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.

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}}"; 


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

Current quotes are quotes for current day (or previous day if there is no trading session today). For example MSFT current quote page is here:
http://finance.yahoo.com/q?s=MSFT
AmiQuote uses rather “download data” link which is: http://download.finance.yahoo.com/d/quotes.csv?s=MSFT&f=sl1d1t1c1ohgv&e=.csv
But it is not relevant because both show same current quote.

Now there is a second source. Historical quotes are downloaded from Historical Prices page. For example MSFT historical page is here: http://finance.yahoo.com/q/hp?s=MSFT (again AmiQuote uses rather plain text link: http://ichart.finance.yahoo.com/table.csv?s=MSFT&d=7&e=4&f=2007&g=d&a=2&b=13&c=1986&ignore=.csv )

Why using two sources? That’s simple: current mode gives data during trading session, while historical is only updated many hours after markets close so both compliment each other. Current mode is also much faster as it downloads as many as 200 symbols at once, while historical must download one by one. So recommended usage is to use Yahoo Current mode everyday, and Yahoo Historical once a week.
Of course you may use historical everyday as well if you have time and fast internet connection.

It is important to understand that AmiQuote is just the downloader (like Internet Explorer) and it does nothing except downloading the data, so if you belive that there is a bad quote - it is not AmiQuote, but rather Yahoo problem. To verify always go to relevant page (see links above) and check the quote on Yahoo Finance site directly.

It may happen that quotes on Yahoo Current page and Yahoo Historical pages differ. It is so because Yahoo gets them from different data vendors. If this happens the only solution is to report data error to Yahoo.

There are however 2 things you need to know about importing of data:

1. AmiBroker by default imports split and dividend adjusted data (”Adj. Close” on Yahoo Historical page). For more information on how data are adjusted see Yahoo Help page at: http://help.yahoo.com/l/us/yahoo/finance/quotes/quote-12.html

2. AmiBroker by default imports volume in HUNDREDS of shares (so if volume is 183,200 shares, the volume chart will show 1832)

These things are adjustable, so if you don’t like them, you can change them.
The import process of historical quotes is controlled using aqh.format file that you will find inside “Formats” subfolder. By default it looks as follows (you can open it with Windows Notepad).

# AmiQuote historical quotes download format (.AQH extension)
$FORMAT Date_DMY,Open,High,Low,Close,Volume,AdjClose
$SKIPLINES 0
$BREAKONERR 0
$SEPARATOR ,
$DEBUG 1
$AUTOADD 1
$CONT 1
$GROUP 254
$VOLFACTOR 0.01


Lines marked with bold mark important areas.

$FORMAT line controls the import format. AdjClose field says that AmiBroker should use adjusted price. If you don’t want adjusted prices simply replace $FORMAT line with:

$FORMAT Date_DMY,Open,High,Low,Close,Volume
(note no AdjClose field)

$VOLFACTOR line controls the volume multiplier. If you want volume to be expressed in single shares instead of hundreds of shares replace $VOLFACTOR line with:

$VOLFACTOR 1

The same $VOLFACTOR change should be applied to aqd.format file that is responsible for importing data in Yahoo CURRENT mode (if you are using it).

1. Open Categories window using Symbol->Categories menu item.
2. Select base index for given market in Markets tab and Base indexes for - Composites combo.
   For example if you are following NYSE this can by ^DIJ (Dow Jones Average)
   (certain symbol must be marked as index in Symbol -> Information and must belong to the same market)
3. Choose Symbol ->Calculate composites  menu item to open the window shown below and mark:
   - Number of advancing/declining issues and
   - Apply to: all quotes, All markets
4. Click Calculate . From now on ADLine, AdvVolume() and TRIN indicators will be visible.

Q: Why does AB need “base index”?
A: Just because it may happen that not all stocks are quoted every businness day and AB needs must calculate number of advancing/declining issues per market. So it checks the “base index” quotations dates and tries to find corresponding quotes of all stocks belonging to that market to find out how many issues advanced, declined and not changed at all.

Q: What are “Volume for base index” and “Copy volume to all indexes” checkboxes for?
A: “Volume for base index” and “Copy volume to all indexes” are provided in case you DON’T have real volume data for index quotes. In that case AmiBroker can calculate volume for index as a sum of volumes of all stocks belonging to given market. First option assigns calculated volume only to “base index”, the second copies the volume figure to all indexes belonging to given market.

- 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 ); 

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

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.

To quickly update all your AFL files you can use this freeware tool:

TextRep 2.0 from:

http://www.no-nonsense-software.com/cgi-bin/redirect/cgirdir.exe?texrep

More info:
http://www.no-nonsense-software.com/freeware/

Instructions:

1. Download from http://www.no-nonsense-software.com/cgi-bin/redirect/cgirdir.exe?texrep
and unzip

2. Run setup program (from inside zipped folder)

3. Run TextRep 2.0 program

4. Switch to “Scan folder(s)” page

5. Enter AmiBroker Formulas folder (by default it is C:Program FilesAmiBrokerFormulas),
mark “Include subfolders” and enter *.afl into “File types” as shown in the picture

6. Enter “switch” in the “Text to find” box and “switchvar” in the “Replace with” field.
“Case sensitive” should remain UNchecked. (Texts should be entered without quotation marks)

7. Press Start to go on with replacing

8. Repeat steps 6 and 7 with the following word pairs:
“case” -> “casevar”
“break” -> “breakvar”
“continue” -> “continuevar”
“default” -> “defaultvar”

9. Run AmiBroker 4.91 and check if everything works fine. If so, you may delete .bak (backup) files created during replace process.

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

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

First method uses looping and it does not use ApplyStop() function as it does not plot stops - it only triggers them in backtest mode. The stop % level can be adjusted via PARAMETERS dalog.

Alternatively you can use code without looping, but then it requires Equity(1) to evaluate stops as shown in the example code below. Equity( 1 ) is the backtester-in-a-box that runs actual single-security backtest and when parameter 1 is passed it writes back signals (removing excessive ones and writing out all stops to Buy/Sell/Short/Cover arrays).