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Hello,
A new beta version (4.43.2) 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/ab4432beta.exe
and
<FONT
size=2>http://www.amibroker.net/members/bin/ab4432beta.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:
<FONT
size=2>http://www.egroups.com/messages/amibroker-beta/
CHANGES FOR VERSION 4.43.2 (as compared to
4.43.0)
backtester generates now error message when someone attempts to use
buy/sell/short/cover signals in rotational mode
column headings fixed in AA porfolio backtest report
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 4.43.2 Beta Read Me
October 5, 2003 16:13
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 4.43.2 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
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