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Brand new morning here in the
states. Crisp, bright, and cold.
Also, the new code does not allow me to
paste into Word editor when copying from AA window.
The instructions say to Edit>Copy, yet
when the AA window is open and there is a selection, Ctrl-C is the only way to
copy. Or right mouse click and then Copy (which is still Ctrl-C)
When I go into my browser window (or the
window of any other program), and I select some text, and I click Ctrl-C, a
little icon opens on the lower right corner of my screen and says x of 24 –
Clipboard Item collected.
<img width=159 height=92
src="jpg00332.jpg">
When I do this within the AA window, the
little icon does not appear. Ctrl-C is NOT capturing so there is nothing
in the clipboard to Paste. Except, unfortunately for this logic, when
trying to paste into Notepad, in which case, the selection is pasted.
Darn!! Tomasz: can you think of any
windows setting that might have to be changed to allow this to work on the
machines that are having difficulty??
Ken
-----Original Message-----
From: Tomasz Janeczko
[mailto:amibroker@xxxxxx]
Sent: Sunday, November 09, 2003
6:13 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] AmiBroker
4.48.1 BETA released
Hello,
A new beta version (4.48.1) 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/ab4481beta.exe
and
http://www.amibroker.net/members/bin/ab4481beta.exe
(File size: 621 071 bytes, 620 KB)
If you forgot your user name / password to the members area
you can use automatic reminder service at: <a
href="">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 4.48.1 (as compared to 4.48.0)
<span
>Changed code that copies HTML format from AFL
editor to clipboard. (this hopefully will address problems with pasting on
some machines)
<span
>MFE/MAE distribution charts are now available in
Professional Edition only
<span
>zooming is now independent in cloned windows
CHANGES FOR VERSION 4.48.0 (as compared to 4.47.0)
<span
>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.
<span
>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)
<span
>portfolio backtester: added support for
backtesting futures
<span
>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)
<span
>portfolio trade list: Max. Adverse Excursion
(MAE) and Max. Favorable Excurison (MFE) added
<span
>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)
<span
>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
4.48.1 Beta Read Me
<span
>November 9, 2003 12:03
THIS IS A BETA VERSION OF THE SOFTWARE. EXPECT BUGS !!!
<span
>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.<span
>
Just run
the installer and follow the instructions.
Then run
AmiBroker. You should see "AmiBroker 4.48.1 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
% - <font
face="Times New Roman">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 %<span
> - Net profit % divided by Exposure %
Annual
Return % -
Compounded Annual Return % (CAR)
Risk
Adjusted Return % <span
>- 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 <span
>- 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<span
> - 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<font
size=2> - 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<span
> - (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
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:<font
size=2> Since the new backtester is <font
face="Times New Roman">not yet complete. If you think that
there is a bug please report it to bugs@xxxxxxxxxxxxx
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:<font
size=2> 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.
/*****<font
size=2 face="Courier New">
** REGULAR PORTFOLIO mode
** This sample optimization
** finds what is optimum number of positions
open simultaneously
**
****/
SetOption("InitialEquity",
20000 );<span
>
SetTradeDelays(1,1,1,1);
RoundLotSize = 1;
posqty
= Optimize("PosQty", 4, 1, 20, 1 );<font size=2
face="Courier New">
SetOption("MaxOpenPositions", posqty);
//
desired position size is 100% portfolio equity<font
size=2 face="Courier New">
// divided by PosQty positions
PositionSize = -100/posqty;
// The
system is very simple...<span
>
// 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 <span
>
// 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
<span
>pyramiding
<span
>intra-bar detailed timing
<span
>OLE interface
<span
>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
<table class=MsoNormalTable border=1 cellspacing=0 cellpadding=0 width="100%"
>
<span
>
<span
>Old backtester
<span
>New (portfolio) backtester
<span
>System and trade drawdown calculations based on
<span
>Open/Close/H-L range (worst case) selectable in
settings
<span
>Close price only (regardless of settings) - subject
to change
<span
>Max. % trade drawdown
<span
>Calculated based on total equity
<span
>Calculated based on ACTUAL trade value at entry
point.
<span
>Stats available
<span
>for all trades only
<span
>separately for long, short and all trades
<span
>Futures backtesting (MarginDeposit, TickSize,
PointValue)
<span
>Supported
<span
>Supported (from 4.48.0)
<span
>PositionSizing
<span
>Based on individual symbol equity
Based
on portfolio equity.
