AmiBroker 6.00 User`s Guide
AmiBroker 6.00
User's Guide
Copyright (C)1995-2015 AmiBroker.com.
All rights reserved.
AmiBroker 6.00 User's Guide
Table of Contents
Copyright............................................................................................................................................................1
Contents.................................................................................................................................................2
Introduction........................................................................................................................................................3
About AmiBroker Editions.......................................................................................................................4
Quick Tour..............................................................................................................................................6
Getting started......................................................................................................................................10
Hardware requirements..................................................................................................................10
Supported operating systems........................................................................................................10
Installation and running..................................................................................................................10
Getting help....................................................................................................................................11
AmiBroker 32-bit vs 64-bit Compatibility Chart..............................................................................13
What's new in the latest version?.........................................................................................................15
Detailed Change Log....................................................................................................................24
Tutorial.............................................................................................................................................................40
Basic operations...................................................................................................................................42
Adding a new symbol.....................................................................................................................42
Removing a symbol........................................................................................................................42
Splitting a stock..............................................................................................................................42
Deleting quotation..........................................................................................................................42
Adding/removing symbol from favourites.......................................................................................42
Merging quotations of two symbols................................................................................................43
Beginners' charting guide.....................................................................................................................44
How to use drag-and-drop charting interface.......................................................................................50
Special functions: SECTION_BEGIN, _SECTION_END, _SECTION_NAME,
_DEFAULT_NAME, _PARAM_VALUES explained (for advanced users only)......................54
Chart themes........................................................................................................................................59
User interface customization................................................................................................................66
Working with chart sheets and window layouts....................................................................................75
Using layers..........................................................................................................................................81
Using Web Research window...............................................................................................................83
OPEN NEW WEB RESEARCH WINDOW.....................................................................................83
Using account manager........................................................................................................................88
CREATE A NEW ACCOUNT.........................................................................................................88
Using fundamental data........................................................................................................................93
INFORMATION WINDOW.............................................................................................................93
Using New Analysis window.................................................................................................................98
Introduction....................................................................................................................................98
User interface.................................................................................................................................98
How to get quotes from various markets............................................................................................104
How to set up AmiBroker with eSignal feed (RT version only)...........................................................107
Requirements...............................................................................................................................107
How to set up AmiBroker with myTrack feed (RT version only).........................................................109
Requirements...............................................................................................................................109
How to use AmiBroker with external data source (Quote Tracker).....................................................111
One-time setup.............................................................................................................................111
How to set up AmiBroker with IQFeed feed (RT version only)...........................................................115
How to use AmiBroker with Interactive Brokers TWS.........................................................................117
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Tutorial
How to use AmiBroker with external DDE data source......................................................................124
WHAT IS DDE..............................................................................................................................124
How to work with Real-Time data plugins...........................................................................................130
One-time setup.............................................................................................................................130
How to use AmiBroker with external data source (Quotes Plus, TC2000/TCNet/TC2005,
FastTrack, Metastock).......................................................................................................................136
One-time setup.............................................................................................................................136
How to update US quotes automatically using AmiQuote..................................................................139
How to download quotes manually using AmiQuote..........................................................................142
Introduction..................................................................................................................................142
Metastock importer window..........................................................................................................146
Understanding AmiBroker database concepts...................................................................................148
Background..................................................................................................................................148
AmiBroker database structure......................................................................................................148
What about the external data?.....................................................................................................148
Understanding categories...................................................................................................................151
Working with sectors and industries.............................................................................................152
Working with watch lists......................................................................................................................162
Understanding how AFL works...........................................................................................................169
Creating your own indicators..............................................................................................................174
Using graph styles, colors, titles and parameters in Indicators...........................................................178
How to create your own exploration...................................................................................................190
How to write your own chart commentary...........................................................................................196
Using studies in AFL formulas............................................................................................................200
Back-testing your trading ideas..........................................................................................................202
Portfolio-level backtesting...................................................................................................................214
Reading backtest report......................................................................................................................226
How to optimize trading system..........................................................................................................229
Walk-forward testing...........................................................................................................................238
Back-testing systems for futures contracts.........................................................................................242
Monte Carlo Simulation of your trading system..................................................................................245
Pyramiding (scaling in/out) and mutliple currencies in the portfolio backtester..................................252
Pyramiding / Scaling....................................................................................................................252
Using formula-based alerts.................................................................................................................256
Using interpretation window................................................................................................................260
Multiple Time Frame support in AFL...................................................................................................261
Efficient use of multithreading.............................................................................................................266
Ranking functionality...........................................................................................................................273
Using AFL Code snippets...................................................................................................................278
Video Tutorials (on-line)......................................................................................................................283
AmiBroker Reference Guide.........................................................................................................................284
Windows.............................................................................................................................................285
Chart window pane......................................................................................................................287
Parameters window......................................................................................................................288
Data window.................................................................................................................................290
Study drawing tools......................................................................................................................291
Line study properties window.......................................................................................................300
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AmiBroker Reference Guide
Text box properties window.........................................................................................................302
Formula Editor..............................................................................................................................304
Code Snippets window.......................................................................................................................312
Risk-Yield Map window................................................................................................................315
Place Order dialog.......................................................................................................................316
Database Settings........................................................................................................................318
Intraday Settings window.............................................................................................................319
Preferences window.....................................................................................................................322
Customize tools window...............................................................................................................333
Symbol tree window.....................................................................................................................335
Information window......................................................................................................................336
Notepad window...........................................................................................................................339
Quote Editor window....................................................................................................................340
Symbol Finder window (F3).........................................................................................................341
Using Web Research window.............................................................................................................342
OPEN NEW WEB RESEARCH WINDOW...................................................................................342
Assignment organizer window.....................................................................................................347
Composite recalculation window..................................................................................................348
Categories window.......................................................................................................................349
ASCII Import Wizard....................................................................................................................350
Metastock importer window..........................................................................................................354
Using account manager......................................................................................................................356
CREATE A NEW ACCOUNT.......................................................................................................356
Real-time quote window...............................................................................................................361
Easy alerts window......................................................................................................................364
Bar Replay window......................................................................................................................368
Formula Editor..............................................................................................................................370
Quick review window....................................................................................................................378
Automatic analysis window..........................................................................................................379
Filter settings window...................................................................................................................381
System test settings window........................................................................................................382
System test report window...........................................................................................................389
Commission window....................................................................................................................394
Commentary window....................................................................................................................395
Plugins window............................................................................................................................396
Indicator Maintenance Wizard......................................................................................................397
Log window..................................................................................................................................399
Menus.................................................................................................................................................401
File menu.....................................................................................................................................402
Edit menu.....................................................................................................................................405
View menu...................................................................................................................................406
Insert menu..................................................................................................................................409
Format menu................................................................................................................................413
Symbol menu...............................................................................................................................414
Analysis menu..............................................................................................................................416
Tools menu..................................................................................................................................417
Window menu..............................................................................................................................419
Help menu....................................................................................................................................421
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AmiBroker 6.00 User's Guide
Table of Contents
AmiBroker Reference Guide
AFL Editor menu..........................................................................................................................422
Automatic Analysis result list context menu.................................................................................425
Chart context menu......................................................................................................................427
Layouts context menu..................................................................................................................428
Formula (chart) context menu......................................................................................................429
Layers context menu....................................................................................................................430
Keyboard shortcuts.............................................................................................................................432
Import ASCII.......................................................................................................................................434
How does it work?........................................................................................................................434
Format definition commands........................................................................................................434
Comments....................................................................................................................................450
Usage examples..........................................................................................................................450
Default behaviour.........................................................................................................................453
User-definable file types and formats...........................................................................................453
Ticker aliases...............................................................................................................................454
GICS categorisation.....................................................................................................................454
ICB categorisation........................................................................................................................454
AmiBroker's OLE Automation Object Model.......................................................................................456
Index of objects............................................................................................................................456
ADQuotation.................................................................................................................................457
ADQuotations...............................................................................................................................457
Analysis........................................................................................................................................457
AnalysisDoc.................................................................................................................................459
AnalysisDocs................................................................................................................................461
Application....................................................................................................................................461
Window........................................................................................................................................462
Windows.......................................................................................................................................463
Commentary.................................................................................................................................463
Document.....................................................................................................................................463
Documents...................................................................................................................................463
Market..........................................................................................................................................464
Markets........................................................................................................................................464
Quotation......................................................................................................................................464
Quotations....................................................................................................................................465
Stock............................................................................................................................................465
Stocks..........................................................................................................................................466
Practical Examples:......................................................................................................................467
AmiQuote's OLE Automation Object Model........................................................................................469
Index of objects...................................................................................................................................469
Document.....................................................................................................................................469
Technical analysis guide..............................................................................................................................471
Introduction.........................................................................................................................................471
Basic tools..........................................................................................................................................472
Price charts..................................................................................................................................473
Trend lines...................................................................................................................................475
Moving averages..........................................................................................................................476
Regression channels....................................................................................................................477
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Technical analysis guide
Fibonacci Retracement................................................................................................................478
Fibonacci Time Zones..................................................................................................................479
Bollinger bands............................................................................................................................480
Indicators............................................................................................................................................481
Accumulation/Distribution.............................................................................................................482
Advance-Decline line (AD-Line)...................................................................................................483
ADX / Directional Movement Index..............................................................................................484
CCI - Commodity Channel Index.................................................................................................485
Chaikin Oscillator.........................................................................................................................486
MACD - Moving Average Convergence/Divergence....................................................................487
Money Flow Index........................................................................................................................488
Negative Volume Index................................................................................................................489
OBV - On Balance Volume..........................................................................................................490
Parabolic SAR (Stop-And-Reverse).............................................................................................491
RS - Relative Strength (comparative)..........................................................................................492
RSI - Relative Strength Index.......................................................................................................493
ROC - Price Rate Of Change.......................................................................................................494
Stochastic Slow............................................................................................................................495
TRIN - Arms Index.......................................................................................................................496
TRIX - TRIple eXponential...........................................................................................................497
Ultimate Oscillator........................................................................................................................498
VAP - Volume At Price histogram................................................................................................499
Relative Performance chart..........................................................................................................500
AmiBroker Formula Language (AFL)...........................................................................................................501
AFL Reference Manual.......................................................................................................................502
Introduction.........................................................................................................................................502
Basics.................................................................................................................................................502
Lexical elements..........................................................................................................................502
Language structure......................................................................................................................503
Keywords.....................................................................................................................................519
AFL Function Reference - Alphabetical list of functions.....................................................................541
AFL Function Reference - Categorized list of functions.....................................................................549
#include - preprocessor include command..................................................................................558
#include_once - preprocessor include (once) command.............................................................559
#pragma - sets AFL pre-processor option....................................................................................560
abs - absolute value.....................................................................................................................561
AccDist - accumulation/distribution..............................................................................................564
acos - arccosine function.............................................................................................................565
AddColumn - add numeric exploration column............................................................................566
AddRankColumn - add ranking column(s) according to current sort set by SetSortColumns......569
AddRow - add raw text row to exploration...................................................................................570
AddSummaryRows - add summary row(s) to the exploration output...........................................571
AddTextColumn - add text exploration column............................................................................573
AddToComposite - add value to composite ticker........................................................................575
ADLine - advance/decline line......................................................................................................577
AdvIssues - advancing issues......................................................................................................578
AdvVolume - advancing issues volume.......................................................................................579
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AmiBroker 6.00 User's Guide
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AmiBroker Formula Language (AFL)
ADX - average directional movement index.................................................................................580
AlertIf - trigger alerts.....................................................................................................................581
AlmostEqual - rounding error insensitive comparison..................................................................583
AMA - adaptive moving average..................................................................................................584
AMA2 - adaptive moving average................................................................................................586
ApplyStop - apply built-in stop......................................................................................................587
Asc - get ASCII code of character................................................................................................591
asin - arcsine function..................................................................................................................592
atan - arc tan................................................................................................................................593
atan2 - calculates arctangent of y/x.............................................................................................594
ATR - average true range............................................................................................................595
BarIndex - get zero-based bar number........................................................................................597
BarsSince - bars since.................................................................................................................600
BBandBot - bottom bollinger band...............................................................................................602
BBandTop - top bollinger band....................................................................................................603
BeginValue - Value of the array at the begin of the range...........................................................604
CategoryAddSymbol - adds a symbol to a category....................................................................605
CategoryCreate - add new category (such as watch list).............................................................607
CategoryFind - search for category by name...............................................................................608
CategoryGetName - get the name of a category.........................................................................609
CategoryGetSymbols - retrieves comma-separated list of symbols belonging to given
category................................................................................................................................611
CategoryRemoveSymbol - remove a symbol from a category.....................................................613
CategorySetName - set the name of category (group, market, watch list, industry)....................615
CCI - commodity channel index...................................................................................................616
ceil - ceil value..............................................................................................................................618
Chaikin - chaikin oscillator............................................................................................................619
ClipboardGet - retrieves current contents of Windows clipboard.................................................620
ClipboardSet - copies the text to the Windows clipboard.............................................................621
ColorBlend - blends (mixes) two colors........................................................................................622
ColorHSB - specify color using Hue-Saturation-Brightness.........................................................623
ColorRGB - specify color using Red-Green-Blue components....................................................625
Correlation - correlation................................................................................................................627
cos - cosine..................................................................................................................................629
cosh - hyperbolic cosine function.................................................................................................630
CreateObject - create COM object...............................................................................................631
CreateStaticObject - create static COM object............................................................................632
Cross - crossover check...............................................................................................................633
Cum - cumulative sum.................................................................................................................636
Date - date...................................................................................................................................639
DateNum - date number...............................................................................................................641
DateTime - retrieves encoded date time......................................................................................642
DateTimeAdd - adds specified number of seconds/minutes/hours/days to datetime...................644
DateTimeConvert - date/time format conversion.........................................................................646
DateTimeDiff - get difference in seconds between two datetime values......................................648
DateTimeToStr - convert datetime to string.................................................................................649
Day - day of month.......................................................................................................................650
DayOfWeek - day of week...........................................................................................................651
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AmiBroker Formula Language (AFL)
DayOfYear - get ordinal number of day in a year.........................................................................652
DaysSince1900 - get number of days since January 1st, 1900...................................................653
DecIssues - declining issues........................................................................................................655
DecVolume - declining issues volume.........................................................................................656
DEMA - double exponential moving average...............................................................................657
EMA - exponential moving average.............................................................................................659
EnableRotationalTrading - Turns on rotational-trading mode of the backtester...........................663
EnableScript - enable scripting engine.........................................................................................665
EnableTextOutput - allows to enable or disable text output.........................................................666
EncodeColor - encodes color for indicator title............................................................................667
EndValue - value of the array at the end of the selected range...................................................669
Equity - calculate single-symbol equity line..................................................................................670
Error - displays user-defined error message and stops the execution.........................................674
EXP - exponential function...........................................................................................................675
ExRem - remove excessive signals.............................................................................................676
ExRemSpan - remove excessive signals spanning given number of bars...................................678
fclose - close a file........................................................................................................................679
fdelete - deletes a file...................................................................................................................680
fdir - list directory content.............................................................................................................681
feof - test for end-of-file................................................................................................................683
FFT - performs Fast Fourier Transform.......................................................................................684
fgets - get a string from a file........................................................................................................687
fgetstatus - retrieves file status/properties...................................................................................689
FIR - Finite Impulse Response filter.............................................................................................690
FirstVisibleValue - get first visible value of array..........................................................................692
Flip -.............................................................................................................................................693
floor - floor value..........................................................................................................................694
fmkdir - creates (makes) a directory.............................................................................................695
fopen - open a file........................................................................................................................696
Foreign - access foreign security data.........................................................................................698
fputs - write a string to a file.........................................................................................................701
frac - fractional part......................................................................................................................703
frmdir - removes a directory.........................................................................................................704
FullName - full name of the symbol..............................................................................................705
GapDown - gap down..................................................................................................................707
GapUp - gap up............................................................................................................................708
GetAsyncKeyState - query the current state of keyboard keys....................................................709
GetBacktesterObject - get the access to backtester object.........................................................712
GetBaseIndex - retrieves symbol of relative strength base index................................................713
GetCategorySymbols - retrieves comma-separated list of symbols belonging to given
category................................................................................................................................714
GetChartBkColor - get the RGB color value of chart background................................................715
GetChartID - get current chart ID.................................................................................................716
GetCursorMouseButtons - get current state of mouse buttons....................................................717
GetCursorXPosition - get current X position of mouse pointer....................................................721
GetCursorYPosition - get current Y position of mouse pointer....................................................723
GetDatabaseName - retrieves folder name of current database.................................................725
GetExtraData - get extra data from external data source............................................................726
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AmiBroker Formula Language (AFL)
GetFnData - get fundamental data...............................................................................................728
GetFormulaPath - get file path of current formula........................................................................730
GetOption - gets the value of option in automatic analysis settings.............................................731
GetPerformanceCounter - retrieves the current value of the high-resolution performance
counter..................................................................................................................................736
GetPlaybackDateTime - get bar replay position date/time...........................................................738
GetPriceStyle - get current price chart style.................................................................................739
GetRTData - retrieves the real-time data fields............................................................................741
GetRTDataForeign - retrieves the real-time data fields (for specified symbol)............................743
GetScriptObject - get access to script COM object......................................................................745
GetTradingInterface - retrieves OLE automation object to automatic trading interfac.................746
GfxArc - draw an arc....................................................................................................................747
GfxChord - draw a chord..............................................................................................................748
GfxCircle - draw a circle...............................................................................................................749
GfxDrawText - draw a text (clipped to rectangle).........................................................................750
GfxEllipse - draw an ellipse..........................................................................................................753
GfxGetTextWidth - get pixel width of text.....................................................................................754
GfxGradientRect - draw a rectangle with gradient fill...................................................................755
GfxLineTo - draw a line to specified point....................................................................................756
GfxMoveTo - move graphic cursor to new position......................................................................757
GfxPie - draw a pie.......................................................................................................................758
GfxPolygon - draw a polygon.......................................................................................................759
GfxPolyline - draw a polyline........................................................................................................760
GfxRectangle - draw a rectangle..................................................................................................761
GfxRoundRect - draw a rectangle with rounded corners.............................................................762
GfxSelectFont - create / select graphic font.................................................................................763
GfxSelectHatchBrush - select hatch style brush..........................................................................765
GfxSelectPen - create / select graphic pen..................................................................................766
GfxSelectSolidBrush - create / select graphic brush....................................................................768
GfxSetBkColor - set graphic background color............................................................................769
GfxSetBkMode - set graphic background mode..........................................................................770
GfxSetCoordsMode - set low-level graphics co-ordinate mode...................................................771
GfxSetOverlayMode - set low-level graphic overlay mode...........................................................773
GfxSetPixel - set pixel at specified position to specified color.....................................................774
GfxSetTextAlign - set text alignment............................................................................................775
GfxSetTextColor - set graphic text color......................................................................................777
GfxSetZOrder - set current low-level graphic Z-order layer.........................................................778
GfxTextOut - writes text at the specified location.........................................................................779
GicsID - get GICS category information.......................................................................................781
GroupID - get group ID/name.......................................................................................................782
HHV - highest high value.............................................................................................................783
HHVBars - bars since highest high..............................................................................................787
Highest - highest value.................................................................................................................788
HighestBars - bars since highest value........................................................................................789
HighestSince - highest value since condition met........................................................................790
HighestSinceBars - bars since highest value since condition met...............................................791
HighestVisibleValue - get the highest value within visible chart area..........................................792
HMA - Hull Moving Average.........................................................................................................793
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AmiBroker Formula Language (AFL)
Hold - hold the alert signal...........................................................................................................794
Hour - get current bar's hour........................................................................................................795
IcbID - get ICB category information............................................................................................796
IIf - immediate IF function.............................................................................................................797
IIR - infinite impulse response filter..............................................................................................806
IndustryID - get industry ID / name..............................................................................................808
InGICS - test GICS membership..................................................................................................809
InICB - test ICB membership.......................................................................................................810
Inside - inside day........................................................................................................................811
Int - integer part............................................................................................................................812
Interval - get bar interval (in seconds)..........................................................................................814
InWatchList - watch list membership test (by ordinal number).....................................................816
InWatchListName - watch list membership test (by name)..........................................................817
IsContinuous - checks 'continuous quotations' flag state.............................................................818
IsEmpty - empty value check.......................................................................................................819
IsFavorite - check if current symbol belongs to favorites.............................................................820
IsFinite - check if value is not infinite............................................................................................821
IsIndex - check if current symbol is an index...............................................................................822
IsNan - checks for NaN (not a number).......................................................................................823
IsNull - check for Null (empty) value............................................................................................824
IsTrue - true value (non-empty and non-zero) check...................................................................825
LastValue - last value of the array................................................................................................826
LastVisibleValue - get last visible value of array..........................................................................830
LineArray - generate trend-line array...........................................................................................831
LinearReg - linear regression end-point.......................................................................................833
LinRegIntercept -..........................................................................................................................834
LinRegSlope - linear regression slope.........................................................................................835
LLV - lowest low value.................................................................................................................837
LLVBars - bars since lowest low..................................................................................................841
log - natural logarithm..................................................................................................................842
log10 - decimal logarithm.............................................................................................................844
Lookup - search the array for bar with specified date/time..........................................................845
Lowest - lowest value...................................................................................................................846
LowestBars - bars since lowest....................................................................................................847
LowestSince - lowest value since condition met..........................................................................848
LowestSinceBars - barssince lowest value since condition met..................................................849
LowestVisibleValue - get the lowest value within visible chart area.............................................850
MA - simple moving average........................................................................................................851
MACD - moving average convergence/divergence......................................................................858
MarketID - market ID / name........................................................................................................860
Matrix - create a new matrix.........................................................................................................861
Max - maximum value of two numbers / arrays...........................................................................862
MDI - minus directional movement indicator (-DI)........................................................................865
Median - calculate median (middle element)...............................................................................866
MFI - money flow index................................................................................................................867
MicroSec - get bar's microsecond part of the timestamp.............................................................868
MilliSec - get bar's millisecond part of the timestamp..................................................................869
Min - minimum value of two numbers / arrays.............................................................................870
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AmiBroker Formula Language (AFL)
Minute - get current bar's minute..................................................................................................873
Month - month..............................................................................................................................874
mtRandom - Mersene Twister random number generator...........................................................875
mtRandomA - Mersene Twister random number generator (array version).................................876
MxGetSize - get size of the matrix...............................................................................................877
MxIdentity - create an identity matrix...........................................................................................878
MxTranspose - creates transpose of an input matrix...................................................................879
Name - ticker symbol...................................................................................................................880
NoteGet - retrieves the text of the note........................................................................................885
NoteSet - sets text of the note......................................................................................................886
Now - gets current system date/time............................................................................................887
NullCount - count consecutive Null values...................................................................................889
NumToStr - convert number to string...........................................................................................890
NVI - negative volume index........................................................................................................893
Nz - Null (Null/Nan/Infinity) to zero...............................................................................................894
OBV - on balance volume............................................................................................................896
Optimize - define optimization variable........................................................................................897
OptimizerSetEngine - select external optimization engine...........................................................900
OptimizerSetOption - set the value of external optimizer engine parameter................................901
OscP - price oscillator..................................................................................................................902
OscV - volume oscillator..............................................................................................................903
Outside - outside bar....................................................................................................................904
Param - add user user-definable numeric parameter..................................................................905
ParamColor - add user user-definable color parameter...............................................................912
ParamDate - add user user-definable date parameter.................................................................916
ParamField - creates price field parameter..................................................................................917
ParamList - creates the parameter that consist of the list of choices...........................................919
ParamStr - add user user-definable string parameter..................................................................921
ParamStyle - select styles applied to the plot..............................................................................922
ParamTime - add user user-definable time parameter................................................................925
ParamToggle - create Yes/No parameter....................................................................................926
ParamTrigger - creates a trigger (button) in the parameter dialog...............................................929
PDI - plus directional movement indicator....................................................................................930
Peak - peak..................................................................................................................................931
PeakBars - bars since peak.........................................................................................................932
Percentile - calculate percentile...................................................................................................933
PercentRank - calculate percent rank..........................................................................................934
PlaySound - play back specified .WAV file..................................................................................935
Plot - plot indicator graph.............................................................................................................936
PlotForeign - plot foreign security data........................................................................................946
PlotGrid - Plot horizontal grid line.................................................................................................947
PlotOHLC - plot custom OHLC chart...........................................................................................949
PlotShapes - plots arrows and other shapes...............................................................................952
PlotText - write text on the chart..................................................................................................956
PlotTextSetFont - write text on the chart with user-defined font..................................................958
PlotVAPOverlay - plot Volume-At-Price overlay chart..................................................................959
PlotVAPOverlayA - plot multiple-segment Volume-At-Price chart................................................960
PopupWindow - display pop-up window......................................................................................962
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AmiBroker 6.00 User's Guide
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AmiBroker Formula Language (AFL)
Prec - adjust number of decimal points of floating point number.................................................963
Prefs - retrieve preferences settings............................................................................................964
printf - Print formatted output to the output window.....................................................................966
PVI - positive volume index..........................................................................................................968
Random - random number...........................................................................................................969
Ref - reference past/future values of the array.............................................................................971
RelStrength - comparative relative strength.................................................................................980
RequestTimedRefresh - forces periodical refresh of indicator pane............................................981
RestorePriceArrays - restore price arrays to original symbol.......................................................983
Reverse - reverse the order of the elements in the array.............................................................985
RMI - Relative Momentum Index..................................................................................................986
ROC - percentage rate of change................................................................................................987
Round - round number to nearest integer....................................................................................990
RSI - relative strength index.........................................................................................................992
RWI - random walk index.............................................................................................................994
RWIHi - random walk index of highs............................................................................................995
RWILo - random walk index of lows.............................................................................................996
SAR - parabolic stop-and-reverse................................................................................................997
Say - speaks provided text...........................................................................................................998
Second - get current bar's second.............................................................................................1000
SectorID - get sector ID / name..................................................................................................1001
SelectedValue - retrieves value of the array at currently selected date/time point.....................1002
SendEmail - send an e-mail message.......................................................................................1005
SetBacktestMode - Sets working mode of the backtester..........................................................1006
SetBarFillColor - set bar/candlestick/cloud chart fill color..........................................................1008
SetBarsRequired - set number of previous and future bars needed for script/DLL to
properly execute.................................................................................................................1009
SetChartBkColor - set background color of a chart....................................................................1011
SetChartBkGradientFill - enables background gradient color fill in indicators............................1013
SetChartOptions - set/clear/overwrite defaults for chart pane options.......................................1015
SetCustomBacktestProc - define custom backtest procedure formula file.................................1018
SetForeign - replace current price arrays with those of foreign security....................................1019
SetFormulaName - set the name of the formula........................................................................1021
SetGradientFill - set the colors of a gradient fill plot...................................................................1022
SetOption - sets options in automatic analysis settings.............................................................1024
SetPositionSize - set trade size.................................................................................................1030
SetSortColumns - sets the columns which will be used for sorting in AA window.....................1033
SetStopPrecedence - set precedence of built-in stops..............................................................1034
SetTradeDelays - allows to control trade delays applied by the backtester...............................1035
ShellExecute - execute a file......................................................................................................1037
sign - returns the sign of the number/array................................................................................1038
Signal - macd signal line............................................................................................................1039
sin - sine function.......................................................................................................................1041
sinh - hyperbolic sine function....................................................................................................1042
Sort - performs a quick sort of the array.....................................................................................1043
SparseCompress - compress sparse array................................................................................1044
SparseExpand - expand compressed array to sparse array......................................................1046
sqrt - square root........................................................................................................................1048
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AmiBroker 6.00 User's Guide
Table of Contents
AmiBroker Formula Language (AFL)
StaticVarCompareExchange - atomic interlocked static variable compare-exchange
operation.............................................................................................................................1050
StaticVarCount - get the total number of static variables in memory.........................................1053
StaticVarGenerateRanks - generate ranking of multiple symbols and store it to static
variables.............................................................................................................................1054
StaticVarGet - gets the value of static variable..........................................................................1058
StaticVarGetRankedSymbols - retrieve a list of ranked symbols from static variables..............1061
StaticVarGetText - gets the value of static variable as string.....................................................1063
StaticVarInfo - get the information about static variable(s)........................................................1065
StaticVarRemove - remove static variable.................................................................................1066
StaticVarSet - sets the value of static variable...........................................................................1068
StaticVarSetText - Sets the value of static string variable.........................................................1070
Status - get run-time AFL status information..............................................................................1071
StdErr - standard error...............................................................................................................1077
StDev - standard deviation.........................................................................................................1078
StochD - stochastic slow %D.....................................................................................................1080
StochK - stochastic slow %K......................................................................................................1081
StrCount - count the occurrences of substring within a string....................................................1082
StrExtract - extracts given item (substring) from comma-separated string................................1083
StrFind - find substring in a string..............................................................................................1085
StrFormat - Write formatted output to the string.........................................................................1086
StrLeft - extracts the leftmost part..............................................................................................1089
StrLen - string length..................................................................................................................1091
StrMatch - string pattern/wildcard matching...............................................................................1092
StrMid - extracts part of the string..............................................................................................1093
StrReplace - string replace.........................................................................................................1094
StrRight - extracts the rightmost part of the string......................................................................1095
StrSort - sort comma-separated item list....................................................................................1096
StrToDateTime - convert string to datetime...............................................................................1097
StrToLower - convert to lowercase............................................................................................1098
StrToNum - convert string to number.........................................................................................1099
StrToUpper - convert to uppercase............................................................................................1100
StrTrim - trim whitespaces from the string.................................................................................1101
Study - reference hand-drawn study..........................................................................................1102
Sum - sum data over specified number of bars.........................................................................1103
tan - tangent function.................................................................................................................1106
tanh - hyperbolic tangent function..............................................................................................1107
TEMA - triple exponential moving average................................................................................1108
ThreadSleep - suspend thread for specified number of milliseconds........................................1109
TimeFrameCompress - compress single array to given time frame...........................................1110
TimeFrameExpand - expand time frame compressed array......................................................1112
TimeFrameGetPrice - retrieve O, H, L, C, V values from other time frame................................1114
TimeFrameMode - switch time frame compression mode.........................................................1116
TimeFrameRestore - restores price arrays to original time frame..............................................1118
TimeFrameSet - switch price arrays to a different time frame....................................................1120
TimeNum - get current bar time.................................................................................................1123
Trin - traders (Arms) index.........................................................................................................1124
TRIX - triple exponential smoothed price...................................................................................1125
xii
AmiBroker 6.00 User's Guide
Table of Contents
AmiBroker Formula Language (AFL)
Trough - trough..........................................................................................................................1126
TroughBars - bars since trough..................................................................................................1127
TSF - time series forecast..........................................................................................................1128
Ultimate - ultimate oscillator.......................................................................................................1129
UncIssues - unchanged issues..................................................................................................1130
UncVolume - unchaged issues volume......................................................................................1131
ValueWhen - get value of the array when condition met............................................................1132
VarGet - gets the value of dynamic variable..............................................................................1135
VarGetText - gets the text value of dynamic variable................................................................1137
VarSet - sets the value of dynamic variable...............................................................................1138
VarSetText - sets dynamic variable of string type......................................................................1140
Version - get version info...........................................................................................................1141
Wilders - Wilder's smoothing......................................................................................................1142
WMA - weighted moving average..............................................................................................1143
WriteIf - commentary conditional text output..............................................................................1144
WriteVal - converts number to string..........................................................................................1147
XYChartAddPoint - add point to exploration scatter (XY) chart.................................................1151
XYChartSetAxis - set the names of X and Y axes in exploration scatter charts........................1153
Year - year.................................................................................................................................1154
ZIG - zig-zag indicator................................................................................................................1155
_DEFAULT_NAME - retrive default name of the plot.................................................................1156
_DT - convert string to datetime.................................................................................................1158
_N - no text output......................................................................................................................1159
_PARAM_VALUES - retrieve param values string.....................................................................1168
_SECTION_BEGIN - section begin marker...............................................................................1169
_SECTION_END - section end marker......................................................................................1173
_SECTION_NAME - retrieve current section name...................................................................1177
_TRACE - print text to system debug viewer.............................................................................1178
_TRACEF - print formatted text to system debug viewer...........................................................1180
AFL Error List....................................................................................................................................1181
Error 1. Operation not allowed. Operator/operand type mismatch.............................................1184
Calculating multiple-security statistics with AddToComposite function............................................1252
Equity function, Individual and Portfolio Equity Charts.....................................................................1256
Functions accepting variable periods.........................................................................................1261
User-definable functions, procedures. Local/global scope.........................................................1262
AFL Tools.........................................................................................................................................1265
Automatic technical analysis......................................................................................................1265
Automatic analysis window........................................................................................................1266
Formula Editor............................................................................................................................1266
Guru Advisor Commentary window............................................................................................1266
AFL Scripting Host............................................................................................................................1267
Basics.........................................................................................................................................1267
Requirements.............................................................................................................................1267
Enabling AFL Scripting Host......................................................................................................1267
Further information.....................................................................................................................1272
Component Object Model support in AFL.........................................................................................1273
Introduction................................................................................................................................1273
Calling functions defined in script...............................................................................................1273
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AmiBroker 6.00 User's Guide
Table of Contents
AmiBroker Formula Language (AFL)
Using external COM/ActiveX objects in AFL..............................................................................1275
Plug-in in AFL...................................................................................................................................1278
Plugin interface..........................................................................................................................1278
Common Coding mistakes in AFL....................................................................................................1279
Porfolio Backtester Interface Reference Guide................................................................................1284
Basics.........................................................................................................................................1284
How to add user-defined metrics to backtest/optimization report.....................................................1298
Using low-level graphics functions....................................................................................................1305
Usage examples:.......................................................................................................................1307
Technical information.................................................................................................................................1312
Troubleshooting guide......................................................................................................................1313
Files and directories used by AmiBroker..........................................................................................1317
Crash recovery system and automatic bug reporting.......................................................................1318
Performance tuning tips....................................................................................................................1321
Performance monitoring.............................................................................................................1323
Multithreading performance.......................................................................................................1325
How to purchase AmiBroker ?...................................................................................................................1326
PRICING...........................................................................................................................................1326
BENEFITS:.................................................................................................................................1326
Credits..........................................................................................................................................................1328
Thanks..............................................................................................................................................1328
AmiBroker on the Web...............................................................................................................1328
xiv
Copyright
AmiBroker 6.00 User's Guide.
