How to calculate annual growth rate for each year in custom backtester

[jptrader]

Hello,

I would need to calculate the annual growth rate for each year of a bactktest, in order to have those values tabulated in the optimization report. I have found a code by @fxshrat with a similar purpose.

Custom metric annual trades, wins and losses

Your code is not correct on many levels. DateNum() is an array and does not have any function arguments. Overall the way you use it is not correct. Also your looping is incorrect not to mention that you do not require nested loop at all. procedure vgWinLossPerYear(YrWin, YrLoss, Yrcnt, trade, mode ) { /// by AmiBroker.com and fxshrat@gmail.com dt = IIf(mode == 1, trade.ExitDateTime, trade.EntryDateTime); n = floor(DateTimeConvert(8, dt)); if( trade.GetProfit() >= 0 ) // profit only …

procedure vgWinLossPerYear(YrWin, YrLoss, Yrcnt, trade, mode ) {
	/// by AmiBroker.com and fxshrat@gmail.com
	dt = IIf(mode == 1, trade.ExitDateTime, trade.EntryDateTime);
	n = floor(DateTimeConvert(8, dt));   
	if( trade.GetProfit() >= 0 ) // profit only
		VarSet(YrWin+n, Nz(VarGet(YrWin+n))+1);
	else  // loss only
		VarSet(YrLoss+n, Nz(VarGet(YrLoss+n))+1);   
	// cnt all per year
	VarSet(Yrcnt+n, Nz(VarGet(Yrcnt+n))+1);
}

/// Per year Win/Loss ratio and number of trades, code source at:
/// @link https://forum.amibroker.com/t/custom-metric-annual-trades-wins-and-losses/20241/2
SetCustomBacktestProc("");
if ( Status( "action" ) == actionPortfolio ) {
	bo = GetBacktesterObject();
	bo.Backtest();

	yr = Year();
	fbr = Status("FirstBarInRange");
	lbr = Status("LastBarInRange");
	first_yr = LastValue(ValueWhen(fbr, yr));
	last_yr = LastValue(ValueWhen(lbr, yr));
   
	// iterate closes trades
	for ( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() ) 
		vgWinLossPerYear("YrWin", "YrLoss", "Yrcnt", trade, 0 );

	// iterate open trades
	for ( trade = bo.GetFirstOpenPos(); trade; trade = bo.GetNextOpenPos() )
		vgWinLossPerYear("YrWin", "YrLoss", "Yrcnt", trade, 0 );

	// Output per year stats to report file
	for ( i = first_yr; i <= last_yr; i++ ) {
		YrCnt = VarGet("Yrcnt"+i);
		bo.AddCustomMetric( StrFormat( "Year%g (%g trades): WinRatio %1.2f%%, LossRatio %1.2f%%", 
							i, YrCnt, VarGet("YrWin"+i) / YrCnt * 100, VarGet("YrLoss"+i) / YrCnt * 100) ); 
    }
}

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

Since I am not very familiar to custom backtester yet, I have been unable to modify it to get the metric that I need. I should appreciate it if some user would help me with it.

Thanks in beforehand.

Regards.

[jptrader]

Hello,

I was working on an easier approach to have the annual growth for each year displayed in the optimization result list.

Buy  = RSI(2) < 5;
Sell = RSI(2) > Optimize("PRD", 80, 60, 95, 5);

SetCustomBacktestProc("");
if(Status("action") == actionPortfolio)
{

	bo = GetBacktesterObject();
	bo.backtest();
    
	Eq = bo.EquityArray();
	YearNumber = BeginValue(Year());
	NewYear = Year() < Ref(Year(), 1);
	
	for (i = 1; i < BarCount; i++)
	{
	    if(NewYear[i] == 1)
		{
		VarSet("Equity" + Yearnumber, Eq);
		YearGr = ((VarGet("Equity" + Yearnumber) / VarGet("Equity" + (Yearnumber - 1)))-1)*100; 
		bo.AddCustomMetric("Gr" + YearNumber, YearGr);
		YearNumber++;
		}}}

I am stuck with calling the Equity into the loop, I would need to calculate the rate between the equity for the last bar of year n and the equivalent of year n-1. Do you have any suggestion?

Thanks in advance for your help.

Regards.