amibroker

When we import data from ASCII (plain text) files, sometimes the data in the input files are arranged in columns separated by different characters. This article shows how to configure Import Wizard / ASCII Importer to import such data correctly.

Let us consider data file using the following format

Ticker,Date/Time,Open,High,Low,Close,Volume
EURUSD,2011-06-13 20:19:00,1.4421,1.4421,1.4419,1.4419,332
EURUSD,2011-06-13 20:20:00,1.4419,1.4419,1.4418,1.4418,298
EURUSD,2011-06-13 20:21:00,1.4418,1.4418,1.4416,1.4417,192


In this sample data file columns are separated with a comma, with one exception – date and time columns are combined together, with a space in between. ASCII importer requires us to specify Date and Time columns separately. Fortunately – there is a way to treat space and comma both as separators at the same time.

To configure Import Wizard, we need to specify columns to match the input data, treating Date and Time as two separate columns (Column 2 and Column 3 in this case), additionally we need to set Separator field as Comma or Space, so the importer would properly recognize space as a character delimiting the new column.

This way our data will be imported properly. There are also other multiple separator choices available in the Import Wizard, such as Tab or Space and Semicolon or Space that can be used if your data file uses tabs or semicolons as primary column separator.

If we build our import definition file manually for ASCII importer, we can also specify multiple separators, by enclosing the required characters in quotation marks in $SEPARATOR command. The equivalent format definition for the above input data would look like this:

$FORMAT Ticker, Date_YMD, Time, Open, High, Low, Close, Volume
$SKIPLINES 1
$SEPARATOR ", "
$CONT 1
$GROUP 255
$AUTOADD 1
$DEBUG 1


More information about ASCII importer and Import Wizard functionalities can be found in the manual:
http://www.amibroker.com/guide/w_impwizard.html
http://www.amibroker.com/guide/d_ascii.html

Filed by Tomasz Janeczko at 3:56 am under Data
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The Filter window in the Analysis screen allows us to define a filter for symbols according to category assignments, for example watchlist members (or a result of mutliple criteria search).

The filter allows us to select one watch list for “inclusion” and one for “exclusion”. To include members of more than one watchlist, we can not simply pick them both in the Filter window – we need to combine these symbols together in another dedicated watchlist storing symbols from both lists.

Let us say we want to run a test on members of List 1 and List 2. To combine these watchlists together we need to follow the instructions below.

1. Click on List 1, then in the bottom part of the Symbols window mark all tickers. A multiple selection is done by clicking on first and last item in the list while holding down the Shift key. We may also select all symbols by clicking on any symbol and pressing Ctrl+A key.

   

2. Now click on the selection with right mouse button and choose Watch list->Add selected symbol(s)

   

3. Pick an empty watchlist that we will use to combine our tickers (e.g. List 5 ) and confirm to add multiple symbols:

   

4. Repeat the above steps 1-3 with List 2 members
5. Now we can pick List 5 in the Filter window and run the test on all the tickers

   

An alternative solution to this is to filter out unwanted symbols in the code. In this case AmiBroker would need to run analysis for all tickers (so Apply to would need to be set to All symbols) and apply filtering while executing your formula. To do so you may use code like this for backtesting (filtering Buy signals):

or code like this in exploration (adding extra condition to Filter variable):

Please keep in mind that filtering in the code is significantly slower. Using this method AmiBroker needs to read the data for all tickers, prepare arrays, then evaluate the formula and verify the condition – so using Filter window and the first approach will be faster, as the filtering is done before the formula execution, saving lots of time required for data retrieval and AFL execution.

Filed by Tomasz Janeczko at 4:21 am under Analysis
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Explorations allow to display not only numerical data but also text, there are however certain restrictions what can and can’t be displayed in the exploration result list as a text.

AddTextColumn() function allows to display strings, so we can use it for displaying e.g. full name of the symbol or category assignment information:

It is worthwhile to note that these strings displayed above do not vary across historical bars. That is important, because there is no such structure in AFL as an ‘array of strings’, therefore an attempt to generate a text, which varies on each bar will not work. Instead a string representing selected array value (or last value) will be displayed.