Copyright © 1995-2015 Tomasz Janeczko/AmiBroker.com. All rights reserved.
AmiBroker, AmiQuote, AmiFeed, AmiBroker.com and AmiBroker logo are trademarks of Tomasz
Janeczko/AmiBroker.com.
Microsoft, ActiveX, JScript, VBScript, Internet Explorer, MSDN, Windows, Windows NT, Win32, and Win32s
are either registered trademarks or trademarks of Microsoft Corporation in the U.S.A. and/or other countries.
Amiga is a registered trademarks or trademarks of Amiga Technologies, GmbH. Windows, Windows NT are
either registered trademarks or trademarks of Microsoft Corporation. Metastock is a trademark of Equis
International, Inc. Other brand and product names are registered trademarks or trademarks of their respective
owners.
Copyright
1
AmiBroker 6.00 User's Guide
Copyright
AmiBroker 6.00 User's Guide
Contents
• Introduction
• Quick tour
• Getting started
• What's new in AmiBroker?
• Tutorial
• Reference guide
• Technical analysis guide
• AmiBroker Formula Language (AFL)
• Technical information
• How to purchase AmiBroker?
• Credits
Copyright © 1995-2015 Tomasz Janeczko/AmiBroker.com. All rights reserved.
AmiBroker, AmiQuote, AmiFeed, AmiBroker Formula Language, AFL, AmiBroker.com and AmiBroker logo are
trademarks of Tomasz Janeczko/AmiBroker.com.
AmiBroker uses Microsoft Active Scripting technologies. Microsoft, ActiveX, JScript, VBScript, Internet
Explorer, MSDN, Windows, Windows NT, Win32, and Win32s are either registered trademarks or trademarks
of Microsoft Corporation in the U.S.A. and/or other countries. Windows, Windows NT are either registered
trademarks or trademarks of Microsoft Corporation. Metastock is a trademark of Equis International, Inc.
Other brand and product names are registered trademarks or trademarks of their respective owners.
Contents
2
Introduction
Thank you for choosing AmiBroker. This guide will help you get up and running.
AmiBroker is a comprehensive technical analysis program, with an advanced charting, back-testing and
scanning capabilities. It gives everything you need to trade successfully. Just check out our quick features
tour to find out what is included in this powerful software package.
If you are a first time user and just installed the software please check out Tutorial section that will guide
you through most important aspects of using AmiBroker.
The next chapter - Reference guide - provides detailed description of every window and more technical
documentation covering ASCII importer and automation interface.
In the Technical analysis guide you will find material that will introduce you to the world of charting and
technical indicators.
The next part of the guide describes AmiBroker Formula Language - a powerful tool that allows you to create
your own trading systems, scans, custom indicators and commentaries. You will find the description of the
language and its syntax, a complete reference of all functions and more.
The last part is provided for the user's of previous versions - this chapter will help them finding out what new
features were added without the need to re-read all documention.
Introduction
3
AmiBroker 6.00 User's Guide
Introduction
About AmiBroker Editions
AmiBroker software is currently available in 2 editions: Standard and Professional.
The following table summarizes differences between these two editions:
Feature
Standard Edition
Professional Edition
End-of-day charting/backtesting/scanning
Yes
Yes
1-, 5-, 15- minute, hourly Intraday
charting/backtesting/scanning
Yes
Yes
Custom minute bars
Yes
Yes
Tick charts/backtesting/scanning
No
Yes*
1-second, 5-second, 15-second bar
charts/backtesting/scanning
No
Yes
Streaming real time quote display
10 symbols
UNLIMITED symbols
Time and Sales window
1 symbol
UNLIMITED symbols
GetRTData / GetRTDataForeign AFL function
No
Yes
Wait for backfill in Automatic Analysis
No
Yes
Automatically updating real time charts
Yes
Yes
Maximum Adverse/Favourable Excursion Distribution
charts
in Portfolio backtest reports
No
64-bit version
No
Yes
Multi-threading Charts
Yes
Yes
Multi-threading Analysis window
Yes, upto 2 threads
Yes, upto 32 threads **
No
Not required, but nice to
have
Requires RT data subscription
Yes
(Professional Edition
works with EOD data
perfectly fine, but
real-time features (like
real-time quote) of
course are require
real-time data source)
* - this feature is available only using eSignal RT, Interactive Brokers, DDE feed
In the future the Professional Edition may have additional extra features not available in Standard Edition. For
pricing and ordering information check out How to order section.
** - the number of threads depends on number of logical processors on your computer and number of
symbols under test. For details see: Efficient use of Multithreading.
About AmiBroker Editions
4
AmiBroker 6.00 User's Guide
About AmiBroker Editions
Introduction
5
AmiBroker 6.00 User's Guide
Introduction
Quick Tour
Basic features
Powerful charting
• object-oriented drawing tools (trend lines, rays, parallel lines, regression channels, fibonacci
retracement, expansion, Fibonacci time extensions, Fibonacci timezone, arc, gann square,
gann square, cycles, circles, rectangles, text on the chart, and more)
• drag-and-drop indicator creation - allows you to create complex indicators without writing single
line of code
• modern, fully customizable user interface
• instant viewing of intraday/daily/weekly/montly charts in line, bar or candlestick styles overlaid with
configurable moving averages, Bollinger bands, Volume chart, SAR, etc.
• ability to display most common 1-, 5-, 15-, 60- minute intraday charts as well as fully customizable
N-minute charts (where N is 1..1380 )
• 5-second and 15-second bar charts (RT version)
• tick charts, custom N-tick charts (RT version)
• multiple time frame charts
• on-the-fly time compression - no need to wait when switching between various chart periodicities
• relative performance charts
• tens of most popular indicators built-in including ROC, RSI, MACD, OBV, CCI, MFI, NVI, Stochastics,
Ultimate oscillator, DMI, ADX, Parabolic SAR, TRIN, Advance/Decline line, Accumulation/Distribution,
TRIX, Chaikin oscillator, unique risk-to-yield map and more
• study drawing tools including trend lines, horizontal/vertical lines, Fibonacci retracements and
timezones, text boxes
• multiple chart panes, windows, different views and time scales are possible all at the same time
• extermely fast zooming and live scrolling
Multiple data feeds
AmiBroker is capable of handling virtually ANY exchange in the world.
• Real-time streaming quotes via eSignal's TurboFeed featuring access to all US exchanges and
major European exchanges.
• Real-time streaming quotes via myTRACK feed, IQFeed, QCharts/Quote.com, QuoteTracker,
Interactive Brokers, any DDE-enabled data feed
• Direct feed from Quotes Plus, TC2000, FastTrack and Metastock (including intraday) databases.
Read more...
• User-configurable ASCII import wizard - allows you to read quotes in the format you can define
(including intraday)!
• Built-in Metastock(R) database importer - reads directly all symbols from your Metastock database
(works with both EOD and intraday modes) in a matter of seconds!
• AmiQuote downloader program provides quick way of obtaining free end-of-day from major world
exchanges (all US markets, LSE, ASX, Paris, Milan, Frankfurt)
• Free FOREX data downloadable via AmiQuote
• Free historical intraday delayed quotes from US exchanges downloadable via AmiQuote
• Script-driven, one-click automatic downloaders available for NYSE, Amex, Nasdaq, Australian Stock
Exchange, Johannesburg Stock Exchange, Warsaw Stock Exchange
AmiBroker is successfully used in the following countries: USA, Canada, United Kingdom, Australia,
Germany, Italy, Southern Africa, Poland, Holand, Norway, France, ...
Quick Tour
6
AmiBroker 6.00 User's Guide
Introduction
For more information on data sources for AmiBroker click here.
Symbol & quotes database
AmiBroker features advanced database system that offers the following:
• build-up and store historical tick or 5- or 15-second bar data for backtesting purposes (certain
RT data sources only)
• build-up and store intraday minute-bar or end-of-day data for backtesting purposes
• unlimited number of symbols and unlimited number of quotes
• multiple database support
• stores quotes, company information, financial results, categories, industry/sector information
• powerful filtering by sector, industry, group and market
• innovative symbol tree browser showing symbols grouped by sectors, industries, indexes
• automatic handling for composities (number and volumes of advancing, declining and unchanged
symbols)
• automation support allowing you to control your database from external programs written in any
language including Java Script, VBScript
AmiBroker Formula Language
The language
The AFL is an advanced formula language that allows you to create your own indicators, trading systems and
commentaries. It is specialy designed for traders so writing analysis formulas is easier and quicker than in
general-purpose languages.
AFL features more than 200 built-in AFL functions to use as a building blocks for your formulas. AFL includes
trigonometric, averaging, statistical, data manipulation, conditional, pattern-detection and predefined indicator
functions.
AFL supports unlimited variables, unlimited parentheses nesting, unlimited nested function calls and multiple
logical operators. Version 4.40 brings completely rewritten engine with native flow-control and looping (if-else,
while), user-defined functions and procedures with local and global variable scope.
New version 4.50 provides native multiple time-frame support, so you can mix different bar intervals in single
formula.
Formula Editor / Drag-drop charting
Formula Editor allows you to quickly re-create any indicator/study found in the literature. Drag and drop
charting allows to create complex overlays, indicators-on-indicators and more. Among other things it is
possible to:
• any number of graphs that can be overlaid in the same chart pane
• modify built-in indicators
• custom or automatic scaling
• flexible grids
• access to composite data (number/volume of advancing, declining, unchanged issues)
Formula - based alerts
Quick Tour
7
AmiBroker 6.00 User's Guide
Introduction
• Ability to write complex formula-based alerts that can be displayed on the screen, sent to you via
e-mail, plus play a user-defined WAV file.
• Ability to run external applications via alerts - this allows automated trade execution
PORTFOLIO-LEVEL system back-testing, optimization, explorations and screening
Screening: Automatic analysis window enables you to scan your database for symbols matching your defined
buy/sell rules. AmiBroker automaticaly produces the report telling you if buy/sell signals occurred on given
symbol in the specified period of time.
Exploration: search your database for symbols matching your criteria and create the report showing the data
you want to see: indicator values, past performance, etc. Then sort the results by any value listed.
Back-testing: AmiBroker can also perform full-featured back-testing of your trading strategy, giving you an
idea about performance of your system.
The back-testing engine highlights:
• PORTFOLIO LEVEL BACKTESTING/OPTIMIZATION
• Three-dimensional (3D), fully animated charts of optimization results
• Advanced custom backtester interface
• User-definable backtest metrics
• Different position sizing / money management techniques based on Portfolio Equity
• Hyper-fast execution - AmiBroker can backtest 10000 symbols (3000 data bars each) = 30
million data points in FIVE minutes!
• Integrated support for MULTIPLE time-frames in single formula
• NEW Report Explorer provides great way to organize/compare/view all backtest results
• Scanning/Exploration/Backtest/Optimization on Real Time data (tick and up) (RT version only)
• Scanning/Exploration/Backtest/Optimization on intraday data (1-min bars and up)
• Back testing whole exchange or only limited, user-definable set matching your market, group,
industry, sector selection
• Equity curve plotting, Equity rainbows, composite equities curves
• Test long, short or both long and short trades
• Maximum-loss stop, profit-target stop, trailing-stop, N-bar (time) stop
• Realistic back-testing
• Ability to control position size from your formula (Read more...)
• Create your own composites and scan/backtest them
• Detailed reporting giving you imporant statistics of your system.
Optimization: AmiBroker allows you to optimize your trading system with up to 10 optimization variables on
single or MULTIPLE securities at once!
Automatic Chart Commentaries and Interpretation
• Full, textual descriptions of actual situation on the market
• automatic buy-sell arrows visible on the charts
• automatic textual interpretation of indicators and price chart (Window->Interpretation)
Scripting/COM/DLL support
• AFL engine allows embedding VBScript/JScript code within AFL formulas providing UNLIMITED
possibilities
Quick Tour
8
AmiBroker 6.00 User's Guide
Introduction
• ability to call external COM (ActiveX) objects from the AFL formula
• free SDK (software development kit) for registered users allowing writing indicator DLLs (plug-ins)
• many already available 3rd party plug-ins
Additional features
Portfolio manager
Built-in portfolio manager helps you track your investments. It allows you to registed buy/sell
transactions, calculates brokerage commission, dividend (with setable dividend tax), cash
deposits/withdrawals. You get the instant calculation of your equity value, percentage and
point yield.
Scripting support
AmiBroker features automation interface that exposes objects and methods that could be
accessed from any programming language including scripting dialects such as JScript
(JavaScript) and VBScript. The scripting capabilities of AmiBroker allows you to automate
time consuming database management tasks. Using scripting you will be able to create
automatic downloaders, maintenace tools, exporters customized to your specific needs.
Internet integration
AmiBroker features built-in web browser that allows you to quickly view company profiles. The
profile viewer is completely configurable so you can set it up for your particular exchange.
The settings are market based so you can access different web sites for each market
automatically. No longer will you be forced to waste your time browsing manually to get the
latest news and symbol related information.
Configurability
AmiBroker is designed to be configurable and customizable in almost every area. It is not tied
to particular exchange or data provider. Thanks to flexible import methods and scripting you
will be able to adopt it easily to your favourite market(s). Also technical analysis tools built in
into AmiBroker allow you to change every parameter with easy, and if you want even more,
you can create your own indicators using flexible formula language.
Quick Tour
9
AmiBroker 6.00 User's Guide
Introduction
Getting started
Hardware requirements
Supported operating systems
Installation and running
Getting help
Hardware requirements
To run AmiBroker you need PC-Compatible computer meeting following minimum requirements
• Pentium 450 MHz or higher
• 128 MB RAM
• 20 MB hard disk space
• 256 color graphics card (high color recommended) 800x600 minimum screen resolution
Recommended machine configuration
• CPU: 1GHz or more, multiple cores
• 512 MB RAM or more
Supported operating systems
AmiBroker works on the following operating systems:
• Windows 10 (any edition) 32-bit
• Windows 10 (any edition) 64-bit
• Windows 8 (any edition) 32-bit
• Windows 8 (any edition) 64-bit
• Windows 7 (any edition) 32-bit
• Windows 7 (any edition) 64-bit
• Windows Vista (any edition) 32-bit
• Windows Vista (any edition) 64-bit
• Windows Server 2008 (any edition) 32-bit
• Windows Server 2008 (any edition) 64-bit
• Windows Server 2008 R2 (any edition) 64-bit
• Windows XP (any edition)
• Windows XP x64 (64-bit)
• Windows 2000 (any edition)
• Windows NT 4.0 SP 3 (or higher) + Internet Explorer 4.0 or higher installed
• Windows Millenium
• Windows 98/98SE/95osr2/95
For more information about OS compatibility see: 32-bit/64-bit version compatibility chart
Installation and running
Install AmiBroker using it's setup program - it is available for download from
http://www.amibroker.com/download.html. After downloading double click on the program's icon. This will
launch the setup program - you can safely accept all default values by clicking "Next" on each page and
Getting started
10
AmiBroker 6.00 User's Guide
Introduction
"Install" on the last page. By default AmiBroker is installed to "C:\Program Files\AmiBroker" directory and this
location is referred to as "main AmiBroker directory".
If setup program asks you to restart machine please do so to allow to replace system components.
After installation, you can start AmiBroker from Windows' standard Start->Programs->AmiBroker->AmiBroker
menu.
Just after starting AmiBroker splash window shows up, then for few seconds AmiBroker loads its quotation
database. Next the main AmiBroker screen appears.
AmiBroker main screen with price chart,
MACD and RSI indicators and profile view open. (Windows version)
In default setup you can see the toolbar, workspace window with symbol list on the left side and chart
windows on the right side.
The toolbar provides fast access to the most often used program functions. With the symbol list view you can
select active symbol. Changing the selection will cause chart redraw and update in some information windows
if they are open. The chart windows let you to analyse current price trends and the behaviour of technical
indicators.
You can quit AmiBroker using the File/Exit menu item.
Getting help
AmiBroker features new context-senstive help system, available by pressing F1 key anywhere in the
program.
When you press F1 key while any window and any menu is shown, AmiBroker opens up a relevant help file
page describing the window or menu in question. No more searching through the help file.
In addition to using F1 context-sensitive help it is highly recommended to read ALL Tutorial articles first. The
answers to most common problems are given there. In case of major problem check Troubleshooting guide.
Also there is a "Search" tab on the left of this on-line help window that allows to quickly locate information by
keyword(s). Just type word(s) you are looking for and click "Display".
In case of further questions/problems you may check the following resources:
• AmiBroker web page - which is searchable using "Search" box in the top left corner of the page.
The page gives you an access to:
♦ AmiBroker Tips newsletter containing valuable step-by-step instructions on using various
aspects of AmiBroker
♦ Support area - featuring additional documentation
♦ Frequently Asked Questions - the list of most commonly asked questions with the answers
♦ AFL Library - featuring ready-to-use AFL formulas for custom indicators, commentaries and
trading systems
♦ Members area - featuring material accessible by registered users only
• AmiBroker mailing list - the place where you can meet other AmiBroker users, ask questions and
share with ideas (with searchable archive). To subscribe please send an empty e-mail to:
[email protected] To unsubscribe please send an empty e-mail to
Installation and running
11
AmiBroker 6.00 User's Guide
Introduction
[email protected]
Checking these places first will help me focusing on developing new features in AmiBroker. In case of
problems not covered in above resources please don't hesitate to contact me at: [email protected]
Getting help
12
AmiBroker 6.00 User's Guide
Introduction
AmiBroker 32-bit vs 64-bit Compatibility Chart
SUMMARY
The following table clearly shows that AmiBroker Professional 32 bit runs on EVERY Windows version (BOTH
32 and 64-bit) and with every data plugin. 64-bit version of AmiBroker runs solely on 64-bit versions of
Windows and only with limited number of data sources due to lack of data vendors' API support for 64-bit
technology.
AmiBroker Professional
32-bit
AmiBroker Professional
64-bit
Windows 10 32-bit
Yes
No
Windows 10 64-bit
Yes
Yes
Windows 8 32-bit
Yes
No
Windows 8 64-bit
Yes
Yes
Windows 7 32-bit
Yes
No
Windows 7 64-bit
Yes
Yes
Windows Vista
Yes
No
Windows Vista x64
Yes
Yes
Windows Server 2008 (32-bit)
Yes
No
Windows Server 2008 x64 (64-bit)
Yes
Yes
Windows XP
Yes
No
Windows XP x64 (64-bit)
Yes
Yes
Windows 2000
Yes
No
Windows NT 4
Yes
No
Windows Millenium Edition (ME)
Yes
No
Windows 98
Yes
No
Windows 95
Yes
No
32-bit Operating System
2 GB or 3 GB3)
N/A
64-bit Operating System
4 GB
1000 GB
Yes
Yes
Operating systems
Addressable memory space
Data sources
AmiQuote (Yahoo, MSN, Google Finance)
AmiBroker 32-bit vs 64-bit Compatibility Chart
13
AmiBroker 6.00 User's Guide
Introduction
Metastock import
Yes
Yes
Metastock plugin
Yes
Yes
eSignal RT
Yes
Yes
IQFeed RT
Yes
Yes
Interactive Brokers
Yes
Yes
Premium Data (via Metastock plugin)
Yes
Yes
TC2000/TCNet
Yes
No2)
FastTrack
Yes
No2)
DDE
Yes
Yes
ODBC database
Yes
Yes
any ASCII file (via import)
Yes
Yes
Remarks:
1)
64-bit native version of this plugin possible and is under development
64-bit native version of this plugin is not technically possible because of lack of 64-bit API from data vendor
at the moment
3) 3GB addressable memory is only possible with /3G switch in 32-bit Windows BOOT.INI file
2)
AmiBroker 32-bit vs 64-bit Compatibility Chart
14
AmiBroker 6.00 User's Guide
Introduction
What's new in the latest version?
Highlights of version 6.00
Version 6.00 brings lots of new functionality especially with regards to system testing. There are hundreds of
new features and changes to existing functionality as compared to version 5.90, listed in detail in "Release
Notes" document in AmiBroker directory. Below is just a short list of few of them:
• Integrated high-performance Monte Carlo simulator - with cumulative distribution charts of equity,
max. drawdowns, support for custom user-definable metrics and ability to peform MC simulator driven
optimizations.
• Full Matrix support (two dimensional arrays) in AFL with direct native matrix arithmetic (matrix
operations like addition, subtraction, multiplication, division, transpose, etc), see Matrix, MxIdentity,
MxTranspose, MxGetSize
• Detailed Buy-and-hold (benchmark) statistics automatically added to the backtest reports
• User definable stop precedence (SetStopPrecedence function) and stop validity
(ValidFrom/ValidTo parameters in ApplyStop function)
• Sparse array support: SparseCompress, SparseExpand
• Infinite Impulse Response filter function (IIR) for efficient implementation of higher order smoothing
algorithms
• Raw text output in explorations via AddRow function
• New styles supported by Exploration XYCharts
• Variable period Percentile function
• Unicode (UCN) support in PlotText, PlotTextSetFont, GfxDrawText, GfxTextOut, chart titles,
interpretations and commentary windows (allows various graphic annotations / windings )
• New Low level graphic functions: GfxSelectHatchBrush, GfxSelectStockObject
• wildcard matching function StrMatch
• enhanced Assignment Organizer
• Word-wrap functionality in AFL editor and enhanced "Code Prettify" function
Highlights of version 5.90
In addition to completely new functionality this version focuses on speed improvements and
enhancements of existing functionality. There are hundreds of new features and changes to existing
functionality as compared to version 5.80, listed in detail in "Release Notes" document in AmiBroker directory.
