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<span
>Tomasz,
<span
>
<span
>I am a
newly register user of your software.
You have done a great job in developing this software.<span
> I would also like to complement you on the
relationship you have developed with the users of AmiBorker as displayed in the
Yahoo board.
<span
>
<span
>The
purpose of this email is to report an apparent “bug” in the beta version of
4.50. When I opened my newly registered
copy updated to 4.50 I was looking at the controls of the Automatic Analysis
window. Because the Optimization
button now has a pull down window I clicked on the pull down window, which
caused the optimization process to begin.
When the process first began the “progress window” begins flickering at
such a rate the window cannot be seen.
After the optimization process ran through a few iterations the progress
window became partially visible. When
the progress window became partially visible I stopped the process by clicking
on the X button in the upper right-hand corner.
<span
>
<span
>Extenuating
Circumstance: The AFL script I
began in the optimization process is in the process of being written and had a
number of optimization statements that probably would result in a huge number
of optimization iterations. Because
I never saw the complete progress window I do not know how many iterations were
projected. The large number of
projected iterations may have effected to progress window.<span
> Possibly the number of projected iterations
exceed the allocated space to be displayed in the progress window?
<span
>
<span
>Please let
me know if I can be of further assistance.
<span
>
<span
>Harkey
<span
>
-----Original Message-----
From: Tomasz Janeczko
[mailto:amibroker@xxxxxx]
Sent: Tuesday, December 09, 2003
9:22 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] AmiBroker
4.50.4 BETA released
<span
>Hello,
A new beta version (4.50.4) of AmiBroker has just been released.<font
size=2 color=black>
<span
> <font size=2
color=black>
<span
>This should be last beta before official
release.
<span
>
It is available for registered users only from the members area at:
http://www.amibroker.com/members/bin/ab4504beta.exe
and
http://www.amibroker.net/members/bin/ab4504beta.exe
(File size: 643 851 bytes, 643 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 instructions are available below and in the "ReadMe" file
( Help->Read Me menu from AmiBroker )<span
>
<span
> <font size=2
color=black>
CHANGES FOR VERSION 4.50.4 (as compared to
4.50.3)
<font size=2 color=black
face="Times New Roman">portfolio
report now shows "N/A" instead of -1#INF and similar strange
looking things that appeared when there were no trades (division by zero) <font
size=2 color=black>
<font size=2 color=black
face="Times New Roman">removed
the extra 'z' letter in fprintf formatting sequence (that caused crash on
exit when saving params) <span
>
<font size=2 color=black
face="Times New Roman">correct
column type (alpha) is set for the first column in individual backtest <font
size=2 color=black>
<font size=2 color=black
face="Times New Roman">'show
current trade arrows' works OK after portfolio backtest <font
size=2 color=black>
<font size=2 color=black
face="Times New Roman">when
timeshift is not equal zero in intraday databases then DateNum(), Day(),
Month(), Year(), DayOfWeek() and DayOfMonth() functions adjust date (day)
when bar time is 'shifted' outside 0..24 hour range. <font
size=2 color=black>
<font size=2 color=black
face="Times New Roman">rotational
mode: all OHLC fields in artificial future bar are filled with close price
of last bar for consistency with regular mode and to prevent problems with
stops hit on artificial future bar in rotational mode.<font
size=2 color=black>
<span
> <span
>
<span
>Best regards,
Tomasz Janeczko
amibroker.com
AmiBroker 4.50.4 Beta Read Me<font
color=black>
<font size=2 color=black
face="Times New Roman">December 9,
2003 15:15 <span
>
<span
>THIS IS A BETA VERSION OF
THE SOFTWARE. EXPECT BUGS !!!<span
>
<span
>Backup your data files
and entire AmiBroker folder first!<span
>
INSTALLATION INSTRUCTIONS<font
size=2 color=black>
<span
>IMPORTANT: This archive
is update-only. You have to install full version 4.40 first.<font
size=2 color=black> <font
size=2 color=black>
Just run the installer and follow the instructions. <font
size=2 color=black>
Then run AmiBroker. You should see "AmiBroker 4.50.4
beta" written in the About box.<span
>
See CHANGE LOG below for detailed list of
changes.
HELP ON NEW FEATURES<span
>
New backtest report<span
>
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:<span
>
<span
>Exposure %<font
size=2 color=black> - 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.<font
size=2 color=black>
<span
>Net Risk Adjusted Return %<font
size=2 color=black> - Net profit %
divided by Exposure %<span
>
<span
>Annual Return % <font
size=2 color=black>- Compounded
Annual Return % (CAR)<span
>
<span
>Risk Adjusted Return % <font
size=2 color=black>- Annual return %
divided by Exposure %<span
>
<span
>Avg. Profit/Loss<font
size=2 color=black> - (Profit of
winners + Loss of losers)/(number of trades)<font size=2
color=black>
<span
>Avg. Profit/Loss %<font
size=2 color=black> - '(% Profit of
winners + % Loss of losers)/(number of trades)<font size=2
color=black>
<span
>Avg. Bars Held<font
size=2 color=black> - sum of bars in
trades / number of trades<span
>
<span
>Max. trade drawdown <font
size=2 color=black>- The largest
peak to valley decline experienced in any single trade<font
size=2 color=black>
<span
>Max. trade % drawdown <font
size=2 color=black>- The largest
peak to valley percentage decline experienced in any single trade<font
size=2 color=black>
<span
>Max. system drawdown<font
size=2 color=black> - The largest
peak to valley decline experienced in portfolio equity<font
size=2 color=black>
<span
>Max. system % drawdown<font
size=2 color=black> - 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
<span
>RAR/MaxDD<font
size=2 color=black> - Risk Adjusted
Return divided by Max. system % drawdown <font size=2
color=black>
<span
>Profit Factor <font
size=2 color=black>- Profit of
winners divided by loss of losers<span
>
<span
>Payoff Ratio<font
size=2 color=black> - Ratio average
win / average loss
Standard Error - Standard error measures chopiness of
equity line. The lower the better.<span
>
<span
>Risk-Reward Ratio<font
size=2 color=black> - 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.<font size=2
color=black>
<span
>Ulcer Index<font
size=2 color=black> - Square root of
sum of squared drawdowns divided by number of bars<font size=2
color=black>
<span
>Ulcer Performance Index<font
size=2 color=black> - (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.<span
>
<span
>Sharpe Ratio of trades<font
size=2 color=black> - 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
<span
>Optimization in new portfolio backtester<font
size=2 color=black>
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