PositionSize
= -25;
will
enter 25% of current porfolio equity
<span
>Trade statistics
<span
>Include only closed trades, open trade is reported
separately
<span
>Include all trades (closed and those still open at
the end of analysis period). Any open trades are closed out at 'close' price always.
<span
>Exposure
<span
>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)
<span
>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.
<span
>Multiple security testing
<span
>N independent accounts (multiple single equity)
<span
>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:
<span
>switching time frame of build-in O, H, L, C, V,
OI, Avg arrays: TimeFrameSet,
TimeFrameRestore
<span
>compressing/expanding single arrays to/from
specified interval: TimeFrameCompress,
TimeFrameExpand
<span
>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<font
size=2 face="Courier New">( 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 ); <font
size=2 face="Courier New">// switch now to
hourly
mah_9 =
EMA( C, 9 ); // 9 bar moving average from hourly data
TimeFrameRestore<font
size=2 face="Courier New">(); // restore time
frame to original
Plot(
Close, "Price", colorWhite, styleCandle );
// plot
expanded average
Plot( <font
size=2 face="Courier New">TimeFrameExpand<font
size=2 face="Courier New">( ma5_13, in5Minute),
"13 bar moving average from 5 min bars", colorRed );<font
size=2 face="Courier New">
Plot( <font
face="Courier New">TimeFrameExpand<font
face="Courier New">( mah_9, inHourly), "9 bar moving average from hourly
bars", colorRed );
TimeFrameSet<font
size=2>( 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<font
size=2>() - 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.
<span
>TimeFrameExpand<font
size=2>( 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<font
size=2>( 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<font
size=2>( 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:
<span
>TimeFrameGetPrice( "O", inWeekly, -1 )<font
size=2> - gives you previous week OPEN price
TimeFrameGetPrice( "C", inWeekly, -3 )<font
size=2> - gives you weekly Close price 3 weeks
ago
TimeFrameGetPrice( "H", inWeekly, -2 )<font
size=2> - gives you weekly High price 2 weeks
ago
TimeFrameGetPrice( "O", inWeekly, 0 )<font
size=2> - gives you this week open price.
<span
>TimeFrameGetPrice( "H", inDaily, -1 )<font
size=2> - 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 )<font
size=2>
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.
<span
>Note on performance of TimeFrame functions:<font
size=2>
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
<span
>TimeFrameSet( inWeekly );<font
size=2 face="Courier New">
m = MACD(12, 26 ); // MACD from WEEKLY data
TimeFrameRestore();
<span
>m1 = TimeFrameExpand( m, inWeekly );
<span
>Plot( m1, "Weekly MACD", colorRed );<font
size=2 face="Courier New">
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 );<font
size=2 face="Courier New">
wh = TimeFrameGetPrice( "H", inWeekly,
0, expandPoint );
wl = TimeFrameGetPrice( "L", inWeekly,
0, expandPoint );
wc = TimeFrameGetPrice( "C", inWeekly,
0, expandPoint );
<span
>PlotOHLC( wo, wh, wl, wc, "Weekly Close",
colorWhite, styleCandle );<span
>
Plot( Close, "Daily Close", colorBlue
);
EXAMPLE
3: Simplified Triple screen system
<span
>/* switch to weekly time frame */<font
size=2 face="Courier New">
TimeFrameSet( inWeekly );
whist = MACD( 12, 26 ) - Signal( 12, 26, 9 );
wtrend = ROC( whist, 1 ); // weekly trend - one
week change of weekly macd histogram
TimeFrameRestore();
<span
>/* expand calculated MACD to daily so we can use it
with daily signals */<span
>
wtrend = TimeFrameExpand( wtrend, inWeekly );
/* elder ray */
bullpower= High - ema(Close,13);
bearpower= Low - ema(Close,13);
<span
>Buy = wtrend > 0 /* 1st screen: positive weekly
trend */<span
>
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 */
<span
>BuyPrice = Ref( H, -1 ); // buy stop level;
Sell =
0 ; // exit only by stops<span
>
ApplyStop( stopTypeProfit, stopModePercent, 30,
True );
ApplyStop( stopTypeTrailing, stopModePercent,
20, True );
CHANGE
LOG
CHANGES FOR VERSION 4.48.1 (as compared to 4.48.0)
<span
>Changed code that copies HTML format from AFL editor
to clipboard. (this hopefully will address problems with pasting on some
machines)
<span
>MFE/MAE distribution charts are now available in
Professional Edition only
<span
>zooming is now independent in cloned windows
CHANGES FOR VERSION 4.48.0 (as compared to 4.47.0)
<span
>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.
