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Hello,A new beta version (4.48.0) of AmiBroker has
just been released.
Includes "window linking" (different intervals in cloned
windows), futures support in portfolio backtester,
Profit distribution chart, MAE/MFE in trade list and other
improvements.
It is available for registered users only from the members
area at:<A
href=""><FONT
size=2>http://www.amibroker.com/members/bin/ab4480beta.exe<FONT
size=2>and<A
href=""><FONT
size=2>http://www.amibroker.net/members/bin/ab4480beta.exe<FONT
size=2>(File size: 620 822 bytes, 620 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 4.48.0 (as compared to 4.47.0)
window linking with different bar interval works now.Just use
Window->Clone menu ... this will create a clone of currently selected
window. The difference from previous version is that you can now select
different interval for this cloned window. Cloned windows are numbered. You
can have infinite number of cloned windows and they are linked within group
(change symbol in one window causes change in every linked window) but the
viewing interval is independent.
cloned windows are now properly saved in a layout. (note that format has
changed slightly and you may get problemstrying to load into old version
the layout saved with NEW version)
portfolio backtester: added support for backtesting futures
portfolio backtest report:+ added profit distribution chart +
added MAE distribution chart (Professional /previosly known as
RealTime/ edition only)+ added MFE distribution chart (Professional
/previosly known as RealTime/ edition only)
portfolio trade list: Max. Adverse Excursion (MAE) and Max. Favorable
Excurison (MFE) added
ApplyStop / ExitAtStop=False feature in rotational mode works as in
regular mode now (checks only trade price for stops, not H-L range. H-L is
checked when ExitAtStop is True)
AFL Editor - Edit->Copy puts "HTML Format" and "DwHt" (Dreamweaver HTML
format) into clipboard in addition to TXT and RTF formats. This provides
ability to paste nicely formatted codes directly into Outlook Express and
Macromedia Dreamweaver
Hope this helps.
Best regards,Tomasz Janeczkoamibroker.com
AmiBroker 4.48.0 Beta Read Me
November 8, 2003 21:21
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 4.48.0 beta" written in the
About box.
See CHANGE LOG below for detailed list of changes.
HELP ON NEW FEATURES
New backtest report
New report is hugely enhanced compared to old one. It includes separate
statistics for all, long and short sides as well as large number of new metrics.
You can get short help on given figure by hovering your mouse over given field
name. You will see the description in the tooltip. Short explanations are
provided also below:
Exposure % - modified since last release
-'Market exposure of the trading system calculated on bar by bar basis. Sum of
bar exposures divided by number of bars. Single bar exposure is the value of
open positions divided by portfolio equity.
Net Risk Adjusted Return % - Net profit % divided by
Exposure %
Annual Return % - Compounded Annual Return % (CAR)
Risk Adjusted Return % - Annual return % divided by Exposure
%
Avg. Profit/Loss - (Profit of winners + Loss of
losers)/(number of trades)
Avg. Profit/Loss % - '(% Profit of winners + % Loss of
losers)/(number of trades)
Avg. Bars Held - sum of bars in trades / number of
trades
Max. trade drawdown - The largest peak to valley decline
experienced in any single trade
Max. trade % drawdown - The largest peak to valley
percentage decline experienced in any single trade
Max. system drawdown - The largest peak to valley decline
experienced in portfolio equity
Max. system % drawdown - The largest peak to valley
percentage decline experienced in portfolio equityRecovery
Factor - Net profit divided by Max. system
drawdownCAR/MaxDD - Compound Annual % Return divided by
Max. system % drawdown
RAR/MaxDD - Risk Adjusted Return divided by Max. system %
drawdown
Profit Factor - Profit of winners divided by loss of
losers
Payoff Ratio - Ratio average win / average
lossStandard Error - Standard error measures chopiness
of equity line. The lower the better.
Risk-Reward Ratio - Measure of the relation between the risk
inherent in a trading the system compared to its potential gain. Higher is
better. Calculated as slope of equity line (expected annual return) divided by
its standard error.
Ulcer Index - Square root of sum of squared drawdowns
divided by number of bars
Ulcer Performance Index - (Annual profit - Tresury notes
profit)/Ulcer Index'>Ulcer Performance Index. Currently tresury notes profit
is hardcoded at 5.4. In future version there will be user-setting for this.
Sharpe Ratio of trades - Measure of risk adjusted return of
investment. Above 1.0 is good, more than 2.0 is very good. More information <A
href="">http://www.stanford.edu/~wfsharpe/art/sr/sr.htm
. Calculation: first average percentage return and standard deviation of returns
is calculated. Then these two figures are annualized by multipling them by ratio
(NumberOfBarsPerYear)/(AvgNumberOfBarsPerTrade). Then the risk free rate of
return is subtracted (currently hard-coded 5) from annualized average return and
then divided by annualized standard deviation of
returns.K-Ratio - Detects inconsistency in returns.
Should be 1.0 or more. The higher K ratio is the more consistent return you may
expect from the system. Linear regression slope of equity line multiplied by
square root of sum of squared deviations of bar number divided by standard error
of equity line multiplied by square root of number of bars. More information:
Stocks & Commodities V14:3 (115-118): Measuring System Performance by Lars
N. Kestner
Optimization in new portfolio backtester
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