Let us check such a formula to illustrate the above statement:

If we look at the output over more than one bar, then we can see that the condition from the last bar determines the text output in the column:

Therefore, such approach as above can only be used in situations where we run the exploration applied e.g. to 1-Recent bar, because it’s the last bar from the range which determines the text displayed in the column in such situation.

If you want to display the value for other bars than last bar of selected range, you need an extra column, like this:

You can use functions like Ref() or ValueWhen() to refer to other bar’s data, or you can use array subscript operator like this condition[ 1 ] to get value of condition at bar with index 1.

There is an alternative method to display values that change on bar by bar basis as letters though. Instead of displaying full string we can display single characters in a column using formatChar parameter, as shown in the code below:

Note: If you are using version older than 5.90, you need to use Asc function instead of single-character literals, as shown below:

More information about explorations can be found in the manual:
http://www.amibroker.com/guide/h_exploration.html

Filed by Tomasz Janeczko at 4:40 am under Exploration
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There are several ways to transfer the backtest results to a spreadsheet.

1. Immediately after the test we can just click on the results list with right mouse button and choose Copy from the menu. It is also possible to click on the results and use Ctrl+C key shortcut.

   

   The operation will copy the entire list, so there is no need to select all rows manually.

2. After the test, we can also use File->Export option from the main program menu to export the results list to a CSV or HTML file, which could be opened from Excel later on.

   

3. Backtest results are also accessible through the Report Explorer:

   

   In order to open detailed report for the particular test it is enough to double-click on the selected line. Then, after we navigate to Trade List page, to copy the results, the best option to use is Edit->Copy Table

   

   Unlike the regular Copy option, Copy Table transforms HTML tables into CSV format and copies it into clipboard so tables can be pasted easily to Excel. Also it divides Entry/Exit columns into separate Entry/exit date/price columns.

Filed by AmiBroker Support at 3:14 pm under General
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The full name of the security can be retrieved in AFL using FullName() function.

In order to add such information to the built-in Price chart, we need to do the following:

1. Click on the chart with right mouse button
2. Choose Edit Formula from the context menu
3. Modify the Title definition line, the built-in code contains:_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%)",
                     O, H, L, C, SelectedValue( ROC( C, 1 ) ) ))

   We need to change it into:

   _N(Title = StrFormat("{{NAME}} - " +
                      FullName() +
                      " - {{INTERVAL}} {{DATE}} " +
                      "Open %g, Hi %g, Lo %g, Close %g (%.1f%%) Vol %.0f",
                      O, H, L, C, SelectedValue( ROC( C, 1 ) ), V ) )
4. To apply these changes choose Tools->Apply Indicator from the menu.

If we have Full name information imported into the database and visible in Symbol->Information window, the updated chart title will show it next to the ticker name.

Filed by AmiBroker Support at 3:40 pm under Indicators
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In order to select color before drawing the trendline or other studies it is enough to choose the color in Color Pick (Select color) toolbar button located in the Format toolbar.

This allows to avoid drawing the line and changing color later on in line Properties dialog.

Filed by AmiBroker Support at 3:46 pm under Charting
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By default, when we run backtest over a group or watchlist of symbols – AmiBroker will perform a portfolio test. However, there is also an Individual mode of the backtest available, where every symbol is tested individually and independently.

Once we send the formula to Analysis window and define group of symbols to run code on (Apply To), in order to run an individual backtest, it is necessary to unfold the menu next to Backtest button and choose Individual Backtest from the menu.

To get full report generated for each of the tests, it is required to first go to Analysis–>Settings->Report tab and mark Generate detailed reports for each symbol in individual backtests option.

Then the full reports can be accessed through the Report Explorer.

The letter I indicates that the report contains results of an individual test. Double-clicking on the particular results line will show full contents of the backtest report.

Filed by AmiBroker Support at 6:15 am under Backtest
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For the purpose of calculating the correlation between two data-arrays, there is a Correlation() function in AFL which can be used.

In order to display a correlation chart, please select Analysis–>Formula Editor menu and enter the following code:

Now select Tools->Apply Indicator. Initially the code will pick the selected symbol’s Close prices for both arrays, so we either need to change the selected ticker in the chart or the second symbol, which can be defined in Parameters dialog.

