[amibroker] How generate backtest statistics from a list of historical trades stored in a file

Coolman 15.17

http://www.amibroker.com/kb/2014/09/30/gen-backtest-from-a-file/

I am overly frustrated with something and am hoping someone can see where my mistake is. I am using the code from the above link as a template to rotate between two etfs. my data file follows this format:

date, weight1, symbol1, weight2, symbol2, BUY

01/03/2008,80,QQQ,20,TLT,1
01/09/2008,,QQQ,,TLT,0
01/09/2008,90,QQQ,10,TLT,1
03/30/2008,,QQQ,,TLT,0
03/30/2008,80,QQQ,20,TLT,1
04/11/2008,,QQQ,,TLT,0
04/11/2008,40,QQQ,60,TLT,1
06/08/2008,,QQQ,,TLT,0
06/08/2008,80,QQQ,20,TLT,1

...

now I know buying and selling on the same day is sloppy and in reality I would just want to change the weight of each allocation on a given day so on 1/3 80%/20% would get rebalanced on 1/9 to 90/10.

my backtest runs and the dates for buys and sells works but the weighting of each investment does not shift from the original 80/20. below is my code. please let me know if you see something that I am missing. I've been looking at it too long.

thx

file = "C:\\qqqtlt.csv";

dt = DateTime();
//
// Initialize variables
Buy = Sell = possize = 0;
//
fh = fopen( file, "r" );
//
if( fh )
{
     while( ! feof( fh ) )
     {
         line = fgets( fh );
         for( i=0; i<2; i++ )
         //i=0;
         {
    // get the ticker symbol from the file
    sym = StrExtract( line, IIf( !i, 2, 4 ) );
    //PositionSize = -StrToNum( StrExtract( line, IIf( !i, 1, 3 ) ) );
    // if ticker matches current symbol
    //SetForeign( sym );
    if ( Name() == sym )
    {
     // extract data from line of text
     //trade = StrToUpper( StrExtract( line, 5 ) ) == "BUY";
     trade = StrTonum( StrExtract( line, 5 ) );
     trade_datetime = StrToDateTime( StrExtract( line, 0 ) );
     price = ValueWhen( dt == trade_datetime, O );
     //shares = StrToNum( StrExtract( litimene, 4 ) );
     //
     //if ( trade == "SELL" )
     //if ( StrMatch( trade, "Sell" ) )
     if ( !trade )
     {
      newsell = dt == trade_datetime;
      Sell = Sell OR newsell; // combine previous sell signals with new
      SellPrice = IIf( newsell, price, SellPrice );
     }
     //
     //if ( trade == "BUY" )
     //if ( StrMatch( trade, "BUY" ) )
     if( trade )
     {
      newbuy = dt == trade_datetime;
      BuyPrice = IIf( newbuy, price, BuyPrice );
      PositionSize = -StrToNum( StrExtract( line, IIf( !i, 1, 3 ) ) );
      Buy = Buy OR newbuy; // combine previous buy signals with new
      dbg = -StrToNum( StrExtract( line, IIf( !i, 1, 3 ) ) );
     }
    }
    //RestorePriceArrays();
  }
     }
     //
     fclose( fh );
}
else
{
     Error( "ERROR: file can not be open" );
}
//

//SetPositionSize( possize, spsShares );

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Posted by: "bluesinvestor .." <abmessages@gmail.com>

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