<span
>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)
<span
>portfolio backtester: added support for
backtesting futures
<span
>portfolio backtest report:
+ added profit distribution chart
+ added MAE distribution chart (Pro version only)
+ added MFE distribution chart (Pro version only)
<span
>portfolio trade list: Max. Adverse Excursion
(MAE) and Max. Favorable Excurison (MFE) added
<span
>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)
<span
>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)
<span
>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.
<span
>Regular mode: "Max # of tracked
signals" setting removed. Now _all_
exit signals are tracked.
<span
>fixed offset in day numbers returned by
DayOfWeek() function for dates prior to 1970
<span
>added InterestEarning calculation to Portfolio
backtest
<span
>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)
<span
>other minor fixes
CHANGES FOR VERSION 4.46.3 (as compared to 4.46.2)
<span
>thousand separator is removed automatically in
StrToNum to prevent problems with conversion of numbers > 1000 when
thousand separator is enabled
<span
>fixed issue with rotational mode, entering other
symbols when trade on top ranked symbol has been stopped and re-entry delay
> 0
<span
>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.)
<span
>still open trades are listed in HTML report too.
<span
>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)
<span
>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)
<span
>new AFL function:
Median( array, period ) - finds median (middle element) value over period
elements
<span
>now trade list in portfolio mode displays reason
for exit (if trade has been closed by stop)
<span
>trade list is now included in the report
<span
>rotational mode: profit target stop was broken,
now it is fixed
CHANGES FOR VERSION 4.46.1 (as compared to 4.46.0)
<span
>scoreNoRotate now works again
<span
>small fix in regarding month boundary handling in
"Use local time for daily compression" mode.
<span
>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.
<span
>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)
<span
>New AFL functions
<span
>added NumToStr
as synonum of WriteVal (as this function did not 'write' anything, just
returned string)
<span
>added StrToNum(
string ) - converts string to numbe
<span
>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
<span
>added StrFormat(
formatstr, ... ) that performs sprintf-like formatting and returns string
<span
>CategoryGetName<font
size=2>( category, number) function -
returns name of category (market/group/sector/industry/watchlist)
<span
>CategoryGetSymbols<font
size=2>( category, number ) added -
synonym to GetCategorySymbols
<span
>CategoryAddSymbol<font
size=2>( 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.
<span
>CategoryRemoveSymbol<font
size=2>( 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.
<span
>added new AFL functions for output/file handling
(almost exactly like in C run-time):
<span
>printf<span
>( 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)
<span
>fopen<span
>( 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)
<span
>fclose<span
>( filehandle ); - closes file
<span
>fputs<span
>( string, filehandle ) - puts (writes) string to
file
<span
>fgets<span
>( filehandle ) - gets (reads) string from file
(returns string)
<span
>feof<span
>( filehandle ) - detects end-of-file marker (
gives True - if end of file reached )
<span
>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
<span
>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)
<span
>ASCII importer: support for importing unadjusted
Yahoo data performing adjustment on the fly:
<span
>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.
<span
>new command <font
face="Times New Roman">$ROUNDADJ <font
face="Times New Roman">decimaldigits - causes
split-adjusted prices (see above) to be rounded to 'decimaldigits'
precision. By default no rounding is done.
<span
>new command <font
face="Times New Roman">$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 $RECALCSPLITS 1 is intended to address this
problem (at least partially).
It works as follows:
1. for each bar ratio ADJCLOSE/CLOSE is calculated
2. if the ratio changes in two consecutive bars by more than 10% it means
that
split happened that bar. True split ratio is guessed by matching true
fraction
in the format of X/Y, where X and Y = 1..9, to the change in ratios.
3. Then true split ratio is used to adjust all past bars until new split
is detected.
<span
>new command <font
face="Times New Roman">$RAWCLOSE2OI 1 - (off by
default) - causes that OpenInterest field gets assigned CLOSE (raw close)
field value multiplied by 100
<span
>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)
<span
>score of 999999 is no longer recognized. Use
constant scoreNoRotate instead.
