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Tomasz,
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
>
> 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:
> http://www.amibroker.com/members/bin/ab4441beta.exe
> and
> 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:
http://www.amibroker.com/login.html
>
> To discuss this beta please join amibroker-beta mailing list:
> http://www.egroups.com/messages/amibroker-beta/
>
> CHANGES FOR VERSION 4.44.1 (as compared to 4.44.0)
>
> a.. fixed problem with rotational trading, trade price set to open
> CHANGES FOR VERSION 4.44.0 (as compared to 4.43.2)
>
> a.. fixed crash with 'detail mode' and large number of open
positions/ranks used
>
> b.. max. in-memory cache size can be set now to 20000 (please
note that this large cache requires lots of RAM (more than 512MB))
>
> c.. listview copy to clipboard feature now copies also column
header names
>
> d.. 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 rules
> buy = ...
> sel = ...
> SetForeign("MSFT", True, True );
> e = Equity(); // backtest on MSFT
> RestorePriceArrays( True ); // <- should match parameter used in
SetForeign
It works just fine !!
Many thanks for the fast upgrade.
I think now I will choose, at the Inspection Points, not only the
highest individual Equity but also the top5 stocks ...
BTW, the two lines
global buy;
global sell;
are still needed when SetForeign(sym, True, True ); is used and sym
belongs to a Group/WL
Dimitris Tsokakis
> e.. Name(), FullName(), GetExtraData() work well with SetForeign
() (i.e. give foreign name/data instead of currently selected)
>
> f.. SetOption("PriceBoundChecking", False ); - disables checking
and adjusting buyprice/sellprice/coverprice/shortprice arrays to
current symbol High-Low range.
>
> g.. % profit added to detailed log mode
>
> h.. 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
>
> i.. Auto Analysis/Settings,setting modified "portfolio report
mode: trade list/detailed log" moved to "report" tab
>
> j.. Auto Analysis/Settings, rotational mode: added selection of
trade price and trade delay to portfolio settings page
>
> k.. 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.
>
> l.. Auto Analysis/Settings, report tab: added ability to define
risk-free rates for Sharpe and Ulcer Performance Index calculations.
>
> Best regards,
> Tomasz Janeczko
> amibroker.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 equity
>
> Recovery Factor - Net profit divided by Max. system drawdown
>
> CAR/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 loss
>
> Standard 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 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@xxxx 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:
>
> a.. 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
> b.. 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 positions
>
> PositionSize = -100/posqty;
>
> // The system is very simple...
> // MA parameters could be optimized too...
> p1 = 10;
> p2 = 22;
> // simple MA crossover
> Short=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/cash
> PositionScore = 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 using of
buy/sell/short/cover variables is not allowed. Only PositionScore
variable will be used to rank securities and trade top N securities..
