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Anyone have any sage advice regarding how to interpret:
+ added profit distribution chart
+ added MAE distribution chart (Pro version only)
+ added MFE distribution chart (Pro version only)
# portfolio trade list: Max. Adverse Excursion (MAE) and Max.
Favorable Excurison (MFE) added
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> 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:
> http://www.amibroker.com/members/bin/ab4480beta.exe
> and
> http://www.amibroker.net/members/bin/ab4480beta.exe
>
> (File size: 620 822 bytes, 620 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 4.48.0 (as compared to 4.47.0)
>
> a.. 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.
>
> b.. cloned windows are now properly saved in a layout. (note that
format has changed slightly and you may get problems
> trying to load into old version the layout saved with NEW version)
>
> c.. portfolio backtester: added support for backtesting futures
>
> d.. 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)
>
> e.. portfolio trade list: Max. Adverse Excursion (MAE) and Max.
Favorable Excurison (MFE) added
>
> f.. 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)
>
> g.. 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 Janeczko
> amibroker.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 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.. pyramiding
> b.. intra-bar detailed timing
> c.. OLE interface
> d.. 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 Supported (from 4.48.0)
> 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 4.48.0 (as compared to 4.47.0)
>
> a.. 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.
>
> b.. cloned windows are now properly saved in a layout. (note that
format has changed slightly and you may get problems
> trying to load into old version the layout saved with NEW version)
>
> c.. portfolio backtester: added support for backtesting futures
>
> d.. portfolio backtest report:
> + added profit distribution chart
> + added MAE distribution chart (Pro version only)
> + added MFE distribution chart (Pro version only)
>
> e.. portfolio trade list: Max. Adverse Excursion (MAE) and Max.
Favorable Excurison (MFE) added
>
> f.. 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)
>
> g.. 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
>
> 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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