Below is just a short list of few of them:
• Performance improvements
♦ AFL Engine: custom memory allocator does not use Microsoft runtime lib for reference
tracking anymore. Result - complex formulas with lots of loops and OLE (especially
low-level custom backtests) run upto 3 times faster in 32 bit and 4 times faster in 64-bit
♦ execution speed improved by factor > 2x for AFL functions: MACD, Signal, CCI, Sum
(variable period)
• Brand new Code Snippets window and keyboard triggers
♦ added Code Snippets window - allows inserting/deleting/saving selected parts of the formula
as snippets. Also implemented is convenient drag-drop of snippet to the formula edit window
♦ Code snippets are available in auto complete list (type @ plus first letter of snippet key
trigger), and even without auto complete activated @keytrigger is replaced by snippet text
• Re-designed Report Explorer and improved Report Viewer (HTMLView)
♦ Column layout (order and sizes) is now saved and restored between runs
♦ Loading and refresh performance significantly improved (5x) using owner draw/ virtual mode
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♦ Multi-column sorting implemented
♦ Numeric columns are now right aligned for better readability
♦ visuals significantly improved (list uses modern style, grid lines, immediate column resizing,
double buffering for no flicker, thousand separators, negative values are displayed in dark
red, HighDPI aware, changed toolbar)
♦ HTMLView - Backtest report viewer - added Edit/Copy, Edit/Select All and Edit/Copy TABLE.
The last command transforms HTML tables into CSV format and copies it into clipboard so
tables can be pasted easily to Excel. Also it divides Entry/Exit columns into separate
Entry/exit date/price columns
• new Bid/Ask trend indicator in Real-time quote window - a graphical indicator showing the
direction of 10 most recent changes in real-time bid/ask prices The right-most box is most recent and
as new bid/ask quotes arrive they are shifted to the left side.
• User-definable HTML backtest reports
♦ now it is possible to output HTML instead of graphics in report chart formulas using AFL:
EnableTextOutput( 3 ) - HTML output to backtest report
♦ rewritten 3. Profit Table.afl using HTML embedding features auto-scalable layout (so it
enlarges when numbers are bigger), bold summary columns, negative values in red,
boundary date changed to last day of year/month
• Charting improvements
♦ Left/right extended Trend lines and Rays now use user-definable Extension Factor (new field
in Study properties) instead of always infinite extent. Ext. Factor equal to ZERO means
INFINITE, other values 0.1 ... 26 define how far to the left/right line is extended
♦ Max zoom achievable via View->Zoom Out is increased to 5 million bars, also
Pref/Charting/Default zoom limit set to 5 million.
♦ Line drawings now have user definable line width in pixels (new "Line width" field in Study
Properties dialog). In addition to that "Thick line" box makes line twice as wide (so actual
width of thick line is 2 * lineWidth instead of adding 1 pixel to width)
♦ added ability to control number of decimals in chart value labes via GraphLabelDecimals
variable (example, adding GraphLabelDecimals = 2; to the formula would give you value
lables with 2 decimal places)
• User Interface improvements
♦ Parameter window look and feel improved. Item height is increased and slider thumb made
wider for easier use on small size/high DPI screen
♦ New Analysis UI refreshes faster
♦ Colors, bold and italic styles are now added to Interpretation and Commentary windows
♦ Filter dialog now shows number of matching symbols in real-time
♦ Column setup dialog has new Mark All / Toggle All buttons
• AFL new features / improvements:
♦ new AFL functions: GetFormulaPath, NullCount, Sort, Reverse, StrSort, StrTrim, SendEmail
♦ extended functionality of AFL functions: StrExtract, StrMid, RestorePriceArrays, PlotGrid,
EnableTextOutput, GetOption
♦ single-characters literals added to AFL
• Stability & debug improvements
♦ added lots of parameter checks
♦ 64-bit version has now call stack trace in the bug report for better debugging
♦ added more memory checks, early warnings and error messages when running out of
memory
♦ added checks for unusual, yet potentially 'troublemaker' scenarios
Highlights of version 5.80
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In addition to completely new functionality this version focuses on incremental improvements and
enhancements of existing functionality. There are hundreds of new features and changes to existing
functionality as compared to version 5.70, listed in detail in "Release Notes" document in AmiBroker directory.
Below is just a short list of few of them:
• Brand-new completely rewritten AFL Formula Editor that supports the following features:
♦ Improved Syntax highlighting
♦ Automatic brace matching/highlighting (NEW)
♦ Auto indentation (NEW)
♦ Indentation markers (NEW)
♦ Enhanced auto-complete in two modes (immediate (NEW) and on-demand)
♦ Parameter information
♦ Line numbering margin and selection margin (NEW)
♦ Code folding (NEW)
♦ In-line Error Reporting (NEW)
♦ New tabbed user interface with ability to work in both MDI and separate floating frame mode,
can be moved behind main AmiBroker screen and brought back (Window->Toggle Frame)
(NEW) or kept on top (Window->Keep on top)
♦ Rectangular block copy/paste/delete (Use mouse and hold down left Alt key to mark
rectangular block)
♦ Enhanced printing (with syntax highlighting and header/footer)
• Code snippets - these are small pieces of re-usable AFL code. They can be inserted by right-clicking
in the AFL editor window and choosing "Insert Snippet" menu. Code snippets are user-definable.
• New features in Low-level graphics
♦ multiple Z-order layers GfxSetZOrder
♦ co-ordinates can now be given in both pixels and bar-price mode GfxSetCoordsMode
♦ speed improvements (upto 3x)
• Persistent Static variables - StaticVarSet/StaticVarSetText (added 'persistent' parameter)
• Analysis (Backtest/Optimize) enhancements
♦ new "Trade using FX cash conversion" setting
♦ 64-bit SPSO/Tribes engine fixes
• New/enhanced AFL functions
♦ PlotTextSetFont (NEW)
♦ GfxSetCoordsMode (NEW)
♦ GfxSetZOrder (NEW)
♦ GfxGetTextWidth (NEW)
♦ fopen (added 'shared' parameter)
♦ StaticVarSet/StaticVarSetText (added 'persistent' parameter)
♦ SetOption (new option "StaticVarAutoSave")
♦ SetChartOptions (new flags chartDisableYAxisCursor, chartDisableTooltips )
♦ PlotText (new parameter yoffset)
Highlights of version 5.70
In addition to completely new functionality this version focuses on incremental improvements and
enhancements of existing functionality. There are 116 new features and changes to existing functionality as
compared to version 5.60, listed in detail in "Release Notes" document in AmiBroker directory. Below is just a
short list of few of them:
• Analysis improvements:
♦ New Multi-threaded Individual Optimization
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♦ New general-purpose ranking functions
StaticVarGenerateRanks/StaticVarGetRankedSymbols
♦ User-definable ranking columns (via AddRankColumn function)
♦ Lots of internal speedups in backtesting/optimization engine
♦ SPSO, Tribes optimization engines now available also in 64-bit
• Time&Sales improvements: user-definable filtering, user-definable colors, 2 user-selectable display
modes
• Database improvements:
♦ 64-bit version supports files larger than 2GB per symbol
♦ in-memory cache can hold upto 100 000 symbols (up from 20K)
♦ new 64-bit DDE and ODBC plugins
• Charting improvements:
♦ Greatly improved performance QuickData technology implemented lowering CPU usage for
charts
♦ Edit->'Paste Special' allows to copy-paste entire chart pane with various options
♦ Distance measuring when drawing trendlines (X,Y distance in the status bar)
♦ X/Y constrains for drawing tools (press X and/or Y key to constrain movement in either X or Y
direction when drawing)
♦ ASCII importer adds support for millisecond timestamps
• AFL improvements:
♦ new functions:
◊ StaticVarGenerateRanks, StaticVarGetRankedSymbols - general-purpose
user-definable ranking
◊ Error - display user-definable error messages (also useful for plugin developers)
◊ fdir - directory listing
◊ CategoryCreate - programmatic creation of watch-lists
◊ AddRankColumn - ranking columns in exploration
♦ performance improved for Percentile() (order(s) of magnitude)
♦ new fields supported in GetFnData
♦ XShift support added to PlotShapes
♦ speeded up transcendental mathfunctions (sqrt, sin,asin, cos, acos, tan, atan, ln, log10, etc)
♦ improved SetSortColumns
Highlights of version 5.60
• Multithreaded GDI (graphics) rendering - now all drawing (graphic rendering) is done in separate
worker threads so the user interface is way more responsive and charts are updated faster and
completely independently from each other.
• Automatic Walk-Forward out-of-sample summary report - each out-of-sample step produces
individual report now, plus there is a new summary report that covers all out-of-sample steps. It is
visible in the Report Explorer as last one and has "PS" type.
• Enhanced color-coded backtest report
• XY (scatter) charts in explorations
• Chart themes and improved chart look (esp. the grid)
• One-click automatic setup and update of stocks listing, sector and industry assignments for all
major US exchanges
• Unlimited ad-hoc chart intervals by means of new Interval combo box that accepts any interval
typed manually
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• support for ICB (Industry Classification Benchmark) categories in AFL, UI, ASCII importer and OLE
interface
• native Gradient area charts
• super-thick lines in Plot, PlotOHLC, PlotForeign
• new AFL functions: GetAsyncKeyState, InIcb, IcbID, StaticVarInfo, SetGradientFill,
XYChartAddPoint, XYChartSetAxis
• updated AFL functions with new functionality: Status, CategoryGetSymbols, CategoryGetName,
CategorySetName, CategoryAddSymbol, CategoryRemoveSymbol, CategoryFind, Plot, PlotOHLC,
PlotForeign
• new 64-bit eSignal plugin
• updated UI in many places
• many other improvements (see Release Notes for details)
Highlights of version 5.50
• New Analysis window introduced in version 5.50 brings the following improvements over old
Automatic Analysis
♦ multi-threaded operation = speed - new Analysis window uses all available CPUs/cores to
execute formulas in many threads in parallel providing significant speed ups. For example on
4 core Intel i7 that can run upto 8 threads, it can run upto 8 times faster than old Analysis
window. Exact speed up depends on complexity of the formula (the more complex it is, the
more speedup is possible), amount of data processed (RAM access may be not as fast as
CPU thus limiting possible speed gains).
♦ non-blocking operation - you can now view, scroll and sort results of analysis while they are
still generated, also as user interface thread is not used for processing for most part, charts
and other GUI-driven program parts are way more responsive than with old automatic
analysis
♦ multiple instances - you can run more than one instance of New Analysis at a time, so you
can run many scans/backtest/explorations/optimizations in parallel without waiting for one to
complete
♦ slicker user interface - New Analysis window can act as tabbed document, can be floated,
buttons can be re-arranged for better workflow. There is way more space for the result list,
extra information about execution is provided on the new "Info" tab. Also walk-forward results
are now displayed within New Analysis window for less clutter.
• Mini High-Low rank chart in Real Time quote window
• User-definable mini bar charts in Explorations (see AddColumn function)
• Add Rank Column feature - right-click Analysis result list and choose "Add Rank column" - it adds a
column with ordinal rankings based on current sort or just row number column when list is not sorted
• IRA account backtesting via SettlementDelay feature (see SetOption function)
• Range bars algorithm improved significantly
• new AFL functions: ThreadSleep, StaticVarCompareExchange
• updated AFL functions with new functionality: AddColumn, SetOption, GetOption,
CategoryGetSymbols, PopupWindow, GetFnData, ClipboardSet
• updated OLE interface to support new Analysis window
• updated custom backtester interface to support access to local, per-analysis EquityArray property
• updated UI in many places
• Owner-draw list views for 10x speed improvement when displaying millions of rows
• many other improvements (see Release Notes for details)
Highlights of version 5.40
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• Fully Multi-threaded charting. Massively parallel AFL execution (each chart pane runs in
separate thread) allows to maximize speed and utilisation of modern multi-core / multi-CPU
computers. For example on 8-core Intel i7 CPU your charts will run upto 8 times faster than in version
5.30. The AFL engine has been completely rewritten from ground up to allow multiple instances of
the engine running simultaneously. This enables not only multithreading but also enhances
responsiveness of entire application, as even badly-written user formula used in a chart is not able to
lock or slow the rest of the program. Multi-threading is ON by default. It can be turned off by
unchecking "Multi-threaded charts" box in Tools->Preferences, "AFL" tab but it is strongly
discouraged. Multi-threading should be ON if you want AmiBroker to operate at full speed.
• 12 new AFL functions
♦ DateTimeAdd - adds specified number of seconds/minutes/hours/days to datetime
♦ HMA - Hull Moving average
♦ FIR - Finite Impulse Response filter
♦ PercentRank - calculate percent rank
♦ Lookup - search the array for bar with specified date/time
♦ FirstVisibleValue - get first visible value of the array
♦ LastVisibleValue - get last visible value of the array
♦ InGICS - check if given symbol belongs to specified GICS category
♦ GicsID - get information about GICS category
♦ PlaySound - play .WAV sound file
♦ ShellExecute - execute external program / file
♦ _DT - synonym of StrToDateTime
• Quote Editor improvements and fixes: allows user to turn on/off time shift and editing timestamps
down to milliseconds, fixed handling of 12 hour (AM/PM) regional setting
• Charting improvements: better looking value labels, low-level gfx functions speeded up 4 times.
• Charting-related changes
♦ Data Window and data tooltip readout is immediate and does not require extra AFL execution
(values required to display them are stored in RAM during normal chart refresh and available
without need to re-run the formula). Tooltip variable is now obsolete. To display custom
values in tooltips without plotting a line you can use Plot() with styleHidden flag.
♦ Interpreation display does not require AFL execution
♦ Inserting indicator and resetting parameters are orders of magnitude faster
♦ chart zoom setting is now saved in a layout file and restored when layout is loaded
• OLE interface improvements (new IsBusy method of Analysis object and Import method refreshes UI
automatically)
• AFL engine improvements:
♦ added warnings that detect potential user mistakes - such as assignment within conditional
expression or redundant calls to Plot() function
♦ added extra checks for invalid parameter values for many functions and array subscript ==
Null - appropriate error message is displayed
♦ PlotText optimized to conserve memory and reduce execution time by skipping invisible parts
• Account manager fixes
• improved compatibility with Windows 7 (high-DPI aware manifest, compatibility with Internet Explorer
9)
• 64bit-specific fixes (including fixing problems with 3rd party DLLs)
• new appearance themes and many other improvements and fixes
Highlights of version 5.30
• changed database format to support time stamp granularity down to one microsecond (0.000001s)
and more data fields
• static array variables
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• user-definable backtest report charts (see examples in Charts window, "Report Charts" folder)
• new Data Window (Window->Data Window)
• new Performance Monitor tool
• tick statistics added to Time&Sales window
• chart blank area extension using END key (on the keyboard), to restore original setting press HOME
key
• added option to require variable declarations (SetOption("RequireDeclarations", True ));
• persistent column state (widths/order/visibility) in the Automatic Analysis and all other list-views.
• gradient area charts capability (see Charts - Basic Chart - Gradient Price chart)
• new typeof() AFL operator
• new AFL functions
♦ ColorBlend
♦ DateTimeDiff
♦ HighestVisibleValue
♦ LowestVisibleValue
♦ StaticVarCount
• User-definable Z-order of drawings and indicator plots
• optional data padding for non-trading days
• Rectangle and ellipse drawing tools are now solid by default
• X-Y co-ordinate labels added (use View->X-Y Labels menu to display/hide).
• Support for SSL (secure connection) and TCP/IP port selection for e-mail alerts added
• new Symbols window with ultra quick full-text search and sorting
• support for GICS 4-level category system
• placing orders directly from chart (Interactive Brokers)
• many other improvements and fixes (see Release Notes document for details)
Highlights of version 5.20
• Smart (non-exhaustive) trading system optimization
AmiBroker now ships with 3 non-exhaustive, evolutionary optimization algorithms:
SPSO (Standard Particle Swarm Optimizer)
TRIBES (Advances Particle Swarm)
CMA-ES (Covariance Matrix Adaptation Evolutionary Strategy
• Support for market-neutral, long-short balanced strategies via MaxOpenLong/MaxOpenShort
control and separate long/short rankings in the backtester
• Performance optimizations in chart drawing engine - charts are orders of magnitude faster when
number of bars displayed is much greater than number of pixels.
• Log window implemented - allow tracing and run-time error reporting
• QuickAFL implemented in the Automatic Analysis - speeds up backtests, optimization and
explorations by factor of 2 or more (if range is less than all quotations). (Note: in order to enable it you
need to check "Use QuickAFL" box in the Automatic Analysis setttings).
• Multiple-segment Volume-At-Price charts (via PlotVAPOverlayA function)
• 32-bit AmiBroker is now LARGEADDRESSAWARE, i.e. can now use upto 4GB of RAM
• Built-in Quarterly and Yearly intervals
• Automatic summary rows in the explorations (via AddSummaryRows AFL function)
• Charting enhancements and improvements
♦ better handling of drawing tools
♦ better magnet mode
♦ Fibonacci timezones now include lines 144 and 233
♦ zooming via scroll bar improved
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• Range bars now use per-symbol TickSize as a unit
• new AFL functions:
GetChartBkColor
CategorySetName
PlotVAPOverlayA
AddSummaryRows
DaysSince1900
OptimizerSetEngine
OptimizerSetOption
StrCount
• AFL performance improvements in LinearReg, LinRegSlope, LinRegIntercept, TSF and StdErr, Day(),
Month(), Year(), DaysSince1900(), DayOfWeek(), DayOfYear() functions (order of magnitude faster)
• Improved AFL functions: queued Say() command (text-to-speech), improved StrExtract() - can now
refer to items counting from the end
• real-time data plugins updated (IB version 1.2.4, eSignal version 1.9.0), IBController updated to
support latest changes in data sources
Highlights of version 5.10
• Automatic Walk-Forward testing (trading system optimization and validation technique)
• Floating windows (TRUE multi-monitor charting capability)
ability to "undock" (or "float") the chart window and move it to separate monitor.
All layout code is also updated to correctly save and restore multi-monitor chart setups
http://www.amibroker.com/video/FloatAndLink.html
• Symbol and Interval linking
multiple charts can now be linked by symbol and/or by interval using easy-to-use color-coded links
• AFL Code Profiler - shows code analysis with detailed per-function timing report (AFL Editor:
Tools->Code Check & Profile menu)
• Real-time quote window improvements
♦ re-ordering of symbols in the RT quote using drag-and-drop
♦ direct type-in symbols into RT quote window
♦ ability to separate groups of symbols by inserting empty line
♦ faster refresh and multi-stage background color fading on quote change
• new/improved AFL functions
♦ (new) SetBarFillColor
♦ (improved) GetCursorXPosition
♦ (improved) GetCursorYPosition
♦ (improved) GetCursorMouseButtons
♦ (improved) SetChartOptions
♦ (improved) SetOption
♦ (improved) Status
• Improved speed of backtesting/optimization (up to 2x in some cases as compared to v5.00)
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• improved chart crosshairs - no flicker, work faster and can be switched on/off globally
• track more foreign markets: now you can define rates for up to 20 currencies (different than base
currency) for multiple currency backtesting in the preferences window.
• new backtester modes: backtestRegularRaw2 and backtestRegularRaw2Multi
• new FindSignal method of backtester object
• 3D optimization chart animation is now smoother (100fps)
• unlimited nesting of #include and #include_once statements
• Improved scaling of semi-log charts, MDI tab order saved in the layout, improved bug reporting, high
resoltion Vista icon added, other fixes and improvements
Highlights of version 5.00
• New Watchlist system featuring:
♦ unlimited number of watch lists
♦ lists keep original order in which symbols were added (still can be sorted alphabetically
on-demand)
♦ new AFL function to refer to watch lists by name
• Support for AFL Code Wizard - brand new automatic formula creation program for people without
any programming experience. For more information about AFL Code wizard see this introductory
video: http://www.amibroker.com/video/amiwiz/AFLWiz1.html
• AFL engine enhancements
♦ new flow control statements: switch /case / break / continue
♦ new compound assignment operators: +=, -=, *=, /=, %=, &=, |=
♦ new functions: GetPlaybackDateTime(), PopupWindow(), Mersene Twister Random Number
Generator mtRandom(), and others
• New dedicated memory heap allocators for quotes and trading system signals resulting in ability to
run much longer optimizations than ever without getting out-of-memory messages
• Two new backtester modes (available using SetBacktestMode function) allowing handling of unfiltered
(raw) entry signals
• User-definable 5-tier commission schedule in the backtest (Automatic Analysis / Settings)
• Chart template sharing
now you can save the chart as "Chart Template, Complete (*.chart)" that stores all layout AND
referenced formulas in SINGLE file that can be sent to your friend and entire chart will be restored on
any computer with ease, without need to copy individual formulas.
• New-Look charts - divider lines between panes are now single pixel and no borders around charts
giving cleaner, larger and more readable chart display and printout
• Custom Range Bars (supported in the charts and via TimeFrameSet())
• New Low-level graphics interface (23 new AFL functions)
• HTML Import in Automatic Analysis
• Full screen Anti-Aliasing in 3D optimization chart viewer (beautifully smooth 3D charts and improved
readability)
• Enhanced Real-Time Quote window display (faster updates, dual-color change marks)
• Control of Time Shift in the ASCII importer
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Detailed Change Log
CHANGES FOR VERSION 6.00.0 (as compared to 5.99.0)
• AFL Editor: Preferences: the default value for "Auto-complete" changed to "Immediate"
• AFL: MxGetSize( matrix, dim ) - get matrix size in given dimension
where
matrix argument is matrix to query for the sizes
dim argument is 0 or 1. 0 gets number of rows, 1 gets number of columns.
MxGetSize( matrix, 0 ) - gives number of rows
MxGetSize( matrix, 1 ) - gives number of columns
• AFL: MxIdentity( size ) - creates an indentity matrix of defined size (square matrix with rows and
columns equal to size argument filled with ones on the main diagonal and zeros elsewhere)
• AFL: MxTranspose( matrix ) - creates transpose of an input matrix
• AFL: Warning 506 is suppressed when formating is 1.0 (integer)
CHANGES FOR VERSION 5.99.0 (as compared to 5.98.0)
• AFL: added support for matrices (2D tables of numbers).
Matrix support is preliminary and subject to change.
To create a matrix use
my_var_name = Matrix( rows, cols, initvalue)
To access matrix elements, use:
my_var_name[ row ][ col ]
where
row is a row index (0... number of rows-1)
and
col is a column index (0... number of columns-1)
Matrices and their elements support all scalar (element-wise) arithmetic and logical operations
So you can for example add, subtract, multiply, divide two matrices if they have same dimensions with
one call.
x = Matrix( 5, 6, 9 ); // matrix 5 rows 6 columns, initial value 9
y = Matrix( 5, 6, 10 ); // matrix 5 rows 6 columns, initial value 10
z = y - z; // will give you matrix 5 rows and 6 columns filled with elements holding value 1 (difference
between 10 and 9).
All those operations are performed ELEMENT-WISE.
You can also apply any arithmetic and logical operation on matrix AND scalar value. This would
perform element-wise
operation on each element of source matrix and given scalar value.
Detailed Change Log
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m = Matrix( 10, 10, 0 ); // m will be 10x10 matrix filled with zeros
z = m; // z is now also a matrix
for( i = 0; i < 10; i++ )
{
z[ i ][ 4 ] = i; // fill z with some other values, note that m will remain unaffected.
}
for( i = 0; i < 10; i++ )
_TRACEF( "%g = %g, %g, %g\n", i, m[i][1], m[ i][4], z[ i][4]);
// scalar addition (element wise)
z += 3;
m += 5;
for( i = 0; i < 10; i++ )
_TRACEF( "%g = %g, %g, %g\n", i, m[i][1], m[ i][4], z[ i][4]);
Additionally there is a new operator @ that handles matrix product (matrix multiplication in the sense
used in linear algebra). This operator requies
that number of columns in first array is the same as number of rows in second array.
• AFL: new Error 59. Too many subscripts - displayed when user attempts to use 3 or more subscripts
on matrix identifier
• AFL: new function Matrix( rows, cols, init_value = 0 ) - creates 2 dimensional table with defined
number of rows and column
• AFL: new matrix product (multiplication) operator: @
a new operator @ that handles matrix product (matrix multiplication in the sense used in linear
algebra). This operator requires
that number of columns in first array is the same as number of rows in second array.
A = Matrix( 1, 3 );
B = Matrix( 3, 2 );
// matrix A = [ 1, 4, 6 ]
// matrix B = [ 2, 3 ]
// [ 5, 8 ]
// [ 7, 9 ]
A[ 0 ][ 0 ] = 1; A[ 0 ][ 1 ] = 4; A[ 0 ][ 2 ] = 6;
B[ 0 ][ 0 ] = 2; B[ 0 ][ 1 ] = 3;
B[ 1 ][ 0 ] = 5; B[ 1 ][ 1 ] = 8;
B[ 2 ][ 0 ] = 7; B[ 2 ][ 1 ] = 9;
X = A @ B;
_TRACEF("%g %g", X[ 0 ][ 0 ], X[ 0 ][ 1 ] );
• Charts: when chart is moved vertically by the user so it falls outside upper edge, the parts falling
outside are not drawn as flat line anymore
• New Analysis: Attempt to run Walk forward on periods without any data for any symbols could result
in exception. Fixed.
• New Analysis: Show current trade arrows did not show sell arrow after Individual backtest. Fixed.
Detailed Change Log
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• UI: Color text output in the Interpretation window was sometimes incorrect when numbers followed
immediately EncodeColor call. Fixed.
• UI: Interval combo dropdown list adapts its width to higher DPI displays now
• UI: Notepad is refreshed on sliding back from auto-hide
• UI: Updating Symbol Information after ASCII import
• Upgrade info: Free upgrade only for users who purchased license after May 31, 2013
CHANGES FOR VERSION 5.98.0 (as compared to 5.97.0)
• Analysis: Monte Carlo CDF charts use denser X grid (5% stepping)
• Analysis: Monte Carlo min/max/avg equity charts can now be displayed as percent change instead of
absolute values
• Analysis: Monte Carlo stats are now generated in out-of-sample Walk forward steps by default
• Analysis: Walk forward Out-Of-Sample summary report includes Monte Carlo simulation from ALL
trades of all Out-of-sample periods
• Analysis: Walk forward: A crash could occur when Monte Carlo sim was enabled in walk-forward
optimization. Fixed.
• Analysis: Walk forward: Buy&Hold stats Max. sys drawdown was too large for 2nd and next steps of
walk forward OOS. Fixed.
CHANGES FOR VERSION 5.97.0 (as compared to 5.96.0)
• Analysis: Backtest report uses now client-side script pagination when trade list contains more than
1000 trades so it takes less time to display it (3s vs 15s for 30K trades). (Experimental, may be
removed)
• Analysis: MC: MC Min/Max/Strawbroom equit chart was getting slow when number of trades in
backtest exceeded 1000. It draws faster now.
• Analysis: Monte Carlo charts are now moved to Reports (so they appear in the REPORT as a
separate page, not as tabs in Analysis) and generated in separate thread
• Analysis: Monte Carlo: numerical values of distributions are now included in the Report / Monte Carlo
page
• HtmlView: new version 1.3, improved performance of Edit->Copy Table for large tables (>30K rows)
by 2 orders of magnitude. Also added support for paginated tables.
• In 5.9x single-symbol portfolio backtests were reported as "0-symbols" in Report Explorer. Fixed (fix
applies to newly run backtests only)
• OLE: added LoadWatchlists() method to Broker.Application object. It allows to re-load watchlist files
for currently loaded database without re-loading entire database. (Just in case you ask for
SaveWatchlists - watchlists are saved when you call SaveDatabase)
• OLE: splash screen closes automatically after 1 second if program was launched from OLE, instead
of being displayed as long as OLE object is active
• UI: Added global Analysis->Report Explorer menu to access Report explorer without need to open
Analysis window
• UI: small tweaks and fixes to About/Splash screen.
