PureBytes Links
Trading Reference Links
|
Thanks Herman, it is time to go to bed for me its 00:49 AM
here ...
much earlier than yesterday :-)
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Herman van den
Bergen
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, October 05, 2003 12:40
AM
Subject: RE: [amibroker] AmiBroker 4.43.0
BETA released - CORRECTED URL
<FONT face=Arial color=#0000ff
size=2>Thank you Tomasz, just tried the latest release: impressive new
additions and I love the expanded readme/example. It appears that the Regular
Portfolio Tester is what dreams are made of, for me :-)
<FONT face=Arial color=#0000ff
size=2>
Take
a break TJ, you deserve it!
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>herman.
<FONT face=Tahoma
size=2>-----Original Message-----From: Tomasz Janeczko
[mailto:amibroker@xxxxxx]Sent: Saturday, October 04, 2003 4:40
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
AmiBroker 4.43.0 BETA released - CORRECTED URL
Hello,
A new beta version (4.43.0) of AmiBroker has just been
released.
It is available for registered users only from the members
area at:
<FONT
size=2>http://www.amibroker.com/members/bin/ab4430beta.exe
and
<FONT
size=2>http://www.amibroker.net/members/bin/ab4430beta.exe
If you forgot your user name / password to the members
area
you can use automatic reminder service at: <A
href=""><FONT
size=2>http://www.amibroker.com/login.html
To discuss this beta please join amibroker-beta mailing list:
<A
href="">http://www.egroups.com/messages/amibroker-beta/
CHANGES FOR VERSION 4.43.0 (as compared to 4.42.0)
Portfolio-level Optimization added
in regular backtest mode now it is possible to specify the score of
the symbol (on bar-by-bar basis) via PositionScore variable. In this mode
the score is used only at trade ENTRY to decide which securities should be
traded in case when there are more simultaneous entry signals than max.
allowable positions or available funds. AmiBroker will 'prefer' securities
with higher absolute value of the score. If PositionScore is not used then
it is assumed to be 1 for all securities.
NOTE: regular mode must be used for all your backtesting except the
cases when you want rotational-trading (fund switching). Only regular mode
uses buy/sell/short/cover signals.
rotational-trading mode must now be turned on by calling new
EnableRotationalTrading() function at the top of your
formula.
AA / Settings / Portfolio:1. Max. Traded renamed to more
meaningfull "Max. Open Positions" - defines the maximum number of
positions (trades) that can be open simultaneously (at any time)2.
Max. Ranked renamed to more meaningfull "Worst Rank Held" (rotational
trading mode only) - must be equal or greater than max. open positions, if
it is greater than Max. open positions then once a position is taken in a
security it will not be exited until the ranking of that security drops
below "Worst Rank Held"
"Allow same day exit (single bar trade)" now affects Portfolio test
too.
SetOption() calls affect Portfolio backtest now
added:SetOption("MaxOpenPositions")
SetOption("WorstRankHeld")SetOption("MinShares")
fixed Avg Profit/Loss figures in "all trades" section of portfolio
report
added average PERCENT profit/loss figures
internal accuracy of calculations of LinearReg, LinRegSlope,
LinRegIntercept, StdErr, TSF raised from 32 bit floating point to 64 bit
floating point
fix: rotational trading mode does not enter position when score is
999999
fixed column setup in AA
other minor fixes
as a temporary solution for people using Rx new version now uses
HTMLView2.exe (that is shipped with the beta) to display the portfolio
report.
Best regards,Tomasz
Janeczkoamibroker.com
AmiBroker 4.43.0 Beta Read Me
October 4, 2003 22:06
THIS IS A BETA VERSION OF THE SOFTWARE. EXPECT BUGS !!!
Backup your data files and entire AmiBroker folder
first!
INSTALLATION INSTRUCTIONS
IMPORTANT: This archive is update-only. You have to install full
version 4.40 first.
Just run the installer and follow the instructions.
Then run AmiBroker. You should see "AmiBroker 4.43.0 beta" written in the
About box.
See CHANGE LOG below for detailed list of changes.
HELP ON NEW FEATURES
New backtest report
New report is hugely enhanced compared to old one. It includes separate
statistics for all, long and short sides as well as large number of new
metrics. You can get short help on given figure by hovering your mouse over
given field name. You will see the description in the tooltip. Short
explanations are provided also below:
Exposure % - modified since last
release -'Market exposure of the trading system calculated on bar
by bar basis. Sum of bar exposures divided by number of bars. Single bar
exposure is the value of open positions divided by portfolio equity.