<span
>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 );
<span
>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)
<span
>re-entry delay implemented for all kind of stops
<span
>user interface added in the settings for n-bar
stops
<span
>ApplyStop function now takes 6 parameters:
ApplyStop( Type, Mode, Amount, ExitAtStop = True, Volatile = False,
ReentryDelay = 0 )
<span
>rotational mode docs moved to <a
href=""
target="_blank">this page
CHANGES FOR VERSION 4.44.1 (as compared to 4.44.0)
<span
>fixed problem with rotational mode, trading
price: open
CHANGES FOR VERSION 4.44.0 (as compared to 4.43.2)
<span
>fixed crash with 'detail mode' and large number
of open positions/ranks used
<span
>max. in-memory cache size can be set now to 20000
(please note that this large cache requires lots of RAM (more than 512MB))
<span
>listview copy to clipboard feature now copies
also column header names
<span
>SetForeign( ticker, fixup = True, tradeprices =
False) and
RestorePriceArrays( tradeprices = False )
have new flag now: tradeprices (False by default)
<span
>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.
<span
>This allows Equity() to work well with SetForeign.
<span
>Example:
<font size=2
face="Courier New">// your rules<font
size=2 face="Courier New">
buy = ...
sel = ...
SetForeign("MSFT", True, True );
e = Equity(); // backtest on MSFT
RestorePriceArrays( True ); // <- should
match parameter used in SetForeign
<span
>Name(), FullName(), GetExtraData() work well with
SetForeign() (i.e. give foreign name/data instead of currently selected)
<span
>SetOption("PriceBoundChecking", False
); - disables checking and adjusting
buyprice/sellprice/coverprice/shortprice arrays to current symbol High-Low
range.
<span
>% profit added to detailed log mode
<span
>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
<span
>Auto Analysis/Settings,setting modified
"portfolio report mode: trade list/detailed log" moved to
"report" tab
<span
>Auto Analysis/Settings, rotational mode: added
selection of trade price and trade delay to portfolio settings page
<span
>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.
<span
>Auto Analysis/Settings, report tab: added ability
to define risk-free rates for Sharpe and Ulcer Performance Index
calculations.
<span
>CHANGES FOR VERSION 4.43.2 (as
compared to 4.43.0)
<span
>backtester generates now error message when
someone attempts to use buy/sell/short/cover signals in rotational mode
<span
>column headings fixed in AA porfolio backtest
report
CHANGES FOR VERSION 4.43.0 (as compared to 4.42.0)
<span
>Portfolio Optimize mode added
<span
>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.
<span
>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.
<span
>rotational-trading mode must now be turned on by
calling new EnableRotationalTrading() function at the top of your formula.
<span
>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"
<span
>"Allow same day exit (single bar
trade)" now affects Portfolio test too.
<span
>SetOption() calls affect Portfolio backtest now
added:
SetOption("MaxOpenPositions")
SetOption("WorstRankHeld")
SetOption("MinShares")
<span
>fixed Avg Profit/Loss figures in "all
trades" section of portfolio report
<span
>added average PERCENT profit/loss figures
<span
>internal accuracy of calculations of LinearReg,
LinRegSlope, LinRegIntercept, StdErr, TSF raised from 32 bit floating
point to 64 bit floating point
<span
>fix: rotational trading mode does not enter
position when score is 999999
<span
>fixed column setup in AA
<span
>other minor fixes
<span
>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.
<span
>CHANGES FOR VERSION 4.42.0 (as
compared to 4.41.2)
<span
>first (incomplete) early beta
version of the portfolio backtester
<span
>fixed plot of Null arrays using styleArea
<span
>fixed display problem with % progress in
single-stock optimization
<span
>other minor fixes
CHANGES FOR VERSION 4.41.2 (as compared to 4.41.1)
<span
>now Sum produces values for periods upto and
including BarCount, so Sum( array, BarCount ) gives the value instead of
Null
<span
>fixed problem with saving parameters on exit when
the user did not specify default value for string parameter using
ParamStr("name", "")
<span
>fixed 38-byte memory leak when returning values
from user-defined functions
<span
>real-time mode: after AFL syntax error commentary
AFL editor is not refreshed until error is fixed and user presses 'apply'
<span
>eSignal 1.6.0 plugin
(available separately from<a
href="">
http://www.amibroker.com/bin/eSignal160.exe):
<span
>much quicker backfills
<span
>implemented force-reconnect feature in eSignal
plugin
<span
>fixed minor timing issue in eSignal plugin
<span
>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.
