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Hello,A new beta version (4.46.2)
of AmiBroker has just been released.Includes enhancements allowing to
auto-adjust data from Yahoo andability to display tommorrows trades
recommendations in portfolio backtesterwhen using one bar delay.It
is available for registered users only from the members area at:<A
href=""><FONT
size=2>http://www.amibroker.com/members/bin/ab4462beta.exe<FONT
size=2>and<A
href=""><FONT
size=2>http://www.amibroker.net/members/bin/ab4462beta.exe<FONT
size=2>(File size: 517 576 bytes, 516 KB)If you forgot your
user name / password to the members areayou can use automatic reminder
service at: <FONT
size=2>http://www.amibroker.com/login.htmlThe
highlight of this new version is multiple time frame support in AFL.The
instructions are available below and in the "ReadMe" file( Help->Read Me
menu from AmiBroker )
CHANGES FOR VERSION 4.46.2 (as compared to 4.46.1)
AA settings, switch: "Add artificial future bar" - now artificial future
bar is has incremented date, volume set to zero and all prices (OHLC) set to
CLOSE price of last available data bar. (this is done to prevent the
closed-out value of open positions)
new AFL function:Median( array, period ) - finds median (middle
element) value over period elements
now trade list in portfolio mode displays reason for exit (if trade has
been closed by stop)
trade list is now included in the report
rotational mode: profit target stop was broken, now it is
fixed
Best regards,Tomasz Janeczkoamibroker.com
AmiBroker 4.46.2 Beta Read Me
October 26, 2003 20:12
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 4.46.2 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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