Is it a bug in Amibroker that the following does not work?
ProfitTarget= -ROC(15);
ApplyStop(stopTypeProfit,stopModePercent,ProfitTarget,1,True,0 );
What is wrong with this code?
--- In amibroker@yahoogroups.com, "zozuzoza" wrote:
>
> Hi Howard,
>
> -ROC(15) is pos
> is required to give you the amount of profit target you want to use.
>
> Thanks,
> Howard
>
>
> On Thu, Sep 2, 2010 at 6:07 AM, zozuzoza wrote:
>
> >
> >
> > Hi,
> > Does anyone have an idea how to implement dynamic, volatility based
> &g
> is required to give you the amount of profit target you want to use.
>
> Thanks,
> Howard
>
>
> On Thu, Sep 2, 2010 at 6:07 AM, zozuzoza wrote:
>
> >
> >
> > Hi,
> > Does anyone have an idea how to implement dynamic, volatility based
> &g
Hi,
Does anyone have an idea how to implement dynamic, volatility based
profittarget? When the instrument drops more, the profittarget is higher.
I tried the following but it does not work.
ProfitTarget= -ROC(15);
ApplyStop(stopTypeProfit,stopModePercent,ProfitTarget,1,True,0 );
Thanks,
Zozu
Hi,
I have tried to modify the .format files to import intraday tick data with
multiple time stamps. I have used the following file
# Format definition file generated automatically
# by AmiBroker's ASCII Import Wizard
$FORMAT Ticker, Skip, Date_YMD, Time, Close, Volume, Skip
$SKIPLINES 1
$SEPARA
Hi,
I have been trying to test the sensitivity of some trading systems by adding
different standard deviation values to the Close. Once I got the modified Close
I assign it back to the Close by using C=ModifiedC so that the Buy and Sell
criteria got the modified input. However, I encountered so
r ETF Trading
> By Larry Connors & Cesar Alvarez
>
> System created in 2003 and first published in 2004
>
> LC gives results of tests.
>
> Best regards
>
>
> Le 17/02/2010 23:07, zozuzoza a écrit :
> >
> >
> > Hi,
> > How do you k
Hi,
How do you know that this system is powerful if you have not managed to code
it, i.e. backtest it?
Br,
Zozu
--- In amibroker@yahoogroups.com, "cvanhaesendonck" wrote:
>
> I posted some days ago but got no answer; however this system is powerfull
> yet simple: it scales in after the initial
ld.
>
> Thanks,
> Howard
>
>
> On Tue, Feb 16, 2010 at 5:23 AM, droskill wrote:
>
> >
> >
> > I haven't read the book - but for me it hasn't been a problem - I routinely
> > use small numbers as you describe them
> >
> >
&
Hi,
I am reading in Howard's book that 'Amibroker handles the negative values
without and problem, but the small numbers loose all the significance beyond
the decimal point.' Furthermore Howard recommend to multiply the numbers below
1 by 100 or 1000.
Is it really the case?
Try this
SetOption("AllowSameBarExit",0);
--- In amibroker@yahoogroups.com, "peter843" wrote:
>
> I understand what you are saying about how the results could be misleading if
> Max loss and Profit targets both occur on the same bar.
>
> What is happening is that my Max. loss stops and Profi
arameters could be different, but
> the objective function values will be the same.
>
> Thanks,
> Howard
>
>
> On Sun, Oct 11, 2009 at 1:22 PM, zozuzoza wrote:
>
> >
> >
> > I found an interesting behavior of WF testing in Amibroker. Using the
Hi Howard,
Limiting the number of N doesn't mean that you are not using all trades for the
calculation of SQN. Only the sqrt(N) part of the formula is limited in order
not to distort the results if there are many trades. It makes sense.
The other part of the formula does count on all the trades.
run. There were about 50 trades in the IS period.
Try it yourself!
--- In amibroker@yahoogroups.com, "zozuzoza" wrote:
>
> Aronson quote "Each strategy will have its own best values for IS/OOS
> periods". - and its own fitness function. For me, different systems perfo
Aronson quote "Each strategy will have its own best values for IS/OOS periods".
