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Hello,
A new beta version (4.44.1) 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/ab4441beta.exe
and
<FONT
size=2>http://www.amibroker.net/members/bin/ab4441beta.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 4.44.1 (as compared to
4.44.0)
fixed problem with rotational trading, trade price set to
open
CHANGES FOR VERSION 4.44.0 (as compared to
4.43.2)
fixed crash with 'detail mode' and large number of open positions/ranks
used
max. in-memory cache size can be set now to 20000 (please note that this
large cache requires lots of RAM (more than
512MB))
listview copy to clipboard feature now copies also column header
names
SetForeign( ticker, fixup = True, tradeprices = False) and
RestorePriceArrays( tradeprices = False ) have new flag now:
tradeprices (False by default)
when tradeprices is set to TRUE, then not only OHLC, V, OI, Avg arrays
are set to foreign symbol values, but also BuyPrice, SellPrice, ShortPrice,
CoverPrice, PointValue, TickSize, RoundLotSize, MarginDeposit variables are
set to correspond to foreign security.
This allows Equity() to work well with
SetForeign.
Example:
// your rulesbuy = ...sel = ...SetForeign("MSFT", True,
True );e = Equity(); // backtest on MSFTRestorePriceArrays( True ); //
<- should match parameter used in
SetForeign
Name(), FullName(), GetExtraData() work well with SetForeign() (i.e. give
foreign name/data instead of currently selected)
SetOption("PriceBoundChecking", False ); - disables checking and
adjusting buyprice/sellprice/coverprice/shortprice arrays to current symbol
High-Low range.
% profit added to detailed log mode
fixed bug in portfolio backtester occuring when 'allow same bar exit' was
turned off and 'immediate stops' was turned on 2 buys and 2 sells occurred the
in 2 bars in row
Auto Analysis/Settings,setting modified "portfolio report mode: trade
list/detailed log" moved to "report" tab
Auto Analysis/Settings, rotational mode: added selection of trade price
and trade delay to portfolio settings page
Auto Analysis/Settings, portfolio backtester (both regular and rotational
modes): added ability to pad and align all symbols to reference symbol. Note:
by default this setting is OFF. Use responsibly. It may slow down backtest and
introduce some slight changes to indicator values when your data has holes and
holes are filled with previous bar data. The feature is intended to be used
ONLY when your system uses general market timing (generates global signals
based on data and/or indicators calculated using Foreign from 'reference'
symbol). Note 2: if reference symbol does not exist, data won't be
padded.
Auto Analysis/Settings, report tab: added ability to define risk-free
rates for Sharpe and Ulcer Performance Index
calculations.<FONT
size=2>
Best regards,Tomasz Janeczkoamibroker.com
AmiBroker 4.44.0 Beta Read Me
October 12, 2003 16:34
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 4.44.0 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
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