Sorry, don't get it, so mailed you privately. PS
--- In [email protected], "Tomasz Janeczko" <[EMAIL PROTECTED]> wrote: > > > 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. > > AB would NOT enter any trades on such days > (if only in the AA settings portfolio you uncheck > the "Disable trade size limit when volume is zero" box) > > If you still need to detect those days to handle them in your code > a simple check for ( Volume == 0 ) on an relevant market index should address that. > > Best regards, > Tomasz Janeczko > amibroker.com > ----- Original Message ----- > From: "vlanschot" <[EMAIL PROTECTED]> > To: <[email protected]> > Sent: Wednesday, February 13, 2008 1:47 PM > Subject: [amibroker] Re: Backtesting and Custom Metrics: How to determine HHV at date of Buy? > > > > 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" <groups@> > > wrote: > >> > >> How about using artificial ticker that just holds all Mon-Fri days? > >> > >> Best regards, > >> Tomasz Janeczko > >> amibroker.com > >> ----- Original Message ----- > >> From: "vlanschot" <vlanschot@> > >> 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 > >> > > >> > > >> > > >> > > > > > > > > > > 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 > > > > > > >
