// =====
Hi GP,
Thanks for your time & interest.
I managed to sort out the date problem, but as the trace results show
, for some reason, I can't pick up the composite risk value even
though data is definitely there.
Even if i just loop through without the date matching selection, no
data shows in the trace.
Any ideas?
Regards
justinwonono
=======
....
AddToComposite(TradeRisk, "~trisk" + Name(),"C",atcFlagDefaults |
atcFlagEnableInBacktest );
.....
SetCustomBacktestProc("");
if( Status("action") == actionPortfolio )
{
_TRACE("Custom BT Start");
bo = GetBacktesterObject();
bo.Backtest(1); // run default backtest procedure
SumProfitPerRisk = 0;
NumTrades = 0;
// iterate through closed trades
for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
{
// risk is calculated as the maximum value we can loose per trade
dt = DateTime();
TradeRisk = 0;
TradeDate = DateTime();
Risk = 0;
TRisk = Foreign("~trisk_" + trade.Symbol,"C");
for( i = 1; i < BarCount; i++ )
{
if ( Trade.EntryDateTime == dt[i] )
{
// if (TRisk[i] > 0)
// {
TradeDate = dt[i];
Risk = TRisk[i];
_TRACE( "Symbol = " + trade.Symbol + " : dt[" + i + "] = " + NumToStr(
TradeDate , formatDateTime ) + " : TRisk[" + i + "] = " + TRisk[i]);
// break;
// }
}
}
_TRACE(" Trade.EntryDateTime = " + NumToStr( Trade.EntryDateTime,
formatDateTime ) + " Risk = " + Risk );
RMultiple = trade.GetProfit()/Risk ;
trade.AddCustomMetric("Initial risk $", Risk );
trade.AddCustomMetric("R-Multiple", RMultiple );
SumProfitPerRisk = SumProfitPerRisk + RMultiple;
NumTrades++;
}
expectancy3 = SumProfitPerRisk / NumTrades;
bo.AddCustomMetric( "Expectancy (per risk)", expectancy3 );
bo.ListTrades();
_TRACE("Custom BT End");
}
=======
[3536] Custom BT Start
[3536] Symbol = BHP : dt[1] = 13/02/2004 : TRisk[1] = {EMPTY}
[3536] Trade.EntryDateTime = 13/02/2004 Risk = {EMPTY}
[3536] Symbol = SGB : dt[3] = 17/02/2004 : TRisk[3] = {EMPTY}
[3536] Trade.EntryDateTime = 17/02/2004 Risk = {EMPTY}
=======
-- In [email protected], "gp_sydney" <[EMAIL PROTECTED]> wrote:
>
> > Risk = ValueWhen((Foreign("~trisk_" + trade.Symbol, dt )==
> > Trade.EntryDateTime), Foreign("~trisk_" + trade.Symbol,"C")) ;
>
> In this statement, the:
>
> Foreign("~trisk_" + trade.Symbol, dt)
>
> part is incorrect. The second parameter to Foreign is supposed to be
> the array type ("C", "O", etc) but you have the DateTime array.
>
> Regards,
> GP
>
>
