But that doesn't solve the non-trading (holi)days during the work- week which differ per market, nor does it facilitate MENA-region markets where they trade from Sunday to Thursday, etc.
I don't want to be a pain, it's just something I'm confronted with, and always need to 1) point out as one of the caveats in my BT- results, or 2) adjust in my AFL-code (by excluding those dates per market, which IS a pain). PS --- In [email protected], "Tomasz Janeczko" <[EMAIL PROTECTED]> wrote: > > How about using artificial ticker that just holds all Mon-Fri days? > > Best regards, > Tomasz Janeczko > amibroker.com > ----- Original Message ----- > From: "vlanschot" <[EMAIL PROTECTED]> > To: <[email protected]> > Sent: Wednesday, February 13, 2008 12:41 PM > Subject: [amibroker] Re: Backtesting and Custom Metrics: How to determine HHV at date of Buy? > > > > 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" <groups@> > > 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" <vlanschot@> > >> 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 > >> > > >> > > >> > > >> > > > > > > > > > > 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 > > > > > > >
