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[amibroker] Re: AmiBroker 4.47.0 BETA released



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Tomasz,

Having all the exit signals recorded is a big help. 

Now I can use optimization with the new portfolio tester. Before I 
had to do one run at a time so I could manual check that results 
were not affected by trades getting looked open for several years.

It is so much nicer to use now.

b

---  "Tomasz Janeczko" <amibroker@xxxx> wrote:
> Hello,
> 
> A new beta version (4.47.0) of AmiBroker has just been released.
> Includes enhancements allowing to auto-adjust data from Yahoo and
> ability to display tommorrows trades recommendations in portfolio 
backtester
> when using one bar delay.
> 
> It is available for registered users only from the members area at:
> http://www.amibroker.com/members/bin/ab4470beta.exe
> and
> http://www.amibroker.net/members/bin/ab4470beta.exe
> 
> (File size: 610 153 bytes,  610 KB)
> 
> If you forgot your user name / password to the members area
> you can use automatic reminder service at: 
http://www.amibroker.com/login.html
> 
> The 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 4.47.0 (as compared to 4.46.3)
> 
>   a.. in regular detailed log does not show more than 2 * 
MaxOpenPositions top ranked entry (buy/short) signals since anyway 
they won't ever be entered.
> 
>   b.. Regular mode: "Max # of tracked signals" setting removed. 
Now _all_ exit signals are tracked.
> 
>   c.. fixed offset in day numbers returned by DayOfWeek() function 
for dates prior to 1970
> 
>   d.. added InterestEarning calculation to Portfolio backtest 
> 
>   e.. now single bar 'long side' and 'short side' exposure is 
calculated as value of long positions and short positions 
(respectively) divided by overall equity value. (previously it was 
divided by long equity / short equity value but it caused problems 
for systems that were constantly loosing on short side causing that 
short side dropped below zero)
> 
>   f.. other minor fixes
> 
> Hope this helps.
> 
> Best regards,
> Tomasz Janeczko
> amibroker.com
> 
> AmiBroker 4.47.0 Beta Read Me
> November 1, 2003 20:50 
> 
> 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 4.47.0 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. 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, 
etc. These settings are available via SetOption() function. New 
fields accepted by SetOption include: SetOption("MaxOpenPositions"), 
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. 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 BackTest" 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 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
> 
> You can use new 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;
> 
> 
> 
> Things NOT IMPLEMENTED yet in new portfolio backtester, to be done 
soon
>   a.. futures support (point value, margin deposit, ticksize) 
>   b.. pyramiding 
>   c.. intra-bar detailed timing 
>   d.. OLE interface 
>   e.. 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- 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.
> 
> Known differencies between statistics produced by 'old' and 'new' 
(portfolio) backtester 
>         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 
>       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). Any open trades are closed out 
at 'close' price always. 
>       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 
> 
> 
> 
> 
> 
> 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 4.47.0 (as compared to 4.46.3)
> 
>   a.. in regular detailed log does not show more than 2 * 
MaxOpenPositions top ranked entry (buy/short) signals since anyway 
they won't ever be entered.
> 
>   b.. Regular mode: "Max # of tracked signals" setting removed. 
Now _all_ exit signals are tracked.
> 
>   c.. fixed offset in day numbers returned by DayOfWeek() function 
for dates prior to 1970
> 
>   d.. added InterestEarning calculation to Portfolio backtest 
> 
>   e.. now single bar 'long side' and 'short side' exposure is 
calculated as value of long positions and short positions 
(respectively) divided by overall equity value. (previously it was 
divided by long equity / short equity value but it caused problems 
for systems that were constantly loosing on short side causing that 
short side dropped below zero)
> 
>   f.. other minor fixes
> 
> CHANGES FOR VERSION 4.46.3 (as compared to 4.46.2)
> 
>   a.. thousand separator is removed automatically in StrToNum to 
prevent problems with conversion of numbers > 1000 when thousand 
