CBT Code: Adding Trade Report Metrics

[Anonymous]

Hi all,

I was wondering if anyone knows how to add simple metrics to the trade report when backtesting. There is some information on the Amibroker Forum but given that we are using the CBT code it is difficult to see how to integrate with that.

Specifically, I just want to add Open, Close and Volume columns to the backtest trade report.

Thanks for any pointers!!

Best,
Dustin

[Anonymous]

Try this….

You need to add this part after the closing parenthesis after the bo.ProcessTradeSignals(i) and before the bo.PostProcess();

Like this….

Obviously you can change/add relevant parts for high, volume etc. I’m sure you can work out which parts to change duplicate.

// Custom Metrics for Trade List
for ( trade = bo.GetFirstTrade( ); trade; trade = bo.GetNextTrade( ) )
{
symbolLOW = StaticVarGet( trade.Symbol + “LOW” );
trade.AddCustomMetric( “Daily Low”, NumToStr(Lookup( symbolLOW, trade.EntryDateTime ),1.3) );
}

[Craig Fisher]

Dustin,

It has to be done with CBT code. There are a couple of examples already in the MOC code at the end of the CBT section.

There is more info and examples in the link –

More here

[Anonymous]

Thanks a lot guys – super helpful!!

If anyone else is trying this, the only thing I needed to add to Matthew’s code is to define the static variables prior to the CBT code, otherwise the fields are just returned as EMPTY. For example:

StaticVarSet(Ticker + “Volume”, Volume);
StaticVarSet(Ticker + “Turnover”, Volume*((H+L)/2));
//

---

SetCustomBacktestProc(“”); //Set Custom Back Tester

CBT code… // NOTE THAT I DIDN’T INCLUDE THE ENTIRE CBT CODE

// Custom Metrics for Trade List

for ( trade = bo.GetFirstTrade( ); trade; trade = bo.GetNextTrade( ) )
{
symbolVolume = StaticVarGet( trade.Symbol + “Volume” );
symbolTurnover = StaticVarGet( trade.Symbol + “Turnover” );
trade.AddCustomMetric( “Daily Volume”, NumToStr(Lookup( symbolVolume, trade.EntryDateTime ),1.3) );
trade.AddCustomMetric( “Daily Turnover”, NumToStr(Lookup( symbolTurnover, trade.EntryDateTime ),1.3) );
}

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

[JulianCohen]

That helped Dustin. Thanks a lot

How do you control where the column appears in the table…ie how do you get it to appear in-between date and price for example?

[TrentRothall]

Julian you use

SetOption(“ExtraColumnsLocation”, 1 );

Adjust the number to suit.

Theres some code in the thread below you can adjust for different outputs in your backtests

https://edu.thechartist.com.au/kunena/amibroker-coding-and-afl/629-handy-cbt-code.html

[Nick Radge]

Is it possible to generate other performance metrics like standard deviation, skew, expectancy?

[JulianCohen]

Alan Clement has a very good piece of code that covers a lot of metrics. Also some pretty graphs too

[Author]

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