- and its own fitness function. For me, different systems perform different
results based on different fitness function. I have developed 7 fitness
functions and I test them on 4 systems in order to find the best fit
If it is your CAR for OOS then your system is probably good. Look at your other
KPIs such as CAR/Maxdd for OOS, that should be above 2. You have to calculate
it manually as it is unfortunately not available directly from the WF report.
Also your Walk Forward Efficiency, e.g. CAR_OOS/CAR_IS shoul
Gonzaga,
I have similar experience as yours after spending lot of time in backtesting
and optimisation. I use WFT for verification of the robustness of the code
only. I am going to use the static parameters for real trading since they gave
me much better results than WFT.
Once the system stops w
Hi,
What is the best way to import sectors, industries from a txt or xls file to an
existing Amibroker database, where this info is missing or incorrect? Without
destructing other data of course.
Thanks,
Zozu
Hi Tomasz,
What is the the difference in terms of performance/speed between
-running 64 bit Amibroker on x64 windows and
-running 32 bit Amibroker on x64 windows?
Thanks,
Zozu
--- In amibroker@yahoogroups.com, "Tomasz Janeczko" wrote:
>
> Hello,
>
> You guys seem to have some crazy expectatio
Hi,
Does quick AFL give reliable results if used together with Custom Backtest
Procedure that contain
for (bar = 0; bar < BarCount; bar++)
loop?
In the description, it says
"may NOT give you identical results with QuickAFL enabled, if your formulas use:
b) for/while/do loops using more than 3
Hi,
Regarding to the code below
trades = stats.getValue("AllQty")/(barsInRange/252); // 252 bars per year
calculates the trades per year.
However, I have seen using BarCount instead of barsInRange before. Which one is
correct if I want to backtest for a certain period? What is the difference
betw
Hi,
Could someone please send me the presentation. The link below is not working.
Please reply if you have it.
Thanks.
Zozu
--- In amibroker@yahoogroups.com, "Howard Bandy" wrote:
>
> Greetings all --
>
> I was asked in a private email if the presentation I gave at the NAAIM
> conference yeste
Hi,
I would like to open this topic to discuss and share WFO experience. There are
some interesting issues below to start with. Please let us know if you come
across with these and know the answer to them.
- Dakota states that they step 1 bar ahead, so each bar is OOS result. There is
one ques
Hi,
It is possible to check the out of sample (OOS) equity by selecting the
~~~OSEQUITY ticker but I could not find the way of displaying the OOS
performance report similar to backtest reports in report explorer. Did I miss
something or this feature is not implemented in Amibroker?
Thank you.
at
> particular optimization it won't use that limit.
> AmiBroker is coded efficiently and conserves memory, so many problems
> can be fully
> solved without using large amounts of memory.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
>
> zozuzoza wrote:
> &g
Hi,
Amibroker cannot use more than 440 MB RAM even if I set the max. Megabytes to
1000 in the preferences.
Also, the cumulative CPU usage cannot be more than 100% in a core 2 duo
processor computer, e.g. CPU1=10% and CPU2=90%. The operating system is a 64
bit one and I am expecting to use 100
ED]>
> To:
> Sent: Wednesday, November 26, 2008 11:17 AM
> Subject: [amibroker] Re: Stop Loss based on equity
>
>
> Do you know if AB hadles automatically margin violations due to
losses
> and rescale accordingly?
>
> Gne
> --- In amibroker@yahoogroups.com
ls(bar);
}
bo.PostProcess();
}
--- In amibroker@yahoogroups.com, "zozuzoza" <[EMAIL PROTECTED]> wrote:
>
> Thank you, Mike. I managed to solve the trace. I inserted the
> _TRACE(sig.symbol+" PosSize="+sig.PosSize+" Equity="+bo.Equity+"
> Type=&qu
iterate
through
> the list of open positions and close them out using the low level
> custom backtester API:
>
> http://www.amibroker.com/guide/a_custombacktest.html
>
> Mike
>
> --- In amibroker@yahoogroups.com, "zozuzoza" wrote:
> >
> > Thanks,
Hi,
I wonder if you have a Basic Low Level Custom Backtester Interface,
which I insert into the system and it gives the same backtest results
with and without it. The following code almost does it but if there
are missing bars it gives wrong n-bar exit. I would need it where I
could start progr
DebugView. It might have had to start with a
hard
> coded string rather than the direct result of StrFormat, but I
really
> don't remember, so don't quote me on that.