Net Risk Adjusted Return % - Net profit % divided by
Exposure %
Annual Return % - Compounded Annual Return % (CAR)
Risk Adjusted Return % - Annual return % divided by
Exposure %
Avg. Profit/Loss - (Profit of winners + Loss of
losers)/(number of trades)
Avg. Profit/Loss % - '(% Profit of winners + % Loss of
losers)/(number of trades)
Avg. Bars Held - sum of bars in trades / number of
trades
Max. trade drawdown - The largest peak to valley decline
experienced in any single trade
Max. trade % drawdown - The largest peak to valley
percentage decline experienced in any single trade
Max. system drawdown - The largest peak to valley
decline experienced in portfolio equity
Max. system % drawdown - The largest peak to valley
percentage decline experienced in portfolio equityRecovery
Factor - Net profit divided by Max. system
drawdownCAR/MaxDD - Compound Annual % Return
divided by Max. system % drawdown
RAR/MaxDD - Risk Adjusted Return divided by Max. system
% drawdown
Profit Factor - Profit of winners divided by loss of
losers
Payoff Ratio - Ratio average win / average
lossStandard Error - Standard error measures
chopiness of equity line. The lower the better.
Risk-Reward Ratio - Measure of the relation between the
risk inherent in a trading the system compared to its potential gain. Higher
is better. Calculated as slope of equity line (expected annual return)
divided by its standard error.
Ulcer Index - Square root of sum of squared drawdowns
divided by number of bars
Ulcer Performance Index - (Annual profit - Tresury notes
profit)/Ulcer Index'>Ulcer Performance Index. Currently tresury notes
profit is hardcoded at 5.4. In future version there will be user-setting for
this.
Sharpe Ratio of trades - Measure of risk adjusted return
of investment. Above 1.0 is good, more than 2.0 is very good. More
information <A
href="">http://www.stanford.edu/~wfsharpe/art/sr/sr.htm
. Calculation: first average percentage return and standard deviation of
returns is calculated. Then these two figures are annualized by multipling
them by ratio (NumberOfBarsPerYear)/(AvgNumberOfBarsPerTrade). Then the risk
free rate of return is subtracted (currently hard-coded 5) from annualized
average return and then divided by annualized standard deviation of
returns.K-Ratio - Detects inconsistency in returns.
Should be 1.0 or more. The higher K ratio is the more consistent return you
may expect from the system. Linear regression slope of equity line
multiplied by square root of sum of squared deviations of bar number divided
by standard error of equity line multiplied by square root of number of
bars. More information: Stocks & Commodities V14:3 (115-118): Measuring
System Performance by Lars N. Kestner
Optimization in new portfolio backtester
From version 4.43.0 BETA AmiBroker is able to perform optimizations on
portfolio level in both signal-driven+scoring mode (regular, default one)
and rotational trading mode. The portfolio optimization uses familar
function Optimize and allows upto 10 variables to be optimized. You are able
not only to optimize parameters of indicators but you can also optimize
portfolio-level settings like maximum number of open positions, portfolio
level position sizing, worst rank held, etc. These settings are available
via SetOption() function. New fields accepted by SetOption include:
SetOption("MaxOpenPositions"), SetOption("WorstRankHeld"),
SetOption("MinShares"). More are on the way.
Also the portfolio optimizer gives much more statistics than old one
including metrics like Sharpe ratio, Risk Reward ratio, etc.
New portfolio backtester
IMPORTANT: Since the new backtester is not yet
complete and I am still working on it please accept that until it
is finished I will essentially provide no technical support for it. The only
exceptions are bugs you may find. If you think that there is a bug please
report it to bugs@xxxxxxxxxxxxx with
all details you can give including: the formula, HTML report generated by
AmiBroker, trade list or detailed log, etc.
From version 4.42.0 BETA through some future betas there will be TWO
backtesters. The OLD one that is triggered by pressing "Backtest" or
"Optimize" button in the Automatic Analysis window. And NEW one,
portfolio-level backtester that is triggered by pressing "Portfolio Test" or
"Portfolio Optimize" button in Automatic Analysis window.
Old backtester is untouched and it works exactly the same way as
in pre-4.42 versions. I have decided to leave it for a while so you
can continue using old your own formulas, results, etc while checking out
new backtester.
New backtester is NOT COMPLETE yet, but already provides substantial
amount of functionality to make it worthwhile to check it out.
New backtester works in TWO modes:
Regular mode: evaluates ordinary buy/sell/short/cover signals as the
old backester but on the PORTFOLIO level. If multiple signals for many
symbols occur at the same bar you can decide which security is preferred
using individual score of the security
Rotational trading mode: does not use buy/sell/short/cover signals.
Instead trades only top N ranked securities, once entered position is held
until rank drops below WorstRankHeld. You have to call
EnableRotationalTrading() to enable it.
Regular (signal-driven) mode
This mode is default one. Works with ordinary buy/sell/short/cover
signals. Test is performed on PORTFOLIO LEVEL, it means
that there is single portfolio equity and position sizing refers to
portfolio equity. Portfolio equity is equal to available cash plus sum of
all simultaneously open positions at given time.
