Hi Shane, FYI I've left a feedback "Suggestion" here:
http://www.amibroker.com/feedback/view_bug.php?bug_id=231 Cheers --- In [email protected], "michael_shane_baker" <[EMAIL PROTECTED]> wrote: > > From Reefcap > > Getting there but still some minor problems. Try this version... > > > code: > -------------------------------------------------------------------- - > ----------- > > SetCustomBacktestProc("");if(Status("action") == actionPortfolio){ > bo = GetBacktesterObject(); bo.Backtest(); //NB:backtest > automatically assigns FIR==[i]=0 and LIR==[i]=barcount-1 SumProfits > [0] = bo.InitialEquity; dt = DateTime(); //for BIR the equity > is non-zero; more is better for(i=1; i<BarCount; i++) { // search > through closed trade list; get the profit when bar==exitdate > SumProfits[i] = SumProfits[i-1]; for(trade = bo.GetFirstTrade(); > trade; trade = bo.GetNextTrade()) { ExitDate = > trade.ExitDateTime; if(ExitDate==dt[i]) { SumProfits[i] = > SumProfits[i] + trade.GetProfit(); } } //search through open > trades list; get the profit when i==lastbar (close out open trades) > if(i==BarCount-1) { for(trade = bo.getFirstOpenPos(); trade; > trade = bo.getNextOpenPos()) { SumProfits[i] = SumProfits[i] + > trade.GetProfit(); } } } //clear composite before each test, > put in group 253, enable atc in custom portfolio backtest > AddToComposite(SumProfits,"~ClosedEquity","O", > atcFlagEnableInPortfolio|atcFlagEnableInBacktest| atcFlagEnableInExplo > re|atcFlagDefaults); AddToComposite > (SumProfits,"~ClosedEquity","C", > atcFlagEnableInPortfolio|atcFlagEnableInBacktest| atcFlagEnableInExplo > re|atcFlagDefaults);} //-end > actionportfolio///////////////////////////////////////////////////// / > /// your trading system here fast = Optimize("fast", 12, 5, 20, 1 ); > slow = Optimize("slow", 26, 10, 25, 1 ); Buy=Cross(MACD > (fast,slow),Signal(fast,slow)); Sell=Cross(Signal(fast,slow),MACD > (fast,slow)); BuyPrice=Open;SellPrice=Open;PositionSize=-10; > > -------------------------------------------------------------------- - > ----------- > > There are unhandled errors and access violations when you first > generate the composite, it doesn't display data for any symbol. > > If you then go to AA settings - portfolio, a popup informs you that > there isn't a custom backtester formula. > > Click OK and see that the custom bactester box is checked. Uncheck > the box. Re-run the backtest and > things are OK or will be the run after that. I'm not sure if a > composite existing over the same test period allows the code to > function properly. If this is the case then there is more for TJ or > us to do. > > As a tool it is OK ie. it does the job so you can verify that > positionsize is correct. > > -------------------- > Cheers, Shutty. > > > > > > > --- In [email protected], "Glenn" <glennokb@> wrote: > > > > Shane, > > > > Might be better to post the code here as you need to register to > view > > ReefCap. > > > > Cheers > > > > --- In [email protected], "michael_shane_baker" <plusnq@> > > wrote: > > > > > > Hi Tomasz, > > > > > > My understanding is that Ami calculates its position sizing from > > open > > > equity. Recently on Reefcap.com > > > > > > http://lightning.he.net/cgi-bin/suid/~reefcap/ultimatebb.cgi? > > > ubb=get_topic;f=49;t=000139;p=3#000034 > > > > > > some code was posted to allow the user to plot the closed equity > > curve > > > as well as the open equity curve. Would it be possible to plot > all > > > three equity curve types, open, closed and total reduced equity > > > (closed trades plus open trades at stop) and then allow the user > to > > > reference the appropriate curve value for their position sizing > eg > > 1% > > > of open, closed or total reduced equity curve value for > > > fixedfractional position sizing). > > > > > > Cheers and thanks > > > > > > Shane > > > > > > ------------------------ Yahoo! Groups Sponsor --------------------~--> Check out the new improvements in Yahoo! Groups email. http://us.click.yahoo.com/6pRQfA/fOaOAA/yQLSAA/GHeqlB/TM --------------------------------------------------------------------~-> 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: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
