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Mike,
Thanks but I am not able to evaluate the result. Otherwise, yes, I
would have done something similar to what you propose.
The actual ConditionGenerator() is a compiled C++ program that is
implemented as a plugin to AmiBroker. It only returns strings, and
hence I need to use an Include file as there is no other way (that I
can think of) to evaluate the string.
Reprogramming the C++ would be a big task, so I am trying to find a
way to implement the AB side AFL correctly.
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> Ozzy,
>
> In your more complex implementation of your condition generation, are
> you able to actually evaluate the result, rather than writing AFL to
> a file?
>
> In the example you've given, I see no reason why you couldn't just
> have the function return the result of the evaluation (without
> bothering at all with any variables) as shown below. The example
> below gives the same results as your hard coded working version.
>
> In other words, rather than generate strings, go ahead and evaluate
> what you would have generated. The actual values are preserved in the
> Score property of the trade. So, you no longer need a variable from
> which to recall the value later.
>
> Mike
>
> //---------------------------------------------------------
> // FUNCTION: ConditionGenerator()
> //
> // When called, this function calculates buying
> // conditions based on a simple algorithm.
> //
> // For e.g. ConditionGenerator(2) calculates:
> //
> // C > Ref(C, -2) AND Cross(C, MA(C,4) )
> //---------------------------------------------------------
>
> function ConditionGenerator( X )
> {
> local Y;
>
> Y = X * 2;
> return ( C > Ref( C, -X ) AND Cross( C, MA( C, Y ) ) );
> }
>
> //--------------------------------------------------------
> // BACKTEST SOME CONDITIONS:
> //--------------------------------------------------------
>
> Buy = Sell = Short = Cover = PositionScore = 0;
>
> for ( a = 1; a < 10; a++ )
> {
> Condition = ConditionGenerator( a );
> Buy = Buy OR Condition;
>
> // Reserved variable "PositionScore" is used to store the
> // Condition numbers whenever a Condition is True:
>
> PositionScore = IIf( Condition AND NOT PositionScore, a,
> PositionScore );
> }
>
> Buy = ExRemSpan( Buy, 12 );
> Sell = Ref( Buy, -12 );
>
>
> //--------------------------------------------------------
> // 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:
> >
> > Hello, I got some great help from Mike (sfclimbers) in solving the
> first
> > half of this problem, of cycling through a group of Buy conditions,
> > adding a custom metric, and identifying conditions per trade .
> Thought
> > all my issues were completely solved, but ran into an unexpected
> > stumbling block when I tried to apply it to my actual trading
> system,
> > which makes extensive use of Include files, and string generating
> > algorithms. Hoping someone can help in pointing out my error (maybe
> even
> > Mike if he ain't tired of me yet ;-) First, here is a block of code
> that
> > *does* work, and gives the simple essence of what I want to achieve.
> > This system outlines 9 different conditions, cycles through all in a
> > backtest, and adds a column to the backtester to indicate which
> > Condition was used for which trade:
> >
> >
> > //--------------------------------------------------------
> > // SIMPLE TRADING SYSTEM BASED ON VARIOUS CONDITIONS
> > //--------------------------------------------------------
> >
> >
> > Condition1 = C > Ref(C, -1) AND Cross(C, MA(C,2) );
> > Condition2 = C > Ref(C, -2) AND Cross(C, MA(C,4) );
> > Condition3 = C > Ref(C, -3) AND Cross(C, MA(C,6) );
> > Condition4 = C > Ref(C, -4) AND Cross(C, MA(C,8) );
> > Condition5 = C > Ref(C, -5) AND Cross(C, MA(C,10) );
> > Condition6 = C > Ref(C, -6) AND Cross(C, MA(C,12) );
> > Condition7 = C > Ref(C, -7) AND Cross(C, MA(C,14) );
> > Condition8 = C > Ref(C, -8) AND Cross(C, MA(C,16) );
> > Condition9 = C > Ref(C, -9) AND Cross(C, MA(C,18) );
> >
> >
> >
> > //--------------------------------------------------------
> > // BACKTEST THE ABOVE GROUP OF CONDITIONS:
> > //--------------------------------------------------------
> >
> > Buy = Sell = Short = Cover = PositionScore = 0;
> >
> > for ( a = 1; a < 10; a++ )
> > {
> > Condition = VarGet( "Condition" + NumToStr( a, 1.0, 0 ) );
> >
> > Buy = Buy OR Condition;
> >
> > // Reserved variable "PositionScore" is used to store the
> > // Condition numbers whenever a Condition is True:
> >
> > PositionScore = IIf( Condition AND NOT PositionScore, a,
> PositionScore
> > );
> > }
> >
> > Buy = ExRemSpan(Buy, 12);
> > Sell = Ref(Buy, -12);
> >
> >
> >
> > //--------------------------------------------------------
> > // 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();
> > }
> >
> > Now in my actual trading system, I rely on a rather complex
> algorithm,
> > to generate "Conditions" on the fly. Each such variable assignment
> is
> > generated as a block of code, a few lines long, in string format.
