Say, I have a strategy based on more than one securities and indicators
with different lookbacks.
BuySignal = fn(Price1, Price2, MA, STDEV, etc);
In order to calculate annualized profit in my backtests (and for other
purposes), I want to find the date of the first bar when the system
actually have enough data to provide signals. This date will depend on
the the start of the backtest range, presence of data in the database,
some securities may have started to trade only recently, lookback
periods etc etc.
My idea was to loop through BuySignal and see when it ceases to be
{EMPTY}. I tried checking if BuySignal != Null and some other stupid
things, but none worked. I ended up doing this (full snippet below):
dt=DateTime();
for( i = 0; i < BarCount; i++ )
{
if( WriteVal(BuySignal[i]) != "{EMPTY}" )
{
bo.addCustomMetric("Start date", WriteVal(dt[i],formatDateTime));
break;
}
}
Now, there ought to be a more direct and efficient way to check if the
array element is initialized, not involving formatting. Anyone?
Also, maybe there's some built-in functionality to find what I need
without looping?
Cheers!
