Knowledge Base

NOTE: THIS ARTICLE IS NOW OUTDATED AS AMIBROKER SUPPORTS NEW BACKTEST MODE THAT HANDLES THIS NATIVELY http://www.amibroker.com/f?setbacktestmode

The sample code below shows how to use custom portfolio backtester procedure to change the way backtester works. Normally buy is matched against sell and redundant buy signals between initial buy and matching sell are removed as shown in the picture there:
http://www.amibroker.com/gifs/bt_regular.gif

The procedure below changes this behaviour and allows to use redundant signals (they are not removed).

(more…)

Filed by Tomasz Janeczko at 5:50 am under AFL, Custom Backtest
15 Comments

Here is a sample that shows how to create custom metric based on per-trade statisitics.
In this example we will calculate the average value of MAE (maximum adverse excursion) from all trades.
(more…)

Filed by Tomasz Janeczko at 3:20 pm under AFL, Custom Backtest
No Comments

As you know Portfolio backtester creates special ticker “~~~EQUITY” which holds portfolio-level equity of the system under test. Some may find it useful to save this equity into another symbol after backtest for future analysis and/or comparison. Good news is that it is possible to do that automatically using custom backtester procedure and AddToComposite function. The formula below shows how.
(more…)

Filed by Tomasz Janeczko at 2:32 pm under AFL, Custom Backtest
3 Comments

Here is an example that shows how to code rotational trading system with rebalancing. The system buys and shorts top 20 securities according to absolute value of positionscore (user definable - in this example we used 20 day rate-of-change) - each at 5% of equity then each day it rebalances existing positions to 5% if only the difference between current position value and “ideal” value is greater than 0.5% and bigger than one share.
(more…)

Filed by Tomasz Janeczko at 3:50 pm under AFL, Custom Backtest, Systems
No Comments