AmiBroker

[GreatPig]

As I mentioned elsewhere, I've bought the standard version of AmiBroker and rather like it. It has one or two quirks, but has some pretty good features as well. I'm just using it with EOD data, but apparently it supports live intraday stuff too.

Thought I'd post a few images to show what it looks like.

Cheers,
GP

[GreatPig]

Unfortunately the portfolio manager only supports one portfolio, but it seems to keep track of the numbers pretty well. By comparison, BullCharts lets you define a number of different portfolios (don't know how many exactly - possibly unlimited).

GP

[GreatPig]

Building custom indicators uses a powerful-looking language called AFL.

GP

[GreatPig]

And it includes a facility for doing scans and back-testing.

I've used the explore facility to build up lists of stocks in certain price and volume ranges (as seen in the workspace in the first image) but haven't tried the back tester yet.

GP

[JetDollars]

GreatPig,

Thank you for sharing your charting experience with AmiBroker.

[JetDollars]

GreatPig,

When Import ASCII format EOD data, do you have any problem with it. I try to import 1997 EOD data from www.float.com.au it took 5 hours to completed the import.

I still have 1998-2005 to import, is there a better and faster way to import.

[Milk Man]

GreatPig,

When Import ASCII format EOD data, do you have any problem with it. I try to import 1997 EOD data from www.float.com.au (http://www.float.com.au/) it took 5 hours to completed the import.

I still have 1998-2005 to import, is there a better and faster way to import.

I use CSV format to import and hasnt given me any trouble. Can you reformat to csv then try again? Just a tip, try with one file at a time, because its annoying enough when it doesnt work and takes 5 mins let alone 5 hours. I have to tick 'allow negative values' and 'no quotation data' as well as change the date format; dont know if its relevant but it may be good to have in mind.

Good luck! :)

[GreatPig]

JetDollars,


I try to import 1997 EOD data from www.float.com.au it took 5 hours to completed the import
Importing a number of years worth of data doesn't take long.

Just to try it, I cleaned out my database and imported all of 1997-2004 again (2014 files). The whole thing took just under two minutes to import, and another 20-30 seconds to save (ie. write to files).

Milk Man: the files from float.com.au are CSV files, although they have a filename extension of .TXT. They're compatible with Metastock ASCII format.

GP

[GreatPig]

JetDollars,

If it helps, here's the import format file I use:

$FORMAT Ticker, Date_YMD, Open, High, Low, Close, Volume
$SKIPLINES 0
$SEPARATOR ,
$CONT 1
$AUTOADD 1
$DEBUG 1
$NOQUOTES 1

Cheers,
GP

[JetDollars]

MilkMan & GreatPig,

Thank you, the problem I got was that the Zip file that I downloaded 1 year ago from Float.com.au was corrupted.

When I download it again and allow negative data as well as no quotation it work like magic.

Start learning AFL now.

[Milk Man]

MilkMan & GreatPig,

Thank you, the problem I got was that the Zip file that I downloaded 1 year ago from Float.com.au was corrupted.

When I download it again and allow negative data as well as no quotation it work like magic.

Start learning AFL now.

Thats the fun part! :) Amibroker forums and website are good sources of info; if you ask Tomasz (the creator!) a question on the forum he usually responds, and pretty promptly too. Try to get a hold of Bill Gates to help you with windows! If you need to know straight away or he doesnt respond then Greatpig and Kaveman are awesome at amibroker problems too.

[JetDollars]

GreatPig & Milkman + Other,

Quick question for you:

How to change colour in AmiBroker to:
Up to RED?

I tried but the chart only shown RED along the border of candlestick not the whole candle.

See image for details.

AFL as following:
Plot( C, "Close", IIf( C > O, ParamColor("Up Color", colorGreen ), ParamColor("Down Color", colorRed )), styleNoTitle | ParamStyle("Style") | GetPriceStyle() );

[captain black]

click on Tools>Preferences>Charting (tab)

Under candlesticks (use distinct color for candlestick): select "Body outline and shadow" (or "shadow only" if you prefer).

[JetDollars]

Thank you, I was concentrating on the formula, never take a tour!

[captain black]

it's well worth a tour, there's some amazing stuff under the hood ;)

[markrmau]

Anyone know how to do monte carlo analysis with amibroker?

Or do I have to use 3rd party software such as

http://www.tickquest.com/product/equitymonaco.html

Thanks, Mark.

[captain black]

In the files section of the AB user's mailing list is a "MonteCarlo Portfolio backtester" folder. It contains an excel spreadsheet named "MCS calculations for Amibroker". Instructions are with the file, I've found it quite useful. It also works with Open Office Calc spreadsheet.

[zzkazu]

Tradesim and Bullcharts does it for me.... MC that is..

Invest in Aussie is the way to go... Not the main reason why I purchased but it pushed it over the line..

Burp.. too ,many VB's..

zzkazu :goodnight :p:

[mrfirkin]

Is Amibroker that much better, if at all, than Incredible Charts (considering that IC is free)?

[captain black]

Is Amibroker that much better, if at all, than Incredible Charts (considering that IC is free)?

Yes

:D

[mrfirkin]

Thanks Captain Black,

Incredible Charts just looks less complicated and comes with data for $18AUS Per month.

What would be the best data supplier for AB Standard and roughly how much would that cost?

Cheers,
MF :)

[captain black]

Amibroker is compatible with the major data formats (MS, Ascii CSV, etc.) I use an MS database for EOD and the Quotetracker plugin enables me to gather intraday data.(Free with brokerage account).

Good quality data supply is around $30-$35/month, should be a few threads here regarding data supply.