>
> Mike
>
> --- In amibroker@yahoogroups.com, "zozuzoza" wrote:
> >
> > T
mbol);
> Liquidity = MA(C,5)*MA(V,5)*50;
> RestorePriceArrays();
>
> if (Liquidity[bar] < bo.Equity) {
> sig.PosSize = 0;
> }
> }
> }
>
> bo.ProcessTradeSignals(bar);
> }
>
> bo.PostProcess();
> }
>
>
> Mike
Hi,
Where can I find the afBBTicker plugin mentioned in
http://www.amibroker.net/3rdparty/IntroToAtc.pdf
on page 28.
Thank you,
zozu
--- In amibroker@yahoogroups.com, reinsley <[EMAIL PROTECTED]> wrote:
>
> Hi,
>
> Howard B gave an exemple in this topic :
>
> http://finance.groups.yahoo.com/group/amibroker/message/130567
>
> Best regards
>
> zozuzoza a écrit :
> >
> > How could I
ers Guide? The layout files are
discussed there.
>
> Bill
> - Original Message -
> From: zozuzoza
> To: amibroker@yahoogroups.com
> Sent: Monday, November 03, 2008 4:52 AM
> Subject: [amibroker] Local and global layouts lost
>
>
> Where does Ami
Is there a description about how to use stopModeRisk? What's wrong
with the following exit? The results don't change if I optimise it.
It always gives me the same result whatever ProfitTarget I use. Why
is that?
ProfitTarget=Optimize( "ProfitTarget", 3, 5, 20,
1 );
SetOption("AllowSameBarExit",1);
Where does Amibroker save Local and global layouts? This is not the
1st time I lose the layout I click on. It pops up empty, and I have
to recreate the indicators one by one. This is very annoying bug.
Is there a file where Amibroker saves the layouts?
Best regards,
zozu
How could I code a stop loss based on equity? If the equity drops 5%,
close the positions.
Thanks a lot,
zozu
Is there a description about how to use stopModeRisk? What's wrong
with the following exit? The results don't change if I optimise it.
It always gives me the same result whatever ProfitTarget I use. Why
is that?
ProfitTarget=Optimize( "ProfitTarget", 3, 5, 20,
1 );
SetO
Where does Amibroker save Local and global layouts? This is not the
1st time I lose the layout I click on. It pops up empty, and I have
to recreate the indicators one by one. This is very annoying bug.
Is there a file where Amibroker saves the layouts?
Best regards,
zozu
up to the price of entry bar
you will see the same price.
>
> If you can not program by yourself, there are 3rd party AFL coding
services available either
> at www.aflwriting.com or www.patternexplorer.com or support at
amibroker.com can write
> code for the fee http://www.amibroker
OrigStopAmount, 2, True );
>
> The rest (the second formula) is OK.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> - Original Message -
> From: "zozuzoza" <[EMAIL PROTECTED]>
> To:
> Sent: Tuesday, October 14, 2008 3:23 PM
> Sub
0 )
>{
>trailARRAY[ i ] = trailstop;
>}
>
> }
>
> PlotShapes(Buy*shapeUpArrow,colorGreen,0,Low);
> PlotShapes(Sell*shapeDownArrow,colorRed,0,High);
>
> Plot( Close,"Price",colorBlack,styleBar);
> Plot( trailARRAY,"trailing stop le
so I know what I am talking about. You
cannot find out what the reason of the bad exit signals are. It is
like a black box.
--- In amibroker@yahoogroups.com, "zozuzoza" <[EMAIL PROTECTED]> wrote:
>
> Hi,
>
> I would like to apply a stoploss on next day OPEN when PRE
Hi,
I would like to apply a stoploss on next day OPEN when PREVIOUS day
CLOSE hits stop and Sellprice=Open. In the AFL library, I could only
find the solution for
"Scenario 3:
you trade on next day OPEN and want to exit by stop on OPEN price
when PREVIOUS day H-L range hits stop"
This is almost g
Hi,
I would like to apply a stoploss on next day OPEN when PREVIOUS day
CLOSE hits stop and Sellprice=Open. In the AFL library, I could only
find the solution for
"Scenario 3:
you trade on next day OPEN and want to exit by stop on OPEN price
when PREVIOUS day H-L range hits stop"
This is almost g
esponses.
