Creating composite tickers of individual equity curves

[danm]

Hi there,

I would like to create separate composite tickers of the equity curves for each futures market on a watchlist.
I am half-way there, but can’t quite get it working the way I would like with my average coding ability.
I am using mid-level CBT for the backtest and then adding these lines after the CBT:

eqp = Foreign("~~~EQUITY", "C");
AddToComposite( eqp, "~SingleEquity" + Name(), "X", atcFlagDeleteValues |atcFlagDefaults | atcFlagEnableInBacktest | atcFlagEnableInPortfolio );

This works OK if I select a single futures market and run a portfolio-level backtest on the current market. However, I would like to create tickers for about 40 markets, so manually selecting markets and running 40 backtests each time is a bit laborious.

I feel like there must be some way to do this using the “individual backtest” function and applying it to a watchlist containing all the markets, however, when I do this the composite tickers all return the same values (ie same equity curve). Not sure if this is a misunderstanding of AddtoComposite or ~~~EQUITY on my part (maybe both!), but either way, I can't figure it out.

Also, given the individual equity curves are already available in the report explorer when running an “individual backtest” on a watchlist, perhaps there’s some even more simple way for me to access them than creating my own composite tickers?

Any help would be greatly appreciated.

Thanks
Dan

[Tomasz]

The code for CBT incorrect. Foreign("~~~EQUITY", "C"); is available AFTER backtest, not while it is in the middle of backtesting.
For proper method see below.

Must-read for the start:

Equity function and chart

Then:
http://www.amibroker.com/kb/2006/03/11/how-to-create-copy-of-portfolio-equity/

[danm]

Hi Tomasz,

Thanks for the reply and the links. I think perhaps I wasn't clear enough in my original email. I am using mid-level CBT rather than high-level for other purposes and don't want to change that. I am putting Foreign("~~~EQUITY", "C"); AFTER the CBT (I think) as below:

SetCustomBacktestProc("");
if( Status("action") == actionPortfolio )
{
 bo = GetBacktesterObject();
 bo.Preprocess();

    for (i = 0; i < BarCount; i++)	//  Loop through all bars
     {
     Some calculations here
     }

bo.PostProcess();	//  Do post-processing
}

eqp = Foreign("~~~EQUITY", "C");
AddToComposite( eqp, "~SingleEquity" + Name(), "X", atcFlagDeleteValues |atcFlagDefaults | atcFlagEnableInBacktest | atcFlagEnableInPortfolio   );

Hopefully that makes thing a bit more clear. If you still think the answer is in the links you sent, a little bit of a hint would be great before I re-read!

Thanks again for your help
Dan

[fxshrat]

Simply do as been posted at Knowledge base article by @Tomasz and do not use Foreign() but EquityArray.

Also in CBT you can't use Name() because it will return ~~~EQUITY name there!

So you can store Name() at status backtest and then pass to CBT.

SetOption("RefreshWhenCompleted", true);

// Store symbol to pass to CBT
if (Status( "action" ) == actionBacktest)
	StaticVarSetText("CBT_Symbol", Name());

// CBT
SetCustomBacktestProc( "", True );
if ( Status( "action" ) == actionPortfolio )
{
    /// http://www.amibroker.com/kb/2006/03/11/how-to-create-copy-of-portfolio-equity/
    /// @link https://forum.amibroker.com/t/creating-composite-tickers-of-individual-equity-curves/22085/4
    bo = GetBacktesterObject();
    //bo.Backtest();    

    bo.Preprocess();

    for (i = 0; i < BarCount; i++)
    {
        for (sig = bo.GetFirstSignal(i); sig; sig = bo.GetNextSignal(i) )
            if ( sig.IsEntry ) _TRACE(sig.Symbol);
      
        bo.ProcessTradeSignals( i );	
    }	

	bo.PostProcess();	
	
    _TRACE(Name());//Name() in CBT returns ~~~EQUITY !!!
    // Call symbol name
    nm = StaticVarGetText("CBT_Symbol");
    // Store Equity per symbol of individual backtest
    AddToComposite(bo.EquityArray, "~SingleEquity_"+nm, "X", atcFlagDeleteValues | atcFlagEnableInPortfolio );
}

// Dummy system
m = MA( Close, 20 ); 
Buy = Cross( Close, m ); 
Sell = Cross( m, Close );
Short = Cover = 0;

Now run individual backtest

And you will get n-times different individual Equity symbols with different Equity data.

[danm]

Thanks so much fxshrat, works perfectly!