I know this is long, but does anybody know how to convert this system written in Amibroker code into Metastock? 

 

/*==============================================================================
Global Settings
==============================================================================*/
SetOption("InitialEquity", 1000000);
SetOption("MinShares", 50);
SetOption("NoDefaultColumns", True );
SetOption("CommissionMode", 2); //$$ per trade
SetOption("CommissionAmount", 0); // commission is accounted for in skid
SetOption("MarginRequirement", 10);
SetOption("UsePrevBarEquityForPosSizing", True);
SetOption("UseCustomBacktestProc", True );

SetTradeDelays( 1, 1, 1, 1 );

/*==============================================================================
User-defined Functions
==============================================================================*/
function EMA0(A, p)
{
r[0] = a[0];
ep = 2/(p+1);
for(i = 1; i < BarCount; i++)
{
r = r[i-1] + (a - r[i-1]) * ep;
}
return r;
}

function OptimizeNot(a1, a2, a3, a4, a5)
{
return a2;
}

/*==============================================================================
Entry and Exit Rules
==============================================================================*/
tr = Max(H-L, Max(abs(H-Ref(C, -1)), abs(Ref(C, -1)-L)));
tr[0] = H[0] - L[0];

fast = EMA0(C, Optimize("FastEMA", 15, 20, 140, 5));
slow = EMA0(C, Optimize("SlowEMA", 150, 150, 1000, 10));
Buy = Cross(fast, slow);
Sell = Cross(slow, fast);
Buy[1] = 0; // to avoid false signal at the beginning
//ApplyStop(stopTypeLoss, stopModePoint, ATR_multi*Ref(ATR0, -1), True, True
);

/*==============================================================================
Skid of Executions
==============================================================================*/
BuyPrice = (H+O)/2;
SellPrice = (L+O)/2;

/*==============================================================================
Position Sizing
==============================================================================*/
ATR_multi = OptimizeNot("ATP Multi", 5, 1, 9, 1);
ATR0 = EMA0(tr, 20);

Risk_Per_Share = Ref(ATR0, -1) * ATR_multi;
Heat = OptimizeNot("Heat", 0.10, 0.01, 0.50, 0.01);

PosSizeFactor = Heat / Risk_Per_Share;
// the real position size value is calculated within CBT
SetPositionSize(PosSizeFactor, spsValue);

/*==============================================================================
Automatic Analysis Action Options
==============================================================================*/
AAAction = Status("action");
if(AAAction == actionIndicator)
{
Plot(fast, "FastEMA", colorRed);
Plot(slow, "SlowEMA", colorYellow);
}
else if(AAAction == actionExplore)
{
Filter = 1;
AddColumn( DateTime(), "Date", formatDateTime );
//AddColumn(DayOfWeek(), "DayOfWeek", 1);
AddColumn(O, "Open");
AddColumn(H, "High");
AddColumn(L, "Low");
AddColumn(C, "Close");
//AddColumn(Avg, "AVG");
AddColumn(fast, "FastEMA", 1.3);
AddColumn(slow, "SlowEMA", 1.3);
AddColumn(ATR0, "ATR", 1.3);
//AddColumn(Risk_Per_Share, "Risk/Share");
AddColumn(IIf(Buy, 111, IIf(Sell, 222, 0)) , "Buy1Sell2", 1);
AddColumn(PosSize, "PosSize%Eq");
AddColumn(Equity() , "Equity");
}
else if(AAAction == actionPortfolio)
{
bo = GetBacktesterObject();
bo.PreProcess(); // Initialize backtester
for( bar=0; bar < BarCount; bar++)
{
eq =  bo.Equity;
for ( sig=bo.GetFirstSignal(bar); sig; sig=bo.GetNextSignal(bar) )
{
if (sig.isExit())
{
            if(bo.ExitTrade(bar,sig.symbol,sig.Price))
{
_TRACE("EXIT: " + sig.symbol + "@" + sig.Price);
}
}
}

        // update stats after closing trades
     bo.UpdateStats(bar, 1 );
      
     for ( sig=bo.GetFirstSignal(bar); sig; sig=bo.GetNextSignal(bar))
     {
if (sig.isEntry())
{
// sig.PosSize is passed from Phase I.
ps = Round(( eq * sig.PosSize)/250)*250 * sig.Price;

if(bo.EnterTrade(bar, sig.symbol, True, sig.Price, ps,
sig.PosScore,sig.RoundLotSize))
{
_TRACE("ENTRY: " + sig.symbol + " @" + sig.Price + " PosScore=" +
sig.PosScore + " PosSize=" + ps);
            }
}
}

//bo.HandleStops(bar); // MUST BE PLACED HERE TO WORK FOR N-BAR STOPS (not
before enter/exit trades)
bo.UpdateStats(bar,1); // MAE/MFE is updated when timeinbar is set to 1.
bo.UpdateStats(bar,2);
   }
bo.PostProcess(); // Finalize backtester

}
/*==============================================================================
End of Formula
==============================================================================*/

Hi HKGuy,

It's been a while since I played with AFL, but by the looks of things, this is just an EMA crossover system with position size defined using ATR.

You should be able to modify the "Equis - Moving Average Crossover" system test to acheive the same thing.

Be careful of tripping over the fine line between system optimisation and "curve fitting"


Hope this helps.

wabbit :D

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