IMPORTANT: to enable more than one symbol to be traded
you have to add PositionSize variable to your formula, so less than 100% of
funds are invested in single security:
PositionSize = -25; // invest 25% of portfolio equity in single
security
or
PositionSize = 5000; // invest $5000 into single security
Regular mode now allows also to use PositionScore variable to
decide which trades should be entered if there are more entry signals on
different securities than maximum allowable number of open positions or
available funds. In such case AmiBroker will use the absolute value
of PositionScore variable to decide which trades are preferred. See the code
below. It implements simple MA crossover system, but with additional flavour
of preferring entering trades on symbols that have low RSI value. If more
buy signals occur than available cash/max. positions then the stock with
lower RSI will be preferred. You can watch selection process if you backtest
with "Detailed log" report mode turned on.
The code below includes also the example how to find optimum number of
simultaneously open positions using new Optimization in Porfolio mode.
/******* REGULAR PORTFOLIO mode ** This sample
optimization** finds what is optimum number of positions open
simultaneously** ****/
SetOption("InitialEquity", 20000
);SetTradeDelays(1,1,1,1);RoundLotSize = 1;
posqty = Optimize("PosQty", 4, 1, 20, 1
);SetOption("MaxOpenPositions", posqty);
// desired position size is 100% portfolio equity// divided by
PosQty positionsPositionSize = -100/posqty;
// The system is very simple...// MA parameters
could be optimized too...p1 = 10;p2 = 22;// simple MA
crossoverShort=Cross( MA(C,p1) , MA(C,p2) );Buy=Cross( MA(C,p2) ,
MA(C,p1) );// always in the market Sell=Short;
Cover=Buy;
// now additional score // that is used to rank equities //
when there are more ENTRY signals that available//
positions/cashPositionScore = 100-RSI(); // prefer stocks that have low
RSI;
Rotational trading mode
IMPORTANT NOTE: Unless you specifically want to implement
fund-switching/rotational trading system you should NOT use this mode.
Regular mode of portfolio backtester provides more control and it is better
suited for most applications
Rotational trading is popular method for trading mutual funds. It is also
known as fund-switching or scoring&ranking. Its basic permise is to
rotate symbols all the time so only top N issues ranked
according to some user-definable score are traded. The number of positions
open depend on "Max. open positions" setting and available funds / position
size. Once position is entered in remains in place until security's rank
drops below WorstRankHeld (settable in settings). Regular
buy/sell/short/cover signals are not used at all (they are ignored). If you
want to use buy/sell/short/sell signals you MUST use regular mode.
The method of using single score variable to rank and rotate securities
has been introduced by PortfolioTrader (PT) AFL formula written Fred Tonetti
with GUI of Dale Wingo, and for simplicity of porting already existing PT
systems, it is adopted by rotational trading mode in AmiBroker (with some
differencies see below). It is thought as a faster replacement of PT, not as
general-purpose backtester. For general purpose backtesting engine
use REGULAR mode.
To enter this mode you have to call
EnableRotationalTrading() function at the very beginning of
your formula. From then on buy/sell/short/cover variables will have NO
EFFECT on results. Only PositionScore variable will be used to rank
securities and trade top N securities..
A simple rotational trading formula (actually Fred's PT 'Sample' formula
ported to new backtester):
EnableRotationalTrading();SOV1=21;
BBandWid = 2;BBAvg = MA(Close, SOV1);UBBand =
BBandTop(Close, SOV1, BBandWid);LBBand = BBandBot(Close, SOV1,
BBandWid);rScore = 50 - 100 * (Close - LBBand) / (UBBand -
LBBand);
PositionSize = -25; // invest 25% of equity in single
securityPositionScore = rScore; // PositionScore has the same meaning as
rScore in PT
The score (PositionScore) for all securities is calculated first. Then
all scores are sorted according to absolute value of
PositionScore. Then top N are choosen to be traded. N depends on
available funds and "max. open positions" setting. Backtester successively
enters the trades starting from highest ranked security until the number of
positions open reaches "max. open positions" or there are
no more funds available. The score has the following meaning: the higher the
positive number the better the long candidate; the lower the negative number
the better the short candidate and zero is treated as having disqualified a
particular security for a particular bar.
Exits are generated automatically when security's rank drops
below "worst rank held". There is no real control over when exits
happen except of setting low score to force exits. You can also set the
score on any (at least one) security to 'magic' value of 999999 to prevent
rotation (so already open positions are kept). But this is global and does
not give you individual control.
Generally speaking if you want to have individual control over
entries AND exits you have to use REGULAR mode instead (it now also
allows to choose securities by higher rank, but at the same time allows to
control exactly when trades happen)
Things NOT IMPLEMENTED yet in new portfolio backtester, to be done
soon
built-in stops in rotational trading mode. (stops in regular mode work
already)
futures support (point value, margin deposit, ticksize)
calculation of interest earnings
pyramiding
intra-bar detailed timing
OLE interface
etc...
Automatic Analysis Settings - Portfolio page
- Max. Open Positions (previously known as "Max. traded") - the maximum
number of simultaneously open positions. .Settable also using
SetOption("MaxOpenPositions", number ) function.
