I just posted a message, and then I noticed this thread. I have the
same problem that I'm trying to solve, trying to reference i.e. ATR(5)
from the backtester...
On Apr 11, 2009, at 6:15 PM, Radek Simcik wrote:
Hi Mike or anybody else,
I know how to add custom metric. I added postionscore and some other
column that I calculate by myself. These values are different per
ticker I want to add other column but I need to use C, MA(C,5) etc
My question is how I can add metric like
trade.AddCustomMetric("MA", MA(C,5)); or
trade.AddCustomMetric("my own formula", MA(ref(C,-3),5));
I backtest against portfolio.
I have workaround for that. To see the values I want to see from
exploration but it is not good at all.
I hope it is more clear now.
Thank you again.
Radek
On Sun, Apr 12, 2009 at 8:09 AM, Mike <[email protected]> wrote:
Radek,
Adding a column to the backtest report is described in the user guide:
http://www.amibroker.com/guide/a_custommetrics.html
However, it is not clear what you want the value to be. Your
calculation applies to a single symbol. What do you want to display
when you are backtesting a portfolio of multiple symbols?
If you only plan to backtest against a single symbol at a time, then
you have 2 choices:
1. Use AddToComposite in your system.afl to save your calculation to
an artificial symbol, then use Foreign from your
custom_backtesting.afl to read the values from that artificial symbol.
http://www.amibroker.com/guide/afl/afl_view.php?name=addtocomposite
http://www.amibroker.com/guide/afl/afl_view.php?id=54
2. Use SetForeign/RestorePriceArrays in your custom_backtesting.afl
to perform the calculation on the actual symbol.
http://www.amibroker.com/guide/afl/afl_view.php?id=247
http://www.amibroker.com/guide/afl/afl_view.php?id=248
I believe that you can only control the column order of custom
metrics relative to each other. All custom columns still must come
after the default columns. I haven't played with that yet, but
Tomasz mentioned it in a post on this forum a little while ago.
Mike
--- In [email protected], Radek Simcik <radek.sim...@...>
wrote:
>
> Hi Mike,
>
> below is what I wanted to do. It is working fine. Thank you.
>
> Could you help me to code this:
>
> Have new column in backtesting result window that would be my own
variable.
> And it would look like MA(ROC(Ref(C,-1),1),5)
>
> Is there any easy way? Could it be let's say the fourth column?
>
> Thank you,
>
> Radek
>
> >
> > If you are planning on having many custom backtest
implementations, but few
> > systems, then you can update System.afl to #include whichever
custom
> > backtest you want to test, then run the Ssytem.afl script. Any
variables
> > required by the custom backtester would be expected to be passed
as
> > procedure parameters.
> >
> > System.afl
> >
> > *#include* <CustomBacktest.afl>
> >
> > *Buy* = DayOfWeek() == 1;
> > *Sell* = DayOfWeek() == 5;
> > MyBackTestVar = *true*;
> >
> > SetCustomBacktestProc("");
> >
> > *if* (Status("action") == *actionPortfolio*) {
> > RunCustomBackTest(MyBackTestVar);
> > }
> >
> > Custom_Backtesting.afl
> >
> > *procedure* RunCustomBackTest(Var) {
> > *if* (Var) {
> > _TRACE("Var was true.");
> > } *else* {
> > _TRACE("Var was false.");
> > }
> >
> > bo = GetBacktesterObject();
> > bo.Backtest();
> >
> > // Add custom metrics here...
> > }
> >
> > Mike
> >
> >
> >
>