>
> In AmiBroker, Use the Analysis pulldown menu, select Formula
Editor, then
> click Help, search for ApplyStop.
>
> Thanks,
> Howard
>
>
> On Mon, Oct 6, 2008 at 6:14 AM, zozuzoza <[EMAIL PROTECTED]> wrote:
>
> > Hi,
> >
> >
Hi,
How do you set the parameters in order to have Trailing Stop and
Profit Target working together? I want to trade with 1 bar delay and
trade on next bar Open.
The settings I use is as follows.
SetOption("AllowSameBarExit",1);
SetOption( "ActivateStopsImmediately", 1);
SetTradeDelays( 1, 1, 1
Hi,
I would like to apply a stoploss on next day OPEN when PREVIOUS day
CLOSE hits stop and Sellprice=Open. In the AFL library, I could only
find the solution for
"Scenario 3:
you trade on next day OPEN and want to exit by stop on OPEN price
when PREVIOUS day H-L range hits stop"
This is almo
of >
>
> Don't be afraid to experiment with the code.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> - Original Message -
> From: "zozuzoza" <[EMAIL PROTECTED]>
> To:
> Sent: Wednesday, August 27, 2008 9:17 PM
> Subject: [amibro
gt; Instead you should use simple barsince rule:
>
> Sell = BarsSince( Buy ) > 10;
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> - Original Message -
> From: "zozuzoza" <[EMAIL PROTECTED]>
> To:
> Sent: Wednesday, August 27, 2008 12:40 PM
&g
gt; Instead you should use simple barsince rule:
>
> Sell = BarsSince( Buy ) > 10;
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> - Original Message -
> From: "zozuzoza" <[EMAIL PROTECTED]>
> To:
> Sent: Wednesday, August 27, 2008 12:40
rt
> twice for the same date/time, hence if you checked it with "text"
you won't see it again
> unless *date/time* changes.
>
> For testing use
> AlertIf(Buy,"EMAIL","Buy "+Name(),1,1,0);
>
> Best regards,
> Tomasz Janeczko
> ami
Is there a way to extend the nbar stop when new buy signal arrives
during open positions?
For example, we have
ApplyStop( stopTypeNBar, stopModeBars, 10 );
i.e. 10-bar stop and on the 5th bar new buy signal arrives, which
would extend the exit to the 15th bar.
To make it more complicated, I'd
I cannot get Emailer to work for tick by tick database. The buy
signal appears in the Automatic Analysis window as well as in the
Alert Output window but the emailer does not send it. Testing the
email is OK in the preferencies/Alerts. Also it works fine for EOD
database but does not work for the t
Hi,
I cannot get Emailer to work for tick by tick database. The buy
signal appears in the Automatic Analysis window as well as in the
Alert Output window but the emailer does not send it. Testing the
email is OK in the preferencies/Alerts. Also it works fine for EOD
database but does not work for
Hi,
I cannot get Emailer to work for tick by tick database. The buy
signal appears in the Automatic Analysis window as well as in the
Alert Output window but the emailer does not send it. Testing the
email is OK in the preferencies/Alerts. Also it works fine for EOD
database but does not work for
Hi,
I cannot get Emailer to work for tick by tick database. The buy
signal appears in the Automatic Analysis window as well as in the
Alert Output window but the emailer does not send it. Testing the
email is OK in the preferencies/Alerts. Also it works fine for EOD
database but does not work
... // If you need access to the symbol for Volume, etc. use
> Foreign(sig.Symbol, "V").
> }
>
> bo.ProcessTradeSignals(bar);
> }
>
> bo.PostProcess();
> }
>
> Mike
>
> --- In amibroker@yahoogroups.com, "zozuzoza" wrote:
>
ies or exits based on portfolio
> equity value then you need to use the advanced backtest code to
change
> the trade values.
