Hi,
Any news on your approach? Just ran through the afl online lib and found an idea from Paul Ho called something like testing multiple systems without going into CBT. Maybe you wanna give it a try Greets from Germany M From: [email protected] [mailto:[email protected]] On Behalf Of Gonzaga Sent: Mittwoch, 14. Juli 2010 17:49 To: [email protected] Subject: [amibroker] Still trying to combine systems Hi I have been fighting with AFL to write a sample program that let us combine two systems, as I told in a recent thread. I haven´t been able. The idea is easy: two type of buy conditions, one in the crossing of two averages, the other after falling four bars, using EOD bars. Both systems uses the same pool of money, and are PORTFOLIO SYSTEMS, buying as far as ten stocks, 10% of the money every purchase. THE BUY condition is easy to combine. But I have to tell AFL that if the last BUY as been using the First condition, the SELL has to be checked with the crossing of the averages again. And if the last BUY condition as been the second, the SELL condition has to be another one. (2 bars away from buying day). After trying it many times without using Custom backtester interface, I think the only way is using backtester interface. So I write the exact code, so anybody can test it and fill the custom backtest part.. I think it should be easy; the problem is that I don't really understand the logic of the custom backtester, so I don't know what to do Any suggestion will be very very much appreciated.. //BEGGINING OF CODE------------------------ posQty=Param("Posiciones simultaneas",10,1,20,1); CapMinimo=Param("Cap minimo",2,1,200,5); SetOption("InitialEquity", 100000 ); SetOption("AllowPositionShrinking", True ); SetOption("MaxOpenPositions", PosQty ); SetOption ("accountmargin",100); PositionSize = -100/(posqty); Buy=Sell=0; SetTradeDelays(1,1,1,1); //FIRST SYSTEM----------------------------------- Buy1= Cross(MA(C,15),MA(C,70)); BuyPrice1=Open; SellA=Cross(MA(C,70),MA(C,15)); SellPriceA=Open; //SECOND SYSTEM----------------------------------- Buy2= C<O AND Ref(C,-1)<Ref(O,-1) AND Ref(C,-2)<Ref(O,-2) AND Ref(C,-3)<Ref(O,-3); SellB= Ref(Buy,-2); //BUY--------------------------------- Buy=IIf(Buy1,True,IIf(Buy2,True,False)); BuyPrice=Open; nombre1=Name(); typeBuy=IIf(Buy1,1,IIf(Buy2,2,0));//if buy1, array 'typebuy' is 1. If Buy2, is 2. Else is 0 n=BarsSince(Buy); //NEXT TWO SENTENCES DOES NOT WORK //Sell= IIf( Ref(typebuy,-n)==1, Cross(MA(C,15),MA(C,70)),False); //Sell= IIf( NOT Sell AND Ref(Buy2,-n), Ref(Buy,-2),False); //INSTEAD, USE OF CUSTOMBACKTESTER SetCustomBacktestProc(""); if (Status("action") == actionPortfolio) { bo = GetBacktesterObject(); // Get backtester object bo.PreProcess(); // Do pre-processing (always required) for (i = 0; i < BarCount; i++) // Loop through all bars { for (sig = bo.GetFirstSignal(i); sig; sig = bo.GetNextSignal(i)) { if (sig.isentry() AND Buy1[i]) //mmmmm ???? } // End of for loop over signals at this bar bo.ProcessTradeSignals(i); // Process trades at bar (always required) } // End of for loop over bars bo.PostProcess(); // Do post-processing (always required) } PositionScore=Ref(StochK(15,3),-1); Buy=ExRem(Buy,Sell); Sell=ExRem(Sell,Buy); PlotShapes(IIf(Ref(Buy,-1),shapeUpArrow,shapeNone),colorBlue,0,L,-15); PlotShapes(IIf(Ref(Buy,-1),shapeHollowSquare ,shapeNone),colorBlue,0,BuyPrice,0); PlotShapes(IIf(Ref(Sell,-1),shapeDownArrow,shapeNone),colorRed,0,H,-15); PlotShapes(IIf(Ref(Sell,-1),shapeHollowSquare,shapeNone),colorRed,0,SellPric e,0); //---------------END OF CODE--------------
