Nick and Sergiy,
Thanks again for your help.
Finally, I found a workaround for my problem. The code now looks something like this:
-- snip --
sysuse sp500, clear
* This is the manual version of the string:
local ManualStr "myCommand, Opt1(\`Val1') Opt2(\`Val2')"
* Here, the string is replicated by looping through a forval loop:
local LoopStr "myCommand,"
forval j=1/2 {
local LoopStr "`LoopStr' Opt`j'(qq_Val`j'')" // <-- use qq_ (or another string) rather than \`
}
local LoopStr = subinstr("`LoopStr'", "qq_", "\`", .) // <-- replace "qq_" by "\`". This works.
* Here is the reason why values Val1 and Val2 cannot be defined in advance:
gen Result = .
sum date
local N=r(N)
forval t=2/`N' {
local Val1 = close[`t']
local Val2 = volume[`t']
`LoopStr' // <-- Evaluation of LoopStr
replace Result = r(myResult) in `t'
replace close = close[`t'-1] + Result - open in `t'
replace volume = volume[`t'-1] - Result + open in `t'
}
-- snip --
Like this it is sufficient to derive the "LoopStr" only once. Afterwards, "LoopStr" is evaluated for observations t=2,...,`N'.
What for do I need this? I am evaluating several investment strategies. These strategies basically consist of three parts: Trading signal (should I buy or sell a certain asset on a given day t), transaction size (how much to trade), and position size (how much is held by end of the day). The size of the position by end of day t-1 impacts on the trading signal which in turn determines the position size by end of day t. Since there are various signal and position sizing algorithms I am looking at, my backtesting procedure (an ado program) should allow for quite some flexibility. To me an evaluation string (i.e. the "LoopStr") seems like a good idea for implementing such a task. Of course I totally agree with Nick's claim that one should define inputs in advance. However, I could not figure out how to efficiently code this in this specific case.
Thanks again.
Cheers,
Daniel
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A-03-03-E
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