Thanks Tomasz. That's helpful. I had forgotten that we can use one of
the setoptions to store and recall data.
One last key question (for anyone). And I feel like a klutz asking
something so simple, given that I've been doing AFL now for six months.
But sometimes these simple things can be elusive.
How do I flag each "a" value every time there is a Buy, without going
into a Barcount loop? I find that Barcount loops always slow down my
AFLs.
I can't just do:
if(Buy) {then do something}
since if() does not work with arrays.
Is there any way around this, so that I can dynamically pass "a" values
into a setoption or static var? Or is this simply a case where a
Barcount loop *must* be used?
//----------------------------------------------------------------------\
--
// 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:
>
> You need to pass that in either
> a) series (set) of static variables
> or
> b) addtocomposite/foreign
> or
> c) files (fopen/fputs/fgets/fclose)
> or
> d) unused trade/position variable (can be for example margindeposit if
you don't use it).
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "ozzyapeman" zoopf...@...
> To: [email protected]
> Sent: Friday, December 26, 2008 5:50 PM
> Subject: [amibroker] Re: Adding a Custom Metric to Backtest Report
>
>
> > Thanks Mike. I eventually figured as much.
> >
> > Still trying to figure out a way to dynamically pass the correct "a"
> > value to the backtester.
> >
> > Any ideas on a general approach to this? I need to somehow collect
an
> > "a" value each time there is a Buy, and store those somewhere so
they
> > can be read back by the custom backtester code.
> >
> >
> > --- In [email protected], "Mike" sfclimbers@ wrote:
> >>
> >> Hi,
> >>
> >> Note that your loop will iterate until 'a' equals 5, at which point
> >> the looping will terminate. In your backtest code, you are
referring
> >> to the value of 'a' which we've just established will always be 5.
> >> The custom backtest code is run *after* the rest of the script code
> >> has been run for all symbols.
> >>
> >> Mike
> >>
> >> --- In [email protected], "ozzyapeman" <zoopfree@> wrote:
> >> >
> >> > 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" <groups@>
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
> >> > > }
> >> > >
> >> >
> >>
> >
> >
> >
> > ------------------------------------
> >
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> > This is *NOT* technical support channel.
> >
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