Hi,
1. You are right that my code count more than one time. I don't really know how
to capture a data at buy exactly. I just follow Tomasz's suggestion in his
reply to another person.
2. According to help file, staticvarget(...) return a number or string. If it
is a static array, how to access its element? I change the CTB block as
following and get 0.0 under MAup column.
if ( Status( "action" ) == actionPortfolio )
{
bo = GetBacktesterObject();
//run default back tester
bo.Backtest();
Dates = DateTime();
bi = BarIndex();
MAup = 0;
//loop on all trades of ONE interation at one time.
for ( trade = bo.GetFirstTrade( ); trade; trade = bo.GetNextTrade( ) )
{
entryBar = LastValue( ValueWhen( trade.EntryDateTime == dates,
bi ));
//add up MA flag from static var
myArray = StaticVarGet("MA_" + trade.symbol);
MAup = MAup + myArray[entryBar];
_TRACE(trade.Symbol + ": " + MAUp);
}
//add custom column to optimize result
bo.AddCustomMetric("MAUP", MAup);
//bo.listTrades();
}
3. I fixed it.
Could you drop couple more lines as you get time?
All your help were really appreciated!
Charles
--- In [email protected], "Mike" <sfclimb...@...> wrote:
>
> Looks like you have a few potential problems:
>
> 1. You are double (triple, quadruple, etc.) counting whenever you have
> multiple trades for the same symbol.
>
> 2. I believe that custom backtest metrics need to be scalers (i.e. single
> value, not an array).
>
> 3. No need to delay the printing of trades (i.e. bo.Backtest(1)) since you
> are not adding individual trade metrics.
>
> Mike
>
> --- In [email protected], "chuck_win" <chaoy@> wrote:
> >
> > Hi,
> >
> > What I am doing is:
> > 1). count MA(close, 6) < MA(close, 9) at buy when open gap > %x.
> > 2). show the count on optimize results.
> >
> > I use static var to store MA flag outside CTB, and read it inside CTB. the
> > code below doesn't work.
> >
> > I don't know if I create a single static var or a static array when I
> > write:
> > StaticVarSet ("MA_" + Name(), MAFlag);
> >
> > It could be wrong in other place.
> >
> > Any help would be greatly appreciated!
> >
> > Charles
> >
> >
> >
> >
> > //========================================= optimize
> > Perc = Optimize("Perc", 8, 8, 8, 2);
> > MALen = Optimize("MALen", 6, 6, 6, 1);
> >
> > //========================================= set option
> > //SetOption("RequireDeclarations", True );
> > //must use it for buyprice = ref(close, -1).
> > SetOption("PriceBoundChecking", False);
> >
> > //================= buy rules
> > Buyrule1 = TimeNum() == 93000;
> > Buyrule2 = Close >= Ref(Close, -1) * (1 + Perc/100);
> >
> > Buyrule = Buyrule1 AND Buyrule2;
> >
> > //========================================= set static var to store MA
> > //check MA steps
> > MAFlag = IIf(MA(Close, MAlen) < MA(Close, MAlen + 3), 1, 0);
> > //store MA flag into static var.
> > StaticVarSet ("MA_" + Name(), MAFlag);
> >
> > //================= sell rules
> > Sellrule1 = TimeNum() == 93000;
> > Sellrule = Sellrule1;
> >
> > //================= trade
> > Buy = Buyrule;
> > BuyPrice = Ref(Close, -1);
> > Sell = Sellrule;
> > SellPrice = Close;
> >
> > //======================================== custom back tester
> > SetCustomBacktestProc( "" );
> >
> > if ( Status( "action" ) == actionPortfolio )
> > {
> > bo = GetBacktesterObject();
> > //run default back tester
> > bo.Backtest(1);
> > MAup = 0;
> >
> > //loop on all trades of ONE interation at one time.
