Thanks for your help Mike. It's a lot to digest. I'll see if I can get it to work more effectively with your code and suggestions. Wade
--- On Wed, 8/5/09, Mike <[email protected]> wrote: From: Mike <[email protected]> Subject: [amibroker] Re: Custom Metric not working in Alpha 5.27.1 To: [email protected] Date: Wednesday, August 5, 2009, 4:56 PM Correction, "Note that since you passed in Ref(..., -1) as 'eq', this array will not have a final element (i.e. index of BarCount - 1) since tomorrow hasn't happened yet so today's value is unknown. This means that if a trade's entry date is the last bar in the range, you will be trying to reference a non existent equity value." Should read "Note that since you passed in Ref(..., -1) as 'eq', this array will not have a *first* element (i.e. index of 0) since day prior to first day is unknown. This means that if a trade's entry date is the *first* bar in the range, you will be trying to reference a non existent equity value." http://www.amibroke r.com/guide/ h_understandafl. html Mike --- In amibro...@yahoogrou ps.com, "Mike" <sfclimbers@ ...> wrote: > > > Hi, > > Your code is somewhat overly complex. If BarCount is zero, 'found' will > be -1, which is an invalid index. If 'Value' does not match any element > in 'dt' then found will be BarCount, which is also an invalid index. > > Note that since you passed in Ref(..., -1) as 'eq', this array will not > have a final element (i.e. index of BarCount - 1) since tomorrow hasn't > happened yet so today's value is unknown. This means that if a trade's > entry date is the last bar in the range, you will be trying to reference > a non existent equity value. > > At any rate, your FindEquityAtDateTim e function can be simplified to a > single line as follows: > > > function FindEquityAtDateTim e(eq, dt, Value) { > return LastValue(ValueWhen (dt == Value, eq)); > } > > > Also, it is highly redundant to fetch the performance stats and > calculate 'pratio' at each trade. The value will never change, so just > do it once either before or after looping through the trades, not inside > the loop. > > Finally, be wary of using summary measures such as WinnersPercent and > PayoffRatio. These are based on the assumption that open trades have > been closed at their current price (i.e. assumes that all open trades > get closed based on final bar's closing price). If you have more than a > few open trades, they can really throw off the summary statistics. > Better to calculate the stats yourself based only on closed trades. > > Mike > > > --- In amibro...@yahoogrou ps.com, "wadebullock" <wadebullock@ > wrote: > > > > Hi all, > > > > In previous beta versions the following custom metrics were working > fine. Now I get message Error 10...it also is below. If anyone sees a > problem with the code I would greatly appreciate the help. I pieced it > together from several examples but still have difficulty understanding > it. Thanks > > > > SetCustomBacktestPr oc(""); > > function FindEquityAtDateTim e( eq, dt, Value ) > > { > > found = -1; > > for( i = 0; i < BarCount AND found == -1; i++ ) > > { > > if( dt[ i ] == Value ) found = i; > > } > > return IIf( found != -1, eq[ found - 0 ], Null ); > > } > > if( Status("action" ) == actionPortfolio ) > > { > > bo = GetBacktesterObject (); > > bo.Backtest( 1); > > dt = DateTime(); > > eq = Ref(Foreign( "~~~EQUITY" , "C" ),-1); > > > > for( trade = bo.GetFirstTrade( ); trade; trade = bo.GetNextTrade( ) ) > > { > > EquityAtEntry = FindEquityAtDateTim e( eq,dt,trade. EntryDateTime ); > > PctLossGain = (trade.GetProfit( )/EquityAtEntry) *100; > > trade.AddCustomMetr ic("Equity at Entry", EquityAtEntry ); > > trade.AddCustomMetr ic("% Gain/Loss of Equity", PctLossGain ); > > st = bo.GetPerformanceSt ats(0); > > pratio=(st.GetValue ("WinnersPercent " > )/100)*st.GetValue( "PayoffRatio" ); > > > > } > > bo.ListTrades( ); > > bo.AddCustomMetric( "Performance Ratio", pratio ); > > > > } > > > > > > Error 10 Message///// ///////// ///////// ///////// ///////// ///////// /// > > { > > > > if( dt[ i ] == Value ) found = i; > > > > } > > > > return IIf( found != -1, eq[ found - 0 > > ------------ --------- --------- --------^ > > > > Error 10. > > Subscript out of range. > > You must not access array elements outside 0..(BarCount- 1) range. > > >
