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[amibroker] AmiBroker 4.48.2 BETA released



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Hello,A new beta version (4.48.2) of AmiBroker has 
just been released.
Includes "window linking" (different intervals in cloned 
windows), futures support in portfolio backtester,
Profit distribution chart, MAE/MFE in trade list and other 
improvements.
It is available for registered users only from the members area 
at:<A 
href=""><FONT 
size=2>http://www.amibroker.com/members/bin/ab4482beta.exe<FONT 
size=2>and<A 
href=""><FONT 
size=2>http://www.amibroker.net/members/bin/ab4482beta.exe<FONT 
size=2>(File size: 621 167 bytes,  620 KB)If you forgot 
your user name / password to the members areayou can use automatic reminder 
service at: <FONT 
size=2>http://www.amibroker.com/login.htmlThe 
highlight of this new version is multiple time frame support in AFL.The 
instructions are available below and in the "ReadMe" file( Help->Read Me 
menu from AmiBroker )
 

CHANGES FOR VERSION 4.48.2 (as compared to 4.48.1)
  once more changed slightly HTML copy routine and turned it off by default 
  added a switch to Tools->Preferences->Editor that allows to turn 
  "Copy as HTML" feature on, on those machines having no problems (like mine) 
  
CHANGES FOR VERSION 4.48.1 (as compared to 4.48.0)
  Changed code that copies HTML format from AFL editor to clipboard. (this 
  hopefully will address problems with pasting on some machines) 
  MFE/MAE distribution charts are now available in Professional Edition only 

  zooming is now independent in cloned windows 
CHANGES FOR VERSION 4.48.0 (as compared to 4.47.0)
  window linking with different bar interval works now.Just use 
  Window->Clone menu ... this will create a clone of currently selected 
  window. The difference from previous version is that you can now select 
  different interval for this cloned window. Cloned windows are numbered. You 
  can have infinite number of cloned windows and they are linked within group 
  (change symbol in one window causes change in every linked window) but the 
  viewing interval is independent.
  cloned windows are now properly saved in a layout. (note that format has 
  changed slightly and you may get problemstrying to load into old version 
  the layout saved with NEW version)
  portfolio backtester: added support for backtesting futures
  portfolio backtest report:+ added profit distribution chart + 
  added MAE distribution chart (Pro version only)+ added MFE distribution 
  chart (Pro version only)
  portfolio trade list: Max. Adverse Excursion (MAE) and Max. Favorable 
  Excurison (MFE) added
  ApplyStop / ExitAtStop=False feature in rotational mode works as in 
  regular mode now (checks only trade price for stops, not H-L range. H-L is 
  checked when ExitAtStop is True)
  AFL Editor - Edit->Copy puts "HTML Format" and "DwHt" (Dreamweaver HTML 
  format) into clipboard in addition to TXT and RTF formats. This provides 
  ability to paste nicely formatted codes directly into Outlook Express and 
  Macromedia Dreamweaver 
 
Hope this helps.
 
Best regards,Tomasz Janeczkoamibroker.com

AmiBroker 4.48.2 Beta Read Me
November 9, 2003 19:12 
THIS IS A BETA VERSION OF THE SOFTWARE. EXPECT BUGS !!!
Backup your data files and entire AmiBroker folder 
first!
INSTALLATION INSTRUCTIONS
IMPORTANT: This archive is update-only. You have to install full 
version 4.40 first. 
Just run the installer and follow the instructions. 
Then run AmiBroker. You should see "AmiBroker 4.48.2 beta" written in the 
About box.
See CHANGE LOG below for detailed list of changes.
HELP ON NEW FEATURES
New backtest report
New report is hugely enhanced compared to old one. It includes separate 
statistics for all, long and short sides as well as large number of new metrics. 
You can get short help on given figure by hovering your mouse over given field 
name. You will see the description in the tooltip. Short explanations are 
provided also below:
Exposure % - modified since last release 
-'Market exposure of the trading system calculated on bar by bar basis. Sum of 
bar exposures divided by number of bars. Single bar exposure is the value of 
open positions divided by portfolio equity.
Net Risk Adjusted Return % - Net profit % divided by 
Exposure %
Annual Return % - Compounded Annual Return % (CAR)
Risk Adjusted Return % - Annual return % divided by Exposure 
%
Avg. Profit/Loss - (Profit of winners + Loss of 
losers)/(number of trades)
Avg. Profit/Loss % - '(% Profit of winners + % Loss of 
losers)/(number of trades)
Avg. Bars Held - sum of bars in trades / number of 
trades
Max. trade drawdown - The largest peak to valley decline 
experienced in any single trade
Max. trade % drawdown - The largest peak to valley 
percentage decline experienced in any single trade
Max. system drawdown - The largest peak to valley decline 
experienced in portfolio equity
Max. system % drawdown - The largest peak to valley 
percentage decline experienced in portfolio equityRecovery 
Factor - Net profit divided by Max. system 
drawdownCAR/MaxDD - Compound Annual % Return divided by 
Max. system % drawdown
RAR/MaxDD - Risk Adjusted Return divided by Max. system % 
drawdown 
Profit Factor - Profit of winners divided by loss of 
losers
Payoff Ratio - Ratio average win / average 
lossStandard Error - Standard error measures chopiness 
of equity line. The lower the better.
Risk-Reward Ratio - Measure of the relation between the risk 
inherent in a trading the system compared to its potential gain. Higher is 
better. Calculated as slope of equity line (expected annual return) divided by 
its standard error.
Ulcer Index - Square root of sum of squared drawdowns 
divided by number of bars
Ulcer Performance Index - (Annual profit - Tresury notes 
profit)/Ulcer Index'>Ulcer Performance Index. Currently tresury notes profit 
is hardcoded at 5.4. In future version there will be user-setting for this.
Sharpe Ratio of trades - Measure of risk adjusted return of 
investment. Above 1.0 is good, more than 2.0 is very good. More information <A 
href="">http://www.stanford.edu/~wfsharpe/art/sr/sr.htm 
. Calculation: first average percentage return and standard deviation of returns 
is calculated. Then these two figures are annualized by multipling them by ratio 
(NumberOfBarsPerYear)/(AvgNumberOfBarsPerTrade). Then the risk free rate of 
return is subtracted (currently hard-coded 5) from annualized average return and 
then divided by annualized standard deviation of 
returns.K-Ratio - Detects inconsistency in returns. 
Should be 1.0 or more. The higher K ratio is the more consistent return you may 
expect from the system. Linear regression slope of equity line multiplied by 
square root of sum of squared deviations of bar number divided by standard error 
of equity line multiplied by square root of number of bars. More information: 
Stocks & Commodities V14:3 (115-118): Measuring System Performance by Lars 
N. Kestner
Optimization in new portfolio backtester