put a http://www.amibroker.com/guide/afl/afl_view.php?id=219 #pragma nocache at the top of your code and try that.
d On Sun, Dec 28, 2008 at 4:49 PM, ozzyapeman <[email protected]> wrote: > Correction to this section (Buy and Sell should be outside the loop) but > does not make a material difference: > > > //-------------------------------------------------------- > // BACKTEST SOME CONDITIONS: > // > // Want to backtest a group of 9 Conditions > // > // So we dump to an Include file and cycle through > // the conditions against historical data > //-------------------------------------------------------- > > *#include* "c:\\ConditionsFile.afl"; > > *Buy* = *Sell* = *Short* = *Cover* = *PositionScore* = 0; > > *for* ( a = 1; a < 10; a++ ) > { > fh = fopen( "c:\\ConditionsFile.afl", "w"); > fputs(ConditionGenerator(a), fh); > fclose( fh ); > > Condition = VarGet( "Condition" + NumToStr( a, 1.0, 0 ) ); > > *Buy* = *Buy* *OR* Condition; > > *PositionScore* = IIf( Condition *AND* *NOT* *PositionScore*, a, * > PositionScore* ); > } > //-------------------------------------------------------- > > *Buy* = ExRemSpan(*Buy*, 12); > *Sell* = Ref(*Buy*, -12); > > > > --- In [email protected], "ozzyapeman" <zoopf...@...> wrote: > > > > Hello, I got some great help from Mike (sfclimbers) in solving the first > > half of this problem, of cycling through a group of Buy conditions, > > adding a custom metric, and identifying conditions per trade . Thought > > all my issues were completely solved, but ran into an unexpected > > stumbling block when I tried to apply it to my actual trading system, > > which makes extensive use of Include files, and string generating > > algorithms. Hoping someone can help in pointing out my error (maybe even > > Mike if he ain't tired of me yet ;-) First, here is a block of code that > > *does* work, and gives the simple essence of what I want to achieve. > > This system outlines 9 different conditions, cycles through all in a > > backtest, and adds a column to the backtester to indicate which > > Condition was used for which trade: > > > > > > //-------------------------------------------------------- > > // SIMPLE TRADING SYSTEM BASED ON VARIOUS CONDITIONS > > //-------------------------------------------------------- > > > > > > Condition1 = C > Ref(C, -1) AND Cross(C, MA(C,2) ); > > Condition2 = C > Ref(C, -2) AND Cross(C, MA(C,4) ); > > Condition3 = C > Ref(C, -3) AND Cross(C, MA(C,6) ); > > Condition4 = C > Ref(C, -4) AND Cross(C, MA(C,8) ); > > Condition5 = C > Ref(C, -5) AND Cross(C, MA(C,10) ); > > Condition6 = C > Ref(C, -6) AND Cross(C, MA(C,12) ); > > Condition7 = C > Ref(C, -7) AND Cross(C, MA(C,14) ); > > Condition8 = C > Ref(C, -8) AND Cross(C, MA(C,16) ); > > Condition9 = C > Ref(C, -9) AND Cross(C, MA(C,18) ); > > > > > > > > //-------------------------------------------------------- > > // BACKTEST THE ABOVE GROUP OF CONDITIONS: > > //-------------------------------------------------------- > > > > Buy = Sell = Short = Cover = PositionScore = 0; > > > > for ( a = 1; a < 10; a++ ) > > { > > Condition = VarGet( "Condition" + NumToStr( a, 1.0, 0 ) ); > > > > Buy = Buy OR Condition; > > > > // Reserved variable "PositionScore" is used to store the > > // Condition numbers whenever a Condition is True: > > > > PositionScore = IIf( Condition AND NOT PositionScore, a, PositionScore > > ); > > } > > > > Buy = ExRemSpan(Buy, 12); > > Sell = Ref(Buy, -12); > > > > > > > > //-------------------------------------------------------- > > // 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", trade.Score ); > > } > > bo.ListTrades(); > > } > > > > Now in my actual trading system, I rely on a rather complex algorithm, > > to generate "Conditions" on the fly. Each such variable assignment is > > generated as a block of code, a few lines long, in string format. If I > > wanted to test out a handful of such conditions, it's no problem to > > simply paste the variable assignments directly into the AFL. However, > > when I want to cycle through thousands of such conditions, pasting does > > not work. Amibroker understandbly crashes. So the solution is to > > generate each variable assignment, one at a time, and dump to an > > external file which is #Included into the main AFL. At any one time, the > > external file only contains a single variable assignment. The problem > > arises when I loop through the external file. Only the last Condition is > > ever recognized as a Buy. I've tried using interim static variables, and > > AddToComposite to store true/false data for each condition, and test > > against that. But nothing seems to work. Below is the basic code. Note > > that the function ConditionGenerator() is not the one in my actual > > trading system, but a much more simplified version for debug purposes. > > > > As mentioned, only Condition9 ever gets set as a Buy in the backtest > > report. How do I get *all* conditions to be properly tested for > > potential Buys, so that this block of code essentially mimics the above > > block? (note you may first have to create a blank file on your drive, > > "c:\\ConditionsFile.afl" before running the code). > > > > > > //--------------------------------------------------------- > > // FUNCTION: ConditionGenerator() > > // > > // When called, this function generators buying > > // conditions, as a string, based on a simple algorithm. > > // > > // For e.g. ConditionGenerator(2) results in: > > // > > // " Condition2 = C > Ref(C, -2) AND Cross(C, MA(C,4) ); " > > //--------------------------------------------------------- > > > > function ConditionGenerator(X) > > { > > Y = X * 2; > > > > string = "Condition"+ NumToStr(X, 1.0,0) +" = C > Ref(C, -" > > + NumToStr(X, 1.0,0)+ ") AND " > > + "Cross(C, MA(C,"+NumToStr(Y, 1.0,0) + ") );" ; > > > > return string; > > } > > //-------------------------------------------------------- > > > > > > > > > > //-------------------------------------------------------- > > // BACKTEST SOME CONDITIONS: > > // > > // Want to backtest a group of 9 Conditions > > // > > // So we dump to an Include file and cycle through > > // the conditions against historical data > > //-------------------------------------------------------- > > > > #include "c:\\ConditionsFile.afl"; > > > > Buy = Sell = Short = Cover = PositionScore = 0; > > > > for ( a = 1; a < 10; a++ ) > > { > > fh = fopen( "c:\\ConditionsFile.afl", "w"); > > fputs(ConditionGenerator(a), fh); > > fclose( fh ); > > > > Condition = VarGet( "Condition" + NumToStr( a, 1.0, 0 ) ); > > > > Buy = Buy OR Condition; > > > > PositionScore = IIf( Condition AND NOT PositionScore, a, PositionScore > > ); > > > > Buy = ExRemSpan(Buy, 12); > > Sell = Ref(Buy, -12); > > } > > //-------------------------------------------------------- > > > > > > > > > > //-------------------------------------------------------- > > // 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", trade.Score); > > } > > bo.ListTrades(); > > } > > > >