CHANGES FOR VERSION 5.96.0 (as compared to 5.95.0)
• AFL Editor: Verify Syntax uses raw symbol quotes, so it is faster and works regardless of "mixed
data" setting
• AFL Editor: Word wrap - wrapped lines uses same indent as previous line
• AFL: added SetStopPrecedence function
• AFL: ApplyStop() has 2 more parameters: ValidFrom/ValidTo - define starting and ending bar since
entry when stop is active
Detailed Change Log
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AmiBroker 6.00 User's Guide
Introduction
// Applystop( type, mode, amount, exitatstop, volatile, reentrydelay, validfrom, validto )
ValidFrom - defines first bar since entry when stop can generate an exit. 0 means from the very
beginning
ValidTo - defines last bar since entry when stop can generate an exit. -1 means "infinite".
By default stops are valid all the time (0/-1).
So now you can create stops that get actived/deactivated in different times.
This setting is independent for each stop type. It also works in conjunction with
SetOption("HoldMinBars", x ).
HoldMinBars affects BOTH regular exits and stops, preventing ALL kind of exits during defined
period.
ValidFrom/ValidTo works on each stop separately and does not affect regular exits.
For example always have a stopTypeLoss always in affect and only allow a trailing stop to become
active after so many bars:
ApplyStop(stopTypeLoss, stopModePercent, 10, 1);
ApplyStop(stopTypeNBar, stopModeBars, 40, 1);
ApplyStop(stopTypeTrailing, stopModeRisk, 7, True, True, 0, 4 /* valid from 4th bar after entry */ );
This feature is extended implementation of FC item #514
IMPORTANT:
Precedence parameter introduced in 5.95 has been REMOVED.
That functionality has been replaced by new SetStopPrecedence function.
• AFL: new function: _TRACEF() - printf-formatted trace
_TRACEF( "Close %g, Open %g", Open, Close );
• AFL: Param() offers increased stepping precision for small fractional increments
• Analysis: some newly introduced settings (MC mainly) were not saved in Analysis project. Now they
are saved.
• In 5.95.0 formulas 0, 1, -1, Null constants for Buy/Sell/Short/Cover assignments and using Equity()
could crash. Fixed.
• In 5.95.0 when ExitAtStop==1 for NBarStop was used it deactivated other stops in backtestRegular
mode. Fixed.
• In backtestRegular mode (old code path) when HoldMinBars was >=2 and exit was triggered on very
first bar opening after hold period price was not adjusted to open as in other (new) backtest modes.
Fixed.
• Monte Carlo: MC can be now enabled in Optimization and Individual Backtest
To enable Monte Carlo simulation in each backtest of optimization process and each individual
backtest you can use
SetOption( "MCEnable", 2 ); // value == 2 forces MC to be enabled everywhere (in every mode
including optimization).
the old option:
SetOption("MCEnable", 1 ); // value == 1 enables MC only in portfolio backtests (default)
Note that enabling MC in optimization is highly discouraged unless you actually use MC metrics as
optimization target via custom backtester
or otherwise use MC distributions in the optimization process.
Detailed Change Log
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AmiBroker 6.00 User's Guide
Introduction
Monte Carlo process is computationally costly and while few hundred milliseconds added to one
backtest don't matter much,
in case of optimizations when these are multipled by number of steps you can easily increase
optimization time by orders of magnitude.
So unless you REALLY need MC distribution as custom metric and optimization target, do NOT
enable MC in optimization.
• UI: added special "meaningful" message on attempt to open the .APX file that has invalid format
• UI: Analysis settings are now made newbie-friendly - a new "SCENARIO" combo has been added that
allows to choose from 4 preset scenarios
If user chooses preset scenario, the application sets properly the following fields
- trade prices & delays
- exitAtStop modes
- N-bar stop priority
- ActivateStopImmediately
and disables those preset controls from accidential change.
Using presets prevents beginners from using wrong settings.
It is still possible to override any setting from the formula level (so be careful what you write in your
formula).
A default "CUSTOM" scenario works as in old versions -i.e. all fields are enabled for change but it is
user responsibility
to set those fields properly. Flexibility comes at a cost - some combinations of settings that are not
covered by preset scenarios
may make no sense and sometimes lead to wrong results. The user should consult the manual and/or
ask support when in doubt.
• UI: Analysis Settings: "Activate stops immediately" check box has been moved from "General" to
"Stops" tab where it really belongs functionally
• UI: new About dialog/startup splash screen (asynchronously showing app loading info)
• UI: Parameter window: when parameter names are very long, value area is shrinked down to give
more space for name, but not less than 160px/96DPI
CHANGES FOR VERSION 5.95.0 (as compared to 5.94.0)
• AFL Editor: Pretiffy formatting fixes and improvements. Also editor attempts to keep unchanged scroll
position after prettify.
• AFL Editor: Prettify selection now removes extra padding around parenthesis and leaves only one
space pad inside
• AFL Editor: Word wrap implemented (View->Word Wrap menu)
• AFL Engine: upsizing certain common scalar values (-1, 0, 1, Null) to array is much quicker thanks to
caching
• AFL: #pragma maxthreads N - where N is a natural number 1...<number of cores>. Allows to lower
the number of parallel threads using in Analysis. For example to run in just one thread use #pragma
maxthreads 1
Attention: lowering number of threads degrades performance
Detailed Change Log
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AmiBroker 6.00 User's Guide
Introduction
• AFL: ApplyStop has new, 7th parameter: precedence that defines the order in which stops are
triggered if they appear on the very same bar
Accepted values are 0, 1, 2, 3.
Stops are executed in increasing precedence order, so 0 is executed first, 1 - second, 2 - third, 3 - as
the last.
Values outside 0..3 range are ignored.
Specifying -1 means "no change" - use default order.
Keep in mind that if you are changing ApplyStop order/precedence you
1. MUST DEFINE ALL APPLYSTOP even if you don't use all stop types. It you don't use given stop
type use stopModeDisable in mode parameter
2. There must be NO DUPLICATE in precedence numbers. Otherwise unpredictable behavior may
occur.
3. The order of events inside bar is unknown so specifying given order of execution of stops
is based on assumptions that may or may not be correct for given trading scenario. It is advised to
keep max. loss stop as first one.
Whenever N-bar stop is executed first or not depends on your trading setup. If you trade on open,
then Nbar stop may be executed first (even before max loss).
Trailing stop can be excuted before or after profit target depending on your setup. Contrary to "gut
feeling" executing trailing stop before profit target is not necesarily more pessimistic, because
in several cases leads to increasing CAR instead of decreasing it. Now you can test both. Choose
whatever fits your trading style. Choo
Example:
// Applystops will be excuted in the following order: loss, trailing, profit, n-bar:
ApplyStop( stopTypeLoss, stopModePercent, 5, True, False, 0, 0 /*precedence*/ );
ApplyStop( stopTypeTrailing, stopModePercent, 5, True, False, 0, 1 /*precedence*/ );
ApplyStop( stopTypeProfit, stopModePercent, 5, True, False, 0, 2 /*precedence*/ );
ApplyStop( stopTypeNBar, stopModeBars, 40, False, False, 0, 3 /*precedence*/ );
Note:
for backward compatibility:
With stopTypeNBar, when Precedence parameter is provided then ExitAtStop setting is ignored.
When Precedence parameter is not provided for stopTypeNBar
there are two possible sequences applied by default
if NBarHasPriority setting is true or you call ApplyStop with ExitAtStop set to true then sequence is
N-bar, loss, profit, trailing
otherwise default sequence is loss, profit, trailing, N-bar
These defaults will be re-applied whenever you call ApplyStop( stopTypeNBar ... ) without providing
precedence parameter.
Note 2:
Fixed ruin stop (99.6% loss) is always executed as last one.
• AFL: Custom Backtest: Monte Carlo simulation results are now available in custom bactester (after
backtest or PostProcess()).
per = Optimize( "period", 20, 2, 100, 1 );
Buy = Cross( C, MA( C, per ) );
Sell = Cross( MA( C, per ) , C );
Detailed Change Log
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AmiBroker 6.00 User's Guide
Introduction
SetOption("MCEnable", True );
SetOption("MCRuns", 1000 );
SetPositionSize( 1, spsShares );
SetCustomBacktestProc("");
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest(); // run default backtest procedure
// get access to Monte Carlo results
// note 1: it may be NULL if MC is NOT enabled
// note 2: MC results are available after Backtest() or PostProcess as MC simulation is done in final
phase of post processing
mc = bo.GetMonteCarloSim();
if( mc )
{
// get 25-th percentile of final equity distribution
bo.AddCustomMetric("FinalEq25", mc.GetValue( "FinalEquity", 25 ) );
}
}
• GetMonteCarloSim() to retrieve MC object to access distributions
MonteCarloSim object:
Methods:
GetValue("field", percentile)
• AFL: MonteCarloSim GetValue( "field", percentile )
Available "field" values:
" FinalEquity"
" CAR"
" LowestEquity"
" MaxDrawdown"
" MaxPercDrawdown"
• AFL: new function: IIR - general-purpose Infinite Impulse Response filter of order 1-4
IIR( input, b0 = 1, a1 = 0, b1 = 0, a2 = 0, b2 = 0, a3 = 0, b3 = 0, a4 = 0, b4 = 0 )
It implements fast 4th-order infinite impulse response filter.
Analytically it is:
y[ n ] = b0 * x[ n ] + b1 * x[ n - 1 ] + b2 * x[ n - 2 ] + b3 * x[ n - 3 ] + b4 * x[ n - 4 ]
+ a1 * y[ n - 1 ] + a2 * y[ n - 2 ] + a3 * y[ n - 4 ] + a4 * y[ n -4 ];
AFL equivalent:
y = x; // init so no glitches at the beginning appear
for( n = 4; n < BarCount; n++ )
{
y[ n ] = b0 * x[ n ] + b1 * x[ n - 1 ] + b2 * x[ n - 2 ] + b3 * x[ n - 3 ] + b4 * x[ n - 4 ]
+ a1 * y[ n - 1 ] + a2 * y[ n - 2 ] + a3 * y[ n - 4 ] + a4 * y[ n - 4 ];
Detailed Change Log
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AmiBroker 6.00 User's Guide
Introduction
}
Filters of orders 3 and 2 can be implemented by leaving unneeded arguments at default value of zero.
Coefficients b0, b1, b2, b3, b4 multiply the input signal x[n] and are referred to as the feedforward
coefficients. Coefficients a1, a2, a3, a4 multiply the output signal y[n] and are referred to as the
feedback coefficients. Pay careful attention to the sign of the feedback coefficients. Some design tools
flip the sign of the feedback coefficients. In this case the feedback coefficients must be negated.
This convention is used so feedback coefficients work the same as in AMA2 in case of first order filter,
so
IIR( array, factor, 1-factor )
is the same as
AMA2( array, factor, 1-factor )
(with very minor difference is that IIR uses internally double precision arithmetic while AMA2 uses
single precision)
simple ema:
factor = 2/(period+1);
IIR( input, factor, 1- factor );
wilders:
factor = 1/period
IIR( input, factor, 1-factor );
Ehlers Supersmoother
Periods = 10;
c1
c2
a1
a2
b0
b1
=
=
=
=
=
=
1.41421 * 3.14159 / Periods;
2.71828^-c1;
2 * c2 * cos( c1 );
-c2^2;
(1 - a1 - a2)/2;
b0;
x = IIR( Close, b0, a1, b1, a2 );
Plot( x, "Super Smoother", colorRed );
• AFL: SetOption/GetOption new fields for MC Equity/Straw broom chart, "MCChartEquityCurves"
(true/false), "MCStrawBroomLines" (0..100), MCPosSizePctEquity (0..100)
• AFL: Status("ThreadID") - gets the current thread ID under which formula is executed
• Analysis: MCS: new position sizing method: Percent of Equity
• Backtest: fixed ruin stop (99.6% drawdown) in backtestModeRegular is executed last as in other
modes now.
• Memory usage was larger in 5.94 when lots of chart panes were open. Now it is back to previous
levels.
• MonteCarlo: Min/Max/Avg Equity + Straw broom chart implemented + Settings
Detailed Change Log
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AmiBroker 6.00 User's Guide
Introduction
• UI: Enhanced Assignment Organizer: Faster operation, display FULL NAME alongside with symbol,
sorting by column, alternate row background, proportional resizing of both left/right lists
CHANGES FOR VERSION 5.94.0 (as compared to 5.93.0)
• Analysis: implemented Monte Carlo simulation (preliminary) produces CDF charts of MC Final Equity,
MC CAR, MC Max Drawdown $ and %, Lowest Equity
This feature is preliminary and subject to change.
AmiBroker's built-in Monte Carlo simulator is high speed (30+ million trades per second) simulator
that runs series of random trade sequences based on backtest output.
It uses high-quality Mersene Twister random number generator.
It is run automatically after backtest and produces a series of CDF charts (see extra tabs in the New
Analysis window). These charts are probably going to be moved
to the report at later stage.
Monte Carlo simulator is by default available only during portfolio backtest runs. It is NOT
available/running during optimization or individual optimization.
(I may enable it in the future).
You can control process of Monte Carlo simulation using new Settings page:
"Enable Monte Carlo Simulation" - turns on/off MC simulator
"Number of runs" - defines how many MC simulation runs is done (default 1000)
"Position sizing" - defines position sizing used by Monte Carlo simulator.
Position sizing algorithm used by MC process is independent from that used by backtest. To do so
MC may apply special processing to trade list obtained from backtester depending on this option
setting.
- "Don't change" - uses trades as they are coming from the backtester without changing position size
and profit as it is reported from the backtester
- "Fixed size: N shares/contracts" - trade fixed number of shares/contracts. It takes per-share profit as
reported by backtester and muliplies it by N contracts as entered in the settings. Per-share profit is
calculated by dividing profit reported by the backtester by number of shares/contracts reported by the
backtester
- "Constant value: X" - trades fixed amount per trade. Takes percent profit reported by backtester and
multiplies it by constant value entered to get the profit.
• AFL: SetOption/GetOption support new fields that control Monte Carlo simulation: "MCEnable"
(true/false), "MCRuns" - default 1000, "MCPosSizeMethod" - 0 - don't change, 1 - fixed size, 2 constant amount, "MCPosSizeShares" (number), "MCPosSizeValue" (number)
• AFL: 32-bit round() is 7X faster and now works in "round half to even" (default IEEE mode) instead of
half towards infinity. Hand written in assembly due to slowness of CRT
• AFL: int() and frac() functions are 2X faster now
• AFL: integer division operator \ (experimental)
• AFL: StrMatch() - string pattern/wildcard matching
StrMatch( "sting", "searchsting");
returns TRUE or FALSE whenever string matches searchstring or not.
Detailed Change Log
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AmiBroker 6.00 User's Guide
Introduction
Searchstring is can contain wild-card characters such as:
* - matches any string, including empty strings
? - matches any single character
This function is case sensitive (of course except wildcard characters).
If you want case insensitive matching - convert both string and searchstring to lowercase or
uppercase
prior to matching (StrLower/StrUpper)
Example:
x = StrMatch("Every breath you take", "Every * you *"); // x will be TRUE
x = StrMatch("Every step you make", "Every * you *"); // x will be TRUE
• AFL: support for UCN (universal character numbers) \uXXXX where XXXX is hexadecimal character
code. UCN output works in PlotText/PlotTextSetFont, GfxDrawText, GfxTextOut, Chart titles,
Interpretation and Commentary windows. Requires Windows 2000 or higher
For example
heart "\u2764"
sun "\u2600"
star "\u2605"
EURO currency: "\u20ac"
Sigma (greek): "\u03a3"
alpha (greek): "\u03b1"
beta (greek): "\u03b2"
umbrella: "\u2602"
telephone: "\u260e"
hand pointing up "\u261D"
Tables of all UCN/Unicode characters
http://www.unicode.org
http://unicode-table.com/
http://www.unicodemap.org
http://en.wikipedia.org/wiki/List_of_Unicode_characters
Various arrows:
http://www.unicode.org/charts/PDF/U2190.pdf
Enclosed alphanumerics:
http://www.unicode.org/charts/PDF/U2460.pdf
(note: NOT all glyphs (graphical representations of characters) are actually present in current font.
This depends on your operating system. For example Segoe UI in Windows 7 has lots of characters,
but Windows 8 has more,
if a glyph is missing usually an empty rectangle is drawn). DejaVu free font has lots of glyphs,
Symbola free font has lots of weird shapes.
Plot( C, "", colorDefault );
PlotTextSetFont( "\u2665\u2126\u2191\u21d1\u24ee\u261D", "Segoe UI", 30, 20,
HighestVisibleValue( C )/2 + LowestVisibleValue( C )/2 , colorRed );
Title = "A demo of UCN:
"+EncodeColor(colorRed)+"\u2665\u2126\u2191\u20ac\u03a3\u03b2\u2602\u260E";
• UI: Charts: when creating a new chart window Interval Lock was often marked automatically. Now it is
fixed (it is always OFF for new charts).
• UI: XY-charts could enter infinite loop (hang) if ALL Y-coordintates were the same. Fixed.
Detailed Change Log
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AmiBroker 6.00 User's Guide
Introduction
• UI: XYCharts tooltip display shows X/Y point data under the cursor as in old version but when it does
not find any, it shows data point from relevant X position
CHANGES FOR VERSION 5.93.0 (as compared to 5.92.0)
• AFL Editor provides precise positioning of cursor for errors that occur within argument list of function
calls
• AFL: Error 5 (incorrect type of argument in function call) is now much more precise: it tells what
function expects and what type is actually found
• AFL: Low Level Gfx: GfxSelectStockObject() added - allows to select so called "stock" GDI objects
such as Hollow brush (that allow to draw empty circles, polygons and so on)
Available stock objects:
WHITE_BRUSH 0
LTGRAY_BRUSH 1
GRAY_BRUSH 2
DKGRAY_BRUSH 3
BLACK_BRUSH 4
NULL_BRUSH 5 (the same as hollow brush)
HOLLOW_BRUSH 5
WHITE_PEN 6
BLACK_PEN 7
NULL_PEN 8
OEM_FIXED_FONT 10
ANSI_FIXED_FONT 11
ANSI_VAR_FONT 12
SYSTEM_FONT 13
DEVICE_DEFAULT_FONT 14
SYSTEM_FIXED_FONT 16
DEFAULT_GUI_FONT 17
Example circle with hollow interior:
GfxSelectPen( colorOrange, 4 );
GfxSelectStockObject( 5 ); // hollow brush
GfxCircle(100, 100, 20 );
• AFL: Low-Level Gfx: GfxSelectHatchBrush( color, style )
Supported hatch styles:
HS_HORIZONTAL 0 /* ----- */
HS_VERTICAL 1 /* ||||| */
HS_FDIAGONAL 2 /* \\\\\ */
HS_BDIAGONAL 3 /* ///// */
HS_CROSS 4 /* +++++ */
HS_DIAGCROSS 5 /* xxxxx */
Hatch color is specified by color parameter, hatch background is specified by current background
color
see: GfxSetBkColor()
GfxSelectPen( colorOrange, 4 );
GfxSetBkColor( colorLightGrey );
Detailed Change Log
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AmiBroker 6.00 User's Guide
Introduction
GfxSelectHatchBrush( colorBlue, Param("Hatch pattern", 5, 0, 5 ) );
GfxCircle(100, 100, 20 );
• AFL: Low-level Gfx: GfxSetZOrder now supports using z-order outside -5...+5 range, but displays a
warning 903 in the editor about possible decrease in performance
• AFL: Percentile() function now supports variable period and has default value for rank = 50 (such
param gives median with average of upper/lower median for even periods)
Note that Percentile is very computation intensive function (it involves re-sorting arrays every bar)
and variable-period version (if you call it with period being ARRAY) runs slower than scalar version
bi = BarIndex();
x = Percentile( Close, bi, 50 );
Plot( x, "Cumulative 50% Percentile", colorRed );
Plot( Close, "Price", colorDefault, styleCandle );
• AFL: XYAddChartPoint has new parameter (linecolor)
• AFL: XYChartSetAxis now supports the following styles: styleLine, styleDots, styleHistogram,
styleThick and combinations of those styles. Multiple lines are possible - to start a new line call add a
NULL point - XYAddChartPoint( chartname, "", Null, Null );
chartname="example";
XYChartSetAxis(chartname, "[x]", "[sinx/x]", styleLine | styleDots ); // bar style
for( x = -10; x < 10; x += 0.2 )
{
y = sin(x ) / x;
XYChartAddPoint( chartname, "", x, y, colorGreen, colorRed );
}
XYChartAddPoint( chartname, "", Null, Null ); // add a NULL point to begin new line
for( x = -10; x < 10; x += 0.2 )
{
y = sin( 2 * x ) / x;
XYChartAddPoint( chartname, "", x, y, colorOrange, colorBlue );
}
• Backtest: Buy-And-Hold simulation is performed and its statistics are calculated and included in the
Backtest Report.
This feature in worst case (single symbol test) may add upto 30% to backtest time. In portfolio case
the impact is negligible.
The Buy-and-Hold calculations are turned OFF when detailed reports are not generated, for example
during optimizations, so there is no slow down,
unless you turn on report generation during optimization SetOption("GenerateReport", 1 )
You can turn it off from Settings, Reporting
Buy-and-hold simulation uses current symbol when doing single-symbol backtests/optimization.
When doing portfolio backtest for more than one symbol, it uses "Portfolio B&H symbol" as a
benchmark for buy and hold.
• Backtest: Report : numerical values don't get wrapped when report window is made small
Detailed Change Log
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AmiBroker 6.00 User's Guide
Introduction
• Backtester: implemented user-definable interest on account margin loans, charged when net cash
balance drops below zero. Margin rate (0..100%) is definable in Analysis Settings.
Margin Rate is added ON TOP of interest rate defined in the settings.
So if interest rate is set to 0.1% and Margin rate is 1%, then effective margin loan rate is 1.1%.
It also works with dynamic Interest rate, so if you define dynamic Interest Rate symbol
then Margin Rate is added ON TOP current value taken from dynamic Interest Rate
Current rates used are listed in the Detailed Log
• Backtester: implemented variable interest rate earnings
To use variable interest rate:
1. Add a symbol that will hold interest rates. It does not need to have quotes every day,
you can have only quotes on days when interest rate changes.
Interest rates should be expressed in PERCENTS. So if interest is 5% you should enter 5 in "close"
price field for particular date
2. Enter the rate symbol into "Dynamic interest symbol" in the Settings.
3. Enter "Fixed interest rate" in the Settings. It will be used for days PRIOR to very first date available
in intrest rate symbol.
• Backtester: interest earnings on positve cash balance and deductions on margin loans are now
reported in detail in "Detailed log" mode every day
• Filter window enhanced. Now you can select multiple categories of the same type (for example even
7 different watch lists) and combine them using "OR" (match ANY), or "AND" (match ALL)
• UI: Commentary: added marquee progress bar to give visual clue to the user when formula is being
executed
• UI: Deletion of symbols is now confirmed with better looking task dialog that has explicit button "Yes,
delete permanently" to avoid user mistakes
CHANGES FOR VERSION 5.92.0 (as compared to 5.91.1)
• Analysis: Exploration's XYChart now allows bar style in addition to point style.
• AFL: New argument for XYChartSetAxis("chartname", "xaxis", "yaxis", chartStyle = 0 )
Note that XY chart styles are different than regular chart styles and only two are supported at the
moment: 0 (default) - point style, 1 - bar style (new)
Example of bar style usage (this is EXPLORATION code):
chartname = "example";
XYChartSetAxis( chartname, "[x]", "[sinx/x]", 1 ); // bar style
for ( x = -10; x < 10; x += 0.2 )
{
y = sin( x ) / x;
XYChartAddPoint( chartname, "", x, y, colorGreen );
}
Second example:
chartname = "gaussian";
XYChartSetAxis( chartname, "[x]", "[gaussian]", 1 );
for ( x = -3; x < 3; x += 0.125 )
{
Detailed Change Log
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AmiBroker 6.00 User's Guide
Introduction
y = exp( - x ^ 2 );
XYChartAddPoint( chartname, "", x, y, IIf( abs( x ) <= 1, colorGreen,
colorRed ) );
}
Bar style is useful for displaying probability distribution charts
• AFL: SetChartBkColor did not change the background behind X-axis text. Fixed.
• AFL: WriteVal/NumToStr has now new roundAndPad parameter that controls whenever function
rounds output beyond 7th significant digit (and pads the rest with zeros), By default rounding is OFF
now because it was off in 5.90 and earlier and rounding introduced in 5.91 could confuse old time
users
• AFL: WriteVal/NumToStr will display Warning 506 if specified format exceeds maximum IEEE
precision (7 significant digits) and roundAndPad option is turned off
• Analysis: 3D optimization chart was not available after Individual (MT) Optimization. Fixed.
• Analysis: a faster Export to CSV routine in 5.91.0 caused memory leak. Fixed.
• Analysis: Export to CSV could run out of memory when exporting more than 2GB. Fixed.
• Log window shows correct path when using "Check AFL syntax" in the editor, especially helpful if
error is inside #included file
• Log window: double clicking on error line brings up AFL editor and scrolls to error line / column
automatically
• PersistentVars.bin loading moved to AFTER CWD fix (prevents problem with deleting persistent
variables when program is started with incorrect working directory)
CHANGES FOR VERSION 5.91.0 (as compared to 5.90.1)
• AFL/Charts: GfxSetCoordsMode( 1 ) now works with logarithmic scale too.
• AFL: added "Warning 505. Division by zero" (level 2 warning). It detects divison by zero in arrays too
and prints which array element was zero
• AFL: failed COM type conversion is reported as a regular error within editor/log window instead of
displaying message box
• AFL: new field in SetOption("WarningLevel", x ); -- allows to change warning level. Level 1 is default
for all AFL executions with exception of AFL editor and commentary where warning level is set to 4
Warning Level
1 - report only level 1 warnings (502- too much plots)
2 - report level 1 and 2 warnings (above plus assignment within conditional, division by zero,
threadsleep period too long)
3 - report level 1, 2 and 3 warnings (above plus createobject/createstaticobject )
4- report all warnings (default for the AFL editor)
• AFL: new function AddRow("text") to add a raw text row to the exploration (allows outputing things
without respecting Filter and without being limited to number of bars). This function is preliminary and
its parameters are subject to change.
SetOption("NoDefaultColumns", True );
Filter = 1;
AddColumn( Close, "Column1" );
AddColumn( Null, "Column2" );
for( i = 0; i < 10; i++ )
{
Detailed Change Log
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AmiBroker 6.00 User's Guide
Introduction
AddRow( StrFormat( "row %g\tsecond column", i ) );
}
• AFL: new functions SparseCompress( query_points, data ) /SparseExpand( query_points, data )
only_when = ( Month() % 2 ) == 0; // even months only
x = SparseCompress( only_when, Close ); // compact sparse data
y = MA( x, 10 ); // regular calculation
y = SparseExpand( only_when, y ); // expand sparse data
Plot( C, "Price", colorDefault, styleBar );
Plot( y, "Sparse MA from even months", colorRed );
function SparseCompressEquiv( sparse_array, data_array )
{
result = Null;
j = BarCount - 1;
for( i = BarCount - 1; i >= 0; i-- )
{
if( sparse_array[ i ] ) result[ j-- ] = data_array[ i ];
}
return result;
}
function SparseExpandEquiv( sparse_array, data_array )
{
result = Null;
j = BarCount - 1;
for( i = BarCount - 1; i >= 0; i-- )
{
if( sparse_array[ i ] ) result[ i ] = data_array[ j-- ];
}
return result;
}
• AFL: NumToStr protected against user error of specifying precision higher than provided by IEEE
standard (display never exceeds 7 significant digits, rest is padded with zeros)
• AFL: the engine displays more verbose error in case when GetArraySymbolCopy fails
• Analysis: CSV Export speeded up 100+ times. Now exporting large files takes seconds instead of
hours. Export speeds on ordinary hard disks > 80MB/sec
• Charts: Interval Lock added (so now you can lock symbol or interval or both)
• Commentary window - warning level raised to 4 (report all warnings in commentary window)
• Sort() could crash with IndexMode = True and start parameter was greater than zero. Fixed.
• When chart pane is being resized/dragged, real-time chart refreshes are temporarily held to prevent
disappearing of tracking rectangle
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CHANGES FOR EARLIER VERSIONS ARE DOCUMENTED IN RELEASE NOTES DOCUMENT THAT
YOU CAN FIND IN AMIBROKER INSTALLATION FOLDER.
