//--------------------------------------------------------------------------------------------------
//
// BoilerPlate - Version 3
// - BruceR
// - updated - 10/1/08 - cleanup and added more comments
// - updated by trash - May 2012 - added additional comments and options
//
// The purpose of this include file is to initialize all backtesting/optimization "factors"
// to a default value. It also serves as a reference check to make sure that all of the
// factors have been accounted for.
//
// These factors fall into 3 categories -
//
// 1. Factors that are in the AA Backtester Settings
// 2. Factors that are NOT in Settings
// 3. Factors that in Settings but can NOT be set programmatically
//
// SO, the bottom line is that there is not a way to guarantee in one place that all
// factors are accounted for. Theoretically, to cover all options, a Settings file AND
// AFL settings should be used.
//
// Experience has also shown that users are reluctant to utilize a distributed Settings file.
// The best trade-off seems to be to set as many as possible programmatically, and to check
// the ones that can only be set in settings.
//
//--------------------------------------------------------------------------------------------------
// Initialize the trading parameters
//EnableRotationalTrading();
BuyPrice = SellPrice = ShortPrice = CoverPrice = Open;
SetTradeDelays( 1, 1, 1, 1 ); // SetTradeDelays( buydelay, selldelay, shortdelay, coverdelay )
/* applies the following
Buy = Ref( Buy, -buydelay );
Sell = Ref( Sell, -selldelay );
Short = Ref( Short, -shortdelay );
Cover = Ref( Cover, -coverdelay ); */
//SetBarsRequired(sbrAll, sbrAll); // set number of previous and future bars needed, sbrAll turns OFF quickAFL and uses all bars
//SetFormulaName( "TEST" ); // Allows to programatically change the name of the formula that is displayed in the backtest result explorer.
//:::::::::::::::::::::::::::::::::::::::::::: Backtest Mode Selection :::::::::::::::::::::::::::::::::::::::::::::::::::
// default, as in 4.90, regular, signal-based backtest, redundant signals are removed
//SetBacktestMode( backtestRegular );
// signal-based backtest, redundant (raw) signals are NOT removed, only one position per symbol allowed
//SetBacktestMode( backtestRegularRaw );
// signal-based backtest, redundant (raw) signals are NOT removed,
// MULTIPLE positions per symbol will be open if BUY/SHORT signal is "true" for more than one bar and there are free funds
// Sell/Cover exit all open positions on given symbol, Scale-In/Out work on all open positions of given symbol at once.
//SetBacktestMode( backtestRegularRawMulti );
// rotational trading mode - equivalent of EnableRotationalTrading() call
//SetBacktestMode( backtestRotational );
//:::::::::::::::::::::::::::::::::::::::::::: Backtest Mode Selection :::::::::::::::::::::::::::::::::::::::::::::::::::
SetOption( "InitialEquity", 10000 );
//Setoption("AccountMargin", 100 ); // 100 = no margin for shares; 50 = for 50% margin
// NOT the same as MarginDeposit for futures.
SetOption( "MinShares", 0.0001 ); // defines minimal shares to be bought
SetOption( "MinPosValue", 0 );
SetOption( "FuturesMode", False ); // False for Shares, True for FX or for Futures of course
SetOption( "AllowPositionShrinking", True ); // in case there is not enough cash set to True
SetOption( "ActivateStopsImmediately", False ); // True if you enter at Open. False if you enter at Close
SetOption( "ReverseSignalForcesExit", True ); // True for stop and reverse systems
SetOption( "AllowSameBarExit", True );
SetOption( "CommissionMode", 2 ); // overrides SETTINGS, 0 = Commision Table; 1 = percent; 2 = $ per trade; 3 = $ per share/contract
SetOption( "CommissionAmount", 0 );
SetOption( "InterestRate", 0 );
SetOption( "MarginRequirement", 100 );
//Reports, (deactivate reports generation during optimization,
//if you don't wanna have generated reports for every optimization process because it slows it down quite a bit!)
SetOption("GenerateReport", 0 ); // force generation of full report, slow
// ( 0 ) suppress generation of report
// ( 1 ) force generation of full report
// ( 2 ) only one-line report is generated (in results.rlst file)
SetOption( "PortfolioReportMode", 0 ); // 0-Trade list, 1- Detailed Log, 2- Summary, 3- No output
//SetOption("ExtraColumnsLocation", 14 ); // define column where you wanna have custom backtester columns in AA being located
SetOption( "MaxOpenPositions", 1 ); // Must be used with PositionSize.
