AFL Library

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Details:

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Description:

calculate mfe and mae. plot trades as indicator.

Formula:

_TRACE("ABTEST: Name() " + Name() );




/*
function PlotTrades(tradeDate,tradeType){

}
*/

/* returns a array with following detals
trades[0]=Date
trades[1]=type Of trade executed
0	= Buy
1	= Sell
2	= Short
3	= Cover

trades[3]=price

All trades should be in a txt file with the folowing format identified by
TradesFile
The format of data should be like following
PRGX,SLD,100,17.73,15:40:54,20070731,ISLAND,DU27808,,,DEMO,

*/


function extractTrades(symbolName){

fh = fopen( TradesFile  , "r"); 
	if(fh){
		while( ! feof( fh ) ) 
		   { 
 				currentRow=fgets( fh );
				if(StrExtract(  currentRow, 0) == symbolName){
     		 		//printf(currentRow );    
  		 			} 
			}
	} 
	else { 
		
   		printf("ERROR: file can not be found " + TradesFile + " does NOT exist)");

	}

return True;
}

//extractTrades(Name());

function Date_To_Num(aaaammdd)
{
	
   dd_ = StrToNum(StrRight(aaaammdd,2));
//printf(WriteVal(dd_) + " "  );
   mm_ = StrToNum(StrMid(aaaammdd,4,2));
//printf(WriteVal(mm_) + " "  );
   aa_ = StrToNum(StrLeft(aaaammdd,4));
//printf(WriteVal(aa_) + " " + "\n" );

   Date_Num = (10000 * (aa_ - 1900)) + (100 * mm_) + dd_;
   RESULT = Date_Num;

   return RESULT;
}

function Time_To_Num(strTime) // format for time is hh:mm:ss
{

/*
//do something to raise alert  if length does not match
????PopupWindow("Current time is: " + Now(),"Alert", 2,
640*mtRandom(), 480*mtRandom());
*/
   hh_t = StrToNum(StrLeft(strTime,2));
//printf(WriteVal( hh_t ) + " "  );
   mm_t = StrToNum(StrMid(strTime,3,2));
//printf(WriteVal( mm_t ) + " "  );
   ss_t = StrToNum(StrRight(strTime,2));
//printf(WriteVal( ss_t ) + " "  + "\n"  );
   
   Time_Num = 10000 * hh_t + 100 * mm_t + ss_t;
   RESULT = Time_Num;

   return RESULT;
}



// PARAMETER DEFINITION
TradesFile=ParamStr( "Directory of trades", "C:\\Program
Files\\Amibroker\\TWSTrades\\TWSTrades1070829.csv" );
TradeType=ParamList("Instrument Type" ,"Stocks|Forex");
forexSymbol=ParamList("Symbol to test"
,"EUR.USD-IDEALPRO-CASH|GBP.USD-IDEALPRO-CASH|USD.JPY-IDEALPRO-CASH|USD.CAD-IDEALPRO-CASH|USD.CHF-IDEALPRO-CASH|AUD.USD-IDEALPRO-CASH");
StockSymbol=ParamStr( "Name of symbol", "" );

ShortOrLong=ParamList("Trade Direction" ,"Short|Long");

EntryPrice=Param("Entry Price",0,0,1000);
ExitPrice=Param("Exit Price",0,0,1000);

EntryDate=ParamDate( "Entry Date","2007-09-07",0 );
ExitDate=ParamDate( "Exit Date","2007-09-07" ,0);


EntryTime=ParamTime("Entry Time","07:08:07",0);
ExitTime=ParamTime("Exit Time","08:08:07",0);

if(TradeType=="Stocks"){
stockname=stockSymbol;

SetOption( "FuturesMode", False );
}
else{
stockname=forexSymbol;
SetOption( "FuturesMode", True );

}







//STOCKNAME="EUR.USD-IDEALPRO-CASH";

//STOCKNAME="GBP.USD-IDEALPRO-CASH";

