|
PureBytes Links
Trading Reference Links
|
xxTrader is an external Scoring&Ranking Backtester for AmiBroker.
It requires the ABtool.dll plugin v0.9.21 or higher. The file can be
downloaded from the ABtool and xxTrader home page at:
http://groups.yahoo.com/group/abtool
Documentation of xxTrader's Scoring&Ranking Backtester Part:
Installation and configuration steps:
1) xxTrader.exe requires AmiBroker v4.x or higher and the ABtool.dll plugin
version 0.9.21 or higher. As usual the plugin must reside in the "Plugins"
directory under the AmiBroker base directory.
2) You must add the full path to the "Plugins" directory into your PATH environment
variable. Otherwise xxTrader.exe cannot find/load the ABtool.dll. For example
the following string must be appended to your PATH variable:
;C:\Program Files\AmiBroker\Plugins
Consult your operating system manual on how to do this. Mostly it is done
via "My Computer/Advanced/Environment variables". Select PATH and append your string.
3) xxTrader.exe must be put into the ABtool directory.
You can add it to the Tools menu of AmiBroker. But then leave the working
directory empty, and also don't specify any parameters.
AND: before starting xxTrader AmiBroker+ABtool must already be running.
So, it is wise to put xxTrader into the Tools menu of AB and start it only
from there.
4) Put the xxRankedSys.afl file into ABtool/Systems/xxRankedSys directory.
Create this directory if it isn't already existing.
5) Put the xxScoring.afl file into ABtool/Systems/xxRankedSys directory.
This is the only source you should edit. Place your scoring algorithm
in this file. There is already a default algorithm supplied.
6) If you would like to start a batch file before the backtesting begins then
place the file PreRun.cmd into the ABtool/Systems/xxRankedSys directory
and edit its content for your needs. The default PreRun.cmd does nothing.
7) If you would like to start a batch file after the backtesting ended then
place the file PostRun.cmd into the ABtool/Systems/xxRankedSys directory
and edit its content for your needs. The default PostRun.cmd file starts
Excel and opens the resulting CSV files (tested only under Win2000).
Operating instructions:
1) Start AmiBroker
2) Start xxTrader
3) If there are any xxTrader related files open in any program (for example in Excel)
then close them (otherwise you will be prompted to close them before writing the results).
4) From the Tools menu of xxTrader invoke xxRankedSys and fill the required fields
and start the process by pressing the OK button.
5) The results will be put into the ABtool/Systems/xxRankedSys directory. The files are
Portfolio*.csv and
Summary.csv
Summary.csv is a collection of all results, whereas the Portfolio*.csv file will be
overwritten after each run with the same initial capital.
How it works:
1) xxTrader asks user for parameters and writes them to the file xxParameters.afl
2) It invokes AA which then executes the system script
3) The system script calls user functions in xxScoring.afl
4) The results are put into CSV files
5) Via PostRun.cmd, Excel or any other application can be started to analyze the results files
6) The system settings are preserved for the next run.
Your part:
The ranking and producing of the results is done by xxTrader. Your part is to supply
the scoring routine. It must be done in ABtool/Systems/xxRankedSys/xxScoring.afl.
Edit this file to suit your needs. Do not edit the xxRankedSys.afl file.
The scoring should be a number between 0 and 100, but this up to you; you can
also use a different range. Just imagine where it would be placed if sorted.
In xxTrader the interpretation of the Score is as follows:
- The higher the score the better it is for Short trades
- The lower the score the better for Long trades
See also:
- ABtool/Systems/xxRankedSys/xxScoring.afl
- ABtool/Systems/xxRankedSys/xxParameters.afl (will be generated by xxTrader)
- ABtool/Systems/xxRankedSys/PostRun.cmd
- the discussions on this in the abtool group: http://groups.yahoo.com/group/abtool
Results in Portfolio*.csv:
"RelPerf" (column AC): This the chronological performance of the system.
"MaxDrawDown" (column AR): Max Draw Down
"CurCapital" (column AA): The current value of the portfolio
(there are about 50 other columns in this table)
Results in Summary.csv:
Here a summary of each backtesting run is recorded (appended).
--
Uenal Mutlu (UM), the author of ABtool and xxTrader
uenal.mutlu@xxxxxxxxxxx
For ABtool and xxTrader related discussions visit
http://groups.yahoo.com/group/abtool
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Get A Free Psychic Reading! Your Online Answer To Life's Important Questions.
http://us.click.yahoo.com/Lj3uPC/Me7FAA/ySSFAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|