Thanks Tomasz! That finally works! This copy-paste artist is happy. ;-)
--- In [email protected], "Tomasz Janeczko" <gro...@...> wrote: > > All wrong. Wrong loop ending condition, using trade (closed trade list) > instead of signal list. > Correct code is below. > Again: if you don't know what you are coding it is STRONGLY encouraged to use > COMMISSION table instead. Just set custom commission table to implement > slippage. > It is way easier and more straightforward than any other method. I > completelly don't understand > the insistency of copy-paste artists on making it hard way while way easier > method (no coding at all) is available. > > > Slippage = 0.0002; > > if ( Status( "action" ) == actionPortfolio ) > { > bo = GetBacktesterObject(); > > bo.PreProcess(); // Initialize backtester > > for ( bar = 0; bar < BarCount; bar++ ) > { > for( sig = bo.GetFirstSignal( bar ); sig; sig = bo.GetNextSignal( bar ) > ) > { > sig.Price = sig.Price + IIf( sig.IsEntry(), Slippage, -Slippage ); > } > > bo.ProcessTradeSignals( bar ); > } > > bo.PostProcess(); // Finalize backtester > } > > > Best regards, > Tomasz Janeczko > amibroker.com > ----- Original Message ----- > From: ozzyapeman > To: [email protected] > Sent: Thursday, March 19, 2009 4:54 AM > Subject: [amibroker] Re: Simple slippage implemented in CBT generates COM > error > > > Graham, thanks for that example. > > I modified the example to try to solve my slippage problem. From every way > I look at it, I now appear to have all the correct controls. Yet it still has > no effect! Note that I can't use GetPrice on Closed trades, according to the > reference guide. > > I really hate looking like a coding klutz, but do you, or anyone see what I > am still doing wrong?! > > > if ( Status( "action" ) == actionPortfolio ) > { > bo = GetBacktesterObject(); > > bo.PreProcess(); // Initialize backtester > > for ( bar = 0; bar < BarCount-1; bar++ ) > { > bo.ProcessTradeSignals( bar ); > > for ( Trade = bo.GetFirstTrade(); Trade; Trade = bo.GetNextTrade() > ) > { > if ( NOT Trade.IsOpen() ) > { > if ( Trade.IsLong() ) // Exit Long > { > ExitTrue = Trade.ExitPrice - Slippage; > Trade.ExitPrice = ExitTrue; > } > > else // Exit Short > { > ExitTrue = Trade.ExitPrice + Slippage; > Trade.ExitPrice = ExitTrue; > > } > } > } > } > > bo.PostProcess(); // Finalize backtester > } > > > > > > --- In [email protected], Graham <kavemanperth@> wrote: > > > > You have not included all the required control functions and method > > for getting the signals, here is example from knowledge base, you can > > see what is missing. This example does a different actual change to > > the trades, but the whole process is the same. > > > > if( Status("action") == actionPortfolio ) > > { > > bo = GetBacktesterObject(); > > > > bo.PreProcess(); // Initialize backtester > > <<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<< > > > > for(bar=0; bar < BarCount; bar++) > > //<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<< > > { > //<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<< > > bo.ProcessTradeSignals( bar ); > > //<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<< > > > > CurEquity = bo.Equity; > > > > for( pos = bo.GetFirstOpenPos(); pos; pos = bo.GetNextOpenPos() ) > > { > > posval = pos.GetPositionValue(); > > > > diff = posval - 0.01 * EachPosPercent * CurEquity; > > price = pos.GetPrice( bar, "O" ); > > > > // rebalance only if difference between desired and > > // current position value is greater than 0.5% of equity > > // and greater than price of single share > > if( diff != 0 AND > > abs( diff ) > 0.005 * CurEquity AND > > abs( diff ) > price ) > > { > > bo.ScaleTrade( bar, pos.Symbol, diff < 0, price, abs( diff ) ); > > } > > } > > } //<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<< > > bo.PostProcess(); // Finalize backtester > > //<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<< > > } > > > > 2009/3/19 ozzyapeman zoopfree@: > > > 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" groups@ 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; > > >> > } > > >> > > > >> > } > > >> > } > > >> > } > > >> > > > >> > > > > > > > > > > > > > > > > > -- > > Cheers > > Graham Kav > > AFL Writing Service > > http://www.aflwriting.com > > >