- Max. # of signals tracked per bar- (REGULAR mode only) the maximum
number of buy/sell/short/cover signals per single bar that AmiBroker will
track. Should be set to at least 2 * (Max. Open Positions) or more. Default
of 100 should be fine for most applications. May be removed in the future.
Settable also using SetOption("MaxTracked", number ) function.
- Report mode - Trade list - shows regular trade list (as old
backtester), Detailed log - shows very detailed bar-by-bar log with scores,
each entry and exit separately reported, etc.
- Min. shares - the minimum number of shares that are allowed to
buy/short. Backtester will not enter trades below that limit. Default = 1 is
good for stocks.
ROTATIONAL TRADING MODE ONLY:
- Worst Rank Held (previously called slightly misleading: "Max. ranked")
- the worst (the lowest) rank to continue to be hold once position is
opened. Settable also using SetOption("WorstRankHeld", number ) function.
Must be greater or equal to Max. Open Positions.
Known differencies between statistics produced by 'old' and 'new'
(portfolio) backtester in regular mode
Old backtester
New (portfolio) backtester
System and trade drawdown calculations based on
Open/Close/H-L range (worst case) selectable in settings
Close price only (regardless of settings) - subject to
change
Max. % trade drawdown
Calculated based on total equity
Calculated based on ACTUAL trade value at entry point.
Stats available
for all trades only
separately for long, short and all trades
Futures backtesting (MarginDeposit, TickSize, PointValue)
Supported
Not yet available
Interest earnings calculation
Supported
Not yet available
PositionSizing
Based on individual symbol equity
Based on portfolio equity.
PositionSize = -25;
will enter 25% of current porfolio equity
Trade statistics
Include only closed trades, open trade is reported separately
Include all trades (closed and those still open at the end of
analysis period)
Positions taken
Uses "Positions" selector in the Settings to include long, short
or both positions
From version 4.43.0 portfolio backtest behaves the same (uses
"positions" selector)
Exposure
calculated regardless of position size (no matter on what is
position size if trade is taken for particular bar it assumes 100%
exposure at that bar)
calculations include now (in 4.43.0) the total amount of open
positions compared to total portfolio equity. Exposure is calculated
on bar by bar basis so if only 50% funds are in open trade, then
exposure for this bar is 0.5. Then individual bar exposures are summed
up and divided by number of bars to produce exposure figure. This way
true market exposure is calculated.
Multiple security testing
N independent accounts (multiple single equity)
Portfolio equity common to all symbols under
test
Known differencies between Fred's PT and new portfolio backtester
working in rotational trading mode
PT
New (portfolio) backtester
PositionSizing
Common to all symbols, settable via PT GUI
Settable individually from the formula level using PositionSize
variable. Examples:PositionSize =2000; // will enter positions
with equal size of 2000 and will grow the NUMBER of positions as
equity grows (similar to PT setting: Increase Position first)
PositionSize = -25; // will enter positions with 25% of current
portfolio equity (similar to PT setting: increase position size
first)
Calculation of initial position value
PT subtracts NTraded * commission from the equity and by number of
symbols to calculate new position value.
Example: Equity is 1000. MaxTraded is 4, Commission per trade is
1
PT will enter 4 positions with value of (1000- 4 * 1)/4 =
249
AB enters the position with the value specified by positionsize
variable if there are enough funds and adds commission on top of it,
otherwise shinks desired position.Example: Equity is 1000.
PositionSize = -25 (25% of equity available), Commission per trade is
1.
AmiBroker will enter 4 positions:
1. 1000 * 25% = 250. Commission $1. Available cash = 749. 2.
1000 * 25% = 250. Commission $1. Available cash = 548.3. 1000 *
25% = 250. Commission $1. Available cash = 2474. 1000 * 25% = 250
-> not enough cash -> shrinking position to $246. Commission $1.
Available cash = 0.
Trade price/delays
Open or Close, Delays set from the GUI
Close always. No delays. This will be changed.
In the meantime: if you want to delay trading by one bar in
rotational mode it is very easy just use Ref function:
PositionScore = Ref( PositionScore, -1 );
Exits by Stops, Trade delays
Available
Not yet available
Trade listing
Sorted by entry date
Sorted by EXIT date. Can be re-sorted by any other column
available in report by clicking on column header.
Ulcer Index (UI) and Ulcer Performance Index (UPI)
incorrectly calculated in PT 3.8.1 and all prior versions
Correct
K-Ratio
for some reason calculated from log10( Equity ) instead of just
equity as in original publication Stocks & Commodities V14:3
(115-118): Measuring System Performance by Lars N. Kestner
calculated from equity exactly as described in Stocks &
Commodities V14:3 (115-118): Measuring System Performance by Lars N.