separator is enabled 
>   b.. fixed issue with rotational mode, entering other symbols 
when trade on top ranked symbol has been stopped and re-entry delay 
> 0 
>   c.. detailed log mode does not affect drawdown calculation 
(previously it could result in slightly bigger drawdowns reported 
in 'detailed log' mode due to the fact that exit bar close was 
included in drawdown calculations even when exiting on open.) 
>   d.. still open trades are listed in HTML report too.
> 
>   e.. trade list in HTML portfolio report can be turned OFF using 
Settings: "Report", Trade list: <no trade list> setting.
>   (this setting page will be cleaned up at some point when there 
will be one backtester only).
> 
> CHANGES FOR VERSION 4.46.2 (as compared to 4.46.1)
> 
>   a.. 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)
> 
>   b.. new AFL function:
>   Median( array, period ) - finds median (middle element) value 
over period elements 
>   c.. now trade list in portfolio mode displays reason for exit 
(if trade has been closed by stop)
> 
>   d.. trade list is now included in the report
> 
>   e.. rotational mode: profit target stop was broken, now it is 
fixed
> 
> CHANGES FOR VERSION 4.46.1 (as compared to 4.46.0)
> 
>   a.. scoreNoRotate now works again 
>   b.. small fix in regarding month boundary handling in "Use local 
time for daily compression" mode.
> 
>   c.. AA settings, new switch: "Add artificial future bar". When 
checked AmiBroker adds tommorrow's bar and this enables you to see 
tommorrow's (or next bar) trade recommendations when your system 
uses one bar delay. Artificial future bar is a copy of last 
available data bar but has of course incremented date and volume set 
to zero.
> 
>   d.. two functions (where present in 4.46.0 but not documented)
>   IsFavourite() - returns 'true' if current symbol belongs to 
favorites
>   IsIndex() - returns 'true' if current symbol belongs to index 
category
> 
> CHANGES FOR VERSION 4.46.0 (as compared to 4.45.0)
> 
>   a.. New AFL functions
> 
>     a.. added NumToStr as synonum of WriteVal (as this function 
did not 'write' anything, just returned string) 
>     b.. added StrToNum( string ) - converts string to numbe 
>     c.. added StrFind( string, substring ) - finds first 
occurrence of substring in string. returns 0 if not found, otherwise 
returns character index (one-based) of first occurrence 
>     d.. added StrFormat( formatstr, ... ) that performs sprintf-
like formatting and returns string 
>     e.. CategoryGetName( category, number) function - returns name 
of category (market/group/sector/industry/watchlist) 
>     f.. CategoryGetSymbols( category, number ) added - synonym to 
GetCategorySymbols
> 
>     g.. CategoryAddSymbol( symbol, category, number ); - adds the 
symbol to given category, note that for markets, groups, 
industries 'adding' means moving from one category to another, since 
the symbol is assigned always to one and only one market, group, 
industry and sector. This limitation does not apply to watchlists, 
favorites, and index categories. When symbol string is empty ("") 
then current symbol is used. 
>     h.. CategoryRemoveSymbol( symbol, category, number ); - 
removes the symbol to given category, note that for markets, groups, 
industries 'removing' means moving from given category to category 
with number zero, since the symbol is assigned always to one and 
only one market, group, industry and sector. This limitation does 
not apply to watchlists, favorites, and index categories. When 
symbol string is empty ("") then current symbol is used.
> 
>   b.. added new AFL functions for output/file handling (almost 
exactly like in C run-time): 
>     a.. printf( formatstr, ... ) - output formatted text to the 
commentary/interpretation (note 1: for numbers always use %f, %e or %
g formatting, %d or %x will not work because there are no integers 
in AFL, note 2: as of now only numbers and arrays can now be 
printed. For arrays 'selected value' is printed) 
>     b.. fopen( filename, mode ) - opens file, returns filehandle . 
Mode can be "r" - for reading, "w" for writing, "a" for appending 
(and all other regular C-runtime library modes) 
>     c.. fclose( filehandle ); - closes file 
>     d.. fputs( string, filehandle ) - puts (writes) string to file 
>     e.. fgets( filehandle ) - gets (reads) string from file 
(returns string) 
>     f.. feof( filehandle ) - detects end-of-file marker ( gives 
True - if end of file reached ) 
>   c.. PositionScore table is now shifted according to buy trade 
