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Hi Harkey,
Glad to have you on the board.
To save Tomasz the time of culling through the hundreds of posts daily on the board, please send your bug reports as indicated in the read me. Also make sure "Warn before running time-consuming optimizations" is checked under settings, report tab.
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@xxxxxxxxxxxxx Harkey Edwards <he3@xxxxxxxxxxxxxxxx> wrote:
Tomasz,
I am a newly register user of your software. You have done a great job in developing this software. I would also like to complement you on the relationship you have developed with the users of AmiBorker as displayed in the Yahoo board.
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.
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. Possibly the number of projected iterations exceed the allocated space to be displayed in the progress window?
Please let me know if I can be of further assistance.
Harkey
-----Original Message-----From: Tomasz Janeczko [mailto:amibroker@xxxxxx]Sent: Tuesday, December 09, 2003 9:22 AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] AmiBroker 4.50.4 BETA released
Hello,A new beta version (4.50.4) of AmiBroker has just been released.
This should be last beta before official release.
It is available for registered users only from the members area at:http://www.amibroker.com/members/bin/ab4504beta.exeandhttp://www.amibroker.net/members/bin/ab4504beta.exe(File size: 643 851 bytes, 643 KB)If you forgot your user name / password to the members areayou can use automatic reminder service at: http://www.amibroker.com/login.htmlThe instructions are available below and in the "ReadMe" file( Help->Read Me menu from AmiBroker )
CHANGES FOR VERSION 4.50.4 (as compared to 4.50.3)
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)
removed the extra 'z' letter in fprintf formatting sequence (that caused crash on exit when saving params)
correct column type (alpha) is set for the first column in individual backtest
'show current trade arrows' works OK after portfolio backtest
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.
Best regards,Tomasz Janeczkoamibroker.com
AmiBroker 4.50.4 Beta Read Me
December 9, 2003 15:15
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 4.50.4 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 http://www.stanford.edu/~wfsharpe/art/sr/sr.htm . Calculation: first average percentage return and standard deviation of returns is calculated. Then these two figures are annualized by multipling them by ratio (NumberOfBarsPerYear)/(AvgNumberOfBarsPerTrade). Then the risk free rate of return is subtracted (currently hard-coded 5) from annualized average return and then divided by annualized standard deviation of returns.K-Ratio - Detects inconsistency in returns. Should be 1.0 or more. The higher K ratio is the more consistent return you may expect from the
system. Linear regression slope of equity line multiplied by square root of sum of squared deviations of bar number divided by standard error of equity line multiplied by square root of number of bars. More information: Stocks & Commodities V14:3 (115-118): Measuring System Performance by Lars N. Kestner
Optimization in new portfolio backtester
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