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Hello,
A new beta version (5.05.1) of AmiBroker has just
been released.
http://www.amibroker.com/devlog/2008/02/12/amibroker-5051-beta-released/
HIGHLIGHTS of this version:
- automatic Walk-Forward Optimization, with IS and
OOS equity charts
- new functionality in GetCursor* AFL functions
allowing interactive control (see sample in the read me)
- automatic formula formatting - “Code Prettify” in
the AFL Editor: Edit->Prettify selection
- Improved scaling of semi-log charts
This version includes also features introduced
earlier (in 5.03) such as new interval and symbol linking.
BELOW you will find some additional information
about walk-forward optimization introduced in this beta.
Best regards,
Tomasz
Janeczko
amibroker.com
WALK FORWARD
OPTIMIZATION
The automatic Walk forward optimization is a system
design and validation technique in which
you optimize the parameter values on a past segment
of market data ("in-sample"), then test the system forward in time on data
following the optimization segment ("out-of-sample"). You evaluate the system
based on how well it performs on the test data ("out-of-sample"), not the data
it was optimized on.
To use Walk-Forward optimization please:
1. Go
to Tools->Automatic Analysis
2. Click Settings button, then switch to
"Walk-Forward tab"
3. Here you can see Walk forward settings for In-sample
optimization, out-of-sample backtest
"Start" and "End" dates mark initial
period begin / end
This period will be moved forward by "Step" until the
"End" reaches the "Last" date.
The "Start" date can move forward by "step"
too, or can be anchored (constant) if "Anchored" check is on.
If you mark
"Use today" then "Last" date entered will be ignored and TODAY (current date)
will be used instead
By default an "EASY MODE" is selected which
simplifies the process of setting up WF parameters.
It assumes that:
a) Out-of-sample segment
immediatelly follows in-sample segment
b) the length of out-of-sample segment equals to
the walk-forward step
Based on these two assumptions the "EASY" mode
takes in-sample END date and sets
out-of-sample START date to the following
day. Then adds in-sample STEP and this becomes out-of-sample END
date.
In-sample and Out-of-sample step values are
set to the same values.
The "EASY" mode guarantees correctness of WF
procedure settings.
In the "ADVANCED" mode, the user has complete
control over all values, to the extent that
they may not constitute valid WF
procedure.
The interface allows to selectivelly disable
in-sample and out-of-sample phases using checkboxes at top
(for special
things like runnign sequential backtests without
optimization).
All settings are immediatelly reflected in the
PREVIEW list that shows all generated IS/OOS segments
and their dates.
The "Optimization target" field defines the
optimization raport COLUMN NAME that
will be used for sorting results and
finding the BEST one. Any built-in column can be used
(as appears in the
optimization output), or you can use any custom metric that you define
in
custom backtester. The default is CAR/MDD, you can however select any other
built-in metric from the combo.
You can also TYPE-IN any custom metric that you
have added via custom backtester interface.
4. Once you defined Walk-Forward settings,
please go to Automatic Analysis and
5. press the dropdown ARROW on the
Optimize button and select "Walk Forward Optimization"
This will
run sequence of optimizaitons and backtest and the results will be displayed
in
the "Walk Forward" document that is open in the main application
frame.
When optimization is running you can click "MINIMIZE" button on the
Progress dialog
to minimize it - this allows to see the Walk Forward output
during the optimization steps.
IN-SAMPLE and OUT-OF-SAMPLE combined
equity
Combined in-sample and out-sample
equities are available by
~~~ISEQUITY and ~~~OSEQUITY composite
tickers
(consecutive periods of IS and OOS are concatenated and scaled
to
maintain continuity of equity line - this approach assumes that
you
generally speaking are compounding profits)
To display IS and OOS
equity you may use for example this:
PlotForeign("~~~ISEQUITY","In-Sample Equity", colorRed, styleLine);
PlotForeign("~~~OSEQUITY","Out-Of-Sample Equity", colorGreen, styleLine);
Title = "{{NAME}} - {{INTERVAL}} {{DATE}} {{VALUES}}";
INTERACTIVE "BUTTONS"
SAMPLE
New functionality in GetCursor*
functions:
GetCursorXPosition( mode = 0 )
GetCursorYPosition( mode = 0 )
mode = -1 - (old compatibility mode) - x - value gives X-coordinate in
DateTime format. y - value gives PRICE. Values are reported no matter where is
the mouse (i.e. may refer to window different than current if mouse is outside
current window).
mode = 0 - (default) x - value gives X-coordinate in
DateTime format. y - value gives PRICE. Returns NULL if mouse is outside current
window
mode = 1 - x, y - are mouse coordinates expressed in screen PIXELS.