> If I
> > wanted to test out a handful of such conditions, it's no problem to
> > simply paste the variable assignments directly into the AFL.
> However,
> > when I want to cycle through thousands of such conditions, pasting
> does
> > not work. Amibroker understandbly crashes. So the solution is to
> > generate each variable assignment, one at a time, and dump to an
> > external file which is #Included into the main AFL. At any one
> time, the
> > external file only contains a single variable assignment. The
> problem
> > arises when I loop through the external file. Only the last
> Condition is
> > ever recognized as a Buy. I've tried using interim static
> variables, and
> > AddToComposite to store true/false data for each condition, and test
> > against that. But nothing seems to work. Below is the basic code.
> Note
> > that the function ConditionGenerator() is not the one in my actual
> > trading system, but a much more simplified version for debug
> purposes.
> >
> > As mentioned, only Condition9 ever gets set as a Buy in the backtest
> > report. How do I get *all* conditions to be properly tested for
> > potential Buys, so that this block of code essentially mimics the
> above
> > block? (note you may first have to create a blank file on your
> drive,
> > "c:\\ConditionsFile.afl" before running the code).
> >
> >
> > //---------------------------------------------------------
> > // FUNCTION: ConditionGenerator()
> > //
> > // When called, this function generators buying
> > // conditions, as a string, based on a simple algorithm.
> > //
> > // For e.g. ConditionGenerator(2) results in:
> > //
> > // " Condition2 = C > Ref(C, -2) AND Cross(C, MA(C,4) ); "
> > //---------------------------------------------------------
> >
> > function ConditionGenerator(X)
> > {
> > Y = X * 2;
> >
> > string = "Condition"+ NumToStr(X, 1.0,0) +" = C > Ref(C, -"
> > + NumToStr(X, 1.0,0)+ ") AND "
> > + "Cross(C, MA(C,"+NumToStr(Y, 1.0,0) + ") );" ;
> >
> > return string;
> > }
> > //--------------------------------------------------------
> >
> >
> >
> >
> > //--------------------------------------------------------
> > // BACKTEST SOME CONDITIONS:
> > //
> > // Want to backtest a group of 9 Conditions
> > //
> > // So we dump to an Include file and cycle through
> > // the conditions against historical data
> > //--------------------------------------------------------
> >
> > #include "c:\\ConditionsFile.afl";
> >
> > Buy = Sell = Short = Cover = PositionScore = 0;
> >
> > for ( a = 1; a < 10; a++ )
> > {
> > fh = fopen( "c:\\ConditionsFile.afl", "w");
> > fputs(ConditionGenerator(a), fh);
> > fclose( fh );
> >
> > Condition = VarGet( "Condition" + NumToStr( a, 1.0, 0 ) );
> >
> > Buy = Buy OR Condition;
> >
> > PositionScore = IIf( Condition AND NOT PositionScore, a,
> PositionScore
> > );
> >
> > Buy = ExRemSpan(Buy, 12);
> > Sell = Ref(Buy, -12);
> > }
> > //--------------------------------------------------------
> >
> >
> >
> >
> > //--------------------------------------------------------
> > // 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();
> > }
> >
>
------------------------------------
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