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39
Tutorial
This chapter will guide you through the most important parts of AmiBroker.
Basic tasks:
• Basic operations
User interface topics:
• Beginners' charting guide
• How to use drag-and-drop charting interface
• Chart themes
• User interface customization
• Working with chart sheets and window layouts
• Working with layers
• Using Web Research
• Using Account Manager
• Using Fundamental data
• Using New Analysis window
Updating quotes:
• How to get quotes from various exchanges
• Setting up eSignal RT feed (RT version only)
• Setting up myTrack RT feed (RT version only)
• Setting up Quote Tracker as a RT data source
• Setting up IQFeed RT feed (RT version only)
• How to use AmiBroker in Real Time mode (RT version only)
• Using AmiBroker with other external data source (Quotes Plus, TC2000 / TCNet, Metastock,
FastTrack)
• Automatic update of EOD quotes for US & Canada markets from Yahoo
• Using manual mode of AmiQuote downloader (Yahoo, MSN Money Central, Quote.com Livecharts)
• Using Metastock importer
Database management:
• Understanding database concepts
• Understanding categories
• Working with watch lists
AmiBroker Formula Language topics:
• Understanding how AFL language works
• Creating your own indicators
• Using graph styles and colors in the indicators
• How to create your own exploration
• How to write your own chart commentary
• Using studies in your AFL formulas
• Backtesting your trading ideas
• Portfolio backtesting
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• Reading backtest report
• How to optimize a trading system (advanced)
• Walk-Forward testing (advanced)
• Backtesting futures (advanced)
• Pyramiding/scaling and multiple currencies in the portfolio backtester (advanced)
• Monte Carlo simulation of trading systems (advanced)
• Using formula-based alerts (advanced)
• Using interpretation window (advanced)
• Multiple time frame support (advanced)
• Efficient use of multithreading (advanced)
• Ranking functionality (advanced)
• How to use code snippets
More information:
• Video Tutorials On-Line
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Basic operations
Adding a new symbol
In order to add a new symbol into database you can use Symbol->New menu item or Add symbol toolbar
button.
After selecting this function you will be prompted for new ticker symbol. The maximum ticker symbol length is
48 characters. For proper import functioning you should enter the symbol with CAPITALS.
Removing a symbol
In order to remove existing symbol from the database you can use Symbol->Remove menu item or Remove
symbol toolbar button. After choosing this function you will be asked for confirmation of symbol removing.
Note well that this operation can not be undone !!!
Removing multiple symbols at once is possible using Assignment organizer.
Splitting a stock
To perform stock split use Symbol->Split menu item or Split toolbar button.
AmiBroker provides easy way of handling stock splits. Program will try to guess split date and ratio by
analyzing quotations. If there is just a single quotation after split this should work, if not you will be asked for
split date and ratio. Note well that this operation can not be undone!!!
From version 2.0 and up the split function offers more functionality: you can use old-style ratio or you can
specify a split using following expression:
x->y
which means that x shares before split become y after it. For example 2->3 means that 2 shares become 3
after the split. So ordinary split into five pieces will be 1->5.
As you have probably guessed it is possible now to perform reverse-split, for example 2->1, which means that
2 shares are joined together into 1 share.
Deleting quotation
To delete a quotation simply select the quote you want to delete by clicking on the chart (a vertical line will
appear showing selected date and quote). Then choose Edit->Delete quotation menu option.
To delete quotations of all stocks from given day you should use Edit->Delete session.
You can also use Quote Editor to delete quotes.
Adding/removing symbol from favourites
To add the symbol to the favourites you should check favourite box in the Information window. To remove it
from favourites simply uncheck that box. Alternatively you can click on the tree with the right mouse button
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and select "Add to favourites" and "Remove from favourites" options from the context menu.
Merging quotations of two symbols
It happens sometimes that the ticker for the symbol is changed then you may get two tickers in your database
- one holding historical quotes and the second one holding newest quotes (after name change). In order to put
all quotes to the single ticker you should use Symbol->Merge feature. You should just select the new ticker
(after name change) and choose Symbol->Merge. Then from the combo you should choose original ticker
("merge with") and optionally check the following fields:
• overwrite duplicate quotes - checking this option will overwrite the quotes already existing in "new"
ticker with those present in "old" ticker (this should really not be the case, but may happen).
• delete "merge with" afterwards - checking this option will delete the "old" ticker after merging
• assign alias name - checking this option will copy the "old" ticker to the alias field of the "new" ticker
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Beginners' charting guide
Introduction
AmiBroker charting engine allows object-oriented manipulation of all drawings. Now you can simply move,
resize, cut, copy, paste and delete all drawing objects with ease. This chapter will guide you though most
important aspects of using charting tools.
Let's now take a look at the user interface:
As you can see the in the center we have chart area in which price chart with moving average and Bollinger
bands is plotted (you can control the apperance of built-in charts from Tools->Preferences window).
In the bottom of the chart you can see date axis (marked with red color), and below scroll bar and chart sheets
tab control. Scroll bar can be used to display past quotes, while sheet tab allows to view different chart
pages/sheets (click here to learn more about chart sheets).
To the right you can see Y-axis area (marked with blue color) that shows Y-scale and value labels. Value
labels are color fields that display precisely the "last value" of plots. "Last value" is the value of the indicator
(or price) for the last currently displayed (rightmost) bar. Y-axis area is used also to move/size chart vertically.
Next to the right is a drawing objects toolbar that allows you to choose from available drawing types (note that
only most popular tools are shown here, complete set is available from Insert menu). A special tool called
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"Select" (red arrow) is used to select/move/resize already drawn objects and to select quotes from the chart.
In the upper part you can see formatting toolbar that allows you to quickly modify color, style (thick/dotted) and
mode (snap to price) of currently selected drawing object.
In the picture you can also see the trend line drawn with sizing handles marked. These handles are used to
drag/size the object as will be explained below.
Basic operations
Scrolling
To scroll the chart forward/backward just drag scroll bar thumb or use < and > arrows on the left and right
sides of the scroll bar. Note that using < > scroll bar arrows allows you to move chart by one bar. To scroll the
chart you can also use the mouse equipped with a wheel. Just roll the wheel up and down to scroll back and
forward.
Zooming
To zoom the chart (increase or decrease number of data points (bars) displayed) you can use either
View->Zoom menu, zoom toolbar or mouse wheel.
You can also zoom by dragging the left or right edge of scroll bar. There are following options available:
zoom-in - decreases the number of data points displayed, zoom-out - increases the number of data points
displayed, zoom-all - displays all available bars, zoom-normal resets number of bars displayed to the value
defined in Tools->Preferences->Charting. Zoom-in and zoom-out options are accessible directly from the
View toolbar. (see picture below). To zoom using mouse wheel just press and hold down CTRL key and roll
the wheel. You can also zoom to any from-to range selected on the chart (see 'Marking range' later in this
tutorial)
Shrinking, expanding and moving Y-axis scale
To move Y-axis scale hover the mouse to Y-axis area (marked with blue color in the picture above) and you
will see that cursor changes to up/down arrow. Now you click and drag up/down Y axis and release button
when the axis is in the correct position.
To shrink/expand Y-axis scale: press down SHIFT key and click in the Y-axis area, now shrink/expand Y axis
scale by moving your mouse up and down. Release the button to finish.
To reset Y-axis scale and position simply double click in the Y-axis area.
Changing bar interval (periodicity)
You can easily switch between daily/weekly/monthly and intraday intervals by choosing it from View menu
and pressing the toolbar button (see below).
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The toolbar uses following notation for intervals - i -intraday, h - hourly, d - daily, w - weekly,
m - monthly. The i represents "base" intraday interval as defined in File->Database Settings.
Remaining intraday intervals are available from View->Intraday menu.
The interval setting affects active window only, so each window can have different interval.
Please note that intraday intervals are disabled if your database is in end-of-day mode.
Intraday modes are available only for databases that have "Base time interval" in
File->Database Settings set to anything less than end-of-day. If you for example set "Base
time interval" in File->Database Settings to 5-minute, all chart periodicities from 5-minutes up
will be enabled.
The following intervals are built-in:
• daily
• weekly
• monthly
• hourly (intraday)
• 15-minute (intraday)
• 5-minute (intraday)
• 1-minute (intraday)
• 15-second (intraday RT only)
• 5-second (intraday RT only)
• tick (intraday RT only)
In addition to that you can define 5 custom n-minute bar intervals and 5 custom n-tick intervals in
Tools->Preferences->Intraday. Custom intervals are available from View->Intraday menu only.
Selecting a quote
You can very easily see the past quote and values of indicators by using "select" mode. To select past quote
first switch to "Select" mode (red arrow in the toolbar) then click in the chart area (but not on the drawing
object). A vertical line will show up marking the quote under the cursor. The chart title will display this bar
quote. Indicator panes will show indicator value for given bar. Once quote is selected you can move to
previous/next quote using keyboard left and right arrow (cursor) <- and -> keys.
To switch off quote selection either click again on the line or click in the date axis area (marked with red color
in the picture above) or click in the right margin (blank quotes) area. When selection is off chart title displays
the values for last visible bar.
Marking range
To show range marker just double click the chart at the beginning of the range and double click again at the
end of the range. You can also use F12 key in conjunction with "select" mode (described above). Just select
quote and press F12 for begin and SHIFT+F12 for the range end. You can switch off the range marker by
pressing CTRL+F12 key or double clicking in the same place twice.
Range markers can be used to select zoom-in range (View->Zoom->Range) and to perform calculations on
selected values via BeginValue and EndValue AFL functions.
Adding / closing chart panes
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Each window can consist of several panes displaying various charts / indicators. To display a new indicator in a
separate chart pane just find the indicator in the Charts list (use Window -> Charts menu) and double-click on the indicator name.
For more information see Drag&drop charting tutorial.
To close any chart pane: click on the pane, then use either View->Pane->Close from main menu or click on
the pane with right mouse button and choose Close from context menu.
Linking and locking chart
Multiple chart windows (that were open usign File->New->Default Chart or File->New->Blank chart) can be
interval-linked, symbol-linked using appropriate small "S" and "I" buttons that appear on the left side of the
scroll bar. When you click on button the menu showing colors will pop up, select one color from 2 or more
charts and symbols linked using same color will be linked using symbol and/or interval. Linking means that
change of the symbol and/or interval in one of the linked windows automatically changes symbol and/or
interval in all linked windows using same link color.
You can also prevent symbol from being changed for given chart. It can be done by turning on little pad lock
button ("Symbol Lock") on the right side of the scroll bar. When chart is symbol-locked, it will not allow to
change the symbol selected unless the lock is released (by pressing pad lock button again).
Using drawing tools
AmiBroker features extensive set of drawing tools:
The following tools are available:
• trend line
• ray (new in 4.20)
• extended line (new in 4.20)
• vertical line
• horizontal line
• parallel lines (new in 4.20)
• Regression channels: Raff, standard deviation, standard error (all new in 4.20)
• Fibonacci Retracement study (enhanced in 4.20)
• Fibonacci Time zones study
• Fibonacci Fan
• Fibonacci arc
• Gann Square (new in 4.20)
• Gann Fan (new in 4.20)
• Ellipse tool
• Arc tool
• Rectangle
• text box tool
They are available from Insert menu and Draw toolbar. Each drawing object can be moved,
resized, copied, deleted and modified after it is drawn.
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To draw an object on the chart switch on appropriate tool button (see picture below) and start drawing on the
chart by pointing the mouse and pressing left mouse button where you want to start the drawing. Then move
the mouse. Study tracking line will appear. Release left mouse button when you want to finish drawing. You
can also cancel study drawing by pressing ESC (escape) key.
If you hover your mouse over the object you will see that cursor shape changes in the proximity of the object.
This means that
If cursor is near either end of the object it will change its shape to sizing pointer:
If the cursor is near remaining parts of the object it will change its shape to moving pointer:
Once object is drawn it can be selected, moved, resized, deleted, copied.
To select the object simply move the mouse over the object
so "moving pointer" appears and click once - the object will
be marked so the sizing handles (see first picture) will
appear.
To de-select click in the blank chart space.
To size the object click on the sizing handle and drag to the
desired location as shown in the picture.
To move the object click on any other part of the object and
move to the desired location.
To delete object - select it first and press DEL (DELETE) key on the keyboard or use Edit->Delete menu or
use Delete toolbar button.
To copy the object to the clipboard - select it first and press Ctrl+C or use Edit->Copy menu or use Copy
toolbar button.
To cut the object - select it first and press Ctrl+X or use Edit->Cut menu or use Cut toolbar button.
To paste the object from the clipboard press Ctrl+V or use Edit->Paste or use Paste toolbar button. Pasted
object will drawn in the exactly same location as copied one and will be selected automatically so you can
move it to a new location.
To apply color or style to the object select it and use Format menu or Format tool bar buttons to change
color, thick, dotted and snap to price styles. Note that you can also select color and style of the object before
drawing new object: simply deselect previous object (if any), change color / style selections and draw new
object.
To modify properties of the object - either double click it or use Edit->Properties menu or Alt+ENTER key
To delete all objects use Edit->Delete All menu
Further information
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To learn more about drawing tools please read Drawing tools reference chapter.
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How to use drag-and-drop charting interface
Introduction
AmiBroker allows you to easily create and modify your indicators with few moves of a mouse. From now on you can build
sophisticated indicators without any programming knowledge at all. The available (ready-to-use) indicators are listed in Charts tab
of the Workspace window.
There is a video tutorial at: http://www.amibroker.net/video/dragdrop1.html that shows basic usage of new
drag and drop functionality.
How to insert a new indicator.
To display a new indicator in a separate chart pane just find the indicator in the Charts list (use Window -> Charts menu) and
double-click on the indicator name.
Alternatively you can choose Insert from the context menu. As a result new indicator pane will be created and Parameters dialog
will be displayed. Here you can change the properties of the indicator (like color or periods). To accept the settings press OK button.
(you will find the detailed description of parameters window below).
Example:
To insert RSI pane - find RSI indicator in the list, double-click on the name, select the number of periods and color, then press OK.
How to overlay one indicator on another indicator.
To overlay one indicator on another one, press LEFT mouse button on the indicator name, drag (with mouse button held) the
chosen indicator into the destination pane and release the button.
Example:
To insert another RSI (based different periods number) into the same pane - drag RSI into the previously created RSI pane, change
the number of periods in the Parameters window and press OK
Alternatively you can choose Overlay option from context menu.
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How to delete the indicator.
To remove the indicator, press Close button from the menu on the top right-hand side of the indicator pane (the menu will be
displayed if you place the mouse cursor in the nearby). This menu allows you also to move the indicator pane up/down or maximize
the pane.
You can also use Close command from context menu that shows up when you click on the chart pane with
right mouse button.
How to remove the indicator plot from the pane.
To remove one of the indicators displayed in the indicator pane - click with RIGHT mouse button on the chart title (near the top of
chart pane) and select the indicator that you want to remove.
You can also remove the indicator plot using Delete Indicator option from chart context menu.
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How to change parameters/colors/styles of indicators.
The Parameters window allows you to change parameters, colors and styles of your indicators. Parameters window is displayed
when you insert a new indicator. You can also click RIGHT mouse on the chart pane and choose Parameters from the context
menu. Parameters window displays all the parameters defined in AFL code of certain indicators (also user-defined parameters) so
it's contents depends on the indicator chosen. However - for most of the indicators you will see:
• Price Field - the data used to calculate the indicator. If the 'Price Field' contains 'Close', it means that indicator is
calculated out of Close prices. Price Field is not available for all indicators, because not all indicators allow you to choose
the input (e.g. ADLine).
• Periods - defines the number of periods used to calculate the indicator
• Color - allows you to change the color of the indicator
• Style - allows you to determine the style of the plot (the styles are described in more detail in Using graph styles and
colors tutorial section.
How to overlay indicators with different scales.
To have in one pane two (or more) indicators that use different scaling, drag the second indicator onto the first one, in Parameters
window click on Style field and check StyleOwnScale setting.
Example:
Drag OBV (On Balance Volume) into RSI pane. Then define style as styleOwnScale. As a result - both indicators are visible and
properly displayed.
How to create an indicator based on another indicator.
AmiBroker allows you also to easily create indicators based on values of another indicator. All you need to do is to press LEFT
mouse button on the indicator name, drag (with mouse button held) the chosen indicator into the destination pane and release the
button. As a result - the indicator will be placed in the existing chart pane. In the parameters dialog Price field parameters indicates
what base values are used to calculate the indicator.
Example:
To calculate Simple Moving Average of previously created RSI indicator, drag the MA indicator into RSI pane. The contents of
"Price Field" parameter indicates, that Moving Average is calculated out of RSI(15) values. (See the below picture).
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NOTE: The part below contains technical information for advanced users only. Beginners may skip this part.
Using Param(), ParamColor(), ParamToggle(), ParamStyle() functions
These functions, when used in formula, allow you to change indicators' settings directly from Parameters window.
Param( (''name'', defvalue, min = 0, max = 100, step = 1, sincr = 0 )
Adds a new user-definable parameter, which will be accessible via Parameters dialog.
• "name" - defines parameter name that will be displayed in the parameters dialog
• defvalue - defines default value of the parameter
• min, max - define minimum and maximum values of the parameter
• step - defines minimum increase of the parameter via slider in the Parameters dialog
• sincr - defines the increase of default value when more than one section of the same kind is inserted (dropped) onto the
chart. For example if you insert the default Moving Average indicator into the same pane twice, the first moving average
will be based on 15 periods, the other one on 25 (defvalue=15 + sincr=10)
ParamColor( ''name'', defaultcolor )
Adds a new user-definable color parameter, accessible via Parameters dialog.
• ''name'' - defines parameter name that will be displayed in the parameters dialog
• defaultcolor - defines default color value of the parameter
ParamColor function allows you to use colorCycle as a default value. When you use colorCycle parameter, default color cycles
through red, blue, green, turquoise, gold, violet, bright green, dark yellow, when you insert your indicators into the same pane.
ParamStyle(''name'', defaultval = styleLine, mask = maskDefault ) - allows to select the styles applied to the plot from the
Parameters window. Apart from styles available in previous versions of AmiBroker, there are two new style constants:
• styleHidden - a combination of styleNoDraw | styleNoRescale
• styleDashed - dashed line
The list of available styles displayed in the Parameters window depends on the mask parameter.
• maskDefault - show thick, dashed, hidden, own scale styles (this is default mask for ParamStyle)
• maskAll - show all style flags
• maskPrice - show thick, hidden, own scale, candle, bar
• maskHistogram - show histogram, thick, hidden, own scale, area
ParamField(''name'', field = 3 ) - allows to pick the Price field for the indicator (field which is used to calculate values of the
indicator). Function returns the array defined by field parameter. Default value = 3 returns Close array. The possible values of field
parameter are:
• -1 - ParamField returns the values of the indicator that was inserted as a first one into the pane, or Close if no indicator
was present
• 0 - returns Open array
• 1 - returns High array
• 2 - returns Low array
• 3 - returns Close array (default)
• 4 - returns Average array = (H+L+C)/3
• 5 - returns Volume array
• 6 - returns Open Interest array
• 7,8,9,.... - return values of indicators inserted into the pane.
ParamToggle(''name'',''values'',defaultval=0 ) - function that allows to use boolean (Yes/No) parameters.
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• ''name'' - the name of the parameter
• ''values'' - parameter values (separated with | character, e.g. "No|Yes" - first string represents false value and second
string represents true value)
• defaultval - default value of the parameter
_
Example:
The below indicator allows you to check how the parameters work in the custom code. You can change settings from Parameters
dialog.
Buy = Cross(MACD(), Signal() );
Sell = Cross(Signal(), MACD() );
pricefield = ParamField("Price Field", 2);
Color = ParamColor("color",colorRed);
style = ParamStyle("style",styleLine,maskAll);
arrows = ParamToggle("Display arrows", "No|Yes",0);
Plot(pricefield,"My Indicator",Color,style);
if(arrows)
{
PlotShapes(Buy*shapeUpArrow+Sell*shapeDownArrow,IIf(Buy,colorGreen,colorRed) );
}
Special functions: SECTION_BEGIN, _SECTION_END, _SECTION_NAME, _DEFAULT_NAME, _PARAM_VALUES explained
(for advanced users only)
These are new functions that are used by drag & drop mechanism. The most important pair is
_SECTION_BEGIN("name") and _SECTION_END().
When you drop the formula onto chart pane AmiBroker appends the formula you have dragged at the end of
existing chart formula and wraps inserted code with _SECTION_BEGIN("name") and _SECTION_END()
markers:
So, if original formula looks as follows:
P = ParamField("Price field",-1);
Periods = Param("Periods", 15, 2, 200, 1, 10 );
Plot( MA( P, Periods ), _DEFAULT_NAME(), ParamColor( "Color", colorCycle ),
ParamStyle("Style") );
it will be transformed by AmiBroker to:
_SECTION_BEGIN("MA");
P = ParamField("Price field",-1);
Periods = Param("Periods", 15, 2, 200, 1, 10 );
Plot( MA( P, Periods ), _DEFAULT_NAME(), ParamColor( "Color", colorCycle ),
ParamStyle("Style") );
_SECTION_END();
_SECTION_BEGIN/_SECTION_END markers allow AmiBroker to identify code parts and modify them later
Special functions: SECTION_BEGIN, _SECTION_END, _SECTION_NAME, _DEFAULT_NAME, _PARAM_
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(for example remove individual sections). In addition to that sections provide the way to make sure that
parameters having the same name in many code parts do not interfere each other. For example if you drop
two moving averages the resulting code will look as follows:
_SECTION_BEGIN("MA");
P = ParamField("Price field",-1);
Periods = Param("Periods", 15, 2, 200, 1, 10 );
Plot( MA( P, Periods ), _DEFAULT_NAME(), ParamColor( "Color", colorCycle ),
ParamStyle("Style") );
_SECTION_END();
_SECTION_BEGIN("MA1");
P = ParamField("Price field",-1);
Periods = Param("Periods", 15, 2, 200, 1, 10 );
Plot( MA( P, Periods ), _DEFAULT_NAME(), ParamColor( "Color", colorCycle ),
ParamStyle("Style") );
_SECTION_END();
Note that code and is parameter names are identical in both parts. Without sections the parameters with the
same name will interfere. But thanks to uniquely named sections there is no conflict. This is so because
AmiBroker identifies the parameter using section name AND parameter name, so if section names are unique
then parameters can be uniquely identified. When dropping indicator AmiBroker automatically checks for
already existing section names and auto-numbers similarly named sections to avoid conflicts. Section name
also appears in the Parameter dialog:
Last but not least: you should NOT remove _SECTION_BEGIN / _SECTION_END markers from the formula.
If you do, AmiBroker will not be able to recognize sections inside given formula any more and parameters with
the same name will interfere with each other.
_SECTION_NAME is a function that just gives the name of the function (given in previous _SECTION_BEGIN
call).
_DEFAULT_NAME is a function that returns the default name of plot. The default name consists of section
name and comma separated list of values of numeric parameters defined in given section. For example in this
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code:
_SECTION_BEGIN("MA1");
P = ParamField("Price field");
Periods = Param("Periods", 15, 2, 200, 1, 10 );
Plot( MA( P, Periods ), _DEFAULT_NAME(), ParamColor( "Color", colorCycle ),
ParamStyle("Style") );
_SECTION_END();
_DEFAULT_NAME will evaluate to "MA1(Close,15)" string.
_PARAM_VALUES works the same as _DEFAULT_NAME except that no section name is included (so only
the list of parameter values is returned). So in above example _PARAM_VALUES will evaluate to "(Close,
15)" string.
Frequently Asked Questions about drag & drop functionality
Q. What is the difference between Insert and Insert Linked option in chart menu?
A. Insert command internally creates a copy of the original formula file and places such copy into hidden
drag-drop folder so original formula will not be affected by subsequent editing or overlaying other indicators
onto it. Double clicking on formula name in the chart tree is equivalent with choosing Insert command from
the menu. On the other hand Insert Linked command does not create any copy of the formula. Instead it
creates new chart pane that directly links to original formula. This way subsequent editing and/or overlaying
other indicators will modify the original
Q. I can not see buy/sell arrows from my trading system
A. Trade arrows can be displayed on any chart pane (not only one built-in price chart). However, by default,
the arrow display is turned OFF. To turn it ON you have to open Parameter dialog, switch to "Axes and grid"
and switch "Show trading arrows" option to "Yes".
Q. The read me says: "Automatic Analysis formula window is now drag&drop target too (you can drag
formulas and AFL files onto it)". What does it mean?
Special functions: SECTION_BEGIN, _SECTION_END, _SECTION_NAME, _DEFAULT_NAME, _PARAM_
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A. It means that you can drag the formula from either Chart tree or .AFL file from Windows Explorer and drop
it onto Automatic Analysis (AA) formula window and it will load the formula into AA window. This is an
alternative to loading formula via "Load" button in AA window.
Q. Can I drop a shortcut onto the formula window ?
A: No you can't. You can only drag & drop files with .AFL extension (shortcuts in Windows have .lnk
extension).
Q. Can I add my own formulas to the Chart tree ?
A. Yes you can. Simply save your .AFL formula into Formulas subfolder of AmiBroker directory and it will
appear under "Charts" tree (View->Refresh All may be needed to re-read the directory if you are using
external editor)
Q. I have added new file to the Formulas folder, but it does not show up in the Charts tree unless I
restart AmiBroker? Is there a way to refresh Chart tree ?
A. You can refresh Chart tree by choosing View->Refresh All menu.
Q. If I modify the formula that ships with AmiBroker will it be overwritten by next upgrade?
A. Yes it will be overwritten. If you wish to make any modifications to the formulas provided with AmiBroker
please save your modified versions under new name or (better) in your own custom subfolder.
Q. I can see Reset All button in Parameters dialog but it sets all parameters to default values. Is there
a way to reset SINGLE parameter ?
A. No, there is no such option yet, but it will be added in upcoming betas.
Q. I dragged RSI to the price chart pane and got a straight red line at the bottom of the pane. What is
wrong?
A. When you drop two indicators / plots that have drastically different values you have to use style OwnScale
for one of it. You can turn on OwnScale style using Parameter dialog. This ensures that scales used for each
are independent and you can see them properly. Otherwise they use one common scale that fits both value
ranges that results in flattened plots.
Q. The light grey color of the new AFL special functions_SECTION_BEGIN etc makes them invisible in
my bluegrey background IB color. How could I change the special functions color ?
A. Right now, you can't. But there will be a setting for coloring special functions in the next version.
Q. When I drop the indicator the Parameter dialog does not show all parameters. Is this correct ?
A. Yes it works that way. The idea behind it is simple. When you drop new indicator AmiBroker displays a
dialog with parameters ONLY for currently dropped indicator. This is to make sure that newly inserted
indicator parameters are clearly visible (on top) and new user is not overwhelmed by tens of other parameters
referring to previously dropped indicators. On the other hand when you choose "Parameters" item from
context menu then ALL parameters will show up - allowing you to modify them all any time later.
Special functions: SECTION_BEGIN, _SECTION_END, _SECTION_NAME, _DEFAULT_NAME, _PARAM_
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Chart themes
AmiBroker 5.52 introduces 6 pre-defined chart themes switchable in Tools->Preferences, "Axes & Grid" tab:
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1. Basic Theme
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2. Nature Simple Theme
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3. Nature Gradient Theme
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4. Gray Theme
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5. Dark Gray Theme
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6. Black Theme
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User interface customization
A newly introduced customizable user-interface has several nice features that allow complete control over
look and feel of AmiBroker user interface.
Advanced nested docking / tear-off tabs
To dock a pane into any side of the application or as a tab simply click on docking window caption bar and
drag it. If you do this, docking stickers will show up to make it easy to choose destination place as shown
below
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You can also click on docking pane tab and drag it (tear off) and dock as a separate window. This way you
can arrange all docking windows either as separate windows or as tabs or as a mixture of these two
approaches. You can also make window / tab floating if you drag it while holding down CTRL key.
