Using Matrix with an Array-accepting function

[ka66]

Hello,

I'm trying to apply an AFL function (in this case StDev, but tried others too, e.g. HHV) to a matrix.

The context is custom aggregate metrics in the backtester performance report -- other metrics show, but the one that's matrix-based simply shows a blank.

function pm_backtestWithCustomMetrics(bo) {
  bo.Backtest(1);

  st = bo.GetPerformanceStats(1); // get stats for all trades

  totalTrades = int(st.GetValue("AllQty")); // verified to be > 0, 105 in current case
  rMultiples = Matrix(totalTrades, 1, 0);
  
  i = 0;
  
  for (trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade()) {
	rMultiples[i][0] = 33; // simplified with literal for debugging
	i += 1;
  }
  
  // also tried using literal 5 for the end row, far < total trades
  rMultiplesArray = MxGetBlock(rMultiples, 0, totalTrades - 1, 0, 0, True);

  stdevVal = StDev(rMultiplesArray, totalTrades); // also tried a number like 5, < totalTrades
  // and tried say HHV, also blank

  // Always blank, other aggregate, non-matrix metrics show
  bo.AddCustomMetric("StDev", stdevVal); 
  bo.ListTrades();
}

Assistance please.

Thanks very much.

[fxshrat]

Topic with code solution exists already

Trying to use stdev in a custom metric - I get no output from stdev but others work

Below is my code for a custom metric. It works except the part where I try to get the standard deviation of my list of trades. This gives me no output at all. I don't understand what I am missing. I looped though my trades to get all the profits and losses into an array called pnl. Checking with my ami broker output pnl[1] indeed matches the first trade profit or loss output from the backtest. There are 30 trades in the backtest so I hardcoded the 30. At the bottom of the metrics output win…

[ka66]

Hi fxshrat,

Thanks for the link. My search was finding matrix <-> array compatibility generally.

The provided solution is basically implementing StdDev in particular. But it would be nice to be able to reuse existing functions with custom user arrays.

It just so happens that my current need is std-dev (and the solution would be my fallback approach), but more generally, is my concept of wanting to create arrays and applying existing operations on them invalid?

Thanks again.

[Tomasz]

MxSetBlock/MxGetBlock allows you to set/get values between matrix and array allowing you to use data from Matrix in a functions that take array.

[ka66]

Many thanks, Tomasz. Appreciate if you could point out what I'm doing wrong in my code, above, if you have capacity. Basically I've created a M by 1 matrix, populated rows, then used MxGetBlock, with asArray set to true. Then, I'm attempting to call the standard function StDev (but also others) on it. Empty results thus far.

I'll try to figure out again, nevertheless, at least I know it's possible, thanks for confirming. Will look at MxToString as well, missed trying that.