> > for ( trade = bo.GetFirstTrade( ); trade; trade =
> > bo.GetNextTrade( ) )
> > {
> > //add up MA flag from static var
> > MAup = MAup + StaticVarGet("MA_" + trade.symbol);
> > _TRACE(trade.Symbol + ": " + MAUp);
> > }
> >
> > //add custom column to optimize result
> > bo.AddCustomMetric("MAUP", MAup);
> > bo.listTrades();
> > }
> >
> > --- In [email protected], "chuck_win" <chaoy@> wrote:
> > >
> > > Thanks so much Mike for your help. It works on backtester now. I will try
> > > to make it work on optimize next.
> > >
> > > Charles
> > >
> > >
> > >
> > > --- In [email protected], "Mike" <sfclimbers@> wrote:
> > > >
> > > > Charles,
> > > >
> > > > You got scared away from the earlier example that I referred you to (
> > > > http://finance.groups.yahoo.com/group/amibroker/message/146164 ). Yet,
> > > > with a one line change, it would give you exactly what you want.
> > > >
> > > > Just change:
> > > >
> > > > foreignATR = ATR( 14 );
> > > >
> > > > To
> > > >
> > > > foreignATR = MA( Close, 6 );
> > > >
> > > > Do this and, I believe, you would have exactly what you're asking for.
> > > > You would likely then want to change the names and output strings to
> > > > refer to MA instead of ATR. But, there would be no further change in
> > > > logic other than that one line.
> > > >
> > > > Mike
> > > >
> > > > --- In [email protected], "chuck_win" <chaoy@> wrote:
> > > > >
> > > > > Hi Mike,
> > > > >
> > > > > I need to run optimize, and have spent a lot of time to add a custom
> > > > > column of MA on optimize result list and no luck so far.
> > > > >
> > > > > Is it possible to find the bar index or bar number of buying and use
> > > > > the number to refer the MA like
> > > > >
> > > > > myMA = ref(MA(close, 6), -17);
> > > > >
> > > > > Thank you very much!
> > > > >
> > > > > Charles
> > > > >
> > > > >
> > > > >
> > > > > --- In [email protected], "Mike" <sfclimbers@> wrote:
> > > > > >
> > > > > > Hi,
> > > > > >
> > > > > > There are a couple of problems:
> > > > > >
> > > > > > 1. When trying to do an equivalence test, use the equivalence
> > > > > > operator '==' not the assignment operator '='.
> > > > > >
> > > > > > 2. buyrule is an array. You cannot use the if statement on an array.
> > > > > >
> > > > > > If you just want to see what the value is, then run an exploration:
> > > > > >
> > > > > > Filter = buyrule;
> > > > > > AddColumn(MA(Close, 6), "MA(6)");
> > > > > >
> > > > > > http://www.amibroker.com/guide/h_exploration.html
> > > > > >
> > > > > > Otherwise, add a custom metric to your backtest.
> > > > > >
> > > > > > Mike
> > > > > >
> > > > > > --- In [email protected], "chuck_win" <chaoy@> wrote:
> > > > > > >
> > > > > > > Hi,
> > > > > > >
> > > > > > > I do backtesting, and want to check MA at the time of buying.
> > > > > > >
> > > > > > > My code looks like
> > > > > > >
> > > > > > > buyrule = cross(MACD, signal);
> > > > > > > buy = buyrule;
> > > > > > > buyprice = close;
> > > > > > > sellrule = cross(signal, MACD);
> > > > > > > sell = sellrule;
> > > > > > > sellprice = close;
> > > > > > > if (buyrule = true) {
> > > > > > > str = StrFormat("%0.2f", MA(Close,6));
> > > > > > > _TRACE(NumToStr( DateTime(), formatDateTime ) + ", " + str);
> > > > > > >
> > > > > > > }
> > > > > > >
> > > > > > > I always get the MA at the ending time of last bar instead.
> > > > > > >
> > > > > > > Thanks for any help!
> > > > > > >
> > > > > > > Charles
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
