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The order stops are triggered in the backtest is the following:
 – Fixed Ruin stop (loosing 99.96% of the starting capital)
 – Max. loss stop
 – Profit target stop
 – Trailing stop
 – N-bar stop* (see below)

In versions 4.61 and higher: you can decide if N-BAR stop has the lowest or the highest priority. (more…)

Filed by AmiBroker Support at 6:48 am under Stops
Comments Off on Stops priority in the default backtest procedure in AmiBroker

In order to automatically change a property for many symbols – instead of manual action in Symbol -> Information dialog one can use OLE automation.
For example – to unmark “Use only local database” option for all the symbols, it’s enough to run such SCAN:

– Analysis -> Formula Editor:
– enter:

– Tools -> Send to Auto-analysis
– Apply to: All Symbols, N-last quotations = 1
– press SCAN

The other example shows how to rename all the symbols and replace .TO suffix with -TC (this may be useful when we want to use the existing historical data with a new datasource which uses a different symbology).

– Analysis -> Commentary
– enter:
AB = CreateObject("Broker.Application");
sts = AB.Stocks();
Qty = sts.Count;
for( i = Qty - 1; i >= 0; i = i - 1 )
{
 st = sts.Item( i );
 Ticker = st.Ticker;
 printf("changing " + ticker + "\n" );
 Length = StrLen(Ticker );
 if( StrFind(ticker, ".TO") )
      st.Ticker = StrLeft( ticker, Length-3)+"-TC";


– press APPLY
– use: VIEW -> Refresh All to see the changes in the symbol tree.

CAVEAT: The commentary formula above iterates through ALL SYMBOLS in the database, therefore, if your database is big (has more than 100 symbols) it may be SLOW, and you may experience “not responding” message, but it is NORMAL. It does not mean that program has stopped working. It just means that it has not completed iteration yet. In that case just WAIT and don’t touch it.

Filed by AmiBroker Support at 10:03 am under Data
3 Comments

If one wants to display a Candlesticks in one chart pane and Bars in another one, then it’s necessary to use a formula which does not read the settings from: View -> Price Chart Style.

The following custom Price formula allows to achieve this: (more…)

Filed by AmiBroker Support at 9:54 am under Indicators
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Here is an article that tells you everything you need to know about using AmiBroker for trading FOREX markets. (more…)

Filed by AmiBroker Support at 2:56 am under Data
3 Comments

In order to display trade arrows, first of all – it’s necessary to enable the arrows for particular chart. To do so – right-click on the chart pane of your choice, choose: Parameters -> Axes&Grid, then set: Show trading arrows to YES, as shown in the screenshot. (more…)

Filed by AmiBroker Support at 2:54 am under Backtest,Indicators
5 Comments

In the March 2006 “Letters to S&C” section I found the following request:

“I am looking for and add-on […] that would enable me to build an equity curve from buy/sell signals that the trader directly draws over the price graph of a commodity; for example, using specific active vertical lines. Such a software would be of great help for discretionary traders to validate their semiautomatic systems. — PH CHAMBAULT”

And I just thought that it would be nice example of using AFL’s Equity() function and ParamTrigger()

(more…)

Filed by Tomasz Janeczko at 9:06 am under Indicators
6 Comments

NOTE: THIS ARTICLE IS NOW OUTDATED AS AMIBROKER SUPPORTS NEW BACKTEST MODE THAT HANDLES THIS NATIVELY http://www.amibroker.com/f?setbacktestmode

The sample code below shows how to use custom portfolio backtester procedure to change the way backtester works. Normally buy is matched against sell and redundant buy signals between initial buy and matching sell are removed as shown in the picture there:
http://www.amibroker.com/gifs/bt_regular.gif

The procedure below changes this behaviour and allows to use redundant signals (they are not removed).

This is done by changing Buy array values from “true” to sigScaleIn (this prevents redundant signals from being removed because scale-in marks are kept untouched) and modifying standard procedure to treat scale-in signals as normal buys (no scaling).

Note that there are many ways to achieve the same effect. The technique presented here was choosen because it is easy-to-use (does not require changes in your core trading system code – all it needs is to plug-in the custom backtest part). Longer implementation would be required if you do not want to (ab)use scaling signals.

One thing worth mentioning is the fact that since scaling-in signals do not store position score this example formula does not support ranking of signals according to user-defined scores.

Filed by Tomasz Janeczko at 5:50 am under Custom Backtest
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Here is a sample that shows how to create custom metric based on per-trade statisitics.
In this example we will calculate the average value of MAE (maximum adverse excursion) from all trades.
(more…)

Filed by Tomasz Janeczko at 3:20 pm under Custom Backtest
Comments Off on Adding custom metric: Average adverse excursion

When you are using intraday database daily candles are usually constructed by time-compression of intraday (for example 1-minute data). AmiBroker offers lots of flexibility when it comes to defining intraday-to-daily time compression.
(more…)

Filed by AmiBroker Support at 7:31 pm under Data
2 Comments

As you know Portfolio backtester creates special ticker “~~~EQUITY” which holds portfolio-level equity of the system under test. Some may find it useful to save this equity into another symbol after backtest for future analysis and/or comparison. Good news is that it is possible to do that automatically using custom backtester procedure and AddToComposite function. The formula below shows how.
(more…)

Filed by Tomasz Janeczko at 2:32 pm under Custom Backtest
3 Comments