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thank you Tom...very helpful.
one follow up question. You mentioned that there can be only one
open position open per security. Does this mean that averaging
in/out cannot be done. For instance, i have a system that uses
various critierias for entry. Once a trade is made, if those
criterias continue to trigger signals, the system will open
additional position each time the signal is triggered. this is by
design and i wanted the system to have the ability to average in.
maybe an example would be clear. here is one my scripts. the
source is provided. can everything done here be easily converted to
AFL? thanks again
http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/editsystem?id=33609
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Hello,
>
> "i think the feature i would miss the most is the Position
> Management. "
>
> I am not sure if you mean managing position size but
> if so, it is available here via PositionSize variable.
> http://www.amibroker.com/guide/h_backtest.html
>
> "I also liked the WLD layout and editor. just started
> evaluating Amibroker and the editor there seems/feels like just a
> textbox..a large one."
>
> The AFL editor will be changed in next few betas.
>
> "1) can you annotate your charts programmatically in AmiBroker?"
>
> Currently only using NoteSet/NoteGet functions
> http://www.amibroker.com/f?noteset
> (this writes/reads notes to notepad window)
>
> "2) if position management functions are not available, how can
you
> keep track of open trades and such things as profit, bars, MFE,
etc?"
> Currently AmiBroker keeps track of open trades so, that it allows
> one open position per security at given bar. So you can have
> multiple positions on multiple symbols but only one position on
> given security at given time point.
> To find out if you are in the long position you can use simple
statement
> like this:
> In_long = Flip( Buy, Sell );
>
> Profit per security is simply obtained using Equity(1) function,
> for example profit of long trades:
>
> e = Equity(1 );
> LongProfit = e - ValueWhen( Buy, e );
>
> MAE/MFE per symbol can be easily obtained via HighestSince,
LowestSince
> functions.
>
> "3) writing Systems. Each system is represented by an AFL file,
> correct? "
> Yes.
>
> "4) can scripts be reused? for instance, i have some Utility
scripts
> i use in WLD. i can include them using the "$I" include
instruction
> and this gives me access to all functions in that script."
>
> Yes AFL has #include statement too:
> http://www.amibroker.com/guide/afl/afl_view.php?name=%23include
>
> "5) Can anyone point me to any recent reviews of AmiBroker?"
> Active Trader Magazine, October 2004
> pages 22...24
>
>
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "virtuouz_pagan" <mbsingh@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, October 20, 2004 10:00 PM
> Subject: [amibroker] Re: AmiBroker vs Wealth-Lab
>
>
>
>
> i think the feature i would miss the most is the Position
> Management. I also liked the WLD layout and editor. just started
> evaluating Amibroker and the editor there seems/feels like just a
> textbox..a large one.
>
> I have some systems i would like to try and convert to AmiBroker.
> will see what that entails. Questions:
> 1) can you annotate your charts programmatically in AmiBroker?
> 2) if position management functions are not available, how can you
> keep track of open trades and such things as profit, bars, MFE,
etc?
> 3) writing Systems. Each system is represented by an AFL file,
> correct?
> 4) can scripts be reused? for instance, i have some Utility
scripts
> i use in WLD. i can include them using the "$I" include
instruction
> and this gives me access to all functions in that script. Can a
> similar thing be done in AmiBroker?
> 5) Can anyone point me to any recent reviews of AmiBroker?
>
> thanks
>
> --- In amibroker@xxxxxxxxxxxxxxx, Daniel Ervi <daniel@xxxx> wrote:
> > Hi,
> >
> > I'm still around, and probably much more active with AmiBroker
> than I have ever been. The acquisition of Wealth-Lab by Fidelity
> tipped the scales back to Amibroker for me. I've been porting all
> my WLD systems and DLLs back to AmiBroker. Now that AmiBroker
> supports automated trading, at least in beta format, I have no
> compelling reason to stay with WLD, and many reasons not to.
> >
> > However, I will still miss a few things from the WLD platform:
> >
> > - Better graphics support. This means the Windows Device
> Context drawing add-in API, along with all the easy WealthScript
> DrawCircle, DrawHorzLine, DrawText, DrawRectangle, DrawTriangle,
> etc, functions. All my addin DLLs used the Windows API directly,
> which was the single biggest hurdle for me in porting my material
> back to AmiBroker. Having this available would allow such a rich
> set of drawing features to be made available, the platform would
> truly become unlimited. LineArray() helped, but it allocates a
> complete array for each trendline I draw in my pattern DLL
routines,
> which slows things down. Tomasz has promised this in a future
> release, and he does keep his promises so I am happy to make do in
> the mean time.
> >
> > - Position management functions - I'm guessing this would be
> tough to implement in AmiBroker as it might require changes to the
> backtester, but from a traders viewpoint it really does simplify
how
> we code our systems. PositionBasisPrice, PositionMAE,
> PositionEntryPrice, PositionActive, PositionExitBar,
PositionProfit,
> etc, really make evaluating a trade simple, and you don't have to
> remember the boolean state of your system. Scaled exits with
> SplitPosition was a bonus too.