>
> A simple rotational trading formula (stocks with high RSI are best
candidates for shorting while stocks with low RSI are best candidates
for long positions):
>
>
> EnableRotationalTrading();
>
> PositionSize = -25; // invest 25% of equity in single security
> PositionScore = 50 - RSI(); // 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
> a.. built-in stops in rotational trading mode. (stops in regular
mode work already)
> b.. futures support (point value, margin deposit, ticksize)
> c.. calculation of interest earnings
> d.. pyramiding
> e.. intra-bar detailed timing
> f.. OLE interface
> g.. 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 formula 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 = 247
> 4. 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
Open or Close, delays set from Settings page
>
> 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
> Padding to reference symbol Always pads all data to reference
symbol User-selectable in Settings: portfolio
> K-Ratio 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:
>
> 1.. switching time frame of build-in O, H, L, C, V, OI, Avg
arrays: TimeFrameSet, TimeFrameRestore
> 2.. compressing/expanding single arrays to/from specified
interval: TimeFrameCompress, TimeFrameExpand
> 3.. 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 interval
> compressOpen - open value of the array within interval
> compressHigh - highest value of the array within interval
> compressLow - lowest value of the array within interval
> compressVolume - 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 price
> TimeFrameGetPrice( "C", inWeekly, -3 ) - gives you weekly Close
price 3 weeks ago
> TimeFrameGetPrice( "H", inWeekly, -2 ) - gives you weekly High
price 2 weeks ago
> TimeFrameGetPrice( "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 functions
> TimeFrameExpand( 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 frame
>
> TimeFrameGetPrice( "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 data
> TimeFrameRestore();
> 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 histogram
> TimeFrameRestore();
> /* 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 */
> AND
> bearpower < 0 and bearpower > Ref( bearpower, -1 ) /* 2nd screen
bear power negative but rising */
> AND
> H > Ref( H, -1 ); /* 3rd screen, if prices make a new high */
> BuyPrice = Ref( H, -1 ); // buy stop level;
> Sell = 0 ; // exit only by stops
> ApplyStop( stopTypeProfit, stopModePercent, 30, True );
> ApplyStop( stopTypeTrailing, stopModePercent, 20, True );
>
> CHANGE LOG
>
> CHANGES FOR VERSION 4.44.1 (as compared to 4.44.0)
>
> a.. fixed problem with rotational trading, trade price set to open
>
> CHANGES FOR VERSION 4.44.0 (as compared to 4.43.2)
>
> a.. fixed crash with 'detail mode' and large number of open
positions/ranks used
>
> b.. max. in-memory cache size can be set now to 20000 (please
note that this large cache requires lots of RAM (more than 512MB))
>
> c.. listview copy to clipboard feature now copies also column
header names
>
> d.. 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 rules
> buy = ...
> sel = ...
> SetForeign("MSFT", True, True );
> e = Equity(); // backtest on MSFT
> RestorePriceArrays( True ); // <- should match parameter used in
SetForeign
>
> e.. Name(), FullName(), GetExtraData() work well with SetForeign
() (i.e. give foreign name/data instead of currently selected)
>
> f.. SetOption("PriceBoundChecking", False ); - disables checking
and adjusting buyprice/sellprice/coverprice/shortprice arrays to
current symbol High-Low range.
>
> g.. % profit added to detailed log mode
>
> h.. 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
>
> i.. Auto Analysis/Settings,setting modified "portfolio report
mode: trade list/detailed log" moved to "report" tab
>
> j.. Auto Analysis/Settings, rotational mode: added selection of
trade price and trade delay to portfolio settings page
>
> k.. 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.
>
> l.. Auto Analysis/Settings, report tab: added ability to define
risk-free rates for Sharpe and Ulcer Performance Index calculations.
>
> CHANGES FOR VERSION 4.43.2 (as compared to 4.43.0)
> a.. backtester generates now error message when someone attempts
to use buy/sell/short/cover signals in rotational mode
> b.. column headings fixed in AA porfolio backtest report
> CHANGES FOR VERSION 4.43.0 (as compared to 4.42.0)
>
> a.. Portfolio Optimize mode added
> b.. 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.
>
> c.. 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"
>
> d.. "Allow same day exit (single bar trade)" now affects
Portfolio test too.
