reserved variable "PositionScore" is used to
> store the
> // Condition numbers whenever a Condition is True.
> }
>
> Buy = ExRemSpan(Buy, 12);
> Sell = Ref(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", trade.Score );
> }
>
> bo.ListTrades();
> }
>
> --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" zoopfree@ 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
*********************************
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