Kestner
Multiple time frame support
Release 4.41 brings ability to use multiple time frames (bar intervals)
in single formula. The time frame functions can be divided into 3 functional
groups:
switching time frame of build-in O, H, L, C, V, OI, Avg arrays:
TimeFrameSet, TimeFrameRestore
compressing/expanding single arrays to/from specified interval:
TimeFrameCompress, TimeFrameExpand
immediate access to price/volume arrays in different time frame:
TimeFrameGetPrice
First group is used when your formula needs to perform
some calculations on indicators in different time frame than currently
selected one. For example if you need to calculate 13-bar moving average on
5 minute data and 9 bar exponential avarage from hourly data while current
interval is 1 minute you would write:
TimeFrameSet( in5Minute ); // switch to 5 minute
frame
/* MA now operates on 5 minute data, ma5_13 holds time-compressed
13 bar MA of 5min bars */
ma5_13 = MA( C, 13 );
TimeFrameSet( inHourly ); // switch
now to hourly
mah_9 = EMA( C, 9 ); // 9 bar moving average from hourly
data
TimeFrameRestore(); // restore time frame to
original
Plot( Close, "Price", colorWhite, styleCandle );
// plot expanded average
Plot( TimeFrameExpand( ma5_13, in5Minute), "13 bar
moving average from 5 min bars", colorRed );Plot(
TimeFrameExpand( mah_9, inHourly), "9 bar moving average
from hourly bars", colorRed );
TimeFrameSet( interval ) - replaces
current built-in price/volume arrays: open, high, low, close, volume,
openint, avg with time-compressed bars of specified interval once you
switched to a different time frame all calculations and built-in indicators
operate on selected time frame. To get back to original interval call
TimeFrameRestore() funciton. Interval is time frame interval in seconds. For
example: 60 is one minute bar. You should use convenient constants for
common intervals: in1Minute, in5Minute, in15Minute, inHourly, inDaily,
inWeekly, inMonthly.
TimeFrameRestore() - restores price arrays replaced by
SetTimeFrame.Note that only OHLC, V, OI and Avg built-in variables are
restored to original time frame when you call TimeFrameRestore().All other
variables created when being in different time frame remain compressed. To
de-compress them to original interval you have to use TimeFrameExpand.
Once you switch the time frame using TimeFrameSet, all AFL functions
operate on this time frame until you switch back the time frame to original
interval using TimeFrameRestore or set to different interval again using
TimeFrameSet. It is good idea to ALWAYS call TimeFrameRestore when you are
done with processing in other time frames.
When time frame is switched to other than original interval the results
of all functions called since TimeFrameSet are time-compressed too. If you
want to display them in original time frame you would need to 'expand' them
as described later. Variables created and assigned before call to
TimeFrameSet() remain in the time frame they were created. This behaviour
allows mixing unlimited different time frames in single formula.
Please note that you can only compress data from shorter interval to
longer interval. So when working with 1-minute data you can compress to 2,
3, 4, 5, 6, ....N-minute data. But when working with 15 minute data you can
not get 1-minute data bars. In a similar way if you have only EOD data you
can not access intraday time frames.
Second group: TimeFrameCompress/TimeFrameExpand allow to
compress and expand single arrays to / from different time frames.
Especially worth mentioning is TimeFrameExpand that is used to decompress
array variables that were created in different time frame. Decompressing is
required to properly display the array created in different time frame. For
example if you want to display weekly moving average it must be 'expanded'
so the data of one weekly bar covers five daily bars (Monday-Friday) of
corresponding week.
TimeFrameExpand( array, interval, mode = expandLast )
- expands time-compressed array from 'interval' time frame to base time
frame ('interval' must match the value used in TimeFrameCompress or
TimeFrameSet)Available modes:expandLast - the compressed value is
expanded starting from last bar within given period (so for example weekly
close/high/low is available on Friday's bar)expandFirst - the compressed
value is expanded starting from first bar within given period (so for
example weekly open is available from Monday's bar)expandPoint - the
resulting array gets not empty values only for the last bar within given
period (all remaining bars are Null (empty)).
Caveat: expandFirst used on price different than open may look into the
future. For example if you create weekly HIGH series, expanding it to daily
interval using expandFirst will enable you to know on MONDAY what was the
high for entire week.
TimeFrameCompress is provided for completeness and it can be used when
you want to compress single array without affecting built-in OHLC,V arrays.
If you call TimeFrameCompress it does not affect results of other
functions.
wc = TimeFrameCompress( Close, inWeekly );
/* now the time frame is still unchanged (say daily) and our MA
will operate on daily data */
dailyma = MA( C, 14 );
/* but if we call MA on compressed array, it will give MA from
other time frame */
weeklyma = MA( wc, 14 ); // note that argument is time-compressed
array
Plot( dailyma, "DailyMA", colorRed );
weeklyma = TimeFrameExpand( weeklyma, inWeekly ); // expand for
display
Plot( weeklyma, "WeeklyMA", colorBlue );
During this formula the time frame remained at original setting we only
compressed single array.