>
> e.. SetOption() calls affect Portfolio backtest now added:
> SetOption("MaxOpenPositions")
> SetOption("WorstRankHeld")
> SetOption("MinShares")
>
> f.. fixed Avg Profit/Loss figures in "all trades" section of
portfolio report
>
> g.. added average PERCENT profit/loss figures
>
> h.. internal accuracy of calculations of LinearReg, LinRegSlope,
LinRegIntercept, StdErr, TSF raised from 32 bit floating point to 64
bit floating point
>
> i.. fix: rotational trading mode does not enter position when
score is 999999
>
> j.. fixed column setup in AA
>
> k.. other minor fixes
>
> l.. 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)
> a.. first (incomplete) early beta version of the portfolio
backtester
> b.. fixed plot of Null arrays using styleArea
> c.. fixed display problem with % progress in single-stock
optimization
> d.. other minor fixes
>
> CHANGES FOR VERSION 4.41.2 (as compared to 4.41.1)
>
> a.. now Sum produces values for periods upto and including
BarCount, so Sum( array, BarCount ) gives the value instead of Null
> b.. fixed problem with saving parameters on exit when the user
did not specify default value for string parameter using ParamStr
("name", "")
> c.. fixed 38-byte memory leak when returning values from user-
defined functions
> d.. real-time mode: after AFL syntax error commentary AFL editor
is not refreshed until error is fixed and user presses 'apply'
>
> e.. eSignal 1.6.0 plugin
> (available separately from
http://www.amibroker.com/bin/eSignal160.exe):
> a.. much quicker backfills
> b.. implemented force-reconnect feature in eSignal plugin
> c.. fixed minor timing issue in eSignal plugin
> d.. 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)
> a.. fixed chart refresh locking that happened when user was
drawing some object and abandonend it by pressing ESC key.
> b.. View->Refresh and View->Refresh All menus now reset internal
chart refresh lock flag just in case.
> c.. plugin status is refreshed more often
>
> d.. 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)
> e.. TimeFrameSet() now affects result of Interval() AFL function.
TimeFrameRestore() resets it back.
> f.. Plot() makes copies of OHL arrays when styleCandle or
styleBar is used so statements like
> SetForeign("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()
>
> g.. 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)
>
> a.. legacy 'stoch()' function removed. Use StochK and StochD
instead.
> b.. 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.
> c.. Pref: Misc: auto-hide timeout field: added check for allowed
values from 1...32
>
>
> d.. 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.
>
> e.. 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
>
> f.. TimeFrameCompress( array, interval, mode = compressLast )
> - compresses single array to given interval using given mode,
available modes:
> compressLast - last (close) value of the array within interval
> compressOpen - open value of the array within interval
> compressHigh - highest value of the array within interval
> compressLow - lowest value of the array within interval
> compressVolume - sum values of the array within interval
>
> g.. 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:
>
> a.. 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)
> b.. expandFirst - the compressed value is expanded starting
from first bar within given period
> (so for example weekly open is available from Monday's bar)
>
> c.. 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 );
>
> h.. TimeFrameGetPrice( pricefield, interval, shift = 0, mode =
expandFirst );
> - references OHLCV fields from other time frames.
> This works immediatelly without need to call TimeFrameSet
>
> TimeFrameGetPrice( "O", inWeekly, -1 ) - gives you previous week
OPEN price
> TimeFrameGetPrice( "C", inWeekly, -3 ) - gives you weekly Close
price 3 weeks ago
> TimeFrameGetPrice( "H", inWeekly, -2 ) - gives you weekly High
price 2 weeks ago
> TimeFrameGetPrice( "O", inWeekly, 0 ) - gives you this week open
price.
> TimeFrameGetPrice( "H", inDaily, -1 ) - gives previous day high
when working on intraday data
>
> Price 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 functions
> TimeFrameExpand( 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.
>
> i.. new interval / timeframe constants:
> in1Minute = 60
> in5Minute = 5 * 60
> in15Minute = 15 * 60
> inHourly = 3600
> inDaily = 24 * 3600
> inWeekly = 5 * 24 * 3600
> inMonthly = 25 * 24 * 3600
>
> compressLast = 0
> compressOpen = 1
> compressHigh = 2
> compressLow = 3
> compressVolume = 4
>
> expandLast = 0
> expandFirst = 1
> expandPoint = 2
>
> j.. 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 call
> RestorePriceArrays();
>
> EXAMPLE:
> SetForeign( "MSFT" );
> dm = MACD(); // dm holds MACD of MSFT regardless of currently
selected symbol
> RestorePriceArrays();
> Plot( dm, "MACD of MSFT", colorRed );
> Plot( MACD(), "MACD of " + Name(), colorBlue );
>
> k.. 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@xxxx
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