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Try this code. You may want to change a few lines for the data you are interested in. Note there are two sections that appear identical. One is for closed trades, then other for open trades.
/********************* CUSTOM BACKTEST PROCEDURE ********************/ function FindValueAtDateTime( array, dt, Value ) { found = -1; for( i = 0; i < BarCount AND found == -1; i++ ) { if( dt[ i ] == Value ) found = i - 1; //Coded by Tomasz = i, but I want the value from the day BEFORE the signal } result = Null; if( found != -1 ) result = array[ found ]; return result; }
SetCustomBacktestProc(""); dt = DateTime();
if( Status("action") == actionPortfolio ) { bo = GetBacktesterObject(); bo.Backtest(1); // run default backtest procedure
// iterate through closed trades and add some info for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() ) { SetForeign(trade.Symbol); trade.AddCustomMetric("Industry",IndustryID(1) ); //Want to see IndustryID by trade trade.AddCustomMetric("PScore",trade.Score,0); //Lookup actual price at trade entry foi = Foreign( trade.Symbol, "I" ); temp = FindValueAtDateTime( foi, dt, trade.EntryDateTime ); // _TRACE( "Temp=" + temp ); trade.AddCustomMetric("Actual OI", temp/100 ); //Lookup Volume at trade entty foi = Foreign( trade.Symbol, "V" ); temp = FindValueAtDateTime( foi, dt, trade.EntryDateTime ); trade.AddCustomMetric("Volume", temp, 0 );
} // iterate through open trades and add same info for( trade = bo.GetFirstOpenPos(); trade; trade = bo.GetNextOpenPos() ) { SetForeign(trade.Symbol); trade.AddCustomMetric("Industry",IndustryID(1)); //Want to see IndustryID by trade trade.AddCustomMetric("PScore",trade.Score,0); //Lookup actual price at trade entry foi = Foreign( trade.Symbol, "I" ); temp = FindValueAtDateTime( foi, dt, trade.EntryDateTime ); // _TRACE( "Temp=" + temp ); trade.AddCustomMetric("Actual OI", temp ); //Lookup Volume at trade entty foi = Foreign( trade.Symbol, "V" ); temp = FindValueAtDateTime( foi, dt, trade.EntryDateTime ); trade.AddCustomMetric("Volume", temp, 0 );
} bo.ListTrades(); }
-- Terry -----Original Message-----
I am trying to add a few columns to my Backtest results page. I'd like to add the exit bar open and close price and the previous bar's close price to the output (per trade).
One apparent limitation is that the GetPrice command only works with the Open Trade list. Additionally, I've never been able to get the AddCustomMetric to work inside a bar-by-bar loop inside the trade object. I've tried the following, but it didn't work. Any help would be appreciated.
SetCustomBacktestProc("");
if( Status("action") == actionPortfolio ) { bo = GetBacktesterObject(); bo.preprocess();
for( bar = 0; bar < BarCount ; bar++ ) { bo.ProcessTradeSignals(bar); for( Openpos = bo.GetFirstOpenPos() ; OpenPos ; OpenPos = bo.GetNextOpenPos() ) { xClose= trade.GetPrice(bar, C ); }
bo.AddCustomMetric("Close", xClose, DecPlaces = 2 );
} bo.PostProcess();
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CustomBacktest_Industry_ActualPrice.afl
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