Thank you for pointing out that specific example. That helps me add the
column to the backtest report.
But I am still at a loss in feeding back the actual "Condition" value to
the custom metric. If I was building that custom metric from other
metrics already in the report, it would be easy (and I have done so in
the past).
But how do I pass back the value of an actual variable from my trading
AFL, each time a Buy is true?
This is what I now have, but the Condition column always shows "5" in
the backtest report :
//----------------------------------------------------------------------\
--
// SIMPLE TRADING SYSTEM BASED ON VARIOUS CONDITIONS
//----------------------------------------------------------------------\
--
FastMA = MA( C, 10 );
SlowMA = MA( C, 20 );
Condition1 = Cross(FastMA, SlowMA);
Condition2 = Cross(SlowMA, FastMA);
Condition3 = Cross(C, SlowMA);
Condition4 = Cross(SlowMA, C );
for(a = 1; a < 5; a++)
{
Condition = VarGet( "Condition" + NumToStr( a, 1.0, 0 ) );
Buy = Condition;
Sell = BarsSince(Buy) > 12;
}
//----------------------------------------------------------------------\
-----
// WANT TO ADD THE CUSTOM COLUMN, "CONDITION" TO BACKTEST REPORT
//----------------------------------------------------------------------\
-----
SetCustomBacktestProc("");
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest(1); // run default backtest procedure
// iterate through closed trades first
for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
{
trade.AddCustomMetric("Condition", a );
}
bo.ListTrades();
}
--- In [email protected], "Tomasz Janeczko" <gro...@...> wrote:
>
> Everything is explained with examples in the User's Guide
> http://www.amibroker.com/guide/a_custommetrics.html
>
> See example 3.
> ============
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: ozzyapeman
> To: [email protected]
> Sent: Friday, December 26, 2008 1:26 AM
> Subject: [amibroker] Adding a Custom Metric to Backtest Report
>
>
> I have been able to add custom metrics to the Optimization Reports,
but for some reason can't add a column to the Trade List Backtest
report. Hoping someone might be able to chime in here, as the custom
backtester confuses me.
>
> What I want to do is fairly simple. In my actual trading system, I
cycle through hundreds of possible conditions per bar. If any one
condition is true, then I Buy. I want to add a custom metric to the
backtest report that lists which condition generated the Buy signal.
>
> For the sake of debugging, below is a very simplified AFL (not my
actual system). I simply want to feedback the condition number into the
backtester. But it does not work. If I add an optimize statement at the
top, it will add the custom metric to the Optimization report. But even
then that column does not reflect correct values.
>
> So how do I add the column to the Backtest report? I would have
thought the below code would do the trick. And how do I feedback the
correct values? Perhaps I need to FPUT each condition, during the loop,
to an external file, then FGET the file for every trade in the
backtester? That might work, but feels inefficient:
>
>
>
//----------------------------------------------------------------------\
--
> // SIMPLE TRADING SYSTEM BASED ON VARIOUS CONDITIONS
>
//----------------------------------------------------------------------\
--
>
> FastMA = MA( C, 10 );
> SlowMA = MA( C, 20 );
>
> Condition1 = Cross(FastMA, SlowMA);
> Condition2 = Cross(SlowMA, FastMA);
> Condition3 = Cross(C, SlowMA);
> Condition4 = Cross(SlowMA, C );
>
> for(a = 1; a < 5; a++)
> {
> Condition = VarGet( "Condition" + NumToStr( a, 1.0, 0 ) );
> Buy = Condition;
> Sell = BarsSince(Buy) > 12;
> }
>
>
>
//----------------------------------------------------------------------\
-----
> // WANT TO ADD THE CUSTOM COLUMN, "CONDITION" TO BACKTEST REPORT
>
//----------------------------------------------------------------------\
-----
>
> SetCustomBacktestProc( "" );
>
> if ( Status( "action" ) == actionPortfolio )
> {
> bo = GetBacktesterObject();
> bo.Backtest( 1 ); // Call
Backtest but set NoTradeLists to true
> bo.AddCustomMetric( "Condition", a, 0,0,0 ); // Add the
custom metric
> bo.ListTrades(); // Now generate
the backtest report with custom metric
> }
>