Sliding Auto-hide panes
Another very useful feature that allows to conserve precious real estate on your monitor is auto-hiding of
panes. To control (switch on/off) this feature there is a pinup button in the upper right corner of each docking
window. If you unpin it - the pane will automatically hide when it loses focus.
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Advanced customizable toolbars, menus and keyboard shortcuts
New user interface allows full user control over appearance, layout and position of all toolbars, buttons and
menus. It allows you to add your own buttons, remove/re-arrange existing ones. Also you define or re-define
new/existing keyboard shortcuts. All these customization features are available from Tools->Customize
menu or from Customize chevron menu.
Chevron menu is available from little arrow button placed at the end of toolbar strip. It allows to access
auto-hidden elements of the toolbar as well as customization features.
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Add or Remove buttons submenu allows to quickly show / hide toolbar buttons according to your preference.
In customization mode (when you enter it using Tools->Customize you can also move buttons around to
change the order in which they appear, and you can also resize edit fields and combo fields (such as ticker
selection field) by selecting them first and resizing the border that will show after making selection.
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You can even add and design your own buttons using built-in image editor:
Themed appearance
AmiBroker allows also to pick your preferred user-interface "appearance" or "theme" to suit your personal
taste.
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MDI (multiple document interface) tabs
AmiBroker is multiple document interface (MDI) application. In short it means that it allows you to open and
work with multiple windows at the same time. To learn more about what MDI is you may check this article:
http://en.wikipedia.org/wiki/Multiple_document_interface
Now MDI tabs (shown in the picture above ) are just an additional way to switch multiple open windows (in
addition to Window menu where the list of open document windows is also available).
It is important to understand that MDI tabs are not "user definable" in the sense that you can not define their
names freely, unlike chart sheets (which are definable). Their names are automatically derived from
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document/window name. For chart windows the name is always in the format of: Symbol - FullName, web
browser windows use HTML page title (as defined by HTML document), account manager windows use actual
account file name (that you can choose when you save them).
MDI tabs are basically document window switcher (like Windows TASK BAR in the bottom) and they are
automatically managed by AmiBroker whenever you open new or close window.
And it works exactly using the same idea as Windows task bar. Let us look at this analogy closer:
When you use Windows Task Bar:
- you open the application - a new button in the task bar appears
- and you can switch between open applications using task bar buttons.
- you can not rename the button because it represents application name.
- and you need to be careful with opening too many applications because all open applications consume
system resources
Now using AmiBroker MDI tabs:
- you open the document (window) -> a new button (tab) appears
- you can switch between open windows using buttons (tabs)
- you can not rename the button because it represents document/window name
- and you need to be careful with opening too many documents/windows because all open documents
consume system resources
You can turn off MDI tabs by unchecking "Show MDI tabs" box in the Tools->Customize, Appearance page,
as shown below:
Historical note: In pre-4.90 versions, to switch the documents you would need to use Window menu. Now in
addition to that you can use tabs. But this is just convenience feature, more info at:
http://en.wikipedia.org/wiki/Tabbed_Document_Interface (Note that wikipedia links describing TDI / MDI are
somewhat outdated and AmiBroker actually combines advantages of BOTH TDI and MDI approaches (for
example you can tile windows in AB's TDI)
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For more information see Houston conference presentation: http://www.amibroker.com/docs/Houston1.pdf
(PDF format), http://www.amibroker.com/docs/Houston1.html (Flash format).
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Working with chart sheets and window layouts
AmiBroker manages multiple chart sheets and multi-window layouts with ability to quickly load/save thems.
This feature enables you to quickly switch between different indicator sets saving your time dramatically.
Chart sheets and templates
A chart sheet is a set of chart panes (with indicators) displayed within single frame.
You can switch between different sheets by clicking on the tabs located in the bottom of AmiBroker window as
show in the following picture:
You can change the name of the tab by clicking on it with RIGHT mouse button, so the following window
appears:
You can change all four tab names (one by one) so they are more descriptive (and they relate to the contents
of the sheet).
You can scroll tabs using arrow buttons and you can re-arrange them by dragging (click on tab, hold down left
mouse button and drag to desired position - an arrow will show target position).
You can also access any sheet quickly by clicking with RIGHT mouse button over arrows to pop-up the menu
that lists all tabs and allows immediate selection (without scrolling)
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The next step is to set up your sheets according to your personal preference. Just add/remove chart panes
to/from each sheet. This way you can have upto 60 different indicator sets that you can recall very quickly by
switching to appropriate tab. The actual number of sheets is definable in Tools->Preferences->Charting
"Number of chart sheets"
The complete set of chart sheets is called a "template" and you can make this setup permantent just
right-click on the chart and select the following menu item (Template->Save, Template->Save as default):
The default template is used if you create a new window (Window->New)
You can also load once saved template by choosing Template->Load from chart's right mouse button menu.
In addition to old local template format a new one is added with .chart extension that keeps not only window
sizes and formula references (paths) but also formulas themselves, so all you need to do is to save your chart
into one file (Chart Template, Complete *.chart) and copy that file onto different computer and chart will be
recreated with all formulas linked to it.
To Save chart into new format do the following:
1. Click with RIGHT MOUSE button over the chart and select Template->Save...
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2. In the file dialog, "Files of type" combo select "Chart Template, Complete (*.chart)"
3. Type the file name and click Save.
To load previously saved complete chart do the following:
1. Click with RIGHT MOUSE button over the chart and select Template->Load...
2. In the file dialog, select previously saved *.chart file and press "Open"
Note: The procedure AmiBroker does internally is as follows: When you save the chart into new format it
saves XML file with:
a) names of all sheets, panes, their sizes, locations and other settings
b) paths to all formulas used by all panes
c) the text of formulas themselves
When you load the chart in new format AmiBroker:
a) sets up the sheets/panes according to information stored in the file
b) for each formula stored in the file it checks if the same formula exists already on target computer:
- if it does not exist - it will create one
- if it exists and the contents is identical to the formula stored in .chart file it will do nothing
- if it exists and the contents is different then it will create NEW formula file with _imported.afl suffix (so old file
is not touched) and will reference the pane to the _imported.afl formula instead.
IMPORTANT NOTE: if you use any #include files AmiBroker will store the contents of include files as well
inside chart file and will attempt to recreate them on target machine. Please note that in case of includes it will
check if it exists and if it is different. If both conditions are met (different file exists already) it will ask to replace
or not. If you choose to replace - it will replace and make backup of existing one with .bak extension. If you
are using any files in "standard include files" and include them using <> braces, AmiBroker will restore files in
target machine standard include folder as well (even if the standard include folder path is different on the
source machine).
A new .chart format is intended to be used to port charts between different computers. For storing
layouts/templates on local computer you should rather use old formats as they consume much less space
(they store only references,not the formulas themselves). One may however use new format for archiving
purposes as it keeps formulas and all references in one file that is very convenient for backups.
Symbol and Interval Linking
Now it is possible to link chart windows either by symbol and/or by time interval. To link chart windows use
linking buttons located in the bottom of the chart window as shown in the picture below:
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Grey "S" and "I" buttons mean no link. Any other color (red, green, magenta, yellow, pink, white, brown, dark
green, blue) means that given chart belong to given color-coded linked group. All windows with same color
link will switch symbol and/or interval simultaneously.
Floating windows
If you are using multiple monitors, you can find it useful to display AmiBroker charts on multiple windows. To
make it easy, AmiBroker 5.10 introduces "floating" chart windows. Normally all chart windows live inside main
AmiBroker application window. If you make chart window floating, you are essentially detaching the chart
window from parent AmiBroker frame, so you can move it outside, for example to the other monitor.
You can switch between normal and floating state using Window menu as shown below:
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The following video tutorial shows how to use floating windows and symbol linking in practice:
http://www.amibroker.com/video/FloatAndLink.html
Window layouts
A window layout is a complete set of multiple windows open each with different symbol, different display
interval, different size, different set of chart sheets.
The picture below shows 4-window layout each with different set of indicator panes. To the left you can see
"Layouts" pane in the Workspace window showing the list of stored local and global layouts.
Using AmiBroker 4.20 you can now have unlimited number of custom, multiple-window templates that can be
switched between with just double click on layout name in the "Layouts" tab of the Workspace window.
You can open, save, delete layout by clicking on the Layout tree with right mouse button and choosing
appropriate function. "Save As" option saves current layout under new name.
Local layouts are per-database while Global layouts are visible from all databases.
Information saved in layouts include: window sizes and postions, maximized/minimized state chart panes
available on each sheet (independent for each window), selected bar interval, selected symbol, selected chart
sheet
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Most recently used layout can be saved on exit and database switch automatically (see:
Tools->Preferences->Miscellaneous "Save on exit: Layouts")
Note: since version 4.90 multiple windows can be switched not only using old-style Window menu but also
using new MDI tabs. More on MDI tabs can be found in the "User-interface customization" chapter.
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Using layers
What layers are
Layers are like pieces of transparent plastic. You can put drawings on them. Layers can be made visible or invisible. This allows to
show/hide drawings placed on given layer without affecting the drawings placed on other layers.
How to work with layers.
First of all make sure that Workspace window is visible (Window->Layers)
Then switch to "Layers" tab. Here you can see the list of pre-defined layers.
The checkboxes on the left side of each layer control layer visibility. If checkbox is marked than given layer is visible, if it is
unmarked - the layer is invisible. Initially first five layers will be "locked" to intervals.
These built-in layers are:
Default layer - always visible
Intraday layer - visible only when viewing intraday charts
Daily layer - visible only when viewing daily charts
Weekly layer - visible only when viewing weekly charts
Monthly layer - visible only when viewing monthly charts
A locked layer changes its visibility automatically when interval changes and you can not change its visibility by clicking on the
left-side checkbox.
The remaining layers are not locked and they can be shown/hidden freely by marking the checkbox.
To draw a study in a given layer simply
a) SELECT the layer first (click on name to highlight it)
b) DRAW the study as usual
As long you select the other layer all drawings will be placed on selected layer. After drawing a study you can assign it to any other
layer via object properties box.
Context menu
If you click on layer name with right mouse button you will see the context menu containing the following options:
Add layer
Remove layer
Show all layers
Hide all layers
Toggle
Unlock built-in layers
Lock built-in layers
Properties.
Add/Remove layer are self-explanatory. Please note that you can not remove first 5 (built-in) layers
Show all/Hide all - shows and hides all NOT LOCKED layers
Toggle - toggles visibility of all NOT LOCKED layers
Unlock/Lock built-in layers - allows you to unlock/lock 5 first (built-in) layers. Once layer is unlocked its visibility does not change
automatically when interval changes and you can show/hide it manually.
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Properties - this launches properties box that allows you to rename layer and decide if given layer should or should not be locked to
interval displayed.
If you mark "Lock visibility to interval" box the layer will show/hide automatically depending on what interval is
currently displayed. You can define visibility for each layer using "Interval" combo and "Show/hide automatically" buttons. Note that
there is a *separate* visibility setting for EACH interval. The layer properties box ALWAYS shows "monthly" interval at start but this
is just a startup condition you just switch to particular interval
and modify visibility. To setup locked layer completely you have to set visibility for every layer listed in the "Interval" combo-box.
Simply select the interval and choose if layer should be shown or hidden for this interval, select next interval and again choose show
or hide, select next and so on...until you define visibility for all intervals.
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Using Web Research window
Web Research window allows you to view on-line news, research, profiles, statistics and all kind of
information related to currently selected symbol available over the Internet (World Wide Web). Using Web
Research instead of plain web browser has speed advantage as you don't need to type complicated/long
addresses (URLs) each time you need to get desired information.
Web Research window introduced in version 4.90, replaces and enhances previously available Profile
window. Now it allows unlimited number of user-definable web research (profile) pages, browsing to any web
page (just type URL), tab-browsing, opening multiple pages at once, selective auto-synchronization.
Web-Reasarch uses Internet Explorer engine so you can be sure that pages are rendered with the same
quality you would get from stand-alone browser.
OPEN NEW WEB RESEARCH WINDOW
Use File->New->Web Research menu to create new web research window
PICKING PRE-DEFINED WEB RESEARCH PAGE:
To display any pre-defined web research page, simply click on the drop down arrow in the Address
combo-box and pick one item from the list. Once you do so, the web page relevant to currently selected
symbol will be automatically displayed.
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Now you can specify if and when displayed page should change automatically if you select different symbol.
The Sync button allows to decide when page should be automatically synchronized with currently selected
symbol.
• Don't sync - means that page should not be synchronized with currently selected symbol at all
• Sync active - means that page should be synchronized ONLY when it is currently active or becomes
active (by user clicking on given tab) - this is recommended setting for web-research profiles since it
conserves bandwidth and resources (not active pages are not synchronized and do not consume any
bandwidth)
• Sync always - means that page is synchronized with currently selected symbol always, no matter if it
is active or not.
NAVIGATION
Web Research window operates in a way very similar to stand-alone browser. To display any web page just
type the URL address to "Address" field and press ENTER (RETURN) key. To navigate back and forward in
the history use <- and -> buttons.
OPEN NEW WEB RESEARCH WINDOW
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To close currently displayed page use regular window close X button as shown in the picture above
DEFINING YOUR OWN WEB RESEARCH PLACES
In addition to web-research pre-defined pages you can define any number of your own places. To do so use
Tools->Customize menu, Web Pages tab.
To add new place press New button, then type the URL template in the URL field and web page description in
the Description field.
The URL template is the web address in that has parts that depend on selected symbol. The URL template is
parsed by AmiBroker to make actual URL to the web page. For example to see Yahoo's profiles page you can
use following URL template:
http://biz.yahoo.com/p/{t0}/{t}.html.
OPEN NEW WEB RESEARCH WINDOW
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Symbols enclosed in brackets {} define fields which are evaluated in execution time. {t0} symbol is evaluated
to the first character of the ticker name and {t} is evaluated to the whole ticker name. So if AAPL is selected
AmiBroker will generate following URL from above template:
http://biz.yahoo.com/p/a/aapl.html
Then AmiBroker uses built-in web browser (Web Research window) to display the contents of the page.
Special fields encoding scheme
As shown in above example template URL can contain special fields which are substituted at run time by
values corresponding to the currently selected symbol. The format of the special field is {x} where x is
describes field type. Currently there are three allowable field types: ticker symbol in original case {t}, ticker
symbol in lowercase {s}, ticker symbol in UPPERCASE {S}, alias {a}, web id {i}. You can specify those fields
anywhere within the URL and AmiBroker will replace them with appropriate values entered in the Information
window. You can also reference to single characters of ticker, alias or web id. This is useful when given web
site uses first characters of, for example, ticker to group the html files (Yahoo Finance site does that), so you
have files for tickers beginning with 'a' stored in subdirectory 'a'. To reference to single character of the field
use second format style {xn} where x is field type described above and n is zero-based index of the character.
So {a0} will evaluate to the first character of the alias string. To get first two characters of a ticker write simply
{t0}{t1}. Note about web id field: this new field in Information window was added to handle situations when
web sites do not use ticker names for storing profile files. I found some sites that use their own numbering
system so they assign unique number to each symbol. AmiBroker allows you to use this nonstandard coding
for viewing profiles. All you have to do is to enter correct IDs in Web ID field and use appropriate template
URL with {i} keyword.
Pages stored locally
You may want to have all pages stored on your local hard disk. This has an advantage that profiles are
accessible instantly but they can take significant amount of storage space and you will need to update them
from time to time. To access locally stored files use the following template URL (example, C: denotes drive):
file://C:\the_folder_with_profile_files\{t}.html. You are not limited to HTML files, you can use simple TXT files
instead. Then create (or download) the .html (or txt) files for each symbol in the portfolio. These files should
obey the following naming convention: <ticker>.html. So for example for APPLE (ticker AAPL) the profile
should have the name AAPL.html (or AAPL.txt)
Web-based profiles
If you want to display the profiles from remote web pages you will need to find out how they are accessible
(the URL to the web page) and how the data for different symbols are accessible. I will describe the problem
on the example of Sharenet (www.sharenet.co.za) site providing the data for companies listed on
Johannesburg Stock Exchanges. Sharenet provides company information that is accessible at the following
address (URL):
http://www.sharenet.co.za/free/free_company_na.phtml?code=JSECODE&scheme=default
The problem is that database provided by Sharenet uses long ticker names and JSECODE is a short symbol
code. For example for "Accord Technologies" company the ticker in Sharenet database is ACCORD but the
code is ACR. To solve the problem we will need to use Web ID field in the symbol Information window. If you
have Sharenet database just choose the ACCORD from the ticker list, open Symbol->Information window and
enter ACR to the Web ID edit box and click OK. Then enter the following URL template to the URL edit box:
OPEN NEW WEB RESEARCH WINDOW
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http://www.sharenet.co.za/free/free_company_na.phtml?code={i}&scheme=default
To be 100% sure please select the text above with a mouse. Then copy it to the clipboard (Edit->Copy,
CTRL-C). Then switch to AmiBroker and click on the Profile URL edit box. Delete everything from it and press
CTRL-V (this will paste the text). Type "Sharenet" into Description field.
Please note that we have used {i} special field in the template that will be replaced by AmiBroker with the text
entered in the Web ID field of the symbol information window. Now please select File->New->Web Research
and pick Sharenet from Address combo box. You should see the profile for ACCORD company.
You can also delete any entry by selecting it from the list and pressing Delete button. You can change the
order in which pages appear in the Web Research address combo using Move Up and Move Down buttons
(select the item first and then use buttons).
Configuration data are stored in webpages.cfg plain text file that holds any number of URL templates in the
form of:
URLTemplate|Description
(each entry in separate line)
OPEN NEW WEB RESEARCH WINDOW
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Using account manager
Account manager is a tool for keeping track of your trades and your performance. You are able to enter trades
you make, deposit/withdraw funds, check the statistics and historical performance. All transactions are
recorded so you will never forget what happened in the past. Account manager allows you to keep track of
unlimited number of accounts.
New account manager replaces and enhances functionality provided by portfolio manager in pre-4.90
versions.
CREATE A NEW ACCOUNT
Use File->New->Account menu to create new account
FUNDING AN ACCOUNT
Before you do any trading, you have to fund your account. To do so press "FUNDING" button on the account
manager toolbar, then select "Deposit" as operation type, enter the DATE when you have funded your
account and enter the amount.
Note that funding date must PRECEDE any trading, as account manager won't allow you to trade prior to
funding date. Initial deposit will show as "initial equity" in summary tab.
THE SETTINGS
It is good idea to go to "Summary tab" and setup commissions and trading mode. If this account is used for
End-of-day trading you should set "EOD Mode" to YES, otherwise (if you trade intraday) you should set "EOD
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Mode" to NO. Depending on this setting Buy/Sell dialogs will allowyou to enter date and time of the trade or
only date.
Commission table allows to enter both per-share (per-contract) commissions and commissions that are
expressed as percent of trade value. Or a combination of both. You can also set minimums and maximums
expressed in dollar amount and/or percent of trade value. For example if your broker may use 0.01$ (one
cent) per share commission, then you would use PerShare = 0.01 and %OfTradeValue = 0. If your broker
uses say 0.2% of trade value then you would use PerShare = 0 and %OfTradeValue = 0.2;
Practical example: Interactive Brokers default commission for U.S. stocks is: 0.005 per share but not less than
1 dollar and not more than 0.2% of trade value. Appropriate settings for such schedule are shown in the
screenshot above.
Commission table works as follows: first sum of per-share commission and % of trade value is calculated.
Then the result is checked against minimum and maximum limits and if calculated value exceeds the limit
then commission is set to value of such the limit, otherwise calculated value is used without change.
Summary page contains a little bit of basic statistics as well.
CREATE A NEW ACCOUNT
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ENTERING TRADES
Once you funded an account you can enter trades.To buy (enter long position or cover short position ) click on
"BUY" button.
Then in the Buy dialog you need to select the symbol, the trade date/time. Once they are entered AmiBroker
will display price of given symbol at the selected date/time (or preceding one if no exact match is found). It will
also calculate maximum possible quantity taking price and available funds into account.
You can change the price and quantity manually.
All other values (net market valye, commission, market deposit, currency, fx rate) are calculated or retrieved
automatically from Symbol->Information page. Once values are good, click OK to confirm transaction. If you
made mistake, you can press UNDO (Edit->Undo) to revert last transaction.
Similar procedure is for selling (entering short positions or closing longs) with the exception that you should
press "SELL" button instead.
All transactions that you made are listed in the "Transactions" sheet. All open positions are listed in "Open
Positions" sheet. If you enter the trade for symbol that has position already open, AMiBroker will adjust "open
positions" accordingly (perform scaling in/out). Once open position is closed it is removed from "open
positions" list and moved to "Closed trades" sheet.
CREATE A NEW ACCOUNT
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After each transaction, "Equity history" sheet is updated with current account equity value and also
"Summary" page is updated with basic open/long/short trade stats.(More stats are to come).
IMPORTANT
You have to remember that you must enter all transactions in chronological manner(oldest first, newest last),
as account manager won't allow you to add trades out-of-order. If you make mistake, there is one-level undo
that you can use to revert to state before last transaction. If you made more mistakes, the only option is to
close account without saving and re-open original file.
SAVING YOUR ACCOUNT DATA
To save edits made to account use File->Save (or File->Save As to save under new name). Note that
account files are NOT encrypted now, and it is quite easy to read the file for everyone who has the access
to it. So make sure not to leave your files on some public computer. Password protection/encryption is
planned but NOT implemented yet.
OPENING PREVIOUSLY CREATED ACCOUNT
To open account file, go to File->Open, in the File dialog, select "Account (*.acx)" from "Files of type"
combo-box, and select the account file you want to load.
CREATE A NEW ACCOUNT
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MULTIPLE ACCOUNTS
You can create/open multiple accounts at once (just use File->New->Account, File->Open many times).
CREATE A NEW ACCOUNT
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Using fundamental data
AmiBroker 4.90 adds ability to use 32 fundamental data items. Fundamental data can be automatically
downloaded for all U.S. stocks for free using AmiQuote. New Information window allows you to view these
items, while new AFL function: GetFnData allows to access fundamentals programmatically.
INFORMATION WINDOW
To display fundamental data in Information window, please use Symbol->Information menu. This will open
Information window with several fundamenta data fields as shown in the picture below (if you created new
database, it probably will not have these data present initially and you would need to download them)
DOWNLOADING FREE FUNDAMENTAL DATA FROM YAHOO
New version of AmiQuote now features ability to download free fundamental data from Yahoo Finance web
site. This is implemented using 2 different Yahoo pages:
1. Yahoo Fundamental - Basic data source (free basic fundamental data, 200 symbols in one request).
Data are retrieved from the following URL: http://finance.yahoo.com/q?s={Ticker} (Download data
link).
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That page provides the following data:
EPS (ttm)
EPS Est Current Year
EPS Est Next Year
EPS Est Next Quarter
PEG Ratio
Book Value
EBITDA
Sales Revenue
Dividend Pay date
Ex Dividend date
Dividend Per Share
1yr Target Price
Shares Float
Shares Outstanding
Explanation of values: http://help.yahoo.com/help/us/fin/quote/quote-03.html
2. Yahoo Fundamental - Extra data source (extended fundamental data, 1 symbol in one request,
more data - available in registered version only).
Data are retrieved from the following URL: http://finance.yahoo.com/q/ks?s={Ticker} (Key Statistics
page)
That page provides following data:
Forward P/E
PEG Ratio
Profit Margin
Operating Margin
Return on Assets
Return on Equity
Revenue (ttm)
Qtrly Revenue Growth
Gross Profit
EBITDA
(Diluted) EPS
Qtrly Earnings Growth
Book Value Per Share
Operating Cash Flow
Levered Free Cash Flow
Beta
Shares Outstanding
Float
% Held by Insiders
% Held by Institutions
Shares Short (prior month)
Shares Short
Forward Annual Dividend Rate
Trailing Annual Dividend Rate
Dividend Date
Ex-Dividend Date
Last Split Factor
INFORMATION WINDOW
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Last Split Date
Explanation of values: http://help.yahoo.com/help/us/fin/research/research-12.html
IMPORTANT NOTE: Unregistered version of AmiQuote allows you to download
fundamental-ex data for first 20 tickers in the list. To download data for more symbols you
need to register AmiQuote.
Downloading data is easy and staightforward:
1. Run AmiQuote
2. In AmiQuote, select Tools->Get tickers from AmiBroker
3. Select Yahoo Fundamental - Basic or Yahoo Fundamental - Extra from Source drop down list
4. Make sure that Automatic import box is checked
5. Press Green Arrow to Start Download
Once download is complete, you should see fundamental data updated in Information window in AmiBroker.
ACCESSING FUNDAMENTAL DATA FROM FORMULA (AFL) LEVEL
To access fundamental data from AFL level you can use new GetFnData function. It has quite simple syntax:
GetFnData("field")
where "field" is any of the following fundamental data field supported. For detailed list please see GetFnData
function reference.
The function returns the number (scalar) representing current value of fundamental data item. There is no
history of values (no arrays are returned), so it is useful for scanning, explorations (for current situation),
market commentary / interpretation, but not for backtesting. Example exploration formula looks as follows:
AddColumn( Close / GetFnData( "EPS" ) , "Current P/E ratio" );
AddColumn( Close / GetFnData( "EPSEstNextYear" ) , "Est. Next Year P/E ratio" );
Filter = Status("lastbarinrange");
INFORMATION WINDOW
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IMPORTING FUNDAMENTAL DATA FROM OTHER SOURCES
AmiBroker allows also to import fundamentals using its flexible ASCII importer and/or OLE interface as all new
fields are exposed as properties of Stock object.
ASCII importer $FORMAT command now supports the following extra fields for fundamental data:
DIV_PAY_DATE
EX_DIV_DATE
LAST_SPLIT_DATE
LAST_SPLIT_RATIO
EPS
EPS_EST_CUR_YEAR
EPS_EST_NEXT_YEAR
EPS_EST_NEXT_QTR
FORWARD_EPS
PEG_RATIO
BOOK_VALUE (requires SHARES_OUT to be specified as well)
BOOK_VALUE_PER_SHARE
EBITDA
PRICE_TO_SALES (requires CLOSE to be specified as well)
PRICE_TO_EARNINGS (requires CLOSE to be specified as well)
PRICE_TO_BV (requires CLOSE to be specified as well)
FORWARD_PE (requires CLOSE to be specified as well)
REVENUE
SHARES_SHORT
DIVIDEND
ONE_YEAR_TARGET
MARKET_CAP (requires CLOSE to be specified as well - it is used to calculate shares outstanding)
SHARES_FLOAT
SHARES_OUT
PROFIT_MARGIN
OPERATING_MARGIN
RETURN_ON_ASSETS
RETURN_ON_EQUITY
QTRLY_REVENUE_GROWTH
GROSS_PROFIT
QTRLY_EARNINGS_GROWTH
INSIDER_HOLD_PERCENT
INSTIT_HOLD_PERCENT
SHARES_SHORT_PREV
FORWARD_DIV
OPERATING_CASH_FLOW
FREE_CASH_FLOW
BETA
Note that if you want to import only fundamental data with ASCII importer (without quotes) you need to use
$NOQUOTES 1 command. See Formats\aqfe.format and Formats\aqfn.format files for example usage - these
are files actually used by AmiQuote to implement automatic import of fundamental data downloaded from
Yahoo.
INFORMATION WINDOW
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The names of extra properties of Stock object are the same as used by GetFnData function and they are
listed in detail in OLE objects reference.
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Using New Analysis window
Introduction
New Analysis window introduced in version 5.50 (first time actually in 5.41.0 BETA) brings the following
improvements over old Automatic Analysis:
• multi-threaded operation = speed - new Analysis window uses all available CPUs/cores to execute
formulas in many threads in parallel providing significant speed ups. For example on 4 core Intel i7
that can run upto 8 threads, it can run upto 8 times faster than old Analysis window. Exact speed up
depends on complexity of the formula (the more complex it is, the more speedup is possible), amount
of data processed (RAM access may be not as fast as CPU thus limiting possible speed gains).
