The custom commission table unfortunately doesn't allow me to do what I
want, which is to slip exits by an amount that varies according to
market time. The example I am pasting here is simplified. I'm trying to
model based on what I am seeing in live trades.
Thanks on ProcessTradeSignals. But I still must be doing something
wrong, because no effect:
if ( Status( "action" ) == actionPortfolio )
{
bo = GetBacktesterObject();
for( sig = bo.GetFirstSignal(); sig; sig = bo.GetNextSignal() )
{
sig.ProcessTradeSignals();
if( sig.IsExit() )
{
if ( sig.IsLong() ) // Exit Long
{
ExitTrue = sig.Price - Slippage;
sig.Price = ExitTrue;
}
else // Exit Short
{
ExitTrue = sig.Price + Slippage;
sig.Price = ExitTrue;
}
}
}
}
--- In [email protected], "Tomasz Janeczko" <gro...@...> wrote:
>
> Hello,
>
> You need to call ProcessTradeSignals.
>
> BTW: it is easier to just define custom commission table (AA->Settings
"Commission table: Define...")
> that includes slippage than wresting with code.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: ozzyapeman
> To: [email protected]
> Sent: Thursday, March 19, 2009 2:31 AM
> Subject: [amibroker] Re: Simple slippage implemented in CBT
generates COM error
>
>
> Okay on #1, I realize that the COM error was due to the bit of
legacy code: SetCustomBacktestProc( "" );
>
> However, the slippage code seems to have no effect whatsoever on the
backtest trade report.
>
> What might I be doing wrong?
>
>
>
> --- In [email protected], "ozzyapeman" zoopfree@ wrote:
> >
> > Hello, hoping someone can help on this. I am using ApplyStop,
which does
> > not have a slippage factor. I'm trying to avoid using a BarCount
loop to
> > implement slippage on exits and instead am trying to modify the
signal
> > list of the CBT to implement slippage, before the backtester
engine
> > processes the trades.
> >
> > But I am running into two problems, namely:
> >
> >
> > 1. Get error COM method/function 'GetFirstSignal' call failed, on
the
> > for loop line, even though that line and prior ones were copied
and
> > pasted direct from the reference guide.
> >
> >
> > 2. More of a question at this point: What if my calculation of
ExitTrue
> > price is below the Low, or above the High of the bar? Will the
> > backtester engine simply ignore that signal? Or is there some way
I can
> > filter out that possibility directly in the code below?
> >
> >
> >
> > In this example, Slippage = 0.0002 elsewhere in my code,
backtesting on
> > Forex:
> >
> >
> > SetCustomBacktestProc( "" );
> >
> > if ( Status( "action" ) == actionPortfolio )
> > {
> > bo = GetBacktesterObject();
> >
> > for( sig = bo.GetFirstSignal(); sig; sig = bo.GetNextSignal() )
> > {
> > if( sig.IsExit() )
> > {
> > if ( sig.IsLong() ) // Exit Long
> > {
> > ExitTrue = sig.Price - Slippage;
> > sig.Price = ExitTrue;
> > }
> >
> > else // Exit Short
> > {
> > ExitTrue = sig.Price + Slippage;
> > sig.Price = ExitTrue;
> > }
> >
> > }
> > }
> > }
> >
>
