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WiseTrader Toolbox
#1 Selling Amibroker Plugin featuring:
Advanced Adaptive Indicators
Advanced Pattern Exploration
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Investing Indicator for Amibroker (AFL)
Rating:
5 / 5 (Votes 2)
Tags:
amibroker
The code below initiates trades that get captured by the logfile, but they don’t show up or get accumulated in the Backtester or Optimizer.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 | /*-------------------------------------Buy = Buy when price has showed upward momentum by moving from tradeActivationPrice to buyPriceStart.Sell = Sell at SellPrice.myStopLoss = Sell at myStopLoss price.Notes: - Scratch system to understand AB - Curve fitting at its worst. (so don't use, duh.) Warnings:You can not have more Buy points than you have bars of data.-------------------------------------*/// Configuration// writeLog = TRUE;// doLoop = FALSE;writeLog = True;doLoop = True;// Housekeeping_TRACE("!CLEAR!"); // Clear the Trace windowSetOption( "ActivateStopsImmediately", True );SetOption( "AllowSameBarExit", False );SetOption( "CommissionAmount", .005 );SetOption( "CommissionMode", 3 );SetOption( "ExtraColumnsLocation", 1 );SetOption( "InitialEquity", 100000 );SetOption( "PortfolioReportMode", 1 );SetOption( "PriceBoundChecking", False);SetOption( "RefreshWhenCompleted", True );SetOption( "RequireDeclarations", False );SetOption( "ReverseSignalForcesExit", False );SetOption( "SeparateLongShortRank", True );SetPositionSize( 10000, spsValue );SetTradeDelays(0,0,0,0);y = Year(); m = Month(); d = Day(); r = Hour();e = Minute();n = Second();// Tried both with and without backtestmodeSetBacktestMode( backtestRegularRawMulti );if ( writeLog == True ){ fhLog = fopen( "e:\\AmiBroker\\logs\\firstSystemLog.txt", "w"); if ( fhLog == 0 ) { _TRACE("Blew the file open"); writeLog = False; }}if ( writeLog == True ){ op = StrFormat("\n\n********* Symbol : ") + Name() + StrFormat(" *********\n"); fputs( op, fhLog );}// Set static valuessymbolsLow = 10000000;symbolsHigh = 0;symbolsHigh = LastValue( Highest( High ) );symbolsLow = LastValue( Lowest( Low ) );_TRACE( "symbolsLow - lastvalue: " + symbolsLow );_TRACE( "symbolsHigh: " + symbolsHigh );pctMin = .01;pctMax = .10; //.10pctStep = .01;buyStep = .01; // cents// Manipulate staticsbuyPriceMin = int( ( symbolsLow * ( 1 - pctMax ) ) * 100 ) / 100;buyPriceMax = ( int( symbolsHigh * 100 ) + 1 ) / 100;_TRACE( "buyPriceMin: " + buyPriceMin );_TRACE( "buyPriceMax: " + buyPriceMax );if ( writeLog == True ){ op = StrFormat("Setup Vars:\nsymbolsLow-%.4f, symbolsHigh-%.4f, buyPriceMin-%.4f, buyPriceMax-%.4f\n", symbolsLow,symbolsHigh,buyPriceMin,buyPriceMax ); fputs( op, fhLog );}// Optimization Vars (x = Optimize( "description", default, min , max, step );)// buyPriceStart = Optimize( "BuyPrice", 36, buyPriceMin, symbolsLow, buyStep );// profitPctChange = Optimize( "ProfPctChg", .06, pctMin, pctMax, pctStep );// stopLossPctChange = Optimize( "StLoPctChg", .02, pctMin, pctMax, pctStep );// tradeActPctChange = Optimize( "TrActPctChg", .05, pctMin, pctMax, pctStep );buyPriceStart = 17.05;profitPctChange = 0.08;stopLossPctChange = Optimize( "StLoPctChg", .06, .06, .10, pctStep );tradeActPctChange = Optimize( "TrActPctChg", .07, .04, .09, pctStep );if ( writeLog == True ){ op = StrFormat("Optimization Vars:\nbuyPriceStart-%.4f, profitPctChange-%.4f, stopLossPctChange-%.4f, tradeActPctChange-%.4f\n\n", buyPriceStart,profitPctChange,stopLossPctChange,tradeActPctChange ); fputs( op, fhLog );}// Setup ArraysSell = False; // Initialize "Sell" array....Buy = False; // Initialize "Buy" array....openPos = False; // No open positions to start withlastLow = False; // Just initialize itbuyPrices = 0;tradeActivationPrices = 0;myStopLosss = 0;sellPrices = 0;// Setup Single value varsnumBuyPoints = 0;// Create the first Activation, Buy, Stop, Profit points arraybuyPrices[0] = buyPriceStart;tradeActivationPrices[0] = buyPriceStart * ( 1 - tradeActPctChange );myStopLosss[0] = buyPriceStart * ( 1 - stopLossPctChange );sellPrices[0] = buyPriceStart * ( 1 + profitPctChange );lastLow[0] = 10000000; // Set insanely high so first Low sets itif ( writeLog == True ){ op = StrFormat("BuyPrices: [0] Buy-%.4f, Activate-%.4f, Stop-%.4f, Profit-%.4f\n", buyPrices[0],tradeActivationPrices[0],myStopLosss[0],sellPrices[0] ); fputs( op, fhLog );}for ( i = 1; i < BarCount; i++ ) // Create the rest of Activation, Buy, Stop, Profit points array{ buyPrices[i] = int ( buyPrices[i-1] * ( 1 + profitPctChange ) * 100 ) / 100; tradeActivationPrices[i] = int ( buyPrices[i] * ( 1 - tradeActPctChange ) * 100 ) / 100; myStopLosss[i] = int ( buyPrices[i] * ( 1 - stopLossPctChange ) * 100 ) / 100; sellPrices[i] = int ( buyPrices[i] * ( 1 + profitPctChange ) * 100 ) / 100; lastLow[i] = 10000000; // Set insanely high so first Low sets it numBuyPoints = numBuyPoints + 1; if ( writeLog == True ) { op = StrFormat("BuyPrices: [%g] Buy-%.4f, Activate-%.4f, Stop-%.4f, Profit-%.4f\n", i,buyPrices[i],tradeActivationPrices[i],myStopLosss[i],sellPrices[i] ); fputs( op, fhLog ); } if ( buyPrices[i] > buyPriceMax ) // last Buy point is never accessed, per below { break; }}if ( doLoop == True ){// Start this Pig...for ( i = 0; i < BarCount; i++ ) // Loop over all bars in the chart{ for ( j = 0; j < numBuyPoints; j++ ) // Loop over all Buy points { if ( openPos[j] ) // Have an open position, check to sell it { if ( Low[i] < myStopLosss[j] ) // Check for Stops { if ( Sell[i] ) // ah crap, we've Sold on this bar already { // Report it, but do nothing else, next Close will close both... if ( writeLog == True ) { op = "CRAP - Double Sell, Stop!\n"; op = op + StrFormat(",%02.0f-%02.0f-%02.0f,%02.0f:%02.0f:%02.0f", y[ i ], m[ i ], d[ i ], r[ i ], e[ i ], n[ i ] ); op = op + StrFormat("j=%g, High-%.4f, Low-%.4f, lastLow-%.4f, myStopLoss-%.4f\n", j,High[ i ],Low[ i ],lastLow[j],myStopLosss[j] ); fputs( op, fhLog ); } } else { SellPrice[i] = myStopLosss[j]; Sell[i] = True; openPos[j] = False; // No longer have open position lastLow[j] = IIf( Close[i] < SellPrice[i], Close[i], SellPrice[i] ); // ReSet lastLow[j] for Buy Check if ( writeLog == True ) { op = Name() + ",StopLoss"; op = op + StrFormat(",%02.0f-%02.0f-%02.0f,%02.0f:%02.0f:%02.0f", y[ i ], m[ i ], d[ i ], r[ i ], e[ i ], n[ i ] ); op = op + StrFormat(",%g,%.4f,%.4f\n", j, buyPrices[j], SellPrice[i] ); fputs( op, fhLog ); } } } else { if ( High[i] > sellPrices[j] ) // Check for Profits { if ( Sell[i] ) // ah crap, we've Sold on this bar already { // Report it, but do nothing else if ( writeLog == True ) { op = "CRAP - Double Sell, Profit!\n"; op = op + StrFormat(",%02.0f-%02.0f-%02.0f,%02.0f:%02.0f:%02.0f", y[ i ], m[ i ], d[ i ], r[ i ], e[ i ], n[ i ] ); op = op + StrFormat("j=%g, High-%.4f, Low-%.4f, lastLow-%.4f, myStopLoss-%.4f\n", j,High[ i ],Low[ i ],lastLow[j],myStopLosss[j] ); fputs( op, fhLog ); } } else { SellPrice[i] = sellPrices[j]; Sell[i] = True; openPos[j] = False; // No longer have open position lastLow[j] = IIf( Close[i] < SellPrice[i], Close[i], SellPrice[i] ); // ReSet lastLow[j] for Buy Check if ( writeLog == True ) { op = Name() + ",Profit"; op = op + StrFormat(",%02.0f-%02.0f-%02.0f,%02.0f:%02.0f:%02.0f", y[ i ], m[ i ], d[ i ], r[ i ], e[ i ], n[ i ] ); op = op + StrFormat(",%g,%.4f,%.4f\n", j, buyPrices[j], SellPrice[i] ); fputs( op, fhLog ); } } } } } else // Nothing open on this BuyPoint, see if we can buy something { if ( ( lastLow[j] < tradeActivationPrices[j] ) AND ( High[i] > buyPrices[j] ) AND ( buyPrices[j] > Low[i] ) ) { if ( Buy[i] ) // ah crap, we've bought on this bar already { // Report it, but do nothing else if ( writeLog == True ) { op = "CRAP - We lost a Buy!\n"; op = op + StrFormat(",%02.0f-%02.0f-%02.0f,%02.0f:%02.0f:%02.0f", y[ i ], m[ i ], d[ i ], r[ i ], e[ i ], n[ i ] ); op = op + StrFormat("j=%g, BuyPrice-%.4f, High-%.4f, Low-%.4f, lastLow-%.4f, tradeActivationPrices-%.4f\n", j,buyPrices[j],H[ i ],L[ i ],lastLow[j],tradeActivationPrices[j] ); fputs( op, fhLog ); } } else { BuyPrice[i] = buyPrices[j]; Buy[i] = True; openPos[j] = True; // Now have an open position if ( writeLog == True ) { op = Name() + ",Bought"; op = op + StrFormat(",%02.0f-%02.0f-%02.0f,%02.0f:%02.0f:%02.0f", y[ i ], m[ i ], d[ i ], r[ i ], e[ i ], n[ i ] ); op = op + StrFormat(",%g,%.4f\n", j, buyPrices[j] ); fputs( op, fhLog ); } } } if ( ( lastLow[j] > Close[i] ) OR ( lastLow[j] > BuyPrice[i] ) ) { lastLow[j] = IIf( BuyPrice[i] > Close[i] , Close[i] , BuyPrice[i] ); } } }}}if ( writeLog == True ){ fclose( fhLog );} |
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