Knowledge Base

In the March 2006 “Letters to S&C” section I found the following request:

“I am looking for and add-on […] that would enable me to build an equity curve from buy/sell signals that the trader directly draws over the price graph of a commodity; for example, using specific active vertical lines. Such a software would be of great help for discretionary traders to validate their semiautomatic systems. — PH CHAMBAULT”

And I just thought that it would be nice example of using AFL’s Equity() function and ParamTrigger()

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Filed by Tomasz Janeczko at 9:06 am under AFL, Indicators
7 Comments

NOTE: THIS ARTICLE IS NOW OUTDATED AS AMIBROKER SUPPORTS NEW BACKTEST MODE THAT HANDLES THIS NATIVELY http://www.amibroker.com/f?setbacktestmode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

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

The following code sample shows how to get date/time (X co-ordinate) and value (Y co-ordinate) of starting and ending point of manually drawn study.
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Filed by Tomasz Janeczko at 6:34 am under AFL, Indicators
No 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.
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Filed by Tomasz Janeczko at 3:50 pm under AFL, Custom Backtest, Systems
No Comments

Here is sample technique that allows to prevent exiting position during first N bars since entry. The implementation uses loops that checks for signals in Buy array and if it finds one it starts counting bars in trade. During first N bars all sell signals are then removed (set to zero) only once counter reaches user-defined limit sell signals are accepted.
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Filed by Tomasz Janeczko at 9:15 am under AFL, Systems
No Comments

The easiest way to export quotes to CSV file is to use the below formula from Automatic Analysis window:
(Analysis -> Automatic Analysis)
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Filed by Tomasz Janeczko at 8:56 pm under AFL, Data, Explorations
8 Comments

To have custom title in the indicator window, you can define Title variable within the indicator’s code, e.g:
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Filed by Tomasz Janeczko at 8:34 pm under AFL, Indicators
2 Comments