Hello, You need to first understand that backtesting is two-pass process and custom backtesting does NOT operate on symbol, but on the ~~~Equity ticker.
This is something you need to check first: http://www.amibroker.com/devlog/2006/03/07/houston-presentations/ http://www.amibroker.com/docs/Houston2.pdf A "buy" array in 2nd phase does NOT represent the buy array in the system code (1st phase). This is because AB is PORTFOLIO backtester, not single-security backtester and first it needs to collect signals from MANY symbols (1st phase) and then process then in the 2nd phase. For this reason 2nd phase operates on portfolio equity and NOT on individual symbols and your HHV( C, 20 ) that you put inside custom backtester operates on EQUITY, not on the symbols under test. The code is obviously wrong and needs to be rewritten as follows: /*Custom Backtesting*/ SetCustomBacktestProc(""); if (Status("action") == actionPortfolio){ bo=GetBacktesterObject(); bo.Backtest(1); dt = DateTime(); bi = BarIndex(); for (trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade()) { SetForeign( trade.Symbol ); // need to switch the symbol entrybar = LastValue( ValueWhen( dt == trade.EntryDateTime, bi ) ); test= C[ enrybar ]; // we need scalar value test1= HHV(C,20) ; test1 = test1[ entrybar ]; // we need scalar value trade.AddCustomMetric("test",test); trade.AddCustomMetric("test1",test1); } bo.AddCustomMetric("Marker","Marker"); bo.ListTrades(); } Best regards, Tomasz Janeczko amibroker.com ----- Original Message ----- From: justjuice200 To: [email protected] Sent: Thursday, February 14, 2008 12:34 AM Subject: [amibroker] Re: Backtesting and Custom Metrics: How to determine HHV at date of Buy? The ValueWhen function sounded really promising. But it didn't work. I couldn't even get the ValueWhen(Buy,C) to work. My code is below: _SECTION_BEGIN("Testing1"); /* The buy/sell system*/ Buy=Cross(MACD(),Signal()); Sell=Cross(Signal(), MACD()); /*Custom Backtesting*/ SetCustomBacktestProc(""); if (Status("action") == actionPortfolio){ bo=GetBacktesterObject(); bo.Backtest(1); for (trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade()){ test=ValueWhen(Buy,C); test1=ValueWhen(Buy,HHV(C,20)); trade.AddCustomMetric("test",test); trade.AddCustomMetric("test1",test1); } bo.AddCustomMetric("Marker","Marker"); bo.ListTrades(); } _SECTION_END(); So, in the output, the custom metrics test and test1 (the last two columns) are both blank. I have posted the exported results below. Note that when I click the Report the "Marker" custom metric is being displayed, and responds to changes in the code, so I know I'm working on the right file. The other problem is that, even if this works, it looks like I need to have the custom backtesting code within the same formula file as the buy/sell system, rather than having it in a different file and referencing it from the buy/sell formula (because "Buy" is not initialised in the backtesting code file). Ticker,Trade,Date,Price,Ex. date,Ex. Price,% chg,Profit,% Profit,Shares,Position value,Cum. Profit,# bars,Profit/bar,MAE,MFE,Scale In/Out,test,test1, WPL,Long,31/05/1999,8.97249,30/04/2001,12.2762,36.82%,7314.07,36.62%,2226,19972.75,7314.07,24,304.75,-4.92%,58.92%,0/0,, WPL,Long,31/05/2001,13.5646,31/08/2001,12.6443,-6.78%,-1891.56,-6.93%,2012,27291.89,5422.50,4,-472.89,-9.77%,11.60%,0/0,, WPL,Long,29/08/2003,12.2854,29/09/2006,38.011,209.40%,53134.92,209.24%,2067,25393.93,58557.42,38,1398.29,-3.75%,288.01%,0/0,, WPL,Open Long,28/09/2007,50.2,31/01/2008,46.35,-7.67%,-6061.40,-7.72%,1564,78512.80,52496.02,6,-1010.23,-18.92%,12.87%,0/0,, I may yet have to use some of the more complicated suggestions made in the replies, but I'm perplexed as to why this ValueWhen doesn't work. Anyone have any ideas? Many thanks. --- In [email protected], "Tomasz Janeczko" <[EMAIL PROTECTED]> wrote: > > Hello, > > It can be as simple as: > > ValueWhen( Buy, HHV( C, 20 ) ); > > but you need to describe FINAL goal that you are after, so actually best solution > can be offered > > Best regards, > Tomasz Janeczko > amibroker.com > ----- Original Message ----- > From: justjuice200 > To: [email protected] > Sent: Wednesday, February 13, 2008 2:39 AM > Subject: [amibroker] Backtesting and Custom Metrics: How to determine HHV at date of Buy? > > > 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(); > > } >