• non-blocking operation - you can now view, scroll and sort results of analysis while they are still
generated, also as user interface thread is not used for processing for most part, charts and other
GUI-driven program parts are way more responsive than with old automatic analysis
• multiple instances - you can run more than one instance of New Analysis at a time, so you can run
many scans/backtest/explorations/optimizations in parallel without waiting for one to complete
• slicker user interface - New Analysis window can act as tabbed document, can be floated, buttons
can be re-arranged for better workflow. There is way more space for the result list, extra information
about execution is provided on the new "Info" tab. Also walk-forward results are now displayed within
New Analysis window for less clutter.
User interface
You can open New Analysis window in a number of ways:
1. click on the New Tab (+) button and selecting New Analysis
or
2. File -> New -> New Analysis menu
or
3. Analysis-> New Analysis menu
or
4. right click on the formula in the Charts window and selecting Analysis
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or
5. from the Formula Editor, pressing Send to Analysis button
Basically the user interface for New Analysis window is functionally similar to old automatic analysis and looks
as follows:
User interface
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Basic operations
Selecting the symbol to apply analysis to.
Click on the drop down arrow in the Apply to combo to select operation mode: All symbols / Current symbol
/ Filter
Defining Filter
If Apply To is set to Filter, Analysis window will be run on the symbols that match filtering criteria that are
definable in the Filter Settings window. To open Filter Settings window press
Filter button
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Defining date/time Range
Click on the drop down arrow in the Range combo to select range selection mode: All symbols / N recent
bar(s) / N recent day(s) / From-To dates
The 'N' can represent any number. For example to define range of 15 recent days, select 1 recent day(s) first
and then type in 15 and press ENTER. You will see the text automatically update to 15 recent day(s).
Remember you don't need to type whole thing, just a number is perfectly enough.
Viewing reports / Running Report Explorer
To view the report from last backtest, click on the Report button. To run the Report Explorer use a Report
button drop down menu as shown below
Changing settings / options
To change backtester settings click on the Settings button. To turn on/off additional options like:
• Sync chart on select
• Wait for backfill
• Auto repeat Scan/Explore
• Auto repeat interval
click on the drop down arrow on the Settings button to display the menu as shown below
User interface
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Auto-repeat interval can be entered in the Interval field. Note that plain numbers (like 5) represent minutes.
To get seconds you need to enter 5sec or 5s and press ENTER
Running Walk forward Test
Click on the arrow on the Optimize button to display the menu as shown below and select Walk-Forward
The results of Walk forward test will be displayed in Walk Forward tab (see bottom of Analysis window).
Displaying 3D optimization chart
To display 3D optimization chart, first run the Optimize that has exactly two optimization parameters and then
click on the arrow on the Optimize button to display the menu as shown above and select 3D Optimization
Chart.
Displaying Equity charts
Equity charts (portfolio and individual) can be added to chart windows using Portfolio Equity / Individual
Equity options as shown above.
Exporting and importing result list
To export data to CSV file or HTML file use File -> Export HTML/CSV menu (from the main window). To
import previously exported HTML file use File->Import HTML... as shown in the picture below. Note that
these menu items appear only if you have New Analysis window active.
User interface
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How to get quotes from various markets
REAL-TIME DATA (Professional Edition only)
Country/Exchange
Data
source
Type
Price
Download Update
Comments
More pricing
information
Dedicated RT
Automatic Automatic plug-in - details
here
Real time
streaming
quotes.
All US Stock and
Futures markets.
FOREX
eSignal
Major European
markets.
Tick, 5-, 15second
1-, 5-, 15-,
60-minute
intraday
10-day tick,
60-day minute
bar backfill.
Historical EOD
(10 years)
US stocks, futures,
options, FOREX
DTN
IQFeed
500 symbols,
tick, 5-sec,
15-sec,
1-minute and
up,
$63/month basic
fee
120 days
backfill
More pricing
information
Dedicated RT
Automatic Automatic plug-in - details
here
(note: unfiltered
feed)
US, Canada and
European
exchanges
All US Stock and
Futures markets.
Major European
markets.
100 symbols
streaming RT, $10 per month in
1-sec, 1-minute commissions, or
Interactive bars and up.
free if your
Brokers
monthly
30 day backfill commissions are
available for
>$30
IB customers
myTrack Real time
streaming
quotes.
Automatic Automatic
Dedicated RT
plug-in
- details here
See service plans Automatic Automatic Dedicated RT
plug-in - details
here
1-, 5-, 15-,
60-minute
intraday
How to get quotes from various markets
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15-day minute
bar backfill.
Historical EOD
(15 years)
Real time
streaming
quotes.
Various exchanges
/ various sources
1-, 5-, 15-,
Quote 60-minute
Tracker intraday
(detailed list)
Limited (max. 5
days, usually
one day)
backfills
Warsaw Stock
Exchange
Statica
Various (including
free)
More pricing
information
30/90 days
intraday +
mixed mode
EOD
Dedicated RT
Automatic Automatic plug-in - details
here
Dedicated RT
Automatic Automatic plugin - details
here
Various
just streaming
DDE link quotes, no
backfill
(any data source
that has DDE
interface)
END-OF-DAY, INTRADAY DELAYED DATA
Free
Automatic Automatic
Dedicated RT
plug-in
- details here
AmiBroker can handle virtually EVERY exchange in the world if only plain ASCII data for that exchange are
available. The table below list some of the data sources.
AmiBroker comes preloaded with sample DJIA components database. You can update this sample database
(and any other US & Canada market databases) with a new quotes using supplied AmiQuote program.
Later in this tutorial you will find detailed instructions on how to use AmiQuote.
Quote sources for AmiBroker (this list is not complete - keep in mind the fact that almost any source can be
used). Use links to find out more (note that some links require internet connection)
Country/Exchange
Data source
Type
Price Download
Yahoo Finance
Historical +
Current EOD
Free
Google Finance
Historical EOD
MSN Money Central
How to get quotes from various markets
Historical EOD
Update
Com
Automatic
(AmiQuote)
Automatic
Deta
desc
here
Free
Automatic
(AmiQuote)
Automatic
Deta
desc
here
Free
Automatic
(AmiQuote)
Automatic
Deta
desc
here
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Norgate Investor
Services (Premium
Data)
TC 2000/TCNet
(stocks)
TC2000 Mutual Funds
Tutorial
Historical EOD +
Daily updates +
Sectors /
Industries / etc +
Delisted symbols
Paid
Automatic
Automatic (via Deta
MS plugin)
here
Historical +
Current EOD +
Paid
Sectors/Industries
Automatic
Automatic
Dire
- det
here
FastTrack (mutual
funds)
Historical +
Current EOD +
Families
Paid
Automatic
Automatic
Dire
- det
here
FOREX
Historical EOD +
Intraday
Free
Automatic
(AmiQuote)
Automatic
Deta
desc
here
Automatic
Upd
usin
Unfa
Adva
CSI
Historical EOD
http://www.csidata.com
Norgate Investor
Services
Australia
(Australian Stock Exchange) BodhiFreeway
Historical EOD
(also US stock
and future
markets)
Historical
Paid:
Details
here Automatic
Paid
Automatic
Automatic (via Deta
MS plugin)
here
Paid
Automatic
(Bodhi
downloader)
How
Automatic (via
setu
METASTOCK
to M
plugin)
data
Automatic
Deta
desc
here
Automatic
Deta
desc
here
Yahoo Finance
Australia
Current EOD
Free
Automatic
(AmiQuote)
50+ International
Exchanges
Yahoo Finance
Historical +
Current EOD
Free
Automatic
(AmiQuote)
Poland
(Warsaw Stock Exchange)
Bossa.pl
Historical +
Current EOD
Free
Automatic
Automatic
Deta
(script-based) (script-based) new
Sharenet
Historical +
Current EOD
Paid
Automatic
Sha
Automatic
(Sharenet
AmiB
(script- based)
downloader)
corn
Investor Data
Historical
Paid
Manual
Manual
PF-online
Historical +
Current EOD
Free
Manual
ASCII Import
South Africa
(Johannesburg Stock
Exchange)
Holand (Amsterdam Euronext)
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How to set up AmiBroker with eSignal feed (RT version only)
Requirements
IMPORTANT: You have to have eSignal application installed on your machine and a valid eSignal
subscription.
One-time setup
To use AmiBroker with eSignal feed you will need to perform a one-time setup described below:
• Run AmiBroker
• Choose File->New database
• Type a new folder name (for example: C:\Program Files\AmiBroker\eSignal ) and click Create as
shown in the picture below:
• Choose eSignal RT data Plug-in from Data source combo and "Enable" from Local data storage
• Enter appropriate number of bars to load:
90000 for 1-minute database combined with long history daily database
• Click on Configure button to show plugin configuration dialog as shown below
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Enter here your eSignal user and password (if you have eSignal properly installed AmiBroker will
pre-set these fields to user/password entered in eSignal software). You may also adjust Number of
symbols. This should not exceed your account limit and you may consider lowering this value if you
want to use AmiBroker in parallel with another Data manager client application. (If you exceed the
limit of your subscription AmiBroker will re-adjust this number down)
Click OK
• Now choose Base periodicity. Note that recommended periodicity is 1 minute, but you can select
all base periods starting from tick upto hourly.
Note that selecting tick, 1-second, 5-seconds or 15-seconds periodicities will cause transmission of
huge amounts of data from eSignal servers (for actively traded security it can be several megabytes
for just one symbol and very few days of history). If you have a modem connection this setting is
highly discouraged. Also if you should consider using 1-second bars instead of pure ticks since this
mode is faster.
Also note that to get long end-of-day histories together with intraday data you should go to
File->Database Settings->Intraday Settings and turn ON "Allow mixed EOD/intraday data" option.
• Click OK.
From now on your AmiBroker reads quotes directly from the eSignal.
To learn how to use AmiBroker in Real Time mode read this tutorial article.
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How to set up AmiBroker with myTrack feed (RT version only)
Note: the most recent version of this document can be found at: http://www.amibroker.com/mytrack.html.
Please check this page for updates.
Requirements
IMPORTANT: You have to have myTrack subscription with SDK feature enabled.
To have the SDK working, run the myTrack program, click on CHAT, then on Entitlements and then on
Features, check the box SDK.
One-time setup
To use AmiBroker with myTrack feed you will need to perform a one-time setup described below:
• Run AmiBroker
• Choose File->New database
• Type a new folder name (for example: C:\Program Files\AmiBroker\myTrack ) and click Create as
shown in the picture below:
• Choose myTrack RT data Plug-in from Data source combo and "Enable" from Local data storage
• Click on Configure button to show plugin configuration dialog as shown below
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Enter here your myTrack user and password . You may also adjust Number of symbols. This should
not exceed your account limit.
Click OK
• Now choose Base time interval. Note that supported bar intervals are 1 minute and daily
(end-of-day).
If you want to have long daily histories AND intraday charts you should consider running TWO
instances of AmiBroker. One for EOD charts and second for intraday charting. Both instances may
use myTrack as a data source.
• Click OK.
From now on your AmiBroker reads quotes directly from the myTrack.
To learn how to use AmiBroker in Real Time mode read this tutorial article.
Requirements
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How to use AmiBroker with external data source (Quote Tracker)
IMPORTANT: You need QuoteTracker 2.4.9C OR ABOVE (3.1.0 recommended). Can operate on standard
edition but AmiBroker RT is recommended.
VERY IMPORTANT: QuoteTracker has to be CONFIGURED so its internal server is running. Click here
for the explanation.
CAVEAT: QuoteTracker should be considered as poor-man's real-time substitute. Its performance can not be
compared to true real-time feed as eSignal or myTrack that offer very reliable, long back-fills and true
tick-by-tick updates.
QuoteTracker plugin currently works in TWO modes:
daily mode - plugin adds and updates the last (todays) bar with the most recent quotes in nearly real time- it means that you have
to use it in conjunction with already existing end-of-day database.
intraday mode - plugin provides one day intraday historical data - more days can be accumulated if
AmiBroker with QT is launched everyday so AmiBroker can save histories to its local database.
One-time setup
Make sure that your QuoteTracker has enabled QT HTTP server: Options->Edit Preferences : Misc tab: HTTP Server Settings
If you are using unregistered version of QuoteTracker make sure you click on ads often enough.
To use an external data source with AmiBroker you will need to perform a one-time setup described below:
Run AmiBroker Choose File->New database Type a new folder name (for example: C:\Program
Files\AmiBroker\NewData ) and click Create as shown in the picture below:
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Choose appropriate entry from Data source combo:
• Quote Tracker users select "Quote Tracker plug-in" as a Data Source and "Enable" from Local
data storage
Click on Configure button to show plugin configuration dialog as shown below
You may also click on Retrieve button to pre-fill AmiBroker database with symbols already present in
QuoteTracker. From now on your AmiBroker reads quotes from Quote Tracker in nearly real time.
To learn how to use AmiBroker in Real Time mode read this tutorial article.
Description of QuoteTracker plugin configuration options
QT plugin configuration dialog looks as follows:
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Here is a description of the settings:
QuoteTracker server port: defines the port on which QT HTTP internal server is visible. 16239 is the default
value used by QuoteTracer and you should not change this in most cases. If in doubt please check
QuoteTracker HTTP server settings: Options->Edit Preferences : Misc tab: HTTP Server Settings menu of QT.
Refresh inteval - defines how often AmiBroker will ask QT for quotes. 5 second is default. You may consider
changing it to 10 or 15 seconds in case you have lots of symbols and slow machine
Auto-add symbols from AmiBroker - if this option is turned ON (by default it is) if you switch in AmiBroker to
the symbol that is not present in any of QT portfolios - it will be automatically added to default QT portfolio. It
also applies to any other kind of access (for example if you try to import symbols to AmiBroker and they do not
exist in QT - they will be added if this option is turned on). Switching it OFF disables auto-add feature.
Max. number of added symbols - defines the maximum number of symbols that get added using auto-add
feature descibed above. This protects QuoteTracker from becoming overloaded (AmiBroker can handle tens
of thousands symbols with ease but QuoteTracker can NOT)
Use optimized routine for intraday data retrieval - turning this on (default, recommended) significantly
speeds-up data retrieval in intraday modes. If this option is enabled and AmiBroker already has partial
intraday data for today AmiBroker asks QT just for a few last time and sales records that occurred since last
update upto current time, if this option is disabled AmiBroker always asks QT for time&sales records from
entire day.
Time difference relative to US Eastern time - the time difference (in hours) between your local time and US
Eastern time (EST). This field is needed because QuoteTracker's server reports all times in EST time zone.
This means that if you live in Australia QuoteTracker will report ASX quotes with EST time zone and they will
be 15 hours off from your local time. While AmiBroker has the setting for shifting intraday charts and this is not
a problem when running Intraday mode, it becomes a problem when using daily (EOD) mode because quotes
reported by QuoteTracker are one day off then. This setting solves this as AmiBroker adds the number of
hours entered here to the time reported by QuoteTracker to get the valid date of quote in daily mode. This
field is filled in with the difference calculated using your Windows Time settings.
Retrieve symbols from QuoteTracker - pressing "Retrieve" button adds all symbols present in
QuoteTracker to AmiBroker symbol list.
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How to set up AmiBroker with IQFeed feed (RT version only)
Note: the most recent version of this document can be found at: http://www.amibroker.com/iqfeed.html .
Please check this page for updates.
Requirements
If you don't have IQFeed CONNECTION MANAGER already installed you have to install it first. You can
download IQFeed client setup from here (version 4.2.0.7).
http://www.amibroker.com/video/IQFeed.html
To use AmiBroker with IQFeed you will need to perform a one-time setup described below:
• Run AmiBroker
• Choose File->New database
• Type a new folder name (for example: C:\Program Files\AmiBroker\IQFeed ) and click Create as shown in the picture
below:
• Choose DTN IQFeed data Plug-in from Data source combo and "Enable" from Local data storage
• Now choose Base time interval. Select 1-minute
• Enter appropriate number of bars to load:
100000 for 1-minute database to get max history (8 months) available from IQFeed
• Click on "Intraday Settings". Check "Allow mixed EOD/Intraday data" box. Click OK
• Click OK.
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From now on your AmiBroker reads quotes directly from the IQFeed.
To learn how to use AmiBroker in Real Time mode read this tutorial article.
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Tutorial
How to use AmiBroker with Interactive Brokers TWS
Note: the most recent version of this document can be found at: http://www.amibroker.com/ib.html . Please
check this page for updates.
IB PLUGIN FEATURES SUMMARY:
• supports upto 100 streaming symbols in real time (equal to IB TWS limit)
• supports all base time intervals: daily, hourly, 15-,5-,1-minute, 15-,5-second, tick
• automatic connection (no need to manually "accept incoming connection" in TWS)
• supports upto 30 DAYS intraday data BACKFILL in 1-minute bar interval
• upto 2000 bars backfill using 1-sec/5-sec/15-second bar intervals
INSTRUCTIONS:
NOTE: Interactive Brokers TWS is CPU-hungry application, therefore for best results we recommend using
machine with 1GHz processor or faster.
NOTE 2: There is a VIDEO tutorial showing how to set it up at http://www.amibroker.com/video/ib.html
To use Interactive Brokers data plugin with AmiBroker you need to:
1. run web-based TWS or download standalone TWS
2. In TWS, select Configure -> API -> Enable Active X and Socket clients
Also enter 127.0.0.1 in TWS, Configure->API->Trusted IP addresses menu to prevent "Allow
incoming connection?" dialog.
3. Run AmiBroker and create new database with Interactive Brokers plugin as a data source, following
these steps:
• Run AmiBroker
• Choose File->New database
• Type a new folder name (for example: C:\Program Files\AmiBroker\IB ) and click Create as shown in
the picture below:
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• Choose InteractiveBrokers(r) data Plug-in from Data source combo and "Enable" from Local data
storage
• Enter 30000 or more into "Number of bars to load" field
• Now choose Base time interval. Supported intervals are: EOD, hourly, 15-minute, 5-minute,
1-minute. Professional Edition of AmiBroker allows also to select Tick, 5-second, 15-second
intervals.
Note that backfill is in bar interval of 1-minute or less (TWS limitation).
If you want to have long daily histories AND intraday charts you should consider running TWO
instances of AmiBroker. One for EOD charts and second for intraday charting. Both instances may
use IB as a data source.
• Click OK.
From now on your AmiBroker reads quotes directly from the Interactive Brokers.
HOW TO USE BACKFILL FEATURE
Backfill feature in plugin 1.3.7 allows to download 24 intraday historical data to fill-in the gaps that may have
occurred when AmiBroker / TWS is not running.
IB Backfill feature is configurable from File->Database Settings, Configure :
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Two main backfill-related settings are:
1. request length
2. automatic backfill
When request length is considered, as explained in TWS API Release Notes at:
http://www.interactivebrokers.com/en/software/apiReleaseNotes/apiBetanotes.php currently IB backfill feature
is limited to some fixed duration / bar interval ranges. For example you can get maximum 2000 1-second
ticks, maximum 10000 seconds in 5-second interval (2000 bars), maximum 30000 seconds in 15-second
interval (also 2000 bars) and maximum of 5 DAYS of 1-minute bars.
By default AmiBroker uses maximum allowable amounts.
As for "automatic backfill on first data access" - when it is checked AmiBroker attempts to backfill symbol
when you display a chart for given symbol (or perform backtest or scan). Please note that TWS API currently
allows only one backfill at a time so when there is a backfill already running in the background, automatic
backfill request for next symbol will be ignored, until previous backfill is complete.
It is convenient to have this option turned on, however it can cause additional load on your internet connection
because of data needed to be downloaded during backfill process.
If you switch "automatic backfill on first data access" option off, you will still be able to backfill data for current
symbol or all symbols in real-time quote window list usign appropriate menu options from plugin status menu.
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Backfill Current option allows to force backfill of currently selected symbol, while Backfill All RT quote
window symbols allow to force backfill of all symbols listed in Real-Time Quote window. Backfill of multiple
symbols is performed sequentially (one at a time) due to limitations of TWS.
Backfill length submenu allows to select desired backfill length.
During backfilling a tooltip pops up informing the user about symbol being currently backfilled and plugin
status color changes to light blue (turquoise) as shown below:
BACKFILLING ALL SYMBOLS AT ONCE
To backfill all symbols at once do the following:
1. Open Realtime Quote window ( by selecting Window->Realtime Quote menu )
2. Right click on the Realtime Quote window and choose Add symbol / Add watch list / Type-in symbol to
add any symbols you want to backfill.
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3. Right-click on the plugin Status indicator and select desired Backfill length
4. Choose Backfill All RT quote window symbols option from the same menu.
Since Interactive Brokers severely limits number of backfills that customer may request within given time it is
advised to use backfill length as short as possible, like 1-day or 5-day and avoid long ranges like 30-days.
SYMBOLOGY
Symbol format now uses the symbol mode of TWS, not the underlying mode. The symbol mode in TWS can
be seen in the 'View->Symbol Mode' menu option in TWS.
The format is: SYMBOL-EXCHANGE-TYPE
where
SYMBOL is the same as the symbol column as displayed in TWS while under symbol mode
EXCHANGE (optional) is the exchange d in TWS while under symbol mode
TYPE (optional) is one the following:
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STK - stocks, FUT - futures, FOP - options on futures, OPT - options, IND - indexes, CASH -cash (ideal FX)
Note that for stocks only the EXCHANGE and TYPE fields are optional. The exchange will be set to BEST
(SMART) and the TYPE will be set to STK.
Please take special care when typing symbols as some of them (futures) have MULTIPLE SPACES in the
symbol name. You have to type EXACTLY THE SAME number of spaces as provided in the examples below
(see the dashes below symbol name that make it easier to see the number of characters)
Examples:
IB SYMBOL
Type
Description
CSCO
Stock
Cisco Corporation, Nasdaq
GE
Stock
General Electric, NYSE
VOD-LSE
Stock
VODAFONE GROUP, London Stock Exchange
ESM4-GLOBEX-FUT
Future
Emini ES Jun04 futures, Globex
QQQFJ-CBOE-OPT
Option
Jun 04, 36.0 CALL option QQQFJ
INDU-NYSE-IND
Index
Dow Jones Industrials Index
YM
Future
YM Jun 04 future, ECBOT
(note 3 spaces between symbol and month and 1
space between month and year)
QMN5-NYMEX-FUT
Future
QM (Crude) June 2005 future contract, NYMEX
XAUUSD-SMART-CMDTY
Commodity
London Gold Spot
IBUS500-SMART-CFD-USD
CFD (contract
for difference)
IB US500 contract for difference
EUR.USD-IDEAL-CASH
EUR.USD-IDEALPRO-CASH
Cash Forex
EURUSD currency pair, IDEAL
EURUSD currency pair, IDEALPRO
JUN 04-ECBOT-FUT
---
Again:
ECBOT futures symbols have length of 21 characters with 3 spaces between contract symbol and month
name and one space between month and 2 digit year
spa
Year
ce
Contract 3 spaces
Month
-
E
C
B
O
T
-
F
U
T
Z
B
J
U
N
0
4
-
E
C
B
O
T
-
F
U
T
Z
F
J
U
N
0
4
-
E
C
B
O
T
-
F
U
T
Z
N
J
U
N
0
4
-
E
C
B
O
T
-
F
U
T
Y
M
J
U
N
NOTES ON IB API LIMITATIONS:
0
4
-
E
C
B
O
T
-
F
U
T
1. Backfill is available for REAL IB accounts only (not on demo)
2. Open price is NOT provided by IB. For that reason Open field is empty in real time quote window
3. The data from IB does not include a timestamp on the trades. The current system time is used to timestamp
each tick.
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4. IB TWS streaming data are NOT tick-by-tick, but rather 0.2-0.3 second snapshots, read this for
details: http://www.interactivebrokers.com/cgi-bin/discus/board-auth.pl?file=/2/37364.html
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How to use AmiBroker with external DDE data source
Note: the most recent version of this document can be found at: http://www.amibroker.com/dde.html . Please
check this page for updates.
WHAT IS DDE
DDE (Dynamic Data Exchange) is a Windows protocol used to allow applications to exchange data. For
example, when you change a form in your database program or a data item in a spreadsheet program, they
can be set up to also change these forms or items anywhere they occur in other programs you may use. DDE
uses a client/server model in which the application requesting data is considered the client and the application
providing data is considered the server.
Thousands of applications use DDE, including Microsoft's Excel, Word, Lotus 1-2-3, and Visual Basic.
For more information about DDE as communication mechanism in Windows please follow this link:
http://msdn.microsoft.com/library/en-us/winui/WinUI/WindowsUserInterface/DataExchange/DynamicDataExchange/Abo
DDE FOR TRADERS
What DDE offers for traders? Basically real time streaming quotes. There is NO BACKFILL via DDE. Many
real-time data providers and brokerages provide ability to get real-time data by means of DDE. You should
ask your brokerage/real-time data vendor if they offer DDE link. The DDE plugin now available for AmiBroker
allows to link to (almost) any DDE source (server) supplying real-time quotes. This makes it attractive option
for all data sources that do not have dedicated plugin.
WHEN NOT TO USE DDE PLUGIN
If you are using eSignal, IQFeed, Quote.com, and any other source that has dedicated plugin - you should
use this dedicated plugin instead of DDE. This is so because dedicated plugins are ALWAYS better option
(provide more features plus they are faster) than generic DDE.
DDE PLUGIN FEATURES SUMMARY
• user-definable DDE server/topic/item for each field (open, high, low, close, volume, trade size, total
volume, bid, bid size, ask, ask size, time)
• supports upto 500 streaming symbols in real time (version 1.1.0)
• supports all base time intervals: daily, hourly, 15-,5-,1-minute, 15-,5-second, tick
• NO BACKFILL (due to the fact that most DDE sources do not provide backfill)
HISTORY
• 1.2.2 - includes "Time shift" field in the context dialog, stores configuration per-database in dde.config
file instead of in the registry plus other small improvements
• 1.2.1 - fixed problem with 'type mismatch'
• 1.2.0 - by default plugin uses regional settings numeric format now
and CPU load is decreased
• 1.1.0 - symbol limit increased from 40 to 500
• 1.0.0 - initial release (BETA)
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INSTRUCTIONS
To use DDE data plugin with AmiBroker you need to:
1. (optional *) Download the latest version DDE plugin from http://www.amibroker.com/bin/DDE.dll and
copy it to PLUGINS subfolder of AmiBroker directory.
*Version 1.2.2 of DDE.DLL (Jun 7, 2007) is already included in AmiBroker 5.00 full setup
2. Enable DDE in the 3rd party software you are using as DDE server (consult data vendor/brokerage
software documentation for details on how to enable DDE)
3. Run AmiBroker and create new database with "DDE universal data plugin" as a data source,
following these steps:
• Run AmiBroker
• Choose File->New database
• Type a new folder name (for example: C:\Program Files\AmiBroker\DDE ) and click Create as shown
in the picture below:
• Choose DDE universal data plugin from Data source combo and "Enable" from Local data storage
• Enter 10000 or more into "Number of bars to load" field
• Now choose Base time interval. Supported intervals are: EOD, hourly, 15-minute, 5-minute,
1-minute. Professional Edition of AmiBroker allows also to select Tick, 5-second, 15-second
intervals.
• Click CONFIGURE button - IMPORTANT: in the "CONFIGURE" dialog you have to setup all fields
following the description of your data vendor.
Please check also paragraph below ("CONFIGURING DDE PLUGIN TO WORK WITH YOUR
VENDOR") for detailed description. ATTENTION: you can not skip this part - without setting up fields
specifically for your data vendor, the DDE WILL NOT WORK.
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• Click OK.
The Plugin status indicator should change from Yellow "WAIT" to Green "OK" within a few seconds. If it does
not turn to "OK" state it means that either:
a) server name and/or fields are not set up correctly
or
b) DDE server (3rd party application) is not running or is not enabled
If indicator shows "OK" - then real time qutoes flow into AB. You can check it by displaying Window->Real
time quote. Note: since there is no backfill you would need to wait for at least 3 bars of data to be collected
before chart shows up.
CONFIGURING DDE PLUGIN TO WORK WITH YOUR VENDOR
Various data vendors come use different DDE connection strings, here a few typical exampels will be shown.