// only works for Portfolio level testing with > 1 symbol
SetOption( "WorstRankHeld", 1 ); // Not in settings
SetOption( "PriceBoundChecking", False ); // Not in settings, set to False if you wanna include slippage/spreads into backtesting
// because trading prices would go outside H-L range of the bar - then you can disable automatic adjustment for trading prices by setting to False.
SetOption( "UsePrevBarEquityForPosSizing", True ); // set to False if you wanna use current equity for Pos Sizing
SetOption( "UseCustomBacktestProc", False ); // allows to turn on/off custom backtest procedure
SetOption( "DisableRuinStop", False ); // Not in settings
SetOption( "EveryBarNullCheck", False ); // Not in settings
SetOption( "HoldMinBars", 0 ); // Not in settings disables exits for this number of bars
SetOption( "HoldMinDays", 0 ); // Not in settings disables exits for this number of days
SetOption( "EarlyExitBars", 0 ); // Not in settings
SetOption( "EarlyExitDays", 0 ); // Not in settings
SetOption( "EarlyExitFee", 0 ); // Not in settings
SetOption( "SeparateLongShortRank", False ); // Not in settings
SetOption( "MaxOpenLong", 0 ); // Not in settings
SetOption( "MaxOpenShort", 0 ); // Not in settings
MaxPos = 100 * 100 / GetOption("MarginRequirement");
//PositionSize = -MaxPos / GetOption("MaxOpenPositions");
SetPositionSize( MaxPos / GetOption("MaxOpenPositions"), spsPercentOfEquity);
/*
spsValue (=1) - dollar value of size (as in previous versions)
spsPercentOfEquity (=2) - size expressed as percent of portfolio-level Equity (size must be from ..100 (for regular accounts) OR .1000 for margin accounts)
spsShares (=4) - size expressed in shares/contracts (size must be > 0 )
spsPercentOfPosition (=3) - size expressed as percent of currently Open position (for SCALING IN AND SCALING OUT ONLY)
spsNoChange (=0) - don't change previously set size for given bar
New SetPositionSize function automatically encodes new methods of expressing position size into old "positionsize" variable as follows:
values below -2000 encode share count,
values between -2000 and -1000 encode % of current position
values between -1000 and 0 encode % of portfolio equity
values above 0 encode dollar value
Although it is possible to assign these values directly to old-style PositionSize variable, new code should use SetPositionSize function for clarity.
*/
RoundLotSize = 0; // As per help files use 1 for shares and futures, or use fractions ( =0 ) for mutual funds.
// Per symbol information setting overrides global values in SETTINGS GUI
// AFL overrides SETTINGS.
// 1 is needed for shares to ensure we do not buy fractional shares.
// if we want to buy shares in parcels of multiples of 10, set this 10.
// if we want to buy shares in multiples of 100, we set this 100 and so on.
// if we set this 0 (zero) backtester will buy fractions of shares.
TickSize = 0; // 0 for no min. size
// TickSize is a special case. Settings can be made Globally (in SETTINGS) or per symbol, but do not override
// the BuyPrice or SellPrice arrays. Mainly of use therefore in conjunction with Applystops to make sure
// entries and exits take place at allowed true prices and not fictitious calculated levels. If we do not use
// Applystops, we should not need to specify TickSize.
// TickSize and Forex is a another special case
MarginDeposit = 0;
PointValue = 1; // For futures & Forex
ExitAtTradePrice = 0;
ExitAtStop = 1;
ExitNextBar = 2;
ReEntryDelay = 0;
ApplyStop( stopTypeLoss, stopModeDisable, 0, ExitAtTradePrice, ReEntryDelay );
ApplyStop( stopTypeProfit, stopModeDisable, 0, ExitAtTradePrice, ReEntryDelay );
ApplyStop( stopTypeTrailing, stopModeDisable, 0, ExitAtTradePrice, ReEntryDelay );
ApplyStop( stopTypeNBar, stopModeDisable, 0, ExitAtTradePrice, ReEntryDelay );
// THE FOLLOWING CANNOT BE SET PROGRAMMATICALLY AND SHOULD BE CHECKED
// Pad and align
// Reference symbol
// Risk-free rate Sharpe
// Risk-free rate UPI
// Add artificial future bar
// Limit trade size %
// Disable trade size limit
// Walk forward mode and data parameters
// Optimization target
//--------------------------------------------------------------------------------------------------
// ALL CUSTOM SETTING SHOULD BE DONE AFTER THIS
//--------------------------------------------------------------------------------------------------