|
PureBytes Links
Trading Reference Links
|
One other thing. Can AmiBroker scan for low float stocks? IF so,
how can that be done.
thanks...
--- In amibroker@xxxxxxxxxxxxxxx, "virtuouz_pagan" <mbsingh@xxxx>
wrote:
>
> 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
> > > >>>
> > > >>>
> > > >>> ------------------------ Yahoo! Groups Sponsor ------------
--
> --
> > -
> > > >>> -
> > > >>>
> > > > ---
> > > >>> ~--> Buy Ink Cartridges or Refill Kits for your HP, Epson,
> > Canon
> > > >>>
> > > > or
> > > >>> Lexmark Printer at MyInks.com. Free s/h on orders $50 or
more
> > > >>> to the US & Canada. http://www.c1tracking.com/l.asp?
cid=5511
> > > >>> http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM --
--
> -
> > -
> > > >>> -----------------------------------------------------------
> > > >>>
> > > > ---
> > > >>> -~->
> > > >>>
> > > >>>
> > > >>> Send BUG REPORTS to bugs@xxxx
> > > >>> Send SUGGESTIONS to suggest@xxxx
> > > >>> -----------------------------------------
> > > >>> Post AmiQuote-related messages ONLY to:
> > > >>> amiquote@xxxxxxxxxxxxxxx (Web page:
> > > >>> http://groups.yahoo.com/group/amiquote/messages/) ----
> > > >>>
> > > > ---
> > > >>> -------------------------------------
> > > >>> Check group FAQ at:
> > > >>> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > >>>
> > > >>>
> > > >>> Your use of Yahoo! Groups is subject to
> > > >>> http://docs.yahoo.com/info/terms/
> > > >
> > > >
> > > > ------------------------ Yahoo! Groups Sponsor --------------
--
> --
> > --
> > > > ~--> Make a clean sweep of pop-up ads. Yahoo! Companion
> Toolbar.
> > > > Now with Pop-Up Blocker. Get it for free!
> > > > http://us.click.yahoo.com/L5YrjA/eSIIAA/yQLSAA/GHeqlB/TM
> > > > -------------------------------------------------------------
--
> --
> > ---
> > > > ~->
> > > >
> > > > Check AmiBroker web page at:
> > > > http://www.amibroker.com/
> > > >
> > > > Check group FAQ at:
> > > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > Yahoo!
> > > > Groups Links
> > > >
> > > >
> > > >
> >
> >
> >
> >
> >
> >
> > Check AmiBroker web page at:
> > http://www.amibroker.com/
> >
> > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > Yahoo! Groups Links
------------------------ Yahoo! Groups Sponsor --------------------~-->
$9.95 domain names from Yahoo!. Register anything.
http://us.click.yahoo.com/J8kdrA/y20IAA/yQLSAA/GHeqlB/TM
--------------------------------------------------------------------~->
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|