Ade --
If you decide that you do need to use CBT, this is, IMHO, the best
document available on the subject.
http://www.amibroker.org/userkb/2008/03/16/amibroker-custom-backtester-interface-2/
-- Keith
On 8/20/2010 08:50, Howard B wrote:
Hi Ade --
I may be misunderstanding, but I don't see that CBT will be involved.
I'm thinking something like this may work -- all in pseudo-afl code.
///////////////////////
// ConditionSwitch.afl
//
// Determine the current condition
//
// Use whatever foreign series and indicators you need
// to set Condition to an integer value
// Condition = xxxx;
//
// Use the switch statement to set the parameter values
Switch (Condition)
{
Case 1:
V1 = xxx;
V2 = xxx;
Break;
Case 2:
V1 = yyy;
V2 = yyy;
Break;
}
// Proceed with your trading system
// using values of V1 and V2 that depend on broad conditions.
Buy = something related to V1 and V2;
Sell = ;
/////////////////////
Or do you have something else in mind?
Thanks,
Howard
On Fri, Au
g 20, 2010 at 12:37 AM, adexie <[email protected]
<mailto:[email protected]>> wrote:
thanks Howard for your suggestion. I guess the difficult part for
me is how to code it up. I found this online,
http://www.amibroker.com/kb/2008/05/19/historical-portfolio-backtest-metrics/
but it's not very comprehensive on custom backtest. Do you know of
any other documentation on this topic?
Thanks very much. And btw, big fan of your trading system book!
Ade
--- In [email protected]
<mailto:amibroker%40yahoogroups.com>, Howard B <howardba...@...>
wrote:
>
> Hi Ade --
>
> You might add logic code to your afl that identifies the
category of market
> condition, then sets the parameters the way you want them for that
> condition, and then continues on with the optimization.
>
> Perhaps using the Switch statement.
>
> Thanks,
> Howard
>
> On Thu, Aug 19, 2010 at 9:20 AM, adexie <ade...@...> wrote:
>
> >
> >
> > Greetings all,
> >
> > I was wondering if anyone knows whether it is possible to do
customized
> > walk forward backtesting with afl code? So I have control over
what
> > parameter from IS to use in OS. For example, each time after a IS
> > optimization, i would like to modify the parameter from the
optimization
> > based on current market condition and then use that in OS,
Instead of
> > directly use the best parameter in the OS test.
> >
> > Any input is greatly appreciated.
> >
> > Best,
> > Ade
> >
> >
> >
>