Returns NULL if mouse is outside current window
GetCursorMouseButtons new output flag = 8 - means
that current chart just received mouse click
Code sample:
/////////////////////////////////////////////////
//
Low-level graphic + Interactive GUI control sample
// This
example shows:
// 1. how to draw
"buttons"
// 2. how to handle mouse clicks
// 3. how to implement event
call-backs
///////////////////////////////////////////////////
Version( 5.04 ); //
requires 5.04 or higher
////////////////////////////////////////////////////
// Part
1: DRAWING TABLE OF BUTTONS
//////////////////////////////////////////////////
GfxSetOverlayMode( 2 );
// formatted text output sample via low-level gfx
functions
CellHeight = 20;
CellWidth = 100;
GfxSelectFont( "Tahoma", CellHeight/2 );
GfxSetBkMode(
1 );
function PrintInCell( string, row, Col )
{
GfxDrawText( string, Col * CellWidth,
row * CellHeight, (Col + 1
) * CellWidth, (row + 1 )
* CellHeight, 0 );
}
GfxSelectPen( colorBlue );
for( i = 0; i
< 10 && i <
BarCount; i++ )
{
for( k = 0; k < 5; k++
)
{
PrintInCell( "Button
" + i + "," +
k, i, k );
}
GfxMoveTo( 0, i * CellHeight );
GfxLineTo( 5 *
CellWidth, i * CellHeight );
}
GfxMoveTo( 0, i *
CellHeight );
GfxLineTo( 5 * CellWidth, i * CellHeight );
for( Col =
1; Col < 6;
Col++ )
{
GfxMoveTo( Col * CellWidth, 0);
GfxLineTo( Col * CellWidth,
10 * CellHeight );
}
/////////////////////////////////////////////////////////
// Part
2: MOUSE BUTTON CALL BACKS
//////////////////////////////////////////////////////////
Title="";
function DrawButton( px, py, Clr1, Clr2, text )
{
Col = floor(
px / CellWidth );
Row = floor(
py / CellHeight );
GfxGradientRect( Col * CellWidth, row *
CellHeight, (Col + 1 ) *
CellWidth, (row + 1 ) * CellHeight,
Clr1, Clr2 );
PrintInCell( text + " " + row + "," +
Col, row, Col );
}
function OnLMouseButton(x, y, px, py)
{
_TRACE("LButton x = " + DateTimeToStr( x ) + " y = " + y );
DrawButton(
px, py, ColorHSB(
50, 255, 255 ), ColorHSB( 90, 255, 255 ), "just
clicked" );
}
function OnRMouseButton(x, y, px, py)
{
_TRACE("RButton x = " + DateTimeToStr( x ) + " y = " + y );
}
function OnMMouseButton(x, y, px, py)
{
_TRACE("MButton x = " + DateTimeToStr( x ) + " y = " + y );
}
function OnHoverMouse(x, y, px, py)
{
_TRACE("LButton x = " + DateTimeToStr( x ) + " y = " + y );
DrawButton( px, py, ColorRGB( 230,
230, 230 ), ColorRGB( 255, 255, 255 ), "mouse over" );
}
function OnLButtonIsDown(x, y, px, py)
{
_TRACE("LButton x = " + DateTimeToStr( x ) + " y = " + y );
DrawButton( px, py, ColorHSB( 190,
255, 255 ), ColorHSB( 210, 255, 255 ), "down"
);
}
/////////////////////////////////////////////////////////
// Part
3: GENERAL PURPOSE EVENT HANDLER (reusable! - may be put into "include"
file)
////////////////////////////////////////////////////////
function EventHandler()
{
local b, x, y, px, py;
b = GetCursorMouseButtons();
// retrieve co-ordinates in
date/value units
x = GetCursorXPosition(0);
y = GetCursorYPosition(0);
// retrieve co-ordinates in pixel
units
px =
GetCursorXPosition(1);
py = GetCursorYPosition(1);
if( b &
8 ) // flag = 8 is set when window just received mouse
click
{
// not-null means clicked in THIS
(current) window
if( b & 1 ) OnLMouseButton( x, y, px, py );
if( b & 2 ) OnRMouseButton( x, y, px, py );
if( b & 4 ) OnMMouseButton( x, y, px, py );
}
else
{
if( b == 0 ) OnHoverMouse( x, y, px, py );
// no button pressed
if( b == 1 ) OnLButtonIsDown( x, y, px, py );
// button pressed
}
}
EventHandler();
RequestTimedRefresh(
1 );
__._,_.___
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
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__,_._,___
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