TimeFrameCompress( array, interval, mode = compressLast
)- compresses single array to given interval using given compression
mode available modes:compressLast - last (close) value of the array
within intervalcompressOpen - open value of the array within
intervalcompressHigh - highest value of the array within
intervalcompressLow - lowest value of the array within
intervalcompressVolume - sum of values of the array within
interval
graph0 = TimeFrameExpand( TimeFrameCompress( Close, inWeekly,
compressLast ), inWeekly, expandLast );graph1 = TimeFrameExpand(
TimeFrameCompress( Open, inWeekly, compressOpen ), inWeekly, expandFirst
);
Third group consist of just one useful function:
TimeFrameGetPrice which allows to reference price and volume from other time
frames without switching /compressing/expanding time frames. Just one
function call to retrieve price from higher time frame. It allows also to
reference not only current but past bars from different time frames.
TimeFrameGetPrice( pricefield, interval, shift = 0, mode
= expandFirst );- references OHLCV fields from other time frames. This
works immediatelly without need to call TimeFrameSet at all.Price field
is one of the following: "O", "H", "L", "C", "V", "I" (open interest).
Interval is bar interval in seconds. shift allows to reference past
(negative values) and future (positive values) data in higher time frame.
For example -1 gives previous bar's data (like in Ref function but this
works in higher time frame).
Examples:
TimeFrameGetPrice( "O", inWeekly, -1 ) - gives you
previous week OPEN priceTimeFrameGetPrice( "C", inWeekly, -3
) - gives you weekly Close price 3 weeks
agoTimeFrameGetPrice( "H", inWeekly, -2 ) - gives you
weekly High price 2 weeks agoTimeFrameGetPrice( "O", inWeekly, 0
) - gives you this week open price.
TimeFrameGetPrice( "H", inDaily, -1 ) - gives previous day
high when working on intraday data
Shift works as in Ref() function but it is applied to compressed time
frame.
Note these functions work like these 3 nested
functionsTimeFrameExpand( Ref( TimeFrameCompress( array, interval,
compress(depending on field used) ), shift ), interval, expandFirst
)therefore if shift = 0 compressed data may look into the future
( weekly high can be known on monday ). If you want to write a trading
system using this function please make sure to reference PAST data by using
negative shift value.The only difference is that TimeFrameGetPrice
is 2x faster than nested Expand/Compress.
Note on performance of TimeFrame
functions:a) Measurements done on Athlon 1.46GHz, 18500
daily bars compressed to weekly time frameTimeFrameGetPrice( "C",
inWeekly, 0 ) - 0.0098 sec (9.8 milliseconds)TimeFrameSet( inWeekly )
- 0.012 sec (12 milliseconds)TimeFrameRestore( ) - 0.006 sec (6
milliseconds)TimeFrameCompress( Close, inWeekly, compressLast ); -
0.0097 sec (9.7 milliseconds)TimeFrameExpand( array, inWeekly,
expandLast ); - 0.0098 sec (9.8 milliseconds)
b) Measurements done on Athlon 1.46GHz, 1000 daily bars compressed to
weekly time frameall functions below 0.0007 sec (0.7
millisecond)
EXAMPLES
EXAMPLE 1: Plotting weekly MACD and cross arrows from daily data
TimeFrameSet( inWeekly );m = MACD(12, 26 ); // MACD from
WEEKLY dataTimeFrameRestore();
m1 = TimeFrameExpand( m, inWeekly );
Plot( m1, "Weekly MACD", colorRed );PlotShapes( Cross( m1, 0
) * shapeUpArrow, colorGreen );PlotShapes( Cross( 0, m1 ) *
shapeDownArrow, colorGreen );
EXAMPLE 2: weekly candlestick chart overlaid on line daily price
chart
wo = TimeFrameGetPrice( "O", inWeekly, 0, expandPoint
);wh = TimeFrameGetPrice( "H", inWeekly, 0, expandPoint );wl =
TimeFrameGetPrice( "L", inWeekly, 0, expandPoint );wc =
TimeFrameGetPrice( "C", inWeekly, 0, expandPoint );
PlotOHLC( wo, wh, wl, wc, "Weekly Close", colorWhite, styleCandle
);Plot( Close, "Daily Close", colorBlue );
EXAMPLE 3: Simplified Triple screen system
/* switch to weekly time frame */TimeFrameSet( inWeekly
);whist = MACD( 12, 26 ) - Signal( 12, 26, 9 );wtrend = ROC( whist,
1 ); // weekly trend - one week change of weekly macd
histogramTimeFrameRestore();
/* expand calculated MACD to daily so we can use it with daily
signals */wtrend = TimeFrameExpand( wtrend, inWeekly );
/* elder ray */bullpower= High -
ema(Close,13);bearpower= Low - ema(Close,13);
Buy = wtrend > 0 /* 1st screen: positive weekly trend
*/ANDbearpower < 0 and bearpower > Ref( bearpower, -1 ) /* 2nd
screen bear power negative but rising */ANDH > Ref( H, -1 ); /*
3rd screen, if prices make a new high */
BuyPrice = Ref( H, -1 ); // buy stop level;
Sell = 0 ; // exit only by stopsApplyStop( stopTypeProfit,
stopModePercent, 30, True );ApplyStop( stopTypeTrailing,
stopModePercent, 20, True );
CHANGE LOG
CHANGES FOR VERSION 4.43.0 (as compared to
4.42.0)
Portfolio Optimize mode added
in regular backtest mode now it is possible to specify the score of
the symbol (on bar-by-bar basis) via PositionScore variable. In this mode
the score is used only at trade ENTRY to decide which securities should be
traded in case when there are more simultaneous entry signals than max.
