Custom backtester AFL code to trade only on first x signals where signal is generated
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| /* | |
| Custom Backtester to Trade only on First x Symbols | |
| Coded by ChokS | |
| https://howutrade.in | |
| The 'MaxOpenPositions' setting is used to limit the number of open positions at any point of time. | |
| Example: | |
| Say you are backtesting 100 symbols and set 'MaxOpenPositions' to 5, | |
| This will limit the number of open positions to 5 at any point of time, but once a position is closed, new signal will be taken, | |
| means trades may be taken for more than 5 symbols | |
| This code will not limit trades, it limits just symbols. | |
| But what if you want to just trade only on the first 5 symbols where the signal is generated. | |
| Below Code will do that, | |
| Reference: https://forum.amibroker.com/ | |
| */ | |
| _SECTION_BEGIN("BACKTEST"); | |
| MaxSymbols = Param("Max Symbols", 5, 1, 200, 1); | |
| BarDate = DateNum(); //To Check First Bar of the Day | |
| PositionCount = 0; //Used to hold positions count for the current day | |
| PositionList = ""; //Used to hold positions list for the current day | |
| SetCustomBacktestProc(""); | |
| if (Status("action") == actionPortfolio) { | |
| bo = GetBacktesterObject(); | |
| bo.PreProcess(); | |
| for (i = 1; i < BarCount; i++) //Loop through all bars | |
| { | |
| //reset positions count and list on first bar | |
| if (i == 1 OR(BarDate[i] != BarDate[i - 1])) { | |
| PositionCount = 0; | |
| PositionList = ""; | |
| } | |
| for (sig = bo.GetFirstSignal(i); sig; sig = bo.GetNextSignal(i)) { | |
| //Apply the logic on EntrySignals | |
| if (sig.IsEntry) { | |
| Sym = "[" + sig.Symbol + "]"; //Get Symbol of the Signal | |
| //We will take the signal on any of the below conditions | |
| //Position Count lesser than Max Symbols we set OR | |
| //The Signal symbol is already present in our Position List | |
| CanTrade = (PositionCount < MaxSymbols OR StrFind(PositionList, Sym) > 0); | |
| if (CanTrade) { | |
| //update running positions | |
| //only once | |
| if (StrFind(PositionList, Sym) < 1) { | |
| PositionCount = PositionCount + 1; | |
| LastList = PositionList; | |
| PositionList = LastList + Sym; | |
| } | |
| } else { | |
| sig.Price = -1; //No Trade | |
| } | |
| } | |
| } | |
| bo.ProcessTradeSignals(i); | |
| } | |
| bo.PostProcess(); | |
| } | |
| _SECTION_END(); |
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