>
> --
> Cheers
> Graham Kav
> AFL Writing Service
> http://www.aflwriting.com
>
>
>
> 2008/5/30 zozuzoza <[EMAIL PROTECTED]>:
wrote:
>
> Simpler with significantly less overhead would be to use different
user
> accounts
>
>
>
> _
>
> From: amibroker@yahoogroups.com [mailto:[EMAIL PROTECTED]
On Behalf
> Of zozuzoza
> Sent: Monday, June 02, 2008 1:11 AM
> To: amibroker@yahoogroups.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> - Original Message -
> From: "zozuzoza" <[EMAIL PROTECTED]>
> To:
> Sent: Monday, May 05, 2008 11:00 AM
> Subject: [amibroker] Amiquote to update the 2nd running Broker.exe
in case of 2 Amibroker window
&
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> - Original Message -
> From: "zozuzoza" <[EMAIL PROTECTED]>
> To:
> Sent: Monday, May 05, 2008 11:00 AM
> Subject: [amibroker] Amiquote to update the 2nd running Broker.exe
in case of 2 Amibroker window
&
Is there any way to reference the portfolio equity
Foreign("~~~EQUITY", "C") in the buy formula itself?
I guess that the portfolio equity is available after running the
backtest so it cannot be referenced in the buy formula itself.
I've checked the AddToComposite stuff but it is not clear how
Hi,
I have tick by tick imported database but the database settins is set
to hourly, the backtest settings is set to hourly as well and the
chart is set to hourly view as well. Normal backtest with buy and
sell signals works on hourly basis, but when I try PositionScore
based backtest, I get
Hi, How is it possible to update the 2nd Amibroker database with
Amiquote in case of 2 Amibroker window, i.e. 2 Broker.exe is running.
Amiquote always updates the window of the first opened database
(Broker.exe). Is there any workaround solution for this?
Thank you.
Hi,
I am trying to backtest an intraday trading system and I cannot
figure out how to sell on Close at the end of the day, as the
position is automatically closed at the end of the day for
daytraders. I have hourly database and I have the entry signal
generated but I don't know how to program
Hi,
I am trying to backtest an intraday trading system and I cannot
figure out how to sell on Close at the end of the day, as the
position is automatically closed at the end of the day for
daytraders. I have hourly database and I have the entry signal
generated but I don't know how to program
t;SellPriceStr20");
>
> // to plot them on a chart so you can watch both real time
> // the 20 strategy will print above the line and the 24 below. The
> // sell signals are shorter just in case they appear on the same bar
> plot(buy20, "Buy 20", colorred);
> plot
Hi,
I have developed 2 different strategies and cannot figure out how I
could explore both at the same time. The 2 strategies use EOD data of
thousands of stocks so they are not intraday strategies. However , the
last bar is updated during market hours, i.e. the closing price of the
last bar is co
Hi,
I have developed 2 different strategies and cannot figure out how I
could explore both at the same time. The 2 strategies use EOD data of
thousands of stocks so they are not intraday strategies. However , the
last bar is updated during market hours, i.e. the closing price of the
last bar is co
ry this SSL SMTP email plugin
>
> http://www.tradercandy.com/blog/
>
>
>
> --- In amibroker@yahoogroups.com, "zozuzoza" wrote:
> >
> > Hi,
> >
> > Amibroker does not support SMTP SSL authentication, while all ISPs
> > require
ectly from your computer without need to
> use any external service.
> > Just run free SMTP server on your desktop.
> >
> > Google for FREE SMTP SERVER
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > - Original Message
Hi,
Amibroker does not support SMTP SSL authentication, while all ISPs
require it, so the Alertif function in Amibroker to send email alerts
does not work.
Is there any workaround solution for this, e.g. freemail SMTP provider
without SSL authentication or anything else?
Thank you.
Hi,
I downloaded the plugin. SendEmail does not work for me. I inserted
what was in email_alert.afl and Amibroker was not responding during
exploration and I had to kill Amibroker process. Moreover, I am not
sure if SendEmail provides the same functionality as Alertif in terms
of avoiding sending r
Hi,
Does anyone have an idea why Alertif AFL function does not work when
using Ref(C,-1) in the Buy formula.
AlertIf( Buy, "SOUND C:\\Windows\\Media\\CHORD.WAV", "Audio alert", 1,
2,0 );
works fine until there is a ref(C,-1) in the buy condition. Alertif
starts working when replacing the ref(C,
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