allowable positions or available funds. AmiBroker will 'prefer' securities
with higher absolute value of the score. If PositionScore is not used then
it is assumed to be 1 for all securities.
NOTE: regular mode must be used for all your backtesting except the
cases when you want rotational-trading (fund switching). Only regular mode
uses buy/sell/short/cover signals.
rotational-trading mode must now be turned on by calling new
EnableRotationalTrading() function at the top of your
formula.
AA / Settings / Portfolio:1. Max. Traded renamed to more
meaningfull "Max. Open Positions" - defines the maximum number of
positions (trades) that can be open simultaneously (at any time)2.
Max. Ranked renamed to more meaningfull "Worst Rank Held" (rotational
trading mode only) - must be equal or greater than max. open positions, if
it is greater than Max. open positions then once a position is taken in a
security it will not be exited until the ranking of that security drops
below "Worst Rank Held"
"Allow same day exit (single bar trade)" now affects Portfolio test
too.
SetOption() calls affect Portfolio backtest now
added:SetOption("MaxOpenPositions")
SetOption("WorstRankHeld")SetOption("MinShares")
fixed Avg Profit/Loss figures in "all trades" section of portfolio
report
added average PERCENT profit/loss figures
internal accuracy of calculations of LinearReg, LinRegSlope,
LinRegIntercept, StdErr, TSF raised from 32 bit floating point to 64 bit
floating point
fix: rotational trading mode does not enter position when score is
999999
fixed column setup in AA
other minor fixes
as a temporary solution for people using Rx new version now uses
HTMLView2.exe (that is shipped with the beta) to display the portfolio
report.
CHANGES FOR VERSION 4.42.0 (as compared to
4.41.2)
first (incomplete) early beta version of the portfolio
backtester
fixed plot of Null arrays using styleArea
fixed display problem with % progress in single-stock optimization
other minor fixes
CHANGES FOR VERSION 4.41.2 (as compared to 4.41.1)
now Sum produces values for periods upto and including BarCount, so
Sum( array, BarCount ) gives the value instead of Null
fixed problem with saving parameters on exit when the user did not
specify default value for string parameter using ParamStr("name",
"")
fixed 38-byte memory leak when returning values from user-defined
functions
real-time mode: after AFL syntax error commentary AFL editor is not
refreshed until error is fixed and user presses 'apply'
eSignal 1.6.0 plugin (available separately from<A
href="">
http://www.amibroker.com/bin/eSignal160.exe):
much quicker backfills
implemented force-reconnect feature in eSignal plugin
fixed minor timing issue in eSignal plugin
implemented workaround to invalid tick numbers sent sometimes by
eSignal's data manager.
thanks to all users for reporting errors and helping ironing out
outstanding issues.
CHANGES FOR VERSION 4.41.1 (as compared to 4.41.0)
fixed chart refresh locking that happened when user was drawing some
object and abandonend it by pressing ESC key.
View->Refresh and View->Refresh All menus now reset internal
chart refresh lock flag just in case.
plugin status is refreshed more often
maximum number of chart sheets increased to 60 (Caveat: when you
increase the number of sheets you would not be able to use the layouts
with OLDER versions of the software)
TimeFrameSet() now affects result of Interval() AFL function.
TimeFrameRestore() resets it back.
Plot() makes copies of OHL arrays when styleCandle or styleBar is
used so statements likeSetForeign("AAPL");Plot( C, "Price",
colorYellow, styleCandle );SetForeign("MSFT");Plot( C, "Price 2",
colorBlue, styleCandle );plot correctly. Previously one would
need to use PlotOHLC() or PlotForeign()
separate heap for syntax tree walker implemented, so larger AFL
programs like PortfolioTrader should execute faster while retaining the
speed improvement gained in 4.40.4 for small formulas.
CHANGES FOR VERSION 4.41.0 (as compared to 4.40.4)
legacy 'stoch()' function removed. Use StochK and StochD
instead.
weekly / monthly charts are not affected by intraday compression
settingsin preferences any more and always use last available day date for
time stamp of time-compressed bar.
