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Ok,
use this then, remember you will only the HV for closed
trades with this code, if you want open trades, you will need to do another
loop;
function FindStuffAtDateTime( fx, dt, Value
)
{
found =
-1;
for( i = 0; i < BarCount AND found == -1; i++ )
{
if( dt[ i ] == Value ) found = i;
}
return IIf( found != -1, fx[ found -
1 ], Null );
}
if ( Status("action") == actionPortfolio )
{
bo =
GetBacktesterObject();
bo.Backtest();
// iterate through closed trades first
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);
myHv = FindStuffAtDateTime(HVtrade, DateTime(), trade.EntryDateTime
);
trade.AddCustomMetric("HV", myHv );
}
bo.ListTrades();
}
Paul
Ho
TrustNet
P O
Box
212
Ashburton
Victoria
3147
- paul.ho@xxxxxxxxxxxxxxx
( 0400059655
I still get blank values in the HV column. I think the problem is
that I am passing an array to AddCustomMetric when it expects a
value. I
need to determine the index into HVtrade, so I can do
HVtrade[index].
Any ideas on how to get from the trade date to the index into
HVtrade?
Thank you,
Cesar
--- In amibroker@xxxxxxxxxxxxxxx,
"Paul Ho" <paultsho@xxxx> wrote:
> 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
>
>
>
> _____
>
> From:
amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On
Behalf
> Of C Alvarez
> Sent: Sunday, 19 June 2005 2:07 AM
>
To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Custom Trade
Metrics
>
>
> 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
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> > > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> > >
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>
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.
> >
> >
> >
> >
> > 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:
> >
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> >
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> >
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> >
* 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
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