Ed -
I was going to answer your prior question about running the portfolio
backtester from an indicator, when I saw this one. It is fairly
straightforward.
In a backtest pass, arrays are calculated over the entire range of the data,
irrespective of the AA range (ignoring QuickAFL special cases for this example).
The CBT pass is run on a ticker called ~~~EQUITY which is defined for the test
with a start AND end date that corresponds to the AA range specified.
So, by definition, the first bar in the test is 0. If you store the size info
in static arrays, you can read them in the CBT pass an the alignment will be
taken care of.
-- Bruce
--- In [email protected], "Edward Pottasch" <empotta...@...> wrote:
>
> hi Mike,
>
> thanks for your reply. Yes I tried that. Also tried to define it as global.
> But I keep getting a value 0 when defined in or outside the CBT code.
>
> or bi_start, defined as: bi_start =
> LastValue(ValueWhen(Status("firstbarintest"),BarIndex()));
>
> whether defined inside or outside CBT code when I try to access its value
> inside the CBT code it gives me 0. Outside the CBT code I get the proper
> value. I am puzzled. Asked helpdesk but no answer (yet). Trying to solve it
> another way.
>
> regards, Ed
>
>
>
>
>
> From: Mike
> Sent: Tuesday, July 27, 2010 5:40 PM
> To: [email protected]
> Subject: [amibroker] Re: question for Custom Backter specialists
>
>
>
> Ed,
>
> Try moving the calculation of bi_start inside the CBT code.
>
> if (Status("action") == actionPortfolio)
> {
> bi_start = ...;
> }
>
> Mike
>
> --- In [email protected], "Edward Pottasch" <empottasch@> wrote:
> >
> > 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();
> > }
> >
>