<span
>CHANGES FOR VERSION 4.41.1 (as
compared to 4.41.0)
<span
>fixed chart refresh locking that happened when
user was drawing some object and abandonend it by pressing ESC key.
<span
>View->Refresh and View->Refresh All menus
now reset internal chart refresh lock flag just in case.
<span
>plugin status is refreshed more often
<span
>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)
<span
>TimeFrameSet() now affects result of Interval()
AFL function. TimeFrameRestore() resets it back.
<span
>Plot() makes copies of OHL arrays when
styleCandle or styleBar is used so statements like
<span
>SetForeign("AAPL");<font
size=2 face="Courier New">
Plot( C, "Price", colorYellow,
styleCandle );
SetForeign("MSFT");
Plot( C, "Price 2", colorBlue,
styleCandle );
plot correctly.
Previously one would need to use PlotOHLC() or PlotForeign()
<span
>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)
<span
>legacy 'stoch()' function removed. Use StochK and
StochD instead.
<span
>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.
<span
>Pref: Misc: auto-hide timeout field: added check
for allowed values from 1...32
<span
>
<span
>TimeFrameSet<font
size=2>( 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.
<span
>TimeFrameRestore<font
size=2>()
- restores price arrays replaced by SetTimeFrame.
<span
>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
<span
>TimeFrameCompress<font
size=2>( 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
<span
>TimeFrameExpand<font
size=2>( array, interval, mode = expandLast
)
- expands time-compressed array from 'interval' time frame
('interval' must match the value used in TimeFrameCompress or
TimeFrameSet)
Available modes:
<span
>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)
<span
>expandFirst - the compressed value is expanded
starting from first bar within given period
(so for example weekly open is available from Monday's bar)
<span
>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.
<span
>graph0 = TimeFrameExpand( TimeFrameCompress(
Close, inWeekly, compressLast ), inWeekly, expandLast );<font
size=2 face="Courier New">
graph1 = TimeFrameExpand(
TimeFrameCompress( Open, inWeekly, compressOpen ), inWeekly, expandFirst
);
<span
>TimeFrameGetPrice<font
size=2>( pricefield, interval, shift = 0,
mode = expandFirst );
- references OHLCV fields from other time frames.
This works immediatelly without need to call TimeFrameSet
<span
>TimeFrameGetPrice( "O", inWeekly, -1 )<font
size=2> - gives you previous week OPEN
price
<span
>TimeFrameGetPrice( "C", inWeekly, -3 )<font
size=2> - gives you weekly Close price 3
weeks ago
<span
>TimeFrameGetPrice( "H", inWeekly, -2 )<font
size=2> - gives you weekly High price 2
weeks ago
<span
>TimeFrameGetPrice( "O", inWeekly, 0 )<font
size=2> - gives you this week open price.
<span
>TimeFrameGetPrice( "H", inDaily, -1 )<font
size=2> - gives previous day high when
working on intraday data
<span
>
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 )<font
size=2>
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.
<span
>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
<span
>
compressLast = 0
compressOpen = 1
compressHigh = 2
compressLow = 3
compressVolume = 4
expandLast = 0
expandFirst = 1
expandPoint = 2
<span
>SetForeign<font
size=2>( '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.
<span
>
Equivalent to the following sequence:
C = Foreign( "ticker", "C" );<font
size=2 face="Courier New">
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;<font
size=2>
but 6x faster (SetForeign takes about the same time as single foreign). To
restore original prices call
RestorePriceArrays();
EXAMPLE:
SetForeign( "MSFT" );<font size=2
face="Courier New">
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 );
<span
>RestorePriceArrays<font
size=2>();
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 <a
href="">bugs@xxxxxxxxxxxxx
<font size=2
face="Courier New">Send BUG REPORTS to
bugs@xxxxxxxxxxxxx<span
>
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx
(Web page: <a
href="">http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: <a
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of
Yahoo! Groups is subject to the Yahoo!
Terms of Service.
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Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
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