> >
> > - Separate position sizing scripts. I loved this feature
> most!!! It made it so simple to code five or six different MM
> schemes (Volatility, % risk, Round lots, Streaks, etc.) and then
> apply it to any system simply by clicking. The influence that MM
> can have on a system is phenomenal, and I still think WLD is the
> undeniably best way of exploring this. AmiBroker is capable of
all
> the same tests, but your MM and trading scripts are tied together
in
> the same AFL. If you write a new script you need to integrate all
> your MM code again, or maybe build an #include hierarchy for it.
It
> is doable, but point and click it much easier, and allowed for
rapid
> evaluation of different schemes...
> >
> > Having addressed what *I feel* are AmiBrokers shortfalls, there
> are so many features that I missed, that I have rediscovered:
> >
> > - I missed how FAST Amibroker is. My pattern engine can blow
> through 100's of stocks in just seconds. WLD with the same
pattern
> engine, would take 5-7 minutes for a scan of 25 patterns against
500
> stocks.
> > - I missed AFL brevity. Testing new ideas is so quick using
AFL.
> > - I missed the Plugin API. Given this will only appeal to
> programmers, but it is such a joy to use with the syntax
> highlighting and tight integration. Now that I can use my Delphi
> code via the API I am a very happy camper!
> > - I missed the native AddToComposite feature. This is the best
> implementation of such a feature I've seen in any package I've
ever
> used.
> > - There is more, but I don't want this to sound like a
> commercial...
> >
> > I'd suggest trying the Amibroker package out. Go back and read
> some of the posts here, maybe try some of the AFL systems posted
at
> http://www.amibroker.com, talk to a few other users, and then form
> your own opinion. We all use the package differently, much like
we
> all trade systems differently. What works for me might not be a
fit
> for you.
> >
> > If you don't have any software whatsoever, at $129.00/$199.00,
> nothing can touch Amibroker. I compare WLD and AB only because I
> already own both. If I had to buy only one again, AB is simply a
> much better deal.
> >
> > Daniel
> >
> >
> >
> > On Wed, 20 Oct 2004 03:37:18 -0000, virtuouz_pagan wrote:
> > >
> > >
> > > daniel,
> > > if you are still around. i would very much value your
evaluation
> on
> > > the latest version of Amibroker or any other software.
> > >
> > > currently i have used WLD, NeoTicker and to lesser degree,
> > > AmiBroker. WLD i am most familiar with, but with fidelity
taking
> > > over..time to move on. NeoTicker is very powerful, but support
> and
> > > user community is very lacking.
> > > that leaves AmiBroker, which i am hoping you can give an update
> > > on...
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, Daniel Ervi
> <daniel@xxxx> wrote:
> > >
> > >> Sorry for the late reply, but I missed this thread.
> > >>
> > >> I own both AmiBroker and Wealth-Lab, and have used, and still
> use,
> > >>
> > > both pretty extensively. Below are the pro's and cons for each,
> > > based *on my usage* of them and their suitability to my needs.
> > > Please don't flame me, as this is based on my perceptions, and
> > > yours will probably differ. :)
> > >
> > >>
> > >> Amibroker Pro's:
> > >>
> > >> - Fast. Incredibly fast!
> > >> - Automation interface is very complete, and Plugin API is
> > >>
> > > excellent
> > >> - Built in Composite support.
> > >> - Great for rapid indicator/system testing because of the
simple
> > >>
> > > array notation
> > >> - The latest betas have portfolio testing which is truly
> necessary
> > >>
> > > IMHO
> > >> - Excellent support, with thorough answers within hours
> > >> - The community following (this list) is a great resource for
> > >>
> > > newbies of both trading and programming
> > >> - The third-party addins add some really great features and
most
> > >>
> > > are free
> > >> - Tick-by-tick updates of indicators is great for monitor
> systems
> > >>
> > > in an auto-trading environment
> > >> - I prefer the C++-style syntax over the Delphi syntax
> > >>
> > >>
> > >> Amibroker Con's:
> > >>
> > >> - No Quote.Com support. I know the developers API is
expensive,
> > >>
> > > but Quote.com is the only data provider to supply > 120 days of
> > > historical 1 min data and unlimited symbols. It goes back to
> 1997
> > > for most stocks and indexes on a 1 min basis. I have >10 gigs
> of 1
> > > min data for the SP500 components at my disposal thanks to
> > > Quote.com.
> > >
> > >> - Limited drawing support. What is here is great, but there
> are a
> > >>
> > > few things that would make it superb. Being able to plot a
> > > triangle or box would allow one to plot Gartley's or highlight
> > > trades with a green or red box based on whether they made a
> profit
> > > or not, or maybe highlight the opening range in orange until
it
> is
> > > over. Changing background colors would allow gradients to show
a
> > > condition getting better or worse. You get the idea...
