Forgot one variable declaration:
Stop = 0.0050; --- In [email protected], "ozzyapeman" <zoopf...@...> wrote: > > Mike, > > Thanks, as always, for your input. > > One of my dynamic variables is an array. And the other, the profit > target, is a scalar. > > I tried implementing your suggestions in my code, but am still having > some difficulty making it work. Below is a much simplified version of my > actual code, with the changes implemented. Hopefully you (or anyone) > might be able to spot my mistake. I'm sure it is something simple that I > am overlooking. > > You can ignore the ProfitStop var and ApplyStops functions. Those are > just there to make the backtest functional for now. > > The actual system is much more complex, but if I can get this simple one > working, I know I can get the bigger system working. > > For now, I want to 'append' the ProfitDump.txt file, so I can ensure > that it is dumping all the profit targets to file. Right now it's not > doing that - only dumping a single value, even though there are hundreds > of Buy/Sells in the backtest. > > Once I am sure the dump is working correctly, then I will change > 'append' to 'write' to just keep the latest profit target in the file, > for Sell/Cover extraction of the live trading version. > > Hopefully this code is not too difficult to follow: > > > > // ----------------------------------------------------------- // > // ADD THE CUSTOM COLUMN, "RANGE #" TO BACKTEST REPORT // > // ----------------------------------------------------------- // > > SetCustomBacktestProc( "" ); > > if ( Status( "action" ) == actionPortfolio ) > { > bo = GetBacktesterObject(); > > bo.Backtest( 1 ); > > for ( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade()) > { > trade.AddCustomMetric( "Range#", trade.Score ); > > } > > bo.ListTrades(); > } > > > // ----------------------------------------------------------- // > // BEGIN TRADING SYSTEM FORMULA // > // ----------------------------------------------------------- // > > TickSize = 0.0001; > > Buy = Sell = Short = Cover = > PositionScore = ProfitTargets = LastProfitTarget = 0; > > myMA1 = MA(O, 4); > > > // Set up Buying Ranges and Profit Targets > Range1 = O >= myMA1 + 0.0001 && O < myMA1 + 0.0002; > Profit1 = 5; > > Range2 = O >= myMA1 + 0.0002 && O < myMA1 + 0.0003; > Profit2 = 10; > > Range3 = O >= myMA1 + 0.0003 && O < myMA1 + 0.0004; > Profit3 = 15; > > Range4 = O >= myMA1 + 0.0004 && O < myMA1 + 0.0005; > Profit4 = 20; > > Range5 = O >= myMA1 + 0.0005 && O < myMA1 + 0.0006; > Profit5 = 25; > > Range6 = O >= myMA1 + 0.0006; > Profit6 = 30; > > > ProfitTarget = ProfitStop = Null; > > > // Enter a Long Position when a Range is True: > > for(i=1; i < 6 + 1; ++i) > { > > ProfitTarget = VarGet( "Profit" + i); > > TestLong = VarGet( "Range" + i ); > > Buy = Buy || TestLong; > > ProfitStop = IIf(TestLong , ProfitTarget * TickSize, ProfitStop); > > PositionScore = IIf( TestLong, i, PositionScore ); > > } > > LastProfitTarget = LastValue( ValueWhen( Buy, ProfitTarget ) ); > > > if ( LastProfitTarget > 0 ) > { > // Dump ProfitTargets to file. > fh = fopen( "F:\\ProfitDump.txt", "a" ); > > if ( fh ) > { > ProfitTargetStr = NumToStr( LastProfitTarget ); > fputs( ProfitTargetStr, fh ); > } > > fclose( fh ); > } > > > ApplyStop( stopTypeProfit, stopModePoint, ProfitStop, 1, 0, 0 ); > ApplyStop( stopTypeLoss, stopModePoint, Stop, 1, 0, 0 ); > > > > > > --- In [email protected], "Mike" sfclimbers@ wrote: > > > > > > Ozzy, > > > > I assume that yoru dynamic variables are all arrays. > > > > I assume that you are re-running this every bar. > > > > I also assume that you can check for an existing buy in your exit > logic > > rather than depending on the presence or absence of a value in this > file > > (probably a good idea since you don't want to blindly sell without > > verifying that you *actually* have a position, regardless of what the > > file on disk says!). > > > > Given the above, you can just leave a running value in the file of the > > last target, regardless of when the last buy was, and regardless as to > > whether or not the position has already been closed. > > > > That being the case, try the following and see if it does the job. > > > > Mike > > > > Buy = Targets = 0; > > > > for ( i = 1; i <= 500; ++i ) > > { > > TestCondition = VarGet( "Condition" + i ); > > Target = VarGet( "Profit" + i ); > > > > Buy |= ( TestCondition > 0 ); > > Targets += IIF( TestCondition, Target, 0 ); > > } > > > > LastTarget = LastValue( ValueWhen( Buy, Targets ) ); > > > > if ( LastTarget > 0 ) > > { > > // Dump the profit target of the most recent buy. > > fh = fopen( "F:\\ProfitDump.txt", "w" ); > > > > if ( fh ) > > { > > TargetStr = NumToStr( LastTarget ); > > fputs( TargetStr, fh ); > > } > > > > fclose( fh ); > > } > > > > --- In [email protected], "ozzyapeman" zoopfree@ wrote: > > > > > > Hello, hoping someone may be able to help out with this. I have a > > > trading system that cycles through a number of unique conditions, to > > > look for a Buy. Each condition also has a specific associated profit > > > target. I am trying to dump the true profit target to an external > > file, > > > any time there is a Buy. Right now I am using LastValue( ) to do > that, > > > and maybe that is where the problem lies - because it does not work. > > The > > > file is always empty. > > > > > > Below is a much simplified version. The part in red is where the > > problem > > > is. Right now I am using this in backtesting. And save for the Fput > > > subroutine, the system otherwise works fine. But in order to convert > > > this to a live auto trading system, I need to be able to isolate and > > > dump the correct Profit Target to file, so that I can pull it during > > the > > > subsequent exit subroutines. > > > > > > Any input much appreciated: > > > > > > // Enter a Long Position if any one of 500 Conditions are true. > > > // Conditions are generated from another algorithm. Only one > Condition > > > can > > > // be true on any bar. Each Condition has an associated Profit > Target. > > > > > > // Whenever we enter a Position, dump the ProfitTarget to file. > > > > > > > > > for(i=1; i < 500 + 1; ++i) > > > { > > > > > > TestCondition = VarGet( "Condition" + i ); > > > Profit = VarGet( "Profit" + i ); > > > > > > Buy = Buy || TestCondition; > > > > > > ProfitTarget = IIf(TestCondition , Profit, ProfitTarget); > > > > > > // if we bought, dump the profit target that we used, to file: > > > > > > if(LastValue(Buy) > 0) > > > { > > > ProfitNum = LastValue(ProfitTarget); > > > > > > ProfitStr = NumToStr(ProfitNum); > > > > > > fh = fopen( "F:\\ProfitDump.txt", "w"); > > > > > > if( fh ) > > > { > > > fputs( ProfitStr, fh ); > > > } > > > fclose( fh ); > > > } > > > } > > > > > >