// custom backtester code
/* First we need to enable custom backtest procedure and
** tell AmiBroker to use current formula
*/

SetCustomBacktestProc("");

/* Now custom-backtest procedure follows */
if( Status("action") == actionPortfolio  ) // check if we are inside a
backtester
{
// retrieve the interface to portfolio backtester
bo = GetBacktesterObject();



 
bo.PreProcess(); // initialize the backtester

	for( bar=0;bar<BarCount;bar++){  // loop thro all the bars
		
		
			for (sig = bo.GetFirstSignal(bar); sig; sig = bo.GetNextSignal(bar))
				{ // Loop through all signals at this bar
					if (sig.IsEntry() && sig.IsLong()) // Process long entries
							{
								bo.EnterTrade(bar, sig.Symbol, True, EntryPrice ,sig.possize); 
								
							}
							
					else
						{
						if (sig.IsExit() && sig.IsLong()) // Process long exits
							{
								bo.ExitTrade(bar, sig.Symbol,Exitprice);
								
							}
						}


					if (sig.IsEntry() && !sig.IsLong()) // Process short entries. WATCH IT
SAYS NOT ISLONG.
							{
								bo.EnterTrade(bar, sig.Symbol, True, EntryPrice ,sig.possize); 
								
							}

					else
						{
						if (sig.IsExit() && !sig.IsLong()) // Process short  exits
							{
								bo.ExitTrade(bar, sig.Symbol,Exitprice);
									
							}
						}


					


				}// End of for loop over signals at this bar
			bo.HandleStops(bar); // Handle programmed stops at this bar
	

			for (trade = bo.GetFirstOpenPos(); trade; trade = bo.GetNextOpenPos())
				{ // Loop through all open positions
					if (trade.GetProfit() >= trade.GetEntryValue()) // If time to scale-in
						{
							scaleSize = trade.GetEntryValue() / 2; // Scale-in the trade
							bo.ScaleTrade(bar, trade.Symbol, True, trade.GetPrice(bar, "C"),
scaleSize);
						}
				} // End of for loop over trades at this bar
			bo.UpdateStats(bar, 1); // Update MAE/MFE stats for bar
			bo.UpdateStats(bar, 2); // Update stats at bar's end
		} // End of for loop over bars
	

// pull custom metrics for backtester
// iterate through closed trades first
for( trade = bo.GetFirstTrade(); trade; trade = bo.GetNextTrade() )
{// go thro each trade
	trade.AddCustomMetric("MAE $", StrFormat( "%.4f", 100 * trade.GetMAE()
/trade.EntryPrice ) );
	trade.AddCustomMetric("MFE $", StrFormat( "%.4f", 100 * trade.GetMFE()
/trade.EntryPrice ) );
	}// end of iterating thro trades
	//bo.ListTrades(); this is not needed for custom advanced  backtester
// end of pulling custom metrics

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

}// end of check for inside backtester


// end of custom backtester




// Check time bars only on a intraday chart. dont mark it on a daily chart as
it will not return any trades

if (Interval()< 86400)
{
	CheckEntryTime=  TimeNum()>=EntryTime AND Ref(TimeNum(),-1)<EntryTime;
	CheckExitTime=TimeNum()>=ExitTime AND Ref(TimeNum(),-1)<ExitTime;
}
else
{
	CheckEntryTime=True;
	CheckExitTime=True;
}
_TRACE("ABTest: "+ GetChartID()  +  " DIRECTION OF TRADE "   + ShortOrLong +
"name " +  Name());
if(ShortOrLong=="Long"){
	_TRACE("ABTEST: Name() "  );
	// BUY SELL STUFF

	Buy=Name()==STOCKNAME AND BarIndex()==ValueWhen(DateNum()==EntryDate AND
CheckEntryTime, BarIndex());	
	Sell=Name()==STOCKNAME  AND BarIndex()==ValueWhen(DateNum()==ExitDate AND
CheckExitTime , BarIndex());
	
