Thanks Tomasz. One stupid follow up question: my understanding is that StaticVarSet will take only a single number not an array, therefore do i need to create a loop outside the CBT from 0 to BarCount - 1 and create a static variable for every bar as follows?
StaticVarSet( "MyAtr"+Name( )+BarIndex() , ATR(14) ); ________________________________ From: Tomasz Janeczko <[email protected]> To: [email protected] Sent: Wed, January 20, 2010 6:06:41 PM Subject: Re: [amibroker] CBT - trade.addcustommetric() - 13x slower - bad code/settings? Hello, Foreign is costly. Move your calculations OUTSIDE custom backtest part. ATR can easily be calculated outside CBT and passed via Static variable. So instead of Foreign use Static variables. Store your ATR into static variables keyed with StaticVarSet( "MyAtr"+Name( ), ATR(14) ); and inside custom backtester use StaticVarGet( "MyAtr"+trade. Symbol); Best regards, Tomasz Janeczko amibroker.com On 2010-01-20 23:39, B S wrote: Hi- > >I have run into some major performance problems when trying to add a single >simple metric to the backtest results. I have no doubt that its something I'm >doing, I just have no idea what that might be. I have seen a post or two in >the past on how to accomplish what I'm trying to do (as the examples >below will replicate), but there was no follow up on the performance of the >proposed solutions. Since there was no further discussion, I'm wondering if >the code is fine but my settings (or something else) may be causing the >problem. Below I list what I believe to be all pertinent information - would >very much appreciate any help on this. > >Base system is tested on 5 symbols, 5min data, from 1/1/2000 - 12/31/2006. >Quick AFL is checked in the setting and data is padded and aligned. >I'm running the 64bit version of AB 5.22. > >Performance without calling CBT : 65 secs > >------------ --------- --------- --------- --------- --- > >Performance with the code below added: 72 secs (very good) >(code is from http://www..amibroke r.org/userkb/ 2008/03/16/ amibroker- >custom-backteste r-interface- 2/ ) >SetCustomBacktestPr oc(""); >if (Status("action") == actionPortfolio) >{ > bo = GetBacktesterObject(); // Get backtester object > bo.Backtest(True); // Run backtests with no trade listing > stat = bo.GetPerformanceStats(0); // Get Stats object for all trades > winAvgProfit = stat.GetValue("WinnersAvgProfit"); > loseAvgLoss = stat.GetValue("LosersAvgLoss"); > for (trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade()) > { // Loop through all closed trades > prof = trade..GetProfit(); // Get trade profit in dollars > relProf = 0; // This will be profit/avgProfit as % > if (prof > 0) // If a winner (profit > 0) > relProf = prof / winAvgProfit * 100; // Profit relative to > average > else // Else if a loser (profit <= 0) > relProf = -prof / loseAvgLoss * 100; // Loss relative to > average > trade.AddCustomMetric("Rel Avg Profit%", relProf); // Add metric > } // End of for loop over all trades > bo.ListTrades(); // Generate list of trades >} >------------ --------- --------- --------- --------- --------- --------- >--------- --------- --------- ------ >Performance with the code below added to record ATR at entry: 854 >secsSetCustomBacktestPr oc(""); >if(Status("action") == actionPortfolio) >{ >bo = GetBacktesterObject(); >bo.Backtest(True); >dates = DateTime(); >bi = BarIndex(); >for(trade = bo.GetFirstTrade( ); trade; trade = bo.GetNextTrade( )) >{ >SetForeign(trade.Symbol) ; >entryBar = LastValue(ValueWhen(trade.EntryDateTim e == dates, bi)); >foreignATR = ATR(14); >trade.AddCustomMetr ic("Entry ATR",foreignATR[ entryBar] ); >RestorePriceArrays(); >} >bo.ListTrades( ); >} >Anyone have any ideas where I may be going wrong? > >