Amibroker has a 30 day free trial, may be worth downloading it and giving it a test run. For general charting etc. then IC may be better value, but for serious backtesting capabilities then Amibroker is miles ahead IMHO. Tech/A has written some excellent stuff here on the importance of a trading plan and system development (eg. positive expectancy,system drawdown,etc.), Amibroker's backtesting capabilities and metrics are only limited by your imagination.

Whether Amibroker or IC is better value will depend on your personal circumstances, only you can answer that question.

All the best,
The Captain

[mrfirkin]

Thanks Captain Black.

I will download it and have a play.

Cheers,
MF :)

[captain black]

HTH

The trial version is basically fully functional except that any changes made are not saved and a few restrictions on the number of stocks that can be used in the backtester from memory.

Have a good look around the AB website, there's heaps of "add-on" extra's that make AB easier to setup if you decide to purchase. Or you can ask any questions here of course :) ,seems to be quite a few AB users here too.

All the best,
The Captain

[markrmau]

Is it possible to dynamically change the universe - eg based on the 100 stocks with greatest liquidity over last 90 bars?

T90=MA(C,90)*MA(V,90);

I want my current 'universe' to be 100 stocks with greatest value of T90.

(I just want to backtest over 10years, but if I use ASX100, you may bias results to companies that haven't been delisted - such as you wouldn't include SGW or ION....)

Thanks,Mark.

[mickaussie2003]

In the files section of the AB user's mailing list is a "MonteCarlo Portfolio backtester" folder. It contains an excel spreadsheet named "MCS calculations for Amibroker". Instructions are with the file, I've found it quite useful. It also works with Open Office Calc spreadsheet.

Hi there,

could you explain in more detail where to find this folder, I cannot locate it as I am not sure where you are referring to.

Cheers

[captain black]

Amibroker user's group is here:

http://finance.groups.yahoo.com/group/amibroker/

Click on "files" on the left hand side and look for a folder named " MonteCarlo Portfolio Backtester". The MCS spreadsheet is in there. (you need to be a group member to access the files section IIRC )

[sawios]

anyone knows as I have an idea to display the candlestick in 3 colors: the existing is bullish(usually green) and bearish (usually red)....but I need the third...that is white for sideways...is anyone have an idea to make the third color using AFL.

Thanks & Reg
Kusnadi

[daveM]

Howard From what i see in the job postings for quant traders in Chicago, employers like to see a profit factor of > 3 and a Sharpe ratio of > 5. From your experience in system development...... have you seen these numbers attained with Amibroker.... I have no aspiration to work for one of these firms, my goal is to make a worthwhile system for myself and I am wondering what i can shoot for.... Thanks so much for your insights. daveM

[howardbandy]

Hi Dave --

Am I the Howard you are asking?

Can you post a link to some of the employment opportunities you are referring to?

From the question, there might be two different classes of employers.
1. Proprietary trading houses who want people who have trading systems to join them as traders.
2. Hedge-fund types who want quantitative analysts to join them as employees who will be developing systems.

You mention two metrics, Sharpe Ratio > 5 and Profit Factor > 3.

Sharpe ratio is essentially (System return-Risk Free return)/Standard Deviation. I have a long-standing offer of dinner and drinks on me, followed by creating a trading partnership, to anyone who can provide a system that has Geometric mean of expectancy greater than standard deviation of expectancy on 100 out-of-sample trades. Assuming a risk free return of 0.0, the Sharpe Ratio would be 1.0. And trading that system would let us buy Manhattan in a couple of years. No one has come forward -- not even to suggest they have one but unfortunately they can't tell me the details. A Sharpe Ratio of 5 in actual trades, or even out-of-sample backtesting, is vanishingly close to impossible. Maybe they have a different definition.

Profit Factor is Amount Won / Amount Lost. Or (Percent Wins * Average Win) / (Percent Losses * Average Loss). If a system has wins of $100,000 and losses of $30,000, its profit factor is 3.33. That is doable.

Thanks,
Howard

[daveM]

Thanks Howard... I will search for that ad again, I have seen it twice in recent months. Once I find it I will post the URL. As all budding system developers aspire, I would like to know what is the baseline and i am well aware that you have explored these matters extensively.. The profit factor number I have achieved more than once, the Sharpe ratio has been really elusive .30 is a high number for me and that is why I thought I would ask someone else.. Thanks so much for taking time to reply. daveM

[daveM]

Howard....... I am definitely motivated to take you up on the offer of dinner... Sometimes the backtesting gets to be a grind...... the thought of dinner can add a lot of enthusiasm to the task. lol

[daveM]

Howard I see that you are about to publish a new book, perhaps it is available already. Can you provide an update as to its status...? I am going to require all the knowledge i can get my hands on if I am going to have an opportunity to join you for dinner.... Thanks again for your help daveM

[howardbandy]

Howard I see that you are about to publish a new book, perhaps it is available already. Can you provide an update as to its status...? I am going to require all the knowledge i can get my hands on if I am going to have an opportunity to join you for dinner.... Thanks again for your help daveM

Hi Dave --

The next book to come out will be "Modeling Trading System Performance" It has a website:
www.modelingtradingsystemperformance.com
I am within a few weeks of being done writing. The editors will take a few weeks, and the printers about six weeks. I hope it will be available about May 1.

You can read an early draft of the introduction now at the book's website. A later draft will be posted in a few days.

This book is platform independent. It discusses modeling, simulation, position sizing, risk, and statistics. Everything is fully explained and you will be able to do everything that is the book using Excel along with free or inexpensive tools.

Comments on the draft materials are welcome.

This is one of two parts of what started out to be a giant volume about "Advanced AmiBroker." As I was writing, I realized I was trying to do too much in one book. The AmiBroker part will come out later in a book of its own.

Thanks,
Howard