ozzyman,
you can do this if you write your own applystop and then you can omit the CBI
code.
Below an example:
regards,Ed
procedure sellCover_proc(Buy,BuyPrice,Sell,SellPrice,nBar,slip)
{
global BuyAdjusted;
global BuyPriceAdjusted;
global SellAdjusted;
global SellPriceAdjusted;
BuyAdjusted = 0;
BuyPriceAdjusted = 0;
SellAdjusted = 0;
SellPriceAdjusted = 0;
delay = 1;
for( i = 1; i < BarCount; i++ )
{
if ( Buy[ i ])
{
BuyAdjusted[ i ] = 1;
BuyPriceAdjusted[ i ] = Min(H[ i ],BuyPrice[ i ] + slip[ i ]);
for (j = i + delay; j < BarCount; j++)
{
if (Sell[ j ])
{
SellAdjusted[ j ] = 1;
SellPriceAdjusted[ j ] = Max(L[ j ],SellPrice[ j ] - slip[ j ]);
i = j;
break;
}
if (( (j - 1) - i) == nBar)
{
SellAdjusted[ j ] = 1;
SellPriceAdjusted[ j ] = Max(L[ j ],C[ j ] - slip[ j ]);
i = j;
break;
}
else if (j == BarCount - 1)
{
i = BarCount;
}
}
}
}
}
Buy = Cross(C,MA(C,50)); Buy = Ref(Buy,-1);
BuyPrice = Open;
Sell = Cross(MA(C,50),C); Sell = Ref(Sell,-1);
SellPrice = Open;
// nbar stop
nbar = 5;
// slippage
slip = Random() * ATR(10);
sellCover_proc(Buy,BuyPrice,Sell,SellPrice,nBar,slip);
Buy = BuyAdjusted;
BuyPrice = BuyPriceAdjusted;
Sell = SellAdjusted;
SellPrice = SellPriceAdjusted;
SetChartOptions(0, chartShowDates);
Plot(C,"Last=",colorBlack,64);
Plot(MA(C,50),"ma",colorWhite,1);
PlotShapes(IIf(Buy,shapeUpArrow,shapeNone),colorGreen,0,L,-15);
PlotShapes(IIf(Buy,shapeHollowUpArrow,shapeNone),colorWhite,0,L,-15);
PlotShapes(IIf(Buy,shapeHollowSmallCircle,shapeNone),colorWhite,0,BuyPrice,0);
PlotShapes(IIf(Sell,shapeDownArrow,shapeNone),colorRed,0,H,-15);
PlotShapes(IIf(Sell,shapeHollowDownArrow,shapeNone),colorWhite,0,H,-15);
PlotShapes(IIf(Sell,shapeHollowSmallCircle,shapeNone),colorWhite,0,SellPrice,0);
----- Original Message -----
From: ozzyapeman
To: [email protected]
Sent: Wednesday, February 04, 2009 5:41 PM
Subject: [amibroker] Re: Custom Backtester Slippage Code for ApplyStop - Need
Help
I do currently try to integrate slippage amounts into commissions.
However, what I really want to do is a build a model that mimics the
real world as much as possible.
It would be nice in the future if AB had a setoption() that allowed us
to integrate slippage into all exit and entries, whether we use
ApplyStop or regular sell/cover. Such a setoption could also have the
ability to set some 'randomness' in the slippage, allowing it to vary
from trade to trade, within a range the use could set.
--- In [email protected], "huanyanlu" <huanyan2...@...> wrote:
>
> Hi
>
> Have you considered making slippage a part of the commision and
> adjust it in the backtester commision settings beforehand, thus avoid
> doing complicated calculations with the signal object of custom
> backtester ?
>
> Huanyan
>
>
> --- In [email protected], "ozzyapeman" <zoopfree@> wrote:
> >
> > Hello, hoping someone can help out with this code. Aron was kind
> enough
> > to post a version of some code that is meant to inject some slippage
> > when using ApplyStop(). However, I can't seem to get it to work.
> All I
> > want it to do is reduce Long exits by 2 pips (I'm backtesting
> Forex) and
> > increase Short exits by 2 pips, when using ApplyStop.
> >
> > Here is the code. At present, it only ends up blanking out my
> backtest
> > report - no trades taken. Without the code, dozens or hundreds of
> trades
> > taken, depending on which system I test. As far as I can tell, this
> code
> > should work, but doesn't. Any input appreciated:
> >
> >
> > SetCustomBacktestProc( "" );
> > if ( Status( "action" ) == actionPortfolio )
> > {
> > TickSize = 0.0001; // Forex
> > bo = GetBacktesterObject();
> > bo.PreProcess();
> > slipage = TickSize;
> > spread = 2 * TickSize;
> >
> > for ( bar = 0; bar < BarCount; bar++ )
> > {
> > for ( sig = bo.GetFirstSignal(bar); sig; sig =
> > bo.GetNextSignal(bar) )
> > {
> > symbol = sig.symbol;
> > hi = Foreign(symbol, "H");
> > lo = Foreign(symbol, "L");
> >
> > if ( sig.IsExit() )
> > {
> > if ( sig.isLong)
> > {
> > realexitprice = sig.price - slipage;
> > if( realexitprice >= lo[bar] && realexitprice <=
> > hi[bar])
> > {
> > sig.price = realexitprice;
> > bo.ExitTrade(bar,sig.symbol,sig.Price); //
> I'm not
> > sure if it is needed
> > }
> > else
> > sig.price = -1;
> > }
> > else
> > {
> > ealexitprice = sig.price + slipage;
> > if (realexitPrice >= lo[bar]+ spread &&
> realexitprice
> > <= hi[bar]+spread)
> > {
> > sig.price = realexitprice;
> > bo.ExitTrade(bar,sig.symbol,sig.Price); // I'm
> not
> > sure if it is needed
> > }
> > else
> > sig.price = -1;
> > }
> >
> > }
> > }
> >
> > bo.ProcessTradeSignals( bar );
> > }
> > }
> >
>