	//_TRACE("ABTest: "+ GetChartID()  +  "VALUE OF BAR ENTRY" + 
WriteVal(ValueWhen(DateNum()==EntryDate AND CheckEntryTime , BarIndex())));
//_TRACE("ABTest: "+ GetChartID()  +  "VALUE OF BAR EXIT " +
WriteVal(ValueWhen(DateNum()==ExitDate AND CheckExitTime, BarIndex())));
//_TRACE("ABTest: "+ GetChartID()  +  "VALUE STOCKNAME " + STOCKNAME );
//_TRACE("ABTest: "+ GetChartID()  +  "Name() " + Name() );
//	Sell=Sellcondition;

	
	Short=False;
	Cover=False;
}

else
 { // it has to be a short position.
	Buy=False;
	Sell=False;
_TRACE("ABTest: "+ GetChartID()  +  "VALUE OF BAR ENTRY" +
WriteVal(ValueWhen(DateNum()==EntryDate AND CheckEntryTime, DateNum())));
_TRACE("ABTest: "+ GetChartID()  +  "VALUE OF BAR EXIT " +
WriteVal(ValueWhen(DateNum()==ExitDate AND CheckExitTime ,  DateNum())));
_TRACE("ABTest: "+ GetChartID()  +  "VALUE STOCKNAME " + STOCKNAME );
_TRACE("ABTest: "+ GetChartID()  +  "Name() " + Name() );
	Short=Name()==STOCKNAME AND BarIndex()==ValueWhen(DateNum()==EntryDate AND
CheckEntryTime, BarIndex());
	Cover=Name()==STOCKNAME  AND BarIndex()==ValueWhen(DateNum()==ExitDate AND
CheckExitTime , BarIndex());
}

PlotShapes( IIf(Buy OR Short, shapeSmallCircle, shapeNone),colorBrightGreen, 0,
EntryPrice, 0 );
PlotShapes( IIf( Sell OR Cover, shapeSmallCircle, shapeNone),colorRed, 0
,ExitPrice, 0 );




FirstVisibleBar = Status( "FirstVisibleBar" );
Lastvisiblebar = Status("LastVisibleBar");
minYValue=Status("axisminy");
maxYValue=Status("axismaxy");
for( b = Firstvisiblebar; b <= Lastvisiblebar AND b < BarCount; b++)
{
	if( Buy[b] OR Short[b]) 
	{
		/* this is to determine which location to print the entry and exit prices ie
if there is more space above, then print is above or print it below 
	 */
		
		Point2print=maxYValue+ minYValue -EntryPrice[b];
		if(Buy[b]==True) entryText="Long Entry \n";
		if(Short[b]==True) entryText="Short Entry \n";
		
		PlotText( entryText
+NumToStr(EntryPrice[b],1.5),b,Point2print,colorBrightGreen);
		_TRACE("ABTest: "+ GetChartID()  +  "minYValue " + minYValue );
		_TRACE("ABTest: "+ GetChartID()  +  "maxYValue " + maxYValue );
		_TRACE("ABTest: "+ GetChartID()  +  "BuyPrice[b] " + EntryPrice[b] );
		_TRACE("ABTest: "+ GetChartID()  +  "Point2print " + Point2print );
		
	}
	else if ( Sell[b] OR Cover[b] ) 
		{
		/* this is to determine which location to print the entry and exit prices ie
if there is more space above, then print is above or print it below 
	 */
		if(Sell[b]==True) entryText="Long Exit \n";
		if(Cover[b]==True) entryText="Short Exit \n";
		Point2print=maxYValue+ minYValue -SellPrice[b];
		PlotText(entryText +NumToStr(SellPrice[b],1.5),b,Point2print,colorRed);
		}
		
		else if ( Short[b] ) 
		{
		/* this is to determine which location to print the entry and exit prices ie
if there is more space above, then print is above or print it below 
	 */
		
		Point2print=maxYValue+ minYValue -SellPrice[b];
		PlotText("\n Sell\n "+NumToStr(SellPrice[b],1.5),b,Point2print,colorRed);
		}
	


}

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