Tomasz, Thankyou for your reply. I am familiar with what a NULL is. What I am not familiar with is whether the way NULL is handled by the backtester is as expected or not. From your response, it sounds like the backtester is treating NULLs as it should - ie: as an unknown value that it cannot process and so stops. I am surprised it is treated this way because this is different from the way NULL is treated in a comparison statement:
eg: L <= LongStopLossLevel will return TRUE if L is Null In this case the statement does not die, like the backtester, but returns a TRUE value. This behaviour is different again from most other programming languages (eg: SQL, Java, C) which would return FALSE or produce a runtime exception if NULL were compared to a value. As I said in my first post, my overall goal is to clean my data without having to modify the symbol source. The bad bars in my data are those that have O==H==L==C==V. I would like to 1) ignore these bars in the signal generation parts of my AFL Code. This I can do if I set them to NULL. 2) for the backtester to ignore these bars if I have a position on when it encounters such a bar. >From your response I now know that the expected behaviour of the backtester is >to die when a position is on and it encounters a NULL value in a bar. I can >easily get around this by doing the following in the AFL code: -Backup the O, H, L, C arrays -Clean data by setting O, H, L, C to NULL for bad bars -Generate signals using cleaned O, H, L, C. Be aware that the cleaned arrarys contain some NULLs and when a NULL is used in a comparison statement it will return true -Restore O,H,L,C to the backed up copies. This is to make the backtester happy. Regards > >> > > > > >> > > > If possible I would not like to modify the source data files, but > >> > > > ignore these bars in the AFL code for my system. I've > >> > > > tried the > >> > > > following in the AFL code to no avail: --- In [email protected], "Tomasz Janeczko" <gro...@...> wrote: > > Hello, > > Apparently you don't know what Null means. > Null means UNDEFINED or UNKNOWN. > Obviously with UNKNOWN prices performing backtest does not make any sense, > does it ? > > It would help if you actually described in plain english, what you really > want to achieve, because > right now it does not make any sense. You simply can not set data to NULL > (unknown) and expect any results. > > Best regards, > Tomasz Janeczko > amibroker.com > ----- Original Message ----- > From: "only_accept_the_real_thing" <oman...@...> > To: <[email protected]> > Sent: Tuesday, August 18, 2009 11:04 AM > Subject: [amibroker] Re: Data cleansing / cleaning - removing bars > > > > O, H, L and C are succesfully being set to Null, but it looks like the > > backtester doesn't like the Null. If I initiate a position > > on the bar before a BadBar, when the Backtester tries to evaluate the > > position on the BadBar it stops and prints a loss of $2.5 > > billion! Is this as expected, or is this a bug? > > > > --- In [email protected], "Mike" <sfclimbers@> wrote: > >> > >> You could also have just captured the scenario in a variable and kept your > >> original code, except operating on the variable > >> instead of repeating the test over and over again. > >> > >> e.g. > >> > >> BadBar = (O == H AND O == L AND O == C AND O == Volume); > >> > >> Open = IIf(BadBar, Null, O); > >> Close = IIf(BadBar, Null, C); > >> High = IIf(BadBar, Null, H); > >> Low = IIf(BadBar, Null, L); > >> > >> That would save you from making redundant IsNull function calls. > >> > >> Mike > >> > >> --- In [email protected], "only_accept_the_real_thing" <oman002@> > >> wrote: > >> > > >> > Thankyou Tomasz and Graham, that works! > >> > > >> > Because the Open has been changed to Null after the first statement (if > >> > O==H==L==C==Volume) then O == H will be false so I've > >> > had to check for this in subsequent statements. The working code is: > >> > > >> > Open = IIf(O == H AND O == L AND O == C AND O == Volume, Null, O); > >> > Close = IIf(IsNull(O), Null, C); > >> > High = IIf(IsNull(O), Null, H); > >> > Low = IIf(IsNull(O), Null, L); > >> > > >> > Many thanks! > >> > > >> > --- In [email protected], "Tomasz Janeczko" <groups@> wrote: > >> > > > >> > > Hello, > >> > > > >> > > Common coding mistake. You are using assignment (=) instead of > >> > > comparision (==)) > >> > > > >> > > Should be: > >> > > Open = IIf(O == H AND O == L AND O == C AND O == Volume, Null, O); > >> > > > >> > > Best regards, > >> > > Tomasz Janeczko > >> > > amibroker.com > >> > > ----- Original Message ----- > >> > > From: "only_accept_the_real_thing" <olivermannion@> > >> > > To: <[email protected]> > >> > > Sent: Saturday, August 15, 2009 2:08 AM > >> > > Subject: [amibroker] Data cleansing / cleaning - removing bars > >> > > > >> > > > >> > > > Hi there, > >> > > > > >> > > > I posted this intially to amibroker-afl but it doesn't appear to > >> > > > have been moderated and there's not much activity over > >> > > > there so > >> > > > I've reposted here. > >> > > > > >> > > > What I would like to do is remove bars from my symbol that have open > >> > > > = high = low = close = volume. > >> > > > > >> > > > If possible I would not like to modify the source data files, but > >> > > > ignore these bars in the AFL code for my system. I've > >> > > > tried the > >> > > > following in the AFL code to no avail: > >> > > > > >> > > > Open = IIf(O = H AND O = L AND O = C AND O = Volume, Null, O); > >> > > > Close = IIf(O = H AND O = L AND O = C AND O = Volume, Null, C); > >> > > > High = IIf(O = H AND O = L AND O = C AND O = Volume, Null, H); > >> > > > Low = IIf(O = H AND O = L AND O = C AND O = Volume, Null, L); > >> > > > > >> > > > Any help would be much appreciated! Thankyou! > >> > > > > >> > > > > >> > > > > >> > > > ------------------------------------ > >> > > > > >> > > > **** IMPORTANT PLEASE READ **** > >> > > > This group is for the discussion between users only. > >> > > > This is *NOT* technical support channel. > >> > > > > >> > > > TO GET TECHNICAL SUPPORT send an e-mail directly to > >> > > > SUPPORT {at} amibroker.com > >> > > > > >> > > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at > >> > > > http://www.amibroker.com/feedback/ > >> > > > (submissions sent via other channels won't be considered) > >> > > > > >> > > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > >> > > > http://www.amibroker.com/devlog/ > >> > > > > >> > > > Yahoo! Groups Links > >> > > > > >> > > > > >> > > > > >> > > > >> > > >> > > > > > > > > > > ------------------------------------ > > > > **** IMPORTANT PLEASE READ **** > > This group is for the discussion between users only. > > This is *NOT* technical support channel. > > > > TO GET TECHNICAL SUPPORT send an e-mail directly to > > SUPPORT {at} amibroker.com > > > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at > > http://www.amibroker.com/feedback/ > > (submissions sent via other channels won't be considered) > > > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > > http://www.amibroker.com/devlog/ > > > > Yahoo! Groups Links > > > > > > >