delay in regular mode too. (it was shifted so in rotational mode 
already). Caveat: make sure to set long and short delays to the same 
values if you are trading both long and short sides, otherwise only 
long trades get correct ranks. Note 2: PositionSize is not and was 
never shifted with trade delays
>   to allow code for purchasing N stocks working with any delay, 
example PositionSize = 5 * BuyPrice 
>   a.. added new option to File->Database Settings->Intraday 
settings "Use local time for daily compression".
>   All previous versions used exchange or data vendor time to do 
build daily bars (this means that regardless of your time shift 
settings daily bars looked the same because they used exchange or 
data source time (for example if you are using QuoteTracker it was 
US EST time) - this caused problems for Australian users using 
QuoteTracker as data source because QuoteTracker reported ASX quotes 
with US time that lead to invalid daily bars. Now if you check "Use 
local time for daily compression" AmiBroker will use your local time 
(according to 'time shift' setting) to build daily bars. Note that 
switching this on means that daily bars may look different when you 
change time zone (i.e. time shift setting)
> 
>   b.. ASCII importer: support for importing unadjusted Yahoo data 
performing adjustment on the fly: 
> 
>     a.. new field ADJCLOSE - to read adj. close column from Yahoo. 
Works _only_ in conjunction with CLOSE field. When both CLOSE and 
ADJCLOSE are present in the ASCII format definition then importer 
calculates split factor by dividing ADJCLOSE/CLOSE. It then 
multiples OPEN, HIGH, LOW and CLOSE fields by this factor and 
divides VOLUME field by this factor. This effectively converts 
unadjusted prices to split adjusted prices. Split ratio gets locked 
once ADJCLOSE drops below 0.05.
> 
>     b.. new command $ROUNDADJ decimaldigits - causes split-
adjusted prices (see above) to be rounded to 'decimaldigits' 
precision. By default no rounding is done.
> 
>     c.. new command $RECALCSPLITS 1 - (off by default) causes that 
splits are recalculated by AmiBroker
>     by the algorithm that tries to construct correct adjusted 
price, based on inaccurate information provided by Yahoo.
>     Note that Yahoo provides only 2 decimal digits in adj. close 
field therefore the more adj. close approaches zero due to 
adjustements the error grows. The option $RECALCSPLITS 1 is intended 
to address this problem (at least partially).
>     It works as follows:
>     1. for each bar ratio ADJCLOSE/CLOSE is calculated
>     2. if the ratio changes in two consecutive bars by more than 
10% it means that
>     split happened that bar. True split ratio is guessed by 
matching true fraction
>     in the format of X/Y, where X and Y = 1..9, to the change in 
ratios.
>     3. Then true split ratio is used to adjust all past bars until 
new split is detected.
> 
>     d.. new command $RAWCLOSE2OI 1 - (off by default) - causes 
that OpenInterest field gets assigned CLOSE (raw close) field value 
multiplied by 100
> 
>   c.. new aqh.format file included in "formats" subfolder using 
new ASCII importer commands to import and adjust prices from Yahoo. 
Compatible with existing AmiQuote versions. 
> CHANGES FOR VERSION 4.45.0 (as compared to 4.44.1)
> 
>   a.. score of 999999 is no longer recognized. Use constant 
scoreNoRotate instead.
> 
>   b.. UI simplification:
>   Rotational mode: separate settings for rotational mode trade 
price and delay and worst rank held have been removed.
>   Rotational mode now uses buy price and buy delay settings 
from "Trade" tab. You can also set delay from the code SetTradeDelays
( 1, 1, 1, 1 ); will give you one bar delay. To set 'worst rank 
held' use SetOption function in your formula:
>   SetOption("WorstRankHeld", 5 );
> 
>   c.. stops implemented in rotational trading mode (limitation: 
stops in rotational mode can only be static, they can not change
>   'stop amount' from symbol to symbol or from bar to bar like in 
regular mode)
> 
>   d.. re-entry delay implemented for all kind of stops
> 
>   e.. user interface added in the settings for n-bar stops
> 
>   f.. ApplyStop function now takes 6 parameters:
>   ApplyStop( Type, Mode, Amount, ExitAtStop = True, Volatile = 
False, ReentryDelay = 0 )
> 
>   g.. rotational mode docs moved to this page 
> CHANGES FOR VERSION 4.44.1 (as compared to 4.44.0)
> 
>   a.. fixed problem with rotational mode, trading price: 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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