|
PureBytes Links
Trading Reference Links
|
I suggest you try the following
SetCustomBacktestProc("");
/* Now custom-backtest procedure follows
*/
if( Status("action") == actionPortfolio )
{
bo
= GetBacktesterObject();
bo.Backtest(1); // run default
backtest procedure
for(trade=bo.GetFirstTrade(); trade;
trade=bo.GetNextTrade())
{
sym = trade.Symbol();
myC = Foreign(sym,
"C" );
HVtrade = 100*
StDev(log(myC/Ref(myC,-1)),100)*sqrt(252);
trade.AddCustomMetric("HV",
HVtrade );
}
bo.ListTrades();
}
Paul
Ho
The HV column has all blanks in it.
Thanks for the help.
Here is the
formula.
Cey
////////////////////////////////////////////////////
SetCustomBacktestProc("");
/* Now custom-backtest procedure follows */
if( Status("action") ==
actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest(1); // run default backtest procedure
for(trade=bo.GetFirstTrade(); trade; trade=bo.GetNextTrade())
{
sym =
trade.Symbol();
SetForeign(sym
);
HVtrade = 100*
StDev(log(C/Ref(C,-1)),100)*sqrt(252);
RestorePriceArrays();
trade.AddCustomMetric("HV", HVtrade );
}
bo.ListTrades();
}
// trading system here
Buy = MA(C,50) >
MA(C,200) AND C >MA(C,200);
Sell = C < MA(C,200);
Buy =
ExRem(Buy,Sell);
Sell = ExRem(Sell, Buy);
--- In
amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paultsho@xxxx> wrote:
> Can
you post your formula and results?
>
> Paul Ho
>
>
>
> _____
>
> From:
amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On
Behalf
> Of C Alvarez
> Sent: Saturday, 18 June 2005 1:17 PM
>
To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Custom Trade
Metrics
>
>
> I added the SetForeign call and the HV formula
still does not
work.
> Is this something that I need to calculate
manually?
> Any more help?
>
> Thanks,
> Cey
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paultsho@xxxx>
wrote:
> > the problem is with this line "HVtrade = 100*
> >
StDev(log(C/Ref(C,-1)),100)*sqrt(250);
> > you need to get the trade
symbol and then use foreign to get the
> price array
> > before
doing your calculaltion
> >
> > Paul Ho
> >
> >
> >
> >
> >
_____
> >
> > From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
> On Behalf
> > Of C
Alvarez
> > Sent: Saturday, 18 June 2005 4:21 AM
> > To:
amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Custom Trade
Metrics
> >
> >
> > I am trying to add the custom
metric of what the Historical
> > Volatility was when the trade was
entered.
> >
> > I tried the following code, but all I get
are blanks. Do we not
> have
> > access to the price arrays? Or
what am I doing wrong?
> >
> > Thank you,
> >
Cey
> >
> > Here is the code:
> >
SetCustomBacktestProc("");
> > if( Status("action") == actionPortfolio
)
> > {
> > bo = GetBacktesterObject();
> > bo.Backtest(1);
> >
for(trade=bo.GetFirstTrade(); trade; trade=bo.GetNextTrade())
>
> {
>
> HVtrade =
100* StDev(log(C/Ref(C,-1)),100)*sqrt(250);
>
>
trade.AddCustomMetric("HV", HVtrade);
> > }
>
> bo.ListTrades();
> > }
> >
> >
> >
> >
> >
> > Please
note that this group is for discussion between users only.
> >
>
> To get support from AmiBroker please send an e-mail directly to
>
> SUPPORT {at} amibroker.com
> >
> > 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/
>
>
> >
> > * To
unsubscribe from this group, send an email to:
> >
amibroker-unsubscribe@xxxxxxxxxxxxxxx
> >
<mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?
subject=Unsubscribe>
> >
> >
> >
* Your use of Yahoo! Groups is subject to the
Yahoo! Terms
of
> Service
> > <http://docs.yahoo.com/info/terms/>
.
>
>
>
>
> Please note that this group is for
discussion between users only.
>
> To get support from AmiBroker
please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> 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/
>
>
> * To unsubscribe from this
group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
>
<mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?subject=Unsubscribe>
>
>
> * Your use
of Yahoo! Groups is subject to the Yahoo! Terms of
Service
> <http://docs.yahoo.com/info/terms/>
.
Please note that this group is for discussion
between users only.
To get support from AmiBroker please send an e-mail
directly to
SUPPORT {at} amibroker.com
For other support material
please check also:
http://www.amibroker.com/support.html
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
|