We can also use Exploration feature to display a correlation matrix e.g. for the watchlist members. The below example shows the process for Watchlist 0 members.

The formula to display correlation table looks as follows:
// read the list of symbols from Watchlist 0
symlist = CategoryGetSymbols( categoryWatchlist, 0 );

// display only last bar from the Analysis range
Filter = Status( "lastbarinrange" );

// iterate through symbols
for ( i = 0; ( sym = StrExtract( symlist, i ) ) != ""; i++ )
{
    // calculate correlation over 252 bars
    Corr = Correlation( C, Foreign( sym, "C" ), 252 );

    // set color dynamically based on correlation values
    // and display the output in exploration column
    Clr = 32 + SelectedValue( Corr ) * 32;
    AddColumn( Corr, sym, 1.2,
               ColorHSB( 128 + Clr, 255, 255 ),
               ColorHSB( Clr, 255, 255 ) );
}

SetSortColumns( 1 )

To use the formula we need to do the following:

1. assign some symbols to watchlist 0
2. select Analysis->Formula Editor menu
3. in the AFL Editor enter the code listed above
4. select Tools->Send to Analysis menu
5. in the Analysis window, select Apply to: Filter (in Include tab hit Clear and pick watchlist 0)

   

6. select Range: 1 Recent bar (in case of longer range, last bar of the range will be used for output)
7. press Explore button

Here is a sample output table:

Be careful and try not to put 10000 items in the watch list because it would need to create a table with 10K columns. Windows has some limits on pixel width of the list view and it would truncate display when the display width (scrollable area inside list) exceeds 32767 pixels. That makes it practical only to display matrices of not more than about 1000-2000 columns.

Filed by Tomasz Janeczko at 5:59 am under Exploration
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AmiQuote downloader allows to get free quotes from a number of sources included Google Finance. AmiQuote works like a specialized web-browser, so the quotations can be downloaded if they are accessible at the website of that particular data-vendor. In case of Google Finance downloads, not every symbol that is present on their site is available for historical download.

Google Finance page does NOT allow downloading historical data for non-US (international) symbols and some indices.

If you have trouble downloading particular symbol (you are getting errors in AmiQuote), chances are that Google Finance does not allow downloading data for this symbol. To verify that we need to look for Download to spreadsheet link on Google Finance page as instructed below:

1. Visit http://finance.google.com/
2. Use Search field to find the symbol we need, e.g. MSFT
3. Go to Historical Prices section and look for Export: Download to spreadsheet

If Export: Download to spreadsheet is present, it means that historical data are available for download. If the link is NOT present – it means no data for download. As you can see in the picture below, the link is present for US stocks like MSFT:

But Download to spreadsheet link is missing for SP500 and PLC (Traded on London Exchange) – as you can see using these two links:
Historical Prices page for SP500 (no download link)
Historical Prices page for TESCO, PLC (no download link)

Filed by Tomasz Janeczko at 6:33 am under AmiQuote
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Sometimes Interactive Brokers symbology may be difficult to figure out. It is however very easy to find out proper symbol using Contract Description window in the TWS.

The general format for symbols that AmiBroker uses to access Interactive Brokers’ data is:

SYMBOL-EXCHANGE-TYPE-CURRENCY

The symbols must be entered in UPPER case. CURRENCY may be skipped if it is USD. TYPE can be skipped if it is STK (stock). EXCHANGE can be skipped if it is SMART.

To find correct symbol using TWS follow these steps:

1. Select desired symbol in TWS
2. Click on the line with right mouse button and select Contract Info->Description menu

   

3. Now read the values from the Description window and use them to build proper symbol for IB plugin

   

As per rules mentioned above, if CURRENCY is USD it may be skipped so we can use either ESZ4-GLOBEX-FUT-USD or ESZ4-GLOBEX-FUT.

For non-US symbols the procedure is the same, so TESCO PLC would be TSCO-SMART-STK-GBP. In this case we can not skip SMART and STK because we need to specify currency, and it is 4th part of the symbol. If we skipped SMART and STK, IB plugin would think that GBP is second part of dash delimited string and interpret it as exchange, and this is NOT what we want.

Filed by Tomasz Janeczko at 4:29 am under Data
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