Amibroker FAQ
- Thread starter RichKid
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How do I plot this please? Function keyword has me stuck.
function DV2(Length) {
return PercentRank(MA(C/Avg,2),Length);
}
function DV2(Length) {
return PercentRank(MA(C/Avg,2),Length);
}
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Thanks a lot col.
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How do you guys feel about the different modes of back testing (regular vs raw vs rawmulti)?
Probably depends on the system a bit, but I'm getting better results with rawmulti.
Any insights from your own or others' experiences?
Thanks
Probably depends on the system a bit, but I'm getting better results with rawmulti.
Any insights from your own or others' experiences?
Thanks
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Hi Gringotts --
My recommendation is to take each trade with a fixed number of dollars (or a single contract, if futures, CFD, or options). Analyze the performance without leverage and compounding to determine the distribution of trades, profit potential, and risk of drawdown. If the performance is satisfactory, then decide on number of positions, position size, leverage, etc. Among other benefits, the fixed trade size gives a baseline by which to measure actual performance when trading with real money begins.
Best regards,
Howard
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Up to a point I understand what you are saying Howard. There are however many other factors in the real world and control of (potential/planned) loss on each trade must surely be taken into account.
Are you advocating the same percentage loss of your "fixed number of dollars" on each trade if it goes against you as this can have a significant difference on the position of your stop.
I am of the opinion that a controlled amount of risk on each trade is closer to what needs to be considered in the practical application world.
In the three examples below the risk is the same, ie $900 (exc brokerage) is at risk on each trade but the initial outlays vary from $11492.00 to $32287.50 which is nearly 3 times difference in the outlay amount.
If I applied the same "fixed number of dollars" to ALK as I did to TGA then applying a practical stop loss would have me risking over $2600.00.
Aren't you better off controlling the loss and let that determine the number of dollars ?
(click to expand)
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Hi Boggo --
I treat any method of exiting a trade as a component of the trading system. That includes rules, timed exits, profit targets, trailing exits, and maximum loss exits (commonly called stops).
Position size is determined by the trade results -- in particular by the number and magnitude of losing trades -- and by the individual trader's tolerance for drawdown. Systems go through phases of good performance and poor performance, and position size should be adjusted accordingly. The method I recommend begins with trades taken using a constant size. This removes the effect of leverage and compounding, both of which obscure observation of system health.
Thanks,
Howard
I treat any method of exiting a trade as a component of the trading system. That includes rules, timed exits, profit targets, trailing exits, and maximum loss exits (commonly called stops).
Position size is determined by the trade results -- in particular by the number and magnitude of losing trades -- and by the individual trader's tolerance for drawdown. Systems go through phases of good performance and poor performance, and position size should be adjusted accordingly. The method I recommend begins with trades taken using a constant size. This removes the effect of leverage and compounding, both of which obscure observation of system health.
Thanks,
Howard
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Hi Gav --
Compounding leads to larger positions, as in larger number of shares or contracts or options, as the account balance grows (assuming a profitable system). Losses on larger positions are larger dollar values. Keeping a record of trades taken using a constant size allows for better evaluation of recent performance.
My recommendation is to track positions of constant size, use the distribution of those results to determine profit potential and drawdown risk, then determine system health and position size based on drawdown risk and the traders risk tolerance.
Using a sliding window, of say ten, twenty, or thirty trades, helps determine system health as the system goes through its phases of good and poor performance.
Best regards,
Howard
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Hi,
Can someone help me draw a trend line using code?
I want to draw the line between lows over the last 5 days.
Just a basic template would be good, thanks.
Can someone help me draw a trend line using code?
I want to draw the line between lows over the last 5 days.
Just a basic template would be good, thanks.
Hi all,
I am looking to start trading my 2nd system (in Amibroker). My approach to date, has been to add each stock my system flags to my favourites folder, I can then scan my favourites for the 'Sell' signal. I don't seem to be able to create separate folders within the favourites and don't want a mix of stocks from my 2 systems - am I missing something? Is there a better way to manage this?
Thanks in advance.
I am looking to start trading my 2nd system (in Amibroker). My approach to date, has been to add each stock my system flags to my favourites folder, I can then scan my favourites for the 'Sell' signal. I don't seem to be able to create separate folders within the favourites and don't want a mix of stocks from my 2 systems - am I missing something? Is there a better way to manage this?
Thanks in advance.
Not sure if this is somewhere. Used to use quotetracker to feed intraday data into Amibroker. WBC and Commsec no longer support it. Is it still available through another broker? Otherwise what live ASX data options are their for amibroker? Anyone have some suggestions? Thank you
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I wrote a macro to screen scrape data from my broker. Slight delay but no probs.
Another option is to subscribe to the WebIress Excel interface and get live data that way.
Last option would be to pay through the nose for it.
Have a very basic understanding with macros so that is probably not an option. Have 3 brokers. WBC, Commsec & CMC. Downloaded a macro that gets yahoo data into my spreadsheet but no idea how to make one to get it from a broker. Dont mind paying for data. What options are available? Prefer to import data into amibroker but would look at live data charting package if I had to. Quotetracker was so good.
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Quotetracker was bloody fantastic, even as a standalone bit of software.
A lot of people with AB use Norgate data.
Ive got Norgate EOD with snapshots but I need live streaming (5 min candles)
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What about WebIress into Excel into AB?
Bullcharts software is good for live feeds - seamless in fact. I used to use that, but the people who run it are dicks.
Agree I used to too but its no comparison to Amibroker
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Hi Gringotts, and all --
Beware of using a database built from broker quotes for system development. Broker's have no obligation to deliver all transactions. When resources are constrained, trades will be omitted, and the database will be incomplete. In addition, brokers do not correct erroneous data.
I prefer, and recommend, a database provided and supported by a company whose primary business is to provide high quality data.
Thanks,
Howard
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