Custom metrics, was: custom backtest report

AFL Programming
1

Colydog2d
Similar question here

I want to generate a report which shows how many of the trades had a loss greater than my position risk
I generated the custom back test for a fixed value. in the example below i used 200

    // check for number greater than stop loss
   
    if (trade.GetProfit() < -200) 
    {
    if( trade.IsLong() )
            maxlossCountLong++;
        else
            maxlossCountShort++;
            }
}


   // add the custom metric
    bo.AddCustomMetric( "Stoploss trades", stoplossCountLong + stoplossCountShort, 
                         stoplossCountLong, stoplossCountShort, 0 );
     bo.AddCustomMetric( "nBar trades", nbarCountLong + nbarCountShort, 
                         nbarCountLong, nbarCountShort, 0 );                    
	bo.AddCustomMetric( "Normal trades", normalCountLong + normalCountShort, 
                         normalCountLong, normalCountShort, 0 ); 
    bo.AddCustomMetric( "Max loss trades", maxlossCountLong + maxlossCountShort, 
                         maxlossCountLong, maxlossCountShort, 0 );                      
                         
}

this works fine.
I want to now do this report based on a variable of position size which is determined based on account value

in the main section i set the position size here:


// risk % of entire equity on single trade
PositionRisk = 1;

// position size calculation
symbol = Name();  
PctSize =  PositionRisk * buylimitprice / range;
StaticVarSet( symbol + "PctSize", PctSize );  

SetPositionSize( Min(pctsize,20), spspercentofequity );
then in the custom backtest i try to call the variable and use it:


        // check for number greater than stop loss
        PctSize = StaticVarGet( symbol + "PctSize"  );  
        if (trade.GetProfit() < Pctsize) 
        {
        if( trade.IsLong() )
                maxlossCountLong++;
            else
                maxlossCountShort++;
                }
    }

   // add the custom metric
    bo.AddCustomMetric( "Stoploss trades", stoplossCountLong + stoplossCountShort, 
                         stoplossCountLong, stoplossCountShort, 0 );
     bo.AddCustomMetric( "nBar trades", nbarCountLong + nbarCountShort, 
                         nbarCountLong, nbarCountShort, 0 );                    
	bo.AddCustomMetric( "Normal trades", normalCountLong + normalCountShort, 
                         normalCountLong, normalCountShort, 0 ); 
    bo.AddCustomMetric( "Max loss trades", maxlossCountLong + maxlossCountShort, 
                         maxlossCountLong, maxlossCountShort, 0 );

i get an error during the back test and i am at the limit of my coding ability!

anyone able to help?

Moderator comment: In order to receive help you need to help others to help you by providing ALL information, including the error message you get

3 
 // check for number greater than stop loss

    PctSize = StaticVarGet( symbol + "PctSize"  );  

    if (trade.GetProfit() < Pctsize)

---------------------------------------^

Error 6.
Condition in IF, WHILE, FOR statements
has to be Numeric or Boolean type.
You can not use array here,
please use [] (array subscript operator)
to access array elements

4

The error is just what it says, you can’t use an array in an if statement. PctSize is an array, ie it has a value for every bar. How is the if statement meant to know which bar you mean?

Answer: If you’re using it in a bar loop, you can use the incremental value of the loop as a subscript to identify the current bar.

Eg

for (i = 0; i < BarCount; i++)
{
//...
    if (trade.GetProfit() < Pctsize[i])
3 Likes
5

thanks Helix

here is the full custom back test section:


SetCustomBacktestProc( "" );

//custom-backtest procedure /
if( Status( "action" ) == actionPortfolio )
{
    bo = GetBacktesterObject();

    bo.Backtest(); // run default backtest procedure

    // initialize counter
    stoplossCountLong = stoplossCountShort = 0;
	nbarCountLong = nbarCountShort = 0;
	normalCountLong = normalCountShort = 0;
	maxlossCountLong = maxlossCountShort = 0;
	
    // iterate through closed trades
    for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
    {
        symbol = trade.Symbol ;  
      // check for stop-loss exit reason
        if( trade.ExitReason == 2)
        {
         // increase long or short counter respectively
            if( trade.IsLong() )
                stoplossCountLong++;
            else
                stoplossCountShort++;
        }
         
          // check for normal exit reason
        if( trade.ExitReason == 1)
        {
         // increase long or short counter respectively
            if( trade.IsLong() )
                normalCountLong++;
            else
                normalCountShort++;
        }

 
        
      // check for nBar exit reason
        if( trade.ExitReason == 5 )
        {
         // increase long or short counter respectively
            if( trade.IsLong() )
                nbarCountLong++;
            else
                nbarCountShort++;
        }
        
        // check for number greater than stop loss
        PctSize = StaticVarGet( symbol + "PctSize"  ); 
        
        for (i = 0; i < BarCount; i++)
{
//...
    if (trade.GetProfit() < Pctsize[i]) 
        
        {
        if( trade.IsLong() )
                maxlossCountLong++;
            else
                maxlossCountShort++;
                }
                }
    }

   // add the custom metric
    bo.AddCustomMetric( "Stoploss trades", stoplossCountLong + stoplossCountShort, 
                         stoplossCountLong, stoplossCountShort, 0 );
     bo.AddCustomMetric( "nBar trades", nbarCountLong + nbarCountShort, 
                         nbarCountLong, nbarCountShort, 0 );                    
	bo.AddCustomMetric( "Normal trades", normalCountLong + normalCountShort, 
                         normalCountLong, normalCountShort, 0 ); 
    bo.AddCustomMetric( "Max loss trades", maxlossCountLong + maxlossCountShort, 
                         maxlossCountLong, maxlossCountShort, 0 );                      
                         
}

not sure if I have implemented it correctly. as I say, I am at the limit of my knowledge!
it now gives me no errors but just gives me a big count which I assume are all the bars over the period of the back test

6

Your trade loop needs to be inside the bar loop, not the other way round as you have it.

I suggest you start here and read thoroughly. Then you will have a better understanding of how to implement it.
http://www.amibroker.org/userkb/2008/03/16/amibroker-custom-backtester-interface-2/

1 Like
7

thank you!

think I have it working now.