This was necessary to overcome the limitation where array elements cannot exceed in number the value of barcount-1. The first part is to actually code up your Buy signal (in our case a Donchian Channel Breakout). I expect Amibroker to win the fight hands-down as it appeared way faster! Update : Note the comment from Eldar Agalarov below, reporting that the code above might give problems (when restricting number of open positions). The first is the use of the AddToComposite function to create a composite ticker symbol in which to hold the ATR array of a given stock for later retrieval within the Custom Back Tester via the Foreign function. Loop through all trades and retrieve MFE, MAE and ATR. SetCustomBacktestProc /activate the custom backtester if(Status action actionPortfolio) /called when backtesting/optimising bo GetBacktesterObject eProcess / run default backtest procedure TradeATR NumTrades atrarr 0; /init variables for( bar0; bar BarCount-1; bar) ocessTradeSignals(bar for ( tFirstSignal(bar sig; tNextSignal(bar) ) if (Entry NumTrades;.
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So I decided to give the legendary fast Amibroker a test to see if it could better TradersStudios performance. The Sell signals are tested separately: /BUY rules: implemented with Buy Stop on Upper Donchian Channel(17). BuyStop Ref(HHV(High, 17 -1 Buy Cross( High, BuyStop BuyPrice Max( BuyStop, Low / make sure buy price Low /BUY rules: implemented with Buy Stop on Upper Donchian Channel(17) BuyStop Ref(HHV(High, 17 -1 Buy Cross( High, BuyStop BuyPrice. He kindly posted a version of the code that does not have this problem. However computing the e-ratio in TradersStudio is slow (4 hours for one signal over 100 different durations). EntryPrice/100 dCustomMetric Entry ATR EntryATR*10000 AvgMAE AccumMAE / NumTrades; AvgMFE AccumMFE / NumTrades; _trace(WriteVal(AccumMAE _trace(WriteVal(NumTrades _trace(WriteVal(AvgMAE Eratio abs(AvgMFE/AvgMAE _trace(WriteVal(Eratio dCustomMetric( "Avg MAE AvgMAE dCustomMetric( "Avg MFE AvgMFE dCustomMetric( "Eratio Eratio. Directly from the ASX Gorillas website as a prelude to the code: My implementation of the Edge Ratio involves two profound Amibroker fudges.
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