Knowledge Base

QuickAFL(tm) is a feature that allows faster AFL calculation under certain conditions. Initially (since 2003) it was available for indicators only, as of version 5.14+ it is available in Automatic Analysis too.

Initially the idea was to allow faster chart redraws through calculating AFL formula only for that part which is visible on the chart. In a similar manner, automatic analysis window can use subset of available quotations to calculate AFL, if selected “range” parameter is less than “All quotations”.

So, in short QuickAFL works so it calculates only part of the array that is currently visible (indicator) or within selected range (Automatic Analysis).

Your formulas, under QuickAFL, may or may NOT use all data bars available, but only visible (or “in-range”) bars (plus some extra to ensure calculation of used indicators), so when you are using Close[ 0 ] it represents not first bar in entire data set but first bar in array currently used (which is just a bit longer than visible, or ‘in-range’ area).

The QuickAFL is designed to be transparent, i.e. do not require any changes to the formulas you are using. To achieve this goal, AmiBroker in the first execution of given formula “learns” how many bars are really needed to calculate it correctly.

To find out the number of bars required to calculate formula AmiBroker internally uses two variables ‘backward ref’ and ‘forward ref’.

‘backward ref’ describes how many PREVIOUS bars are needed to calculate the value for today, and ‘forward ref’ tells how many FUTURE bars are needed to calculate value for today.

If these numbers are known, during execution of given formula AmiBroker takes FIRST visible (or in-range) bar and subtracts ‘backward ref” and takes LAST visible (or in-range) bar and adds ‘forward ref’ to calculate first and last bar needed for calculation of the formula.

Now, how does AmiBroker know a correct “backward ref” and “forward ref” for the entire formula?
Well, every AmiBroker’s built-in function is written so that it knows its own requirements and adds them to global “backward ref” and “forward ref” each time given function is called from your formula.

The whole process starts with setting initial BackwardRef to 30 and ForwardRef to zero. These initial values are used to give “safety margin” for simple loops/scripts.

Next, when parser scans the formula like this:

Buy = C > Ref ( MA( C, 40 ), -1 );


it analyses it and “sees” the MA with parameter 40. It knows that simple moving average of period 40 requires 40 past bars and zero future bars to calculate correctly so it does the following (all internally):

BackwardRef = BackwardRef + 40;
ForwardRef = ForwardRef + 0;


So now, the value of BackwardRef will be 70 (40+30(initial)), and ForwardRef will be zero.

Next the parser sees Ref( .., -1 );

It knows that Ref with shift of -1 requires 1 past bar and zero future bars so it “accumulates” requirements this way:

BackwardRef = BackwardRef + 1;
ForwardRef = ForwardRef + 0;


So it ends up with:

BackwardRef = 71;
ForwardRef = 0;


The BackwardRef and ForwardRef numbers are displayed by AFL Editor’s Tools->Check and Profile as well as on charts when “Display chart timing” is selected in the preferences.

If you use Check and Profile tool, it will tell you that the formula

Buy = C > Ref ( MA( C, 40 ), -1 );


requires 71 past bars and 0 future bars.

You can modify it to

Buy = C > Ref ( MA( C, 50 ), -2 );


and it will tell you that it requires 82 past bars (30+50+2) and zero future bars.

If you modify it to

Buy = C > Ref ( MA( C, 50 ), 1 );


It will tell you that it needs 80 past bars (30+50) and ONE future bar (from Ref).

Thanks to that your formula will use 80 bars prior to first visible (or in-range) bar leading to correct calculation result, while improving the speed of execution by not using bars preceding required ones.

IMPORTANT NOTES

It is very important to understand, that the above estimate requirements while fairly conservative,
and working fine in majority of cases, may NOT give you identical results with QuickAFL enabled, if your formulas use:
a) JScript/VBScript scripting
b) for/while/do loops using more than 30 past bars
c) any functions from external indicator DLLs
d) certain functions that use recursive calculation such as very long exponential averages or TimeFrame functions with much higher intervals than base interval

In these cases, you may need to use SetBarsRequired() function to set initial requirements to value higher than default 30. For example, by placing

SetBarsRequired( 1000, 0 );


at the TOP of your formula you are telling AmiBroker to add 1000 bars PRIOR to first visible (or in-range) bar to ensure more data to stabilise indicators.

