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Stops priority in the default backtest procedure in AmiBroker

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…)

How to display arrows for trades generated in backtest?

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…)

Using redundant signals for entries

NOTE: THIS ARTICLE IS NOW OUTDATED AS AMIBROKER SUPPORTS NEW BACKTEST MODE THAT HANDLES THIS NATIVELY http://www.amibroker.com/f?setbacktestmode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

This is done by changing Buy array values from “true” to sigScaleIn (this prevents redundant signals from being removed because scale-in marks are kept untouched) and modifying standard procedure to treat scale-in signals as normal buys (no scaling).

Note that there are many ways to achieve the same effect. The technique presented here was choosen because it is easy-to-use (does not require changes in your core trading system code – all it needs is to plug-in the custom backtest part). Longer implementation would be required if you do not want to (ab)use scaling signals.

One thing worth mentioning is the fact that since scaling-in signals do not store position score this example formula does not support ranking of signals according to user-defined scores.

// YOUR TRADING SYSTEM HERE 

Buy== HHVH10 ); // REPLACE THIS WITH YOUR OWN BUY RULE
Sell == LLVL10 ); // REPLACE THIS WITH YOUR OWN SELL RULE

PositionSize = -20;
SetOption("MaxOpenPositions"); 

// END OF TRADING SYSTEM HERE 

// COMMON CODE PART
// TO BE COPY-PASTED if you want keep redundant signals
// This is long-only version.
// It is easy to extend to handle short trades as well 

Buy IIfBuysigScaleInFalse ); // replace regular buy signals by scale in
// so they do not get filtered 

SetOption("UseCustomBacktestProc"True ); 

if( 
Status("action") == actionPortfolio )
{
   
bo GetBacktesterObject(); 

   
bo.PreProcess(); // Initialize backtester 

   
for(bar=0bar<BarCountbar++) 
   { 
        for ( 
sig=bo.GetFirstSignal(bar); sigsig=bo.GetNextSignal(bar) ) 
        {     
           
// first handle exit signals 
           
if (sig.IsExit() AND sig.Price != -
           { 
            
// Exit Signal 
               
bo.ExitTrade(bar,sig.symbol,sig.Price); 
           } 
        } 


        
// update stats after closing trades 
        
bo.UpdateStats(bar); 
       
        
bContinue True
        for ( 
sig=bo.GetFirstSignal(bar); sig AND bContinue
              
sig=bo.GetNextSignal(bar)) 
        { 
          
         
// enter new trade when scale-in signal is found 
         // and we don't have already open position for given symbol 

          
if (sig.IsScale() AND sig.Price != -AND 
              
IsNullbo.FindOpenPossig.Symbol ) ) ) 
          { 
           
// Entry Signal 
            
if( bo.EnterTrade(barsig.symbolsig.IsLong(), 
                
sig.Price,sig.PosSize) == 
           { 
             
// if certain trade can not be entered due to insufficient funds 
             // or too small value (less than "MinPositionValue") or 
             // to few shares (less than "MinShares" 
             // then do NOT process any further signals 
             
bContinue False
           } 
      } 
    } 

     
bo.UpdateStats(bar,1); // MAE/MFE is updated when timeinbar is set to 1. 
     
bo.UpdateStats(bar,2);   
   } 
   
bo.PostProcess(); // Finalize backtester 
   

Adding custom metric: Average adverse excursion

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…)

How to create copy of portfolio equity?

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…)

Re-balancing open positions

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.

Note that this code sample uses Custom Backtester interface that is documented here.

EnableRotationalTrading(); 

EachPosPercent 5

PositionScore ROCC20 ); 

PositionSize = -EachPosPercent

SetOption("WorstRankHeld"40 );
SetOption("MaxOpenPositions"20 ); 

SetOption("UseCustomBacktestProc"True ); 

if( 
Status("action") == actionPortfolio )
{
  
bo GetBacktesterObject();

  
bo.PreProcess(); // Initialize backtester

  
for(bar=0bar BarCountbar++)
  {
   
bo.ProcessTradeSignalsbar );
  
   
CurEquity bo.Equity;
  
   for( 
pos bo.GetFirstOpenPos(); pospos bo.GetNextOpenPos() )
   {
    
posval pos.GetPositionValue();
   
    
diff posval 0.01 EachPosPercent CurEquity;
    
price pos.GetPricebar"C" );
   
    
// rebalance only if difference between desired and
    // current position value is greater than 0.5% of equity
    // and greater than price of single share
    
if( diff != AND
        
absdiff ) > 0.005 CurEquity AND
        
absdiff ) > price )
    {
     
bo.ScaleTradebarpos.Symboldiff 0priceabsdiff ) );
    }
   }
  }
  
bo.PostProcess(); // Finalize backtester

Preventing exit during first N bars

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…)

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