amibrokerIn this short article we will show how to calculate and plot trailing stop using two different methods. (more…)
Filed by AmiBroker Support at 11:06 am under Indicators
1 Comment
If we are backtesting the intraday strategy and we do not want to keep open positions overnight – then it’s necessary to force closing all the open positions before the session end. In order to code it in AFL – the easiest is to use TimeNum() function for that purpose. (more…)
Filed by AmiBroker Support at 5:19 am under Backtest
Comments Off on How to close open positions at the end of the day (for daytraders)
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
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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()
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NOTE: THIS ARTICLE IS NOW OUTDATED AS AMIBROKER SUPPORTS NEW BACKTEST MODE THAT HANDLES THIS NATIVELY http://www.amibroker.com/f?setbacktestmode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.
// YOUR TRADING SYSTEM HERE
Buy= H == HHV( H, 10 ); // REPLACE THIS WITH YOUR OWN BUY RULE
Sell = L == LLV( L, 10 ); // REPLACE THIS WITH YOUR OWN SELL RULE
PositionSize = -20;
SetOption("MaxOpenPositions", 5 );
// END OF TRADING SYSTEM HERE
// COMMON CODE PART
// TO BE COPY-PASTED if you want keep redundant signals
// This is long-only version.
// It is easy to extend to handle short trades as well
Buy = IIf( Buy, sigScaleIn, False ); // replace regular buy signals by scale in
// so they do not get filtered
SetOption("UseCustomBacktestProc", True );
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess(); // Initialize backtester
for(bar=0; bar<BarCount; bar++)
{
for ( sig=bo.GetFirstSignal(bar); sig; sig=bo.GetNextSignal(bar) )
{
// first handle exit signals
if (sig.IsExit() AND sig.Price != -1 )
{
// Exit Signal
bo.ExitTrade(bar,sig.symbol,sig.Price);
}
}
// update stats after closing trades
bo.UpdateStats(bar, 1 );
bContinue = True;
for ( sig=bo.GetFirstSignal(bar); sig AND bContinue;
sig=bo.GetNextSignal(bar))
{
// enter new trade when scale-in signal is found
// and we don't have already open position for given symbol
if (sig.IsScale() AND sig.Price != -1 AND
IsNull( bo.FindOpenPos( sig.Symbol ) ) )
{
// Entry Signal
if( bo.EnterTrade(bar, sig.symbol, sig.IsLong(),
sig.Price,sig.PosSize) == 0 )
{
// if certain trade can not be entered due to insufficient funds
// or too small value (less than "MinPositionValue") or
// to few shares (less than "MinShares"
// then do NOT process any further signals
bContinue = False;
}
}
}
bo.UpdateStats(bar,1); // MAE/MFE is updated when timeinbar is set to 1.
bo.UpdateStats(bar,2);
}
bo.PostProcess(); // Finalize backtester
}
Filed by Tomasz Janeczko at 5:50 am under Custom Backtest
Comments Off on Using redundant signals for entries
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
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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