Pref: Misc: auto-hide timeout field: added check for allowed values
from 1...32
TimeFrameSet( interval ) function implemented-
replaces current price/volume arrays: open, high, low, close, volume,
openint, avg with time-compressed bars of specified interval once you
switched to a different time frame all calculations and built-in
indicators operate on selected time frame. To get back to original
interval call TimeFrameRestore() funciton.
TimeFrameRestore()- restores price arrays
replaced by SetTimeFrame.
Note that only OHLC, V, OI and Avg built-in variables are restored to
original time frame when you call TimeFrameRestore(). All other variables
created when being in different time frame remain compressed. To
de-compress them to original interval use TimeFrameExpand
TimeFrameCompress( array, interval, mode =
compressLast )- compresses single array to given interval using given
mode, available modes:compressLast - last (close) value of the array
within intervalcompressOpen - open value of the array within
intervalcompressHigh - highest value of the array within
intervalcompressLow - lowest value of the array within
intervalcompressVolume - sum values of the array within
interval
TimeFrameExpand( array, interval, mode = expandLast
)- expands time-compressed array from 'interval' time
frame('interval' must match the value used in TimeFrameCompress or
TimeFrameSet)Available modes:
expandLast - the compressed value is expanded starting from last
bar within given period (so for example weekly close/high/low is
available on Friday's bar)
expandFirst - the compressed value is expanded starting from first
bar within given period(so for example weekly open is available from
Monday's bar)
expandPoint - the resulting array gets not empty values only for the
last bar within given period (all remaining bars are Null
(empty))Caveat: expandFirst used on price different than open may
look into the future.For example if you create weekly HIGH series,
expanding it to daily interval using expandFirst will enable you to know
on MONDAY what was the high for entire week.graph0 =
TimeFrameExpand( TimeFrameCompress( Close, inWeekly, compressLast ),
inWeekly, expandLast );graph1 = TimeFrameExpand( TimeFrameCompress(
Open, inWeekly, compressOpen ), inWeekly, expandFirst
);
TimeFrameGetPrice( pricefield, interval, shift = 0,
mode = expandFirst );- references OHLCV fields from other time
frames.This works immediatelly without need to call
TimeFrameSetTimeFrameGetPrice( "O", inWeekly, -1
) - gives you previous week OPEN priceTimeFrameGetPrice(
"C", inWeekly, -3 ) - gives you weekly Close price 3 weeks
agoTimeFrameGetPrice( "H", inWeekly, -2 ) - gives you
weekly High price 2 weeks agoTimeFrameGetPrice( "O", inWeekly, 0
) - gives you this week open price.TimeFrameGetPrice(
"H", inDaily, -1 ) - gives previous day high when working on
intraday dataPrice field is one of the following"O", "H",
"L", "C", "V", "I" (open interest)Shift works as in Ref() function
but it is applied to compressed time frame.Note these functions work
like these 3 nested functionsTimeFrameExpand( Ref(
TimeFrameCompress( array, interval, compress(depending on field used) ),
shift ), interval, expandFirst )therefore if shift = 0
compressed data may look into the future ( weekly high can be known on
monday ). If you want to write a trading system using this function please
make sure to reference PAST data by using negative shift value.The
only difference is that TimeFrameGetPrice is 2x faster than nested
Expand/Compress.
new interval / timeframe constants:in1Minute =
60in5Minute = 5 * 60 in15Minute
= 15 * 60 inHourly = 3600
inDaily = 24 * 3600inWeekly = 5
* 24 * 3600 inMonthly = 25 * 24 * 3600
compressLast = 0
compressOpen = 1 compressHigh =
2 compressLow = 3 compressVolume
= 4 expandLast = 0
expandFirst = 1 expandPoint = 2
SetForeign( 'ticker' )- replaces current
price/volume arrays with those of foreign security, returns True if ticker
exists, False otherwise.If ticker does not exist (and function returns
false) price arrays are not changed at all.Equivalent to the
following sequence:C = Foreign( "ticker", "C" );O = Foreign(
"ticker", "O" );H = Foreign( "ticker", "H" );L = Foreign(
"ticker", "L" );V = Foreign( "ticker", "V" );OI = Foreign(
"ticker", "I" );Avg = ( C + H + L )/3;but 6x faster
(SetForeign takes about the same time as single foreign). To restore
original prices
callRestorePriceArrays();EXAMPLE:SetForeign( "MSFT"
);dm = MACD(); // dm holds MACD of MSFT regardless of currently
selected symbolRestorePriceArrays();Plot( dm, "MACD of MSFT",
colorRed );Plot( MACD(), "MACD of " + Name(), colorBlue );
RestorePriceArrays();restores arrays overwritten
by SetForeign/TimeFrameSet
HOW TO REPORT BUGS
If you experience any problem with this beta version please send detailed
description of the problem (especially the steps needed to reproduce it) to
bugs@xxxxxxxxxxxxx
Send BUG REPORTS to
bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT<img
src="" width=300 height=250 border=0>
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 the Yahoo! Terms of Service.
|