> > >
> > >> - No position management functions. I find it harder to
program
> > >>
> > > systems when you rely on a simple boolean on/off for entry/exit
> > > signals. In WL, once a position is created, you can use
> position-
> > > based functions like PositionEntryBar() or PositionActive() or
> > > PositionMFE() to loop through a collection of positions and
apply
> > > simple tests/exits to them. Multiple concurrent position
systems
> > > are greatly simplified this way as trade management is done on
a
> > > trade by trade basis. FWIW, this would eliminate the need for
> > > functions like ExRem().
> > >
> > >> - No native class/object support. This can be done via the
API,
> > >>
> > > so it's not that big a deal. But for complex scripts (ie a
> native
> > > AFL genetic algorithm implementation via includes) this would
be
> a
> > > life-saver.
> > >
> > >> - No auto-trading interface/API. This for me is the biggest
> > >>
> > > reason I have WL.
> > >> - Position Sizing algorithms needs to be done via your
> script. WL
> > >>
> > > allows you to separate the Positions Sizing from the trade
> > > entry/exit scripts. This makes it easy to try various position
> > > sizing algorithms without the need to change any code.
> > >
> > >> - No built in debugger (ie breakpoints, etc)
> > >>
> > >>
> > >> Wealth-Lab Pro's:
> > >>
> > >> - Native auto-trading with attached portfolio management. This
> > >>
> > > was implemented really well because of the attached portfolio,
> and
> > > I have used it with over 20 positions auto-trading at once on
a 5
> > > min timeframe. It didn't miss a beat.
> > >
> > >> - Rich set of graphics features. I have some pretty advanced
> > >>
> > > plots that highlight all types of scenario's during the
trading
> day.
> > >
> > >> - Built in debugger, with breakpoints and the ability to look
at
> > >>
> > > variable contents
> > >> - API's available for most areas of the program, including a
> > >>
> > > broker interface
> > >> - Language is based on Delphi/Pascal (OOP) and allows for
> > >>
> > > classes/inheritance/polymorphism/etc.
> > >> - Ability to download new "chartscripts" (systems, indicators,
> > >>
> > > etc) via a menu option. This is a great *built-in* repository
> for
> > > those starting out, or for those looking to explore other
ideas.
> > > Simply refresh the system by choosing "download chartscripts"
> from
> > > the menu.
> > >
> > >> - Position Sizing is a separate script. Once you see the
> > >>
> > > difference that position sizing can have on a strategy, this
> > > feature becomes critical. You can apply any sizing strategy
> during
> > > system ranking/optimization/portfolio simulations/etc. This can
> > > dramatically change the results of these methods.
> > >
> > >> - Custom optimization fitness functions. You can program an
> > >>
> > > expectancy function and use it as your optimization criteria
for
> > > example.
> > >
> > >> - Full suite of position management functions.
> > >>
> > >>
> > >> Wealth-Lab Con's:
> > >>
> > >> - Slow. Molasses slow compared to AB. If you have greater than
> > >>
> > > 100,000 bars, forget about it.
> > >> - Indicators don't update on tick intervals. The last price
bar
> > >>
> > > (aka ghost bar) does, but nothing else.
> > >> - Plugin API is based on COM (slower) and doesn't allow for
> native
> > >>
> > > syntax-highlighting
> > >> - You can't import ASCII files to a faster native binary
format.
> > >>
> > > So every system test you run has to re-parse the data, which
can
> > > slow you down dramatically on large datasets.
> > >
> > >> - Simple/Rapid indicator and system development is slower
> compared
> > >>
> > > to AB. The Metastock-style array notation in AB is a huge
> > > timesaver. There are wizards in WL3 to help with this, but I
> still
> > > find the process cumbersome compared to AB/MS.
> > >
> > >> - You can't auto-trade on less than 1 minute bars. It would
> have
> > >>
> > > been nice to trade the ES or NQ on tick bars, but it can't be
> done
> > > yet.
> > >>
> > >>
> > >> These are *my* impressions on the two packages. I use AB
> whenever
> > >>
> > > I need to rapidly test an idea, or if I am trying to run a
test
> on
> > > a large set of data. I then move to WL to refine the ideas,
> apply
> > > position sizing, and then deploy them via the auto-trading. So
> for
> > > me at least, the two complement each other very well.
> > >
> > >>
> > >> Hope I don't stir up any trouble with this post. I just
wanted
> to
> > >>
> > > stress that both packages have there place, and although AB is
> > > great in it's current state, there is always room for
> improvement.
> > > Or else TJ would have retired ages ago, right TJ? ;)
> > >
> > >>
> > >> Daniel
> > >>
> > >>
> > >> On Mon, 10 Nov 2003 03:44:07 -0000, seneca_kw wrote:
> > >>> I enoyed the recent informative thread on AmiBroker vs
> > >>> Metastock. I'd appreciate a similar comparison with Wealth-
> > >>> Lab. I searched the archive but found no mention of WL.
> > >>>
> > >>> I'm not expecting a point-by-point rundown, but for those who
> > >>>
> > > have
> > >>> tried both, is there one feature or another that really was
a
> > >>> difference maker?
> > >>>
> > >>> Thanks,
> > >>> Wayne
> > >>>
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