Re: [amibroker] Losing Trades in Custom Backtester

Mon, 07 Aug 2006 23:57:13 -0700

hi,
 
would it be possible to get an additional example where:
 
1) entry signals (Buy / Short) are defined as usual (outside the custom backtest area)
2) exit signals (Sell / Cover) are defined inside the custom backtester
3) code can make use of redundant signals
4) redundant signals can be ranked
5) a backtest is possible on a portfolio level using a list of symbols 
 
this would allow one to do any backtest desired in my opinion. Or is Mark's suggestion the way to solve this?
 
thanks, Ed
 
 
 
 
----- Original Message -----
Sent: Monday, August 07, 2006 10:59 PM
Subject: Re: [amibroker] Losing Trades in Custom Backtester

Hello,
 
 

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: C Alvarez
Sent: Monday, August 07, 2006 10:04 PM
Subject: [amibroker] Losing Trades in Custom Backtester

I am using the Custom Backtester to iterate through the Signal list. Depending on some additional conditions that I only can know at this time, I might decide to skip a trade and set the PosSize = 0. This prevents the trade from happening, as I want.

The problem is that if I remove a trade from the Signal list and then the Buy array has a buy for the next day, it is not showing up the Signal list. And at this time I might want to take the trade. Any suggestions on how I can do this?

Here is the simplified code.

Thanks,
Cey


SetCustomBacktestProc("");

if( Status("action") == actionPortfolio )
{
        bo = GetBacktesterObject();
        bo.PreProcess(); // Initialize backtester

        for(bar=0; bar<BarCount; bar++)
        {

                for( sig = bo.GetFirstSignal(bar); sig; sig = bo.GetNextSignal(bar) )
                {
                        if( sig.IsEntry())
                        {
                                if (some_condition) // don't take trade
                                {
                                        sig.PosSize = 0;
                                }
                        }
                }

        bo.ProcessTradeSignals(bar); // Process current bar's signals

        }

        bo.PostProcess();
}

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