|
PureBytes Links
Trading Reference Links
|
Ozzy,
If you are seeing zero values, then yes, there is a bug.
Values can be higher than 4 because the example is using a bit field
holding all the flags combined (e.g. Flag1 + Flag4 = 9 where Flag1
means Condition1 was met, Flag2 means Condition2 was met, etc.):
0 means no conditions met (binary 0000)
1 means condition 1 (binary 0001)
2 means condition 2 (binary 0010)
3 means condition 1, 2 (binary 0011)
4 means condition 3 (binary 0100)
5 means condition 3, 1 (binary 0101)
6 means condition 3, 2 (binary 0110)
7 means condition 3, 2, 1 (binary 0111)
8 means condition 4 (binary 1000)
9 means condition 4, 1 (binary 1001)
...
15 means all conditions met 4, 3, 2, 1 (binary 1111)
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@xxx> wrote:
>
> Amazing feedback, Mike! I really appreciate it. Truly.
>
> I don't think I ever would have figured out how to add the composite
> to the backtester. A lot more involved than I thought.
>
> There does seem to be a bug somewhere, though. When I do a backtest,
> some of the Condition entries are zero, and others are greater than
4,
> which shouldn't be since Condition4 is highest #.
>
> I am currently playing with it to see if I can figure out why that's
> happening. But please let me know if you have an inkling of what's
wrong.
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> >
> > Ozzy,
> >
> > A) As you've now found, negative numbers imply the percentage of
> > equity to apply to each trade.
> >
> > B) A number is stored in machine language as one or more bytes
> > (depending on the language and operating system), where each byte
is
> > made up of 8 bits - binary digits - each of which can hold either
a 1
> > or a zero. A "flag" is just programmer-speak meaning something is
> > turned on vs. turned off. So, a bit flag (perhaps more commonly
known
> > as a bit field) is simply a number whose individual bits are
treated
> > as flags.
> >
> > The last argument of AddToComposite is an example of a bit field.
> > Each of the valid flags (all increasing powers of 2) map to
exactly 1
> > bit of a binary number. Adding the values togeather gives a new
> > number, but does not clobber the state the previous flags.
> >
> > e.g.
> > atcFlagDeleteValues = 1 = 2 to the power of 0 = 0001 in binary.
> > atcFlagCompositeGroup = 2 = 2 to the power of 1 = 0010 in binary
> > atcFlagTimeStamp = 4 = 2 to the power of 2 = 0100 in binary
> > etc.
> >
> > Now if you wanted to set all the flags above, you would simply
add
> > the values 1 + 2 + 4 = 7 = 0111 in binary. Notice that the
numerical
> > value 7 is not of any particular significance, it is the
individual
> > bit settings (i.e. the flags) that are of interest.
> >
> > We could just as easily have declared separate boolean variables
for
> > each flag. But, a boolean variable typically takes up more space
in
> > memory than a single bit (e.g. maybe a byte, depends on
> > language/platform). So, we can stuff 8 flags into a single byte
> > whereas each boolean variable might be a byte itself; 1 byte for
a
> > bit field vs. 8 bytes for separate booleans translates to 7 bytes
of
> > memory savings.
> >
> > Note that when dealing with bit fields, the bitwise OR
operator "|"
> > is equivalent to addition. So;
> > 1 + 2 is equivalent to
> > atcFlagDeleteValues + atcFlagCompositeGroup is equivalent to
> > atcFlagDeleteValues | atcFlagCompositeGroup
> >
> > Stylistically, I prefer using the defined constants and the "|"
> > operator since it is auto-documenting that you are manipulating a
bit
> > field and which flags it is that you are manipulating.
> >
> > Given a bit field, it is easy to determine whether an individual
flag
> > is set or not by using the bitwise AND operation "&" against the
bit
> > field and the flag of interest.
> >
> > e.g.
> > atcFlags = atcFlagDeleteValues | atcFlagCompositeGroup;
> > if (atcFlags & atcFlagCompositeGroup) {
> > // atcFlagCompositeGroup is turned on
> > }
> >
> > C) If you wanted to use AddToComposite, you would need to create
a
> > composite (whose name was derived from the symbol name) for each
> > symbol upon which a Buy occured. Then in your custom backtest
code,
> > you could refer to the foreign composite by reconstructing the
> > composite name from the trade's symbol name.
> >
> > The example below illustrates all of A), B) and C) from above.
> >
> > WARNING: If you run this example against a large watchlist, you
will
> > end up with many composite symbols (e.g. ~FlagsIBM) in your
symbol
> > tree! Static variables are probably the better way to go, unless
you
> > want to perform some kind of analysis on the composite symbols.
> >
> > Mike
> >
> > //----------------------------------------------------------------
----
> > ----
> > // SIMPLE TRADING SYSTEM BASED ON VARIOUS CONDITIONS
> > //----------------------------------------------------------------
----
> > ----\
> >
> > Flag1 = 1; // 2 ^ 0 = 1
> > Flag2 = 2; // 2 ^ 1 = 2
> > Flag3 = 4; // 2 ^ 2 = 4
> > Flag4 = 8; // 2 ^ 3 = 8
> >
> > FastMA = MA( C, 10 );
> > SlowMA = MA( C, 20 );
> >
> > 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++ )
> > {
> > Suffix = NumToStr( a, 1.0, 0 );
> > Condition = VarGet( "Condition" + Suffix );
> > Flag = VarGet( "Flag" + Suffix ); // Or just set to:
2 ^
> > a
> > Buy = Buy OR Condition;
> > AddToComposite( IIf( Condition, Flag, 0 ), "~Flags" + Name
> > (), "X", atcFlagDefaults | atcFlagEnableInBacktest |
> > atcFlagEnableInExplore );
> > }
> >
> > 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", LastValue( ValueWhen(
> > DateTimeConvert( 0, trade.EntryDateTime ) == DateNum(), Foreign
> > ( "~Flags" + trade.Symbol, "X", 0 ) ) ) );
> > }
> >
> > bo.ListTrades();
> > }
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@> wrote:
> > >
> > > Oops on (A)...I see the negative value definitions for
PositionSize.
> > >
> > > Still puzzling over (B) and (C)
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@>
wrote:
> > > >
> > > > 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@> 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
*********************************
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|