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AmiBroker

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Thanks Captain Black,

Incredible Charts just looks less complicated and comes with data for $18AUS Per month.

What would be the best data supplier for AB Standard and roughly how much would that cost?

Cheers,
MF :)
 
Amibroker is compatible with the major data formats (MS, Ascii CSV, etc.) I use an MS database for EOD and the Quotetracker plugin enables me to gather intraday data.(Free with brokerage account).

Good quality data supply is around $30-$35/month, should be a few threads here regarding data supply.

Amibroker has a 30 day free trial, may be worth downloading it and giving it a test run. For general charting etc. then IC may be better value, but for serious backtesting capabilities then Amibroker is miles ahead IMHO. Tech/A has written some excellent stuff here on the importance of a trading plan and system development (eg. positive expectancy,system drawdown,etc.), Amibroker's backtesting capabilities and metrics are only limited by your imagination.

Whether Amibroker or IC is better value will depend on your personal circumstances, only you can answer that question.

All the best,
The Captain
 
HTH

The trial version is basically fully functional except that any changes made are not saved and a few restrictions on the number of stocks that can be used in the backtester from memory.

Have a good look around the AB website, there's heaps of "add-on" extra's that make AB easier to setup if you decide to purchase. Or you can ask any questions here of course :) ,seems to be quite a few AB users here too.

All the best,
The Captain
 
Re: AmiBroker - universe selection

Is it possible to dynamically change the universe - eg based on the 100 stocks with greatest liquidity over last 90 bars?

T90=MA(C,90)*MA(V,90);

I want my current 'universe' to be 100 stocks with greatest value of T90.

(I just want to backtest over 10years, but if I use ASX100, you may bias results to companies that haven't been delisted - such as you wouldn't include SGW or ION....)

Thanks,Mark.
 
captain black said:
In the files section of the AB user's mailing list is a "MonteCarlo Portfolio backtester" folder. It contains an excel spreadsheet named "MCS calculations for Amibroker". Instructions are with the file, I've found it quite useful. It also works with Open Office Calc spreadsheet.
Click to expand...

Hi there,

could you explain in more detail where to find this folder, I cannot locate it as I am not sure where you are referring to.

Cheers
 
anyone knows as I have an idea to display the candlestick in 3 colors: the existing is bullish(usually green) and bearish (usually red)....but I need the third...that is white for sideways...is anyone have an idea to make the third color using AFL.

Thanks & Reg
Kusnadi
 
Howard From what i see in the job postings for quant traders in Chicago, employers like to see a profit factor of > 3 and a Sharpe ratio of > 5. From your experience in system development...... have you seen these numbers attained with Amibroker.... I have no aspiration to work for one of these firms, my goal is to make a worthwhile system for myself and I am wondering what i can shoot for.... Thanks so much for your insights. daveM
 
Hi Dave --

Am I the Howard you are asking?

Can you post a link to some of the employment opportunities you are referring to?

From the question, there might be two different classes of employers.
1. Proprietary trading houses who want people who have trading systems to join them as traders.
2. Hedge-fund types who want quantitative analysts to join them as employees who will be developing systems.

You mention two metrics, Sharpe Ratio > 5 and Profit Factor > 3.

Sharpe ratio is essentially (System return-Risk Free return)/Standard Deviation. I have a long-standing offer of dinner and drinks on me, followed by creating a trading partnership, to anyone who can provide a system that has Geometric mean of expectancy greater than standard deviation of expectancy on 100 out-of-sample trades. Assuming a risk free return of 0.0, the Sharpe Ratio would be 1.0. And trading that system would let us buy Manhattan in a couple of years. No one has come forward -- not even to suggest they have one but unfortunately they can't tell me the details. A Sharpe Ratio of 5 in actual trades, or even out-of-sample backtesting, is vanishingly close to impossible. Maybe they have a different definition.

Profit Factor is Amount Won / Amount Lost. Or (Percent Wins * Average Win) / (Percent Losses * Average Loss). If a system has wins of $100,000 and losses of $30,000, its profit factor is 3.33. That is doable.

Thanks,
Howard
 
Thanks Howard... I will search for that ad again, I have seen it twice in recent months. Once I find it I will post the URL. As all budding system developers aspire, I would like to know what is the baseline and i am well aware that you have explored these matters extensively.. The profit factor number I have achieved more than once, the Sharpe ratio has been really elusive .30 is a high number for me and that is why I thought I would ask someone else.. Thanks so much for taking time to reply. daveM
 
Howard....... I am definitely motivated to take you up on the offer of dinner... Sometimes the backtesting gets to be a grind...... the thought of dinner can add a lot of enthusiasm to the task. lol
 
Howard I see that you are about to publish a new book, perhaps it is available already. Can you provide an update as to its status...? I am going to require all the knowledge i can get my hands on if I am going to have an opportunity to join you for dinner.... Thanks again for your help daveM
 
daveM said:
Howard I see that you are about to publish a new book, perhaps it is available already. Can you provide an update as to its status...? I am going to require all the knowledge i can get my hands on if I am going to have an opportunity to join you for dinner.... Thanks again for your help daveM
Click to expand...

Hi Dave --

The next book to come out will be "Modeling Trading System Performance" It has a website:
www.modelingtradingsystemperformance.com
I am within a few weeks of being done writing. The editors will take a few weeks, and the printers about six weeks. I hope it will be available about May 1.

You can read an early draft of the introduction now at the book's website. A later draft will be posted in a few days.

This book is platform independent. It discusses modeling, simulation, position sizing, risk, and statistics. Everything is fully explained and you will be able to do everything that is the book using Excel along with free or inexpensive tools.

Comments on the draft materials are welcome.

This is one of two parts of what started out to be a giant volume about "Advanced AmiBroker." As I was writing, I realized I was trying to do too much in one book. The AmiBroker part will come out later in a book of its own.

Thanks,
Howard
 
Im about to purchase amibroker but im abit confused. Does amibroker supply the data for free? Which edition do I need to be able to test strategies? Also does it comes with instructions on how to use the program and the proper way to test systems? Or do I have to buy a book which specifically informs me of the best way to construct strategies?

Thank you. I know the topics probably been covered thousands of times but couldnt stumble on that info.

Regards

DH
 
darkhorse70 said:
Tech, I currently pay fro incredible charts. Can I feed it off that and ill get my hands on Howards book. Thanks
Click to expand...


If you can't afford proper commercial data then you can still use free data from Yahoo, Google etc. to feed into AB, also see Amiquote.
Besides Incredible Charts seem to use Norgate Premium data. Same can be used with AB. Take a look at Norgate. Not sure if you can use the same subscription. Just contact Norgate.
 

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