You can also effectively turn OFF QuickAFL by adding:

SetBarsRequired( sbrAll, sbrAll );


at the top of your formula. It tells AmiBroker to use ALL bars all the time.

It is also worth noting that certain functions like cumulative sum (Cum()) by default request ALL past bars to guarantee the same results when QuickAFL is enabled. But when using such a function, you may or may NOT want to use all bars. So SetBarsRequired() gives you also ability to DECREASE the requirements of formula. This is done by placing SetBarsRequired at the END of your formula, as any call to SetBarsRequired effectively overwrites previously calculated estimate. So
if you write

x = Cum( 1 );
SetBarsRequired( 1000, 0 ); // use 1000 past bars DESPITE using Cum()


You may force AmiBroker to use only 1000 bars prior first visible even though Cum() by itself would require all bars.

It is also worth noting that when QuickAFL is used, BarIndex() function does NOT represent elements of the AFL array, but rather the indexes of ENTIRE quotation array. With QuickAFL turned on, an AFL array is usually shorter than quotation array, as illustrated in this picture:

SPECIAL CASE: AddToComposite function

Since AddToComposite creates artificial stock data it is desirable that it works the same regardless of how many ‘visible’ bars there are or how many bars are needed by other parts of the formula.

For this reason internally AddToComposite does this:

SetBarsRequired( sbrAll, sbrAll );


which effectivelly means “use all available bars” for the formula. AddToComposite function simply tells the AFL engine to use all available bars (from the very first to the very last) regardless of how formula looks like. This is to ensure that AddToComposite updates ALL bars of the composite

The side-effect is that “Check And Profile” feature will see that it needs to reference future bars and display a warning even though this is false alert because AddToComposite itself has no impact on trading system at all.

Now why this shows only when flag atcFlagEnableInBacktest is on ??
It is simple: this is so because it means that AddToComposite is ACTIVE in BACKTEST.
http://www.amibroker.com/guide/afl/afl_view.php?name=ADDTOCOMPOSITE

Since “Check And Profile” uses “BACKTEST” state you get such result.

If atcFlagEnableInBacktest is not specified AddToComposite is not enabled in Backtest and hence does not affect calculation of BackwardRef and ForwardRef during “Check And Profile”.

BACKWARD COMPATIBILITY NOTES

a) QuickAFL is available in Automatic Analysis in version 5.14.0 or higher
b) sbrAll constant is available in Automatic Analysis in version 5.14.0 or higher. If you are using older versions you should use numeric constant of: 1000000 instead.

Filed by Tomasz Janeczko at 5:33 am under AFL, Custom Backtest, Explorations, Indicators, Systems
2 Comments

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

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
8 Comments

If we are backtesting the intraday strategy and we do not want to keep open positions overnight - then it’s necessary to force closing all the open positions before the session end. In order to code it in AFL - the easiest is to use TimeNum() function for that purpose. (more…)

Filed by support at 5:19 am under AFL, Systems
No Comments

The following code shows how to use separate trading rules for several symbols included in the same backtest. (more…)

Filed by support at 6:55 am under AFL, Systems
No Comments

The order stops are triggered in the backtest is the following:
 - Fixed Ruin stop (loosing 99.96% of the starting capital)
 - Max. loss stop
 - Profit target stop
 - Trailing stop
 - N-bar stop* (see below)

In versions 4.61 and higher: you can decide if N-BAR stop has the lowest or the highest priority. (more…)

Filed by support at 6:48 am under AFL, Systems
No Comments

Here is an article that tells you everything you need to know about using AmiBroker for trading FOREX markets. (more…)

Filed by support at 2:56 am under AFL, AmiQuote, Data, Indicators, Systems
3 Comments

In order to display trade arrows, first of all - it’s necessary to enable the arrows for particular chart. To do so - right-click on the chart pane of your choice, choose: Parameters -> Axes&Grid, then set: Show trading arrows to YES, as shown in the screenshot. (more…)

Filed by support at 2:54 am under Indicators, Systems
5 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

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.
(more…)

Filed by Tomasz Janeczko at 9:15 am under AFL, Systems
No Comments