Knowledge Base

Recently I heard the suggestion to add a security symbol written in big letters in the chart background. Well, actually it is pretty simple to do using low-level gfx. Just add this code sniplet anywhere in your chart formula.

GfxSetOverlayMode(1);
GfxSelectFont("Tahoma", Status("pxheight")/2 );
GfxSetTextAlign( 6 );// center alignment
GfxSetTextColor( ColorRGB( 200, 200, 200 ) );
GfxSetBkMode(1); // transparent
GfxTextOut( Name(), Status("pxwidth")/2, Status("pxheight")/12 );


UPDATE: I have added transparent mode, so it works fine on non-white backgrounds too.

Filed by Tomasz Janeczko at 4:41 am under AFL, Indicators
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Recently released AmiBroker 5.05 BETA features the automatic Walk-Forward Optimization mode.

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 follow these steps:

1. Goto 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}}"; 


Filed by Tomasz Janeczko at 7:54 am under AFL, Systems
3 Comments

The code below is an little bit more complex example of Low Level Graphics functions (see http://www.amibroker.com/guide/a_lowlevelgfx.html)

It allows to display three kinds of charts:

1. yearly/monthly profit table
2. yearly profit bar chart
3. average monthly profit bar chart

The type of chart is switchable from Parameters dialog.

It should be applied to ~~~EQUITY - portfolio equity symbol (so it only produces output if you run backtest before using it).

Figure 1. Profit chart in table mode

Figure 2. Profit chart in yearly mode

Figure 3. Profit chart in monthly mode

Filed by Tomasz Janeczko at 6:34 pm under AFL, Indicators
5 Comments

There are many different ways to check for divergences. One of the simplest is to use Rate of change indicator and EXPLORATION feature of Automatic Analysis window:

- Analysis -> Formula Editor
- enter:
 
// 5 day rate of change of close
PriceUp = ROC( C, 5 ) > 0 ; 
// 5 day rate of change of MACD histogram
MacdUP = ROC( MACD() - Signal(), 5 ) > 0; 
BullishDiv = NOT PriceUP AND MACDUp;
BearishDiv = PriceUP AND NOT MACDUp;
Filter = BullishDiv OR BearishDiv;
AddColumn( BullishDiv, "Bullish Divergence", 1.0, 
       colorDefault, IIf(BullishDiv, colorGreen, colorDefault ) ); 
AddColumn( BearishDiv , "Bearish Divergence", 1.0, 
       colorDefault, IIf(BearishDiv , colorRed, colorDefault) );

- Tools -> Send to Auto-analysis
- Apply to: All Symbols, N last quotations = 1
- press EXPLORE

Tools -> Send to Auto-analysis- Apply to: All Symbols, N last quotations = 1- press EXPLORE

A different approach can use linear regression instead:
 
// 10 day linear regression slope of close
PriceUp = LinRegSlope( C, 10 ) > 0 ; 
// 10 day linear regression slope of MACD histogram
MacdUP = LinRegSlope( MACD() - Signal(), 10 ); 

Filed by support at 6:54 pm under AFL, Indicators
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It’s possible to use Automatic Analysis window to search for trendline (or other study) crossovers for multiple symbols at once. It’s necessary to do the following:

1. Draw trendlines on the chart and assidn them a STUDY ID - two letter code that allows to recognise the particular study. To do this, go to study properties (Alt+Enter) after you draw the line (in this example - StudyID = “RE”).

2. Repeat the process for other symbols (remember to draw the trendlines in the same chart pane).

3. Check the CHART ID (in order to call this particular chart pane from the SCAN). To check the ChartID - click on the chart with right mouse button, go to: PARAMETERS -> Axes&Grid (in this example - CHARTID = 1023).

4. Now we can write the formula:
- Analysis -> Formula Editor
- enter:

Buy = Cross( Close, Study(”RE”, 1023) );

(note that we use the same StudyID and ChartID in the formula)
- Tools -> Send to analysis.
- Apply To: All Symbols, All Quotations
- press SCAN

Filed by support at 2:35 am under AFL, Explorations
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AmiBroker 4.91.0 BETA introduced the following new keywords:

switch, case, break, continue, default

You have to make sure that your formulas do not use them as variable names. The above words are now reserved AFL keywords and if you use them for your own variables you need to replace this identifiers with names that do not conflict with the reserved keywords.

This article shows how to perform multiple-file text replace very quickly. (more…)

Filed by Tomasz Janeczko at 5:27 am under AFL
8 Comments

To create a spread chart (and other multi-security indicators / statistics etc.) one can use FOREIGN function which allows to refer to other symbols than currently selected:

It’s necessary to do the following:
- Analysis -> Formula Editor
- enter the formula:

- Tools -> Apply Indicator
(replace ticker1, ticker2 with actual symbol names)

Filed by support at 7:58 am under AFL, Indicators
1 Comment

In this short article we will show how to calculate and plot trailing stop using two different methods. (more…)

Filed by support at 11:06 am under Indicators, Systems
6 Comments

This example shows how to fill the area between Bollinger Bands with a solid color. (more…)

Filed by support at 9:01 pm under AFL, Indicators
4 Comments

Someone asked me recently how to count calendar days (not bars) that passed since first available quote. Here is a sample formula that shows how to do that. (more…)

Filed by Tomasz Janeczko at 3:15 pm under AFL, Indicators
5 Comments