[amibroker] question for Custom Backter specialists

[Edward Pottasch]

hi,

I am working on code that allows for the combination of multiple systems. 
Combining signals leads to situations that you need to cover 1 position and buy 
3 positions at the same bar. Therefor in high level AFL you can not define the 
positionSize properly since it needs a separate size for the cover and buy but 
you are only allowed to fill 1 array element in the positionSize array.

So what I did is first define the buy/sell etc arrays and then I defined 
separate positionSize arrays, positionSizeBuy, PositionSizeSell etc.

Then I define a dummy positionSize array so that the proper signals are 
calculated except that in some cases the positionSize is at fault.

Then I use the "Custom Backtester" CBT to change the positionSize, see code 
below.

My question:  the CBT starts to loop through the bars starting at i = 0. 
However, this index coincides with the start bar of the backtest which you set 
in the AA window. The arrays in which I have set the positionSize I calculated 
outside the CBT and have their index starting at the true starting index of the 
complete data array.

So then I calculate the index at which the backtest starts and call that 
bi_start, using:

bi_start = LastValue(ValueWhen(Status("firstbarintest"),bi));

This number I want to use inside the CBT code, for instance like: 
positionSizeBuy[ bi_start + i ], to access the proper positionSize for a 
certain element.

But once inside the CBT it does not recognise bi_start, it is set to 0. Why is 
this?

thanks, Ed


snippet of code:


bi_start = LastValue(ValueWhen(Status("firstbarintest"),bi));
"";
"bi_start: " + WriteVal(bi_start);
"barindex backtest test: " + WriteVal(bi - bi_start);
"BarIndex(): " + WriteVal(bi);

// custom backtest. Replace dummy positionSize
SetCustomBacktestProc("");
if (Status("action") == actionPortfolio)
{

bo = GetBacktesterObject();
bo.PreProcess(); 

for (i = 0; i < BarCount; i++)
{

 //_TRACE("bi_start");// + " " + bi_start[ i ];
 
 for (sig = bo.GetFirstSignal(i); sig; sig = bo.GetNextSignal(i))
 { 
 
  _TRACE("sig: " + sig.IsEntry() + " " + sig.IsExit() + " " + sig.IsLong() + " 
" + sig.IsScale() + " " + i + " bi_start: " +  bi_start);
 
  // buy -1,0,-1,0
  if (sig.IsEntry() AND !sig.IsExit() AND sig.IsLong() AND !sig.IsScale())
  {
   //_TRACE("Buy" + i);
    sig.PosSize = positionSizeBuy[ bi_start + i ];
  }
  // short -1,0,0,0
  else if (sig.IsEntry() AND !sig.IsExit() AND !sig.IsLong() AND !sig.IsScale())
  {
   //_TRACE("Short" + i);
   sig.PosSize = positionSizeShort[ bi_start + i ];
  }
  // ScaleIn (long or short) 0,0,-1,-1
  else if (!sig.IsEntry() AND !sig.IsExit() AND sig.IsLong() AND sig.IsScale())
  {
   //_TRACE("ScaleIn Long/Short" + i);
   sig.PosSize = Max(positionSizeBuy[ bi_start + i ],positionSizeShort[ 
bi_start + i ]);
  }
  // sell 0,-1,-1,0
  else if (!sig.IsEntry() AND sig.IsExit() AND sig.IsLong() AND !sig.IsScale())
  {
   //_TRACE("Sell" + i);
   sig.PosSize = positionSizeSell[ bi_start + i ];
  }
  // cover 0,-1,0,0
  else if (!sig.IsEntry() AND sig.IsExit() AND !sig.IsLong() AND !sig.IsScale())
  {
   //_TRACE("Cover" + i);
   sig.PosSize = positionSizeCover[ bi_start + i ];
  }
  // ScaleOut (long or short) 0,0,0,-1
  else if (!sig.IsEntry() AND !sig.IsExit() AND !sig.IsLong() AND sig.IsScale())
  {
   //_TRACE("ScaleOut Long/Short" + i);
   sig.PosSize = Max(positionSizeBuy[ bi_start + i ],positionSizeShort[ 
bi_start + i ]);
  }
 }
 bo.ProcessTradeSignals(i);
}
bo.PostProcess();
}