Thanks Tomasz, There remains one problem with this, at least as far as I'm aware and as far as it concerns my situation: I look at multiple international markets with different trading dates (i.e. holidays). I therefore need to "pad&align" to various "benchmarks" at the same time, depending on what market the particular symbol trades. Therefore my obvious request: can this be expanded?
Thx, PS --- In [email protected], "Tomasz Janeczko" <[EMAIL PROTECTED]> wrote: > > For what is worth: it is best to use Pad and align option in the AA Settings > whenever you use portfolio backtest. Then you get consistent results all the time > regardless of data holes and you don't need to do any ATC. > > Best regards, > Tomasz Janeczko > amibroker.com > ----- Original Message ----- > From: "vlanschot" <[EMAIL PROTECTED]> > To: <[email protected]> > Sent: Wednesday, February 13, 2008 12:30 PM > Subject: [amibroker] Re: Backtesting and Custom Metrics: How to determine HHV at date of Buy? > > > > Sorry to jump in here, GP, but instead of ATC, can I not get to the > > HHV via: > > > > for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade () ) > > { > > TradeName=trade.symbol; > > > > HiHiV20 = HHV(Foreign(TradeName,"C"),20); > > > > . . . . > > } > > > > I've always done it like this, but wonder whether this alignment is > > an issue then ??? > > > > PS > > > > --- In [email protected], "gp_sydney" <gp.investment@> > > wrote: > >> > >> One issue you have is that by calculating the HHV in the custom > >> backtest procedure, the results may not be the same as if it were > >> calculated in the main AFL code. That's because the Foreign function > >> aligns the stock to the bar dates of the backtester, and 20 custom > >> backtest bars may not be the same as 20 bars of the original stock > >> chart. To get around that, you need to calculate HHV in the main AFL > >> and then pass it to the backtester using AddToComposite. > >> > >> To then get the values you want on the entry dates, you could just > >> note the value on each entry date as the entries are processed, > >> storing them in dynamic variables or possibly in a writeable unused > >> field of the Trade object. Otherwise, as you run through the closed > >> trades, you could get the entry date/time and search for that > >> date/time in the relevant HHV array (using Foreign again to get the > >> HHV array). > >> > >> For the price a certain number of bars from the entry date, you have > >> the same problem of bar realignment in the custom backtester. If > >> you've removed redundant buy signals in the main AFL code, you could > >> perhaps create a BarsSince(Buy) array, pass that to the custom > >> backtester as an ATC, and use that to find which bar in the custom > >> bactester is the correct number of bars from the buy (assuming it's > >> after the buy date and not before). > >> > >> Regards, > >> GP > >> > >> > >> --- In [email protected], "justjuice200" <justjuice200@> > > wrote: > >> > > >> > I know this should be simple, but can't figure out how to code it > > in > >> > AFL. Many thanks in advance. > >> > > >> > I want to add some custom metrics to the backtest report. For > > each > >> > trade, I want to show two things: > >> > 1) a 20-bar HHV at the date of the buy > >> > 2) a price at a certain number of bars away from the date of the > > buy. > >> > > >> > So far what I have is the following (and not sure I'm on the right > >> > track either): > >> > > >> > if (Status("action") == actionPortfolio){ > >> > bo=GetBacktesterObject(); > >> > bo.Backtest(1); > >> > > >> > for (trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade ()) > > { > >> > ticker=trade.Symbol(); > >> > symbolPriceArray=Foreign(ticker, "C", 1); > >> > Dateoftrade=trade.EntryDateTime(); > >> > BarNumOfTrade=....some Code Here... > >> > myHigh=HHV(symbolPriceArray,20)/*Also need some way > > to > >> > define the > >> > HHV with reference to the date of the buy*/ > >> > > >> > CloseTenDaysAgo=symbolPriceArray[BarNumOfTrade- 10]; > >> > > >> > } > >> > > >> > 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > > http://www.amibroker.com/devlog/ > > > > For other support material please check also: > > http://www.amibroker.com/support.html > > > > Yahoo! Groups Links > > > > > > >