Most documentation of DDE uses Excel DDE syntax which looks as follows:=SERVER|TOPIC!ITEM
Server is a name of the DDE server such as WINROS, IQLINK, REUTER, CQGPC, MT, MTLink, etc.
Topic is the topic of DDE conversation. Depending on Data source topic may be just the ticker symbol (like in
IQFeed), or the field name (like in winros).
Item is the item of DDE conversation. Depending on data source it can be field name (like in IQFeed) or ticker
symbol (like in Winros).
So DDE connection string in two most common standards look as follows:
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=WINROS|LAST!MSFT
=IQLINK|MSFT!LAST
Now DDE plugin configuration screen looks like this:
In the UPPER part of the dialog you can see "DDE Server" field. In this field you should enter SERVER part of
DDE connection string (=SERVER|TOPIC!ITEM) without equation mark and without | character.
Below you can see 12 text entry boxes where you can define DDE topic and item for each data field your data
source provides. Here you should enter TOPIC!ITEM pair of the DDE connection string
(=SERVER|TOPIC!ITEM) with exlamation mark between DDE topic and DDE item.
As you can see in the picture above, DDE plugin allow you to use a few special strings, namely: {Ticker},
{Field}, {FieldSp}, {Server}, {Id} which are evaluated in run-time for each symbol separately allowing to
construct dynamic DDE strings (depending on selected ticker for example) required by most data sources:
• {Ticker} - evaluates to ticker symbol of given security
• {Field} - evaluates to the corresponding field name (without spaces), i.e. Open, High, Low, Last,
LastSize, Volume, Ask, AskSize, Bid, BidSize, Time, Req
• {FieldSp} - similar to {field} but 2-word field names have spaces, namely: "Last Size", "Ask Size", "Bid
Size"
• {Server} - evaluates to server name
• {Id} - evaluates to unique ID (running counter incremented by 1 with each symbol)
All other texts are carbon-copied, so if you write for example:
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PREFIX_{Ticker }_SUFFIX!MYTEXT
it will evaluate to =SERVER|PREFIX_MSFT_SUFFIX!MYTEXT (provided that current symbol is MSFT)
Next to field definitions we can see what given definition will evaluate to (in Excel notation). This makes it easy
to verify if definition is correct.
Sample evaluation uses always "MSFT" as a {Ticker}, and 34 as {id}.
If your data source does not provide all fields you can make given field empty. Note that for proper operation
the "Last" price (the price of last trade) is required. If your data source does not provide "last" price (most of
forex sources don't have "last") you can force DDE plugin to use "Bid" instead. For that you should make
"Last" field blank and provide appropriate DDE topic!item pair in "Bid" field. Please also note that Topic!Item
pairs should evaluate to unique values.
In the top part of the dialog you can see "Preset" combo-box.
As of now it allows to pre-set the fields using two generic schemes:
a) {Field}!{Ticker} - "last price" evaluates to =SERVER|Last!MSFT
b) {Ticker}!{Field} - "last price" evaluates to =SERVER|MSFT!Last
In the future "Preset" box will contain more presets for various DDE source that you submit.
A FEW EXAMPLES
Connection examples are shown on the web page: http://www.amibroker.com/dde.html
TEST PLATFORMS
DDE plugin has been tested and it is known to work properly on Windows XP (32 bit DDE) and Windows 9x
(16 bit DDE).The following DDE servers are verified by us to work properly:
• IQLINK (DTN)
• WINROS (eSignal)
• MT (Metaquote)
DDE plugin does NOT work with the following DDE servers:
• VTSPOT (Visual Trader) - due to improper coding in VisualTrader that causes Microsoft DDEML
library DdeConnect function to hang on the very first connection attempt
All other DDE servers not listed above should work properly. Contact support at amibroker.com in case of
problems.
HELP US TO HELP THE OTHERS:
In order to help the others to configure DDE plugin for their data vendor, once you succeded to link with your
particular vendor please drop as a note with a screenshot of the CONFIGURE dialog and name of the source.
This will be later included in this document as a reference how to use various data sources. Also working
setups will be added to "presets" combo for easy one-click configuration.
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NOTES ON DDE PLUGIN:
1. There is NO BACKFILL in DDE plugin. You can use however ASCII importer (this includes AmiQuote) to
import historical data right into the database that you will update later in real time using DDE plugin.
2. Change, % change fields are NOT available (yet)
3. Time and Req fields are now ignored (this may change in the future)
4. The current system time is used to timestamp each tick.
5. When your source does not offer "LAST" price (like several Forex sources) you should make "Last" field
EMPTY in the configuration dialog. This will tell the plugin to use "BID" field instead.
6. Plugin status (connected/disconnected) always initially comes up with "Wait" state (Yellow indicator). It
means that no DDE conversation has been established. If at least ONE DDE conversation starts successfully
it will turn to "OK" state (green indicator). If DDE server was not running at first attempt to connect, the plugin
wil NOT attempt to reconnect automatically. Instead you should force reconnection manually (see point 7).
The indicator may turn to "Disconnected" (red indicator) only in two cases:
a) you were connected properly but DDE server (3rd party app) has been closed
b) you selected "shutdown" from plugin status menu
7. You can reconnect at any time by selecting "reconnect" from plugin status menu.
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How to work with Real-Time data plugins
One-time setup
In order to use AmiBroker with any real-time data source you have to set up the database with
appropriate data plug-in first. This is required only once at the database creation time. Instructions for
setting up are available here: eSignal, myTrack, IQFeed, QuoteTracker.
Check also on-line data sources page at http://www.amibroker.com/quotes.html for new plugins.
Adding symbols
Now you can add symbols to your database. To do so please go to Symbol->New menu. In the add symbol
dialog enter one or more tickers (comma separated) you wish to add to your database. If you want to see the
chart for newly added symbol just select it from the Symbol tree in the workspace window. Please allow few
seconds (depending on the speed of your internet connection) to backfill historical data.
You may add more tickers that your RT account allows. AmiBroker will automatically switch/update/refresh
symbols so the most recently used symbols are active and older ones are automatically removed from Data
manager. Doing so however may lead to some problems if you exceed your subscription limits too much. So it
is advised to use this feature responsibly and not expecting getting 500 symbols while your subscription is
limited to only 50.
Note that the above mechanism does not apply to real time quote window and it can not hold more symbols
than your subscription limit.
Showing real time quote window
AmiBroker RT features real-time watch window that allows you to watch
streaming quotes. To show this window choose Window->Realtime Quote
menu. (see image to the right ---->)
To add symbols to Realtime quote window you either double click on the
symbol tree or use right mouse button menu Add to Realtime quote option as
shown in the picture above.
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Working with real time quote window
The RT quote window provides real-time streaming quotes and some basic fundamental data. It is fairly easy
to operate as shown in the picture below:
You can also display context menu by pressing RIGHT mouse button over RT quote window.
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The context menu allows you to access the following options:
• Time & Sales
Opens Time & Sales window that provides information about every bid, ask and trade streaming from
the market.
• Easy Alerts
Opens Easy Alerts window that provides way to define realtime alerts executed when bid/ask/last and
other fields hit user-defined levels
• Add Symbol
Adds current symbol to Real-Time Quote list
• Add watch list...
Adds entire watch list to real-time quote window
• Remove Symbol
Removes highlighted line (symbol) from the Real-Time Quote list.
• Remove All
Removes all symbols from real-time quote list
• Hide
Hides Real-Time Quote list
Bid/ask trend indicator
Version 5.90 adds Bid/Ask trend - a graphical indicator showing the direction of 10 most recent changes in
real-time bid/ask prices. The right-most box is most recent and as new bid/ask quotes arrive they are shifted
to the left side. Color coding is as follows:
• Dark green: bid > previous bid OR ask > previous ask
• Bright green: bid > previous bid AND ask > previous ask
• Dark red: bid < previous bid OR ask < previous ask
• Bright red: bid < previous bid AND ask < previous ask
• Red / Green box: ask < previous ask AND bid > previous bid
• Green / Red box: ask > previous ask AND bid < previous bid
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If bid/ask prices don't change there is no new box. NOTE: This column works only if there are real-time quotes
streaming (markets are open)
Working with intraday and daily charts
If your data source supports mixed EOD/Intraday mode (such as eSignal or IQFeed) you can use single
database for both types of charts.
However if your data source does not support mixed EOD/Intraday mode and if you want to have long daily
histories AND intraday charts you should consider running TWO instances of AmiBroker. One for EOD charts
and second for intraday charting. Both may use the same real-time data source.
Connection status display
The data plug-in connection status is displayed in the plugin status display area located in the lower right part
of the AmiBroker main window as shown in the picture below. When connection status changes AmiBroker
plays a beep sound and pops up bubble tool tip to inform about status change.
The bubble tip provides more detailed information text and disappears automatically after 2 seconds.
If you want to re-display it just hover your mouse over plugin status display area.
To enable quick examination of connection status AmiBroker displays color coded information:
• OK (green light) means that connection is OK and indicates correct operation of the plugin
• WAIT (yellow light) means that connection is being set-up right now or the plugin is connected only
partially (to few of many servers). Usually this state is transient and within few seconds the status
comes back to "OK".
• ERR (red light) means that connection is broken. It may mean invalid user name/password for your
subscription, or the fact that some 3rd party component / program required is not running (for example
if QuoteTracker is not running and you are using QuoteTracker plugin). This state usually requires
some user intervention such as checking/fixing user/password in File->Database Settings->Configure
or running required component. When you fix the reason the plugin will automatically attempt to
reconnect (and if reconnect is successfull then "OK" will be displayed)
• SHUT (purple light) means that some serious problem occurred and the plugin will not attempt to
reconnect automatically. In most cases you have to first fix the problem that caused this state and
then reconnect manually using plugin context menu described below. Alternativelly you can just
restart AmiBroker.
Using plugin context menu
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Real time plugins provide some additional controls via plugin context menu. This context menu is available
when you click with RIGHT mouse button over plugin status display area. If you do, the menu like this will be
displayed:
Please note that various plugins offer various options in this menu, however most plugins provide at least 3
basic and useful options:
• Reconnect - this option allows you to reconnect manually. Most RT plugins attempt to reconnect
automatically, but sometimes manual reconnect is necessary.
• Shutdown (Disconnect) - this allows to shutdown RT plugin. This is useful when you want to stop
streaming of quotes.
• Force backfill - this option causes that plugin re-downloads entire (intraday) history from the server.
Usually the plugin automatically handles all backfills so you don't need to trigger backfills by hand. If
the plugin detects that you have some missing quotes from last available bar till current date/time it
triggers backfills and it is all automatic. But... in at least two cases this option is useful:
♦ backfilling more bars after settings change (when you enlarge 'number of bars to load' in
File->Database Settings dialog you have to force backfill for symbols that were backfilled
previously with smaller number of bars)
♦ cleaning up bad ticks (when you see a bad tick you may try forcing backfill in hope that data
vendor has cleaned up its database and you will get fixed data - works well for eSignal that
really appears to fix bad ticks after they happen)
Things you should NOT do, or you should do very carefully
You should note the fact that when you are using data plugin then the plugin controls the quotation database
(see Understanding database concepts article), therefore you should NOT import quotes from ASCII files (this
includes AmiQuote) for symbols that are already present in the real-time database.
If you do, the plugin will eventually overwrite your imports with the real-time data or your database will become
corrupted (if you import end-of-day data over intraday database).
So please do not import ASCII (especially EOD data) into real-time intraday database fed by the plugin.
You may ask: why this is not disabled at all. The answer is that sometimes it is useful and sometimes it will
work (but these are rare cases). For example it will work if you import INTRADAY data into the intraday
database fed by QuoteTracker plugin and both the database and imported data have exactly the same bar
interval.
It also works if you import the data for symbols that are NOT present in the database. In this case newly
imported symbols are marked by ASCII importer as "use only local database for this symbol" (See Information
window for details), so they are EXCLUDED from the real-time update. This is useful if you want to import
some other data (even not quote data) and access it via Foreign function while using your real-time database.
So ASCII import is not disabled in real-time database but you have to use it with extreme care and know what
you are doing.
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Second thing is using Quote Editor. Although data are controlled by the plugin it is in most cases possible to
use Quote Editor. However please note that you will be able to edit only 1-minute data or higher interval, and
you will be able only to edit symbols that are backfilled completely (there is no running backfill for the
particular symbol) and you will NOT be able to edit last three bars. This is so because last three bars are
cached in the plugin. So you will be able to edit them only when new bars arrive making them 'older' than last
three.
'WAIT FOR BACKFILL' feature
The users of eSignal, myTrack and IQFeed real-time plugins may now check "wait for backfill" box in the
Automatic analysis window and all scans, explorations and backfills will wait for completion of backfill process
for given symbol. This flag has no effect on databases that do not use plugins (external data sources) or use
end-of-day plugins (like FastTrack, QP2, TC2000/TCNet, etc). This flag has also no effect when using QT
plugin due to the fact that QuoteTracker manages backfills by itself and does not provide any control of
backfill process to 3rd party applications.
BACKFILLING ALL SYMBOLS AT ONCE
To backfill all symbols at once in the data source that supports "Wait for backfill" feature (IQFeed, eSignal),
one can use Analysis window. The procedure is as follows:
1. Open Formula Editor and type a simple single-line rule like below and choose Tools->Send to Analysis
Buy = 1;
2. In the Analysis window select Apply to: *All symbols and Range: 1 recent bar
and turn on Wait for backfill option.
3. Press Scan button
The Analysis window will iterate through all symbols, requesting backfill for each symbol and waiting until the
data arrive, so at the end of the scan all symbols will be backfilled.
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How to use AmiBroker with external data source (Quotes Plus,
TC2000/TCNet/TC2005, FastTrack, Metastock)
One of the new features introduced in AmiBroker version 3.90 is the ability to read directly external databases.
This is achieved by means of data plug-in DLLs that allow to link AmiBroker database with an external source.
Please note that althrough you will be using external database, you will still need an AmiBroker database for
storing additional information that is not supported by the external source like hand-drawn studies,
assignments to groups, watch lists, composites and so on. You can find more information on AmiBroker
database handling here.
One-time setup
To use an external data source with AmiBroker you will need to perform a one-time setup described below:
• Run AmiBroker
• Choose File->New database
• Type a new folder name (for example: C:\Program Files\AmiBroker\NewData ) and click Create as
shown in the picture below:
• Choose appropriate entry from Data source combo:
♦ Quotes Plus users select "Quotes Plus plug-in" as a Data Source and "Disable" from
Local data storage
♦ TC2000/TCNet users select "TC2000/TCNet plug-in" as a Data Source and "Enable" from
Local data storage
♦ TC2000 for Mutual Funds users select "TC2000 Mutual Funds plug-in" as a Data Source
and "Enable" from Local data storage
♦ TC2005 users select "TC2000/TCNet plug-in" as a Data Source and "Enable" from Local
data storage
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Note: TC2005 users may need to follow these instructions (click here) if TC2000 plugin does
not show up.
♦ FastTrack users select "FastTrack plug-in" as a Data Source and "Disabled" from Local
data storage
♦ Metastock users select "Metastock plug-in" as a Data Source and "Disable" from Local
data storage
• Click on Configure button to show plugin configuration dialog as shown below
• Metastock plug-in only (skip this point in case of TC2000, Quotes Plus, FastTrack ):
Click on the "Add folder" button to add Metastock database directory as your data source (browse for
Metastock MASTER file and click OK) as shown below:
- you can add unlimited number of Metastock directories effectivelly overcoming MS 4096 symbols
limitation.
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• Click Retrieve button - this will setup a new database with all symbols and full names. Quotes Plus
and TC2000 plugins will also setup your sectors/industries names and assignments, as shown below
(in case of Quotes Plus plugin):
From now on your AmiBroker reads quotes directly from the external data source. No need to import/update
quotes anymore. All new quotes will appear automatically without user intervention.
IMPORTANT: If there are new symbols added or old symbols deleted to/from the external data source, you
will need to go to File->Database Settings->Configure and click "RETRIEVE" again to get new symbols.
Plug in performance notes
Using AmiBroker native database gives absolutely the best performance (it takes less than 2 milliseconds to
retrieve 1000 data bars).
Metastock plugin is also quite fast, as it can retireve 1000 bars in about 6-7 milliseconds (including looking up
for symbol in 5 different directories). In fact AmiBroker can access Metastock data faster than Metastock itself
:-)
Quotes Plus performance depends on various factors - first access can be much slower (0.1-0.2 sec for 1000
bars) but subsequent accesses are faster (downto 5 milliseconds). FastTrack plugin is as fast as Quotes Plus
plugin.
TC2000 is not as fast, especially if you are using data only on CD. So it is advised to copy your database to
hard disk for better performance. But still, even when using CD-only data, AmiBroker ca access 1000 bars
from TC2000 in about 0.25 sec (first access) and 0.015 sec (subsequent accesses). Also it is advised to
enable "Local data storage" when using TC2000 plugin because it gives tremendous (>10 times) speed-up
(once you access the TC2000 data, AmiBroker caches them in its own native database for fast retrieval).
Times are approximate and do not include one-time plug-in initialization process. Measurements where done
on fairly low-end Celeron 600 based computer with 196KB RAM and 24x CD-ROM
In-memory caching
By default AmiBroker holds only 10 the most recently accessed symbols' data in RAM. This takes up about
320 KB (yes, kilobytes) of memory for 1000 bars per symbol loaded. You can enlarge "In memory cache"
(Tools->Preferences : "Data" tab) to 100 (approx. 3.2MB additional RAM consumption ) or 1000 (approx.
32MB additional RAM consumption) or even more to get much better performance for subsequent data
access (once data are in RAM AmiBroker does not need to ask plugin again and again)
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How to update US quotes automatically using AmiQuote
QUICK START
Run AmiBroker
Choose Tools->Auto-update quotes (US & Canada)
HOW IT WORKS
AmiQuote loads (or retrieves from AmiBroker) a ticker list file (.TLS) which is simple ASCII file with ticker
symbols, then parses it and generates URLs to the Yahoo! finance site based on ticker name, mode (current
quotes or historical), country and From/To date. Then, when you start the download process, it requests the
data from Yahoo and stores downloaded data in the separate .AQD (daily) or .AQH (historical) files for each
ticker. After download, if AmiBroker is running, AmiQuote will import the quotes into AmiBroker automaticaly.
USAGE
Automatic update
The easiest method to work with AmiQuote and AmiBroker is to use the procedure given in Quick Start
section of this document. Just run AmiBroker and AmiQuote and choose Tools->Auto-update AmiBroker
database. This method updates historical quotes from the last date present in AmiBroker upto today. When
performing automatic update, AmiQuote performs internally 4 steps a) retrieves the ticker list from AmiBroker
(all symbols loaded currently in AmiBroker);
b) gets the last quotation date available in AmiBroker;
c) performs historical download from last date upto today;
d) instructs AmiBroker to import downloaded files.
Please note that this procedure works only for US & Canada markets, because Yahoo provides historical
quotes only for that markets.
Note that AmiQuote currently supports a new command line parameter: /autoupdate. This option forces
AmiQuote to perform automatic update procedure without user intervention.
By default AmiBroker's Tools menu is configured as follows:
C:\Program Files\AmiBroker\AmiQuote\Quote.EXE /autoupdate
So, you are able to update your US database with a single click on Tools->Auto-update quotes (US &
Canada) in AmiBroker
Manual operation
Automatic mode is nice but there are cases when you have to perform some tasks manually. There is a good
old document describing that mode of operation at: How to download quotes manually using AmiQuote .
Everything written in this document remains valid with one exception - now importing to AmiBroker are
performed automatically if you have Automatic import checkbox marked.
There are also several cases when you prefer to do things manualy, then please don't forget about some
useful tools available at your fingertips:
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File->Open, File->Save, File->Save As
These functions enable you to load and save your edited ticker lists for future repeated use.
Edit->Add tickers
This function allows you to add the tickers to the list. Just type space separated tickers into
the field that will show up when you choose this function.
Edit->Delete tickers
This function allows you to delete tickers from the list. Just select the items you want to delete
from the list view (multiple selection possible by holding SHIFT or CTRL key while clicking on
items), and choose this function.
Edit->Mark all, Edit->Unmark all, Edit->Toggle, Edit->Mark selection, Edit->Unmark selection
These functions allow you to mark the tickers for download. Please note that AmiQuote puts a
checkmark before ticker name in the list view. ONLY MARKED items will be downloaded.
This allows you to perform selective downloads/updates.
View->Refresh
Basically AmiQuote handles refreshes by itself when needed. For example if you changed the
date range, the list will be refreshed before starting download. But there are some cases
when you may want to refresh the list by yourself. For example if you downloaded and
imported quotes once and want to do this again you would need to choose this function. The
Refresh function simply applies all date and type settings to the URLs listed, and MARKS all
tickers for a new download.
Tools->Import into AmiBroker
This function is useful if you want to import just downloaded quotes into AmiBroker but you
have Automatic import checkbox cleared.
Tools->Get tickers from AmiBroker
This function retrieves all symbols from currently loaded AmiBroker database and fills the
AmiQuote ticker list with them.
Tools->Get last update date
This function retrieves the date of the most recent quotation of the first symbol present in
currently loaded AmiBroker database and sets the From date to this date.
Tools->Settings
Displays the settings window where you can define the destination directory where all
downloads are stored. Note that blank destination directory means that downloads will be
stored in the current working directory (in most cases this is the folder from where current
.TLS file was loaded).
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In this window you can also change the mode of writing the files. By default historical files are
overwritten while daily files get appended. This is recommended setup. Appending daily files
simply allows you to create intra-day historical files when you do the updates daily. You may
change this behaviour for your particular purpose.
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How to download quotes manually using AmiQuote
Introduction
The purpose of this document is to explain how to use AmiQuote and AmiBroker in order to obtain quotes
from Yahoo finance and Quote.com sites. AmiQuote is a companion program to AmiBroker charting/analysis
software. The main purpose of AmiQuote is to simplify and automate downloading daily and historical
quotation data from free Yahoo! Finance (USA, major European exchanges and some other countries),
Quote.com (USA only) sites, MSN (USA and some European exchanges), Integratir (US stocks), Forex
(Finam free site)
Yahoo provides data in "Historical" and "Current" modes of AmiQuote. Quote.com provides data in "Intraday"
mode of AmiQuote.
Preparing ticker list
A ticker list is a simple text file which lists line by line the tickers you want to import. The AmiQuote ticker list
file has .TLS extension. AmiQuote comes with pre-written ticker list for components of main NYSE and
NASDAQ indices and a number of European indices/markets. Additional ticker lists are available on the
starter page at: http://www.amibroker.com/starter/. You can use those pre-written ticker lists or you can
customize them or write your own one. In order to edit existing .TLS file or write completely new one all you
need is plain text editor such as Notepad or any other plain ASCII editor (not MS Word!). All you have to do is
to write tickers you want to import line by line (single ticker in single line) and save the file. Please make sure
that you are saving the file with .TLS extension. Otherwise AmiQuote will not load this file.
Please note that Yahoo uses suffixes for non-US stocks. So in order to get quotes for non-US symbol you
would need to add appropriate suffix to the ticker symbol. The suffixes in alphabetical order are (you can click
on link to get the symbol list for each exchange) : .AS - Amsterdam, .AX - Australia (ASX), .BC - Barcelona,
.BE - Berlin, .BO - Bombay, .BM - Breman, .BR - Brussels, .BA - Buenos Aires, .CL - Calcuta, .CR - Caracas,
.V - CDNX, .CO - Copenhagen, .D - Dusseldorf, .F - Frankfurt, .H - Hamburg, .HA - Hanover, .HK - Hong
Kong, .I - Ireland, .JK - Jakarta, .KA - Karachi, .KQ - Kosdaq, .KS - KSE, .KL - Kuala Lumpur, .L - London, .LM
- Lima, .LS - Lisbon, .MA - Madrid, .MX - Mexico, .MI - Milan, .MU - Munich, .NS - NSE, .NZ - New Zeland,
.OL - Oslo, .PA - Paris , .SN - Santiago, .SS - Shanghai, .SZ Shenzhen, .ST - Stockholm, .SG - Stutgart, .TW
- Taiwan, .TA - Tel Aviv, .TO - Toronto, .VA - Valencia, .VI - Viena, .DE - XETRA, .S - Zurich.
Please note that also Yahoo and Quote.com use different symbols for indices. The main difference is that
Yahoo uses ^ (dash) prefix and Quote.com uses $ (dollar) prefix.
For list of indices provided by Yahoo please click here.
For list of indices provided by Lycos/Quote.com please click here. Please note that recently
Lycos/Quote.com stopped delivering free quotes and you need to have Livecharts subcription ($9.95/month)
in order to use it. For more details see this Knowledge Base article.
For list of symbols provided by MSN please click here.
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Downloading data
In order to download the data please launch AmiQuote. Then please
click on "Open" button in the toolbar (or choose File->Open menu) as
shown in picture on the right.
From the file dialog please choose one .TLS file (for example DIJA.TLS)
and click Open button. The you will see the main screen of AmiQuote
filled with the list of tickers loaded, as show in picture below.
Choose appropriate Data Source
- Yahoo Historical - allows you to download end-of-day histories upto current day (current day data appear
few hours after session end)
- Yahoo Current - allows you to download current day quotes (15-min delayed) during the trading session
- Lycos/Quote.com Intraday - allows you to download intraday and daily historical data (1-min bars and up) for US stocks/futures only. If you have choosen this mode you should also select the bar interval (see the
limitations described below) - need Livecharts subscription ($9.95/month)
- MSN Historical - allows you to download end-of-day histories upto current day (current day data appear few
hours after session end)
- Forex - allows you to download end-of-day and intraday (registered version) histories for the following
currency pairs: EURCHF, EURGBP, EURJPY, EURUSD, GBPUSD, USDCHF, USDJPY
After choosing correct options please click on green arrow (or use File -> Start Download menu). The
download process will begin. AmiQuote will display progress messages and status information including
number of completed downloads and number of files left. At anytime you can stop download process with
"Stop" button (red box). After finishing the download AmiQuote will automatically update the quotes in
AmiBroker (if only AmiBroker is running in parallel and "automatic import" box in AmiQuote is checked.
Limitations
Intraday interval bar data (1-min, 5-min, 15-min, 60-min and 120-min) are available for US securities only.
Historical data for international exchanges are usually much shorter than for US markets.
Because intraday bar data are downloaded from Quote.com servers the ticker symbols for indices are
different than those used by Yahoo. For complete reference please check
http://finance.lycos.com/home/misc/symbol_search.asp?options=i
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Intraday bar data are limited to 500 bars regardless of bar interval. In other words you always get 500 bars
data, whenever these are 1-min, 5-min, 15-min, 60-min or 120-min data - so by choosing bigger interval you
get data from more days. This is the limitation imposed by Livecharts server.
Importing quotes into AmiBroker
NOTE: This step is no longer necessary if you are using "automatic import" feature of AmiQuote. The
explanations are provided only for users wanting to import selectively or re-import files downloaded
in the past.
First, please launch AmiBroker. From the File menu please select Import From ASCII option. You will see
the following file dialog:
In this picture I marked the most important items for easy identification. Marked with red is type selector
combo-box ("Files of type"). In order to import AmiQuote files (those with .AQH and .AQD extensions you
should choose AmiQuote Historical or AmiQuote Daily, or AmiQuote Intraday (.AQI) or AmiQuote MSN
(.AQM) or AmiQuote eSignalCentral (.AQE) from the combo box (red arrow shows those options).
After choosing right type you will see only files of appropriate type in the file list (blue arrow shows that). Now
you can select one or more files from the list. Multiple selection is possible by holding CTRL key depressed
while selecting the items with a mouse (you can also press SHIFT for choosing a range of files with a single
click). Now when you are done choosing the files you want to import just click "Open" button. The import
process will start and you will see progress bar showing the AmiBroker is importing the data. After finishing
the import AmiBroker will automatically refresh symbol list and you will see updated tickers and charts. If
anything goes wrong with the import process AmiBroker writes a log file called "import.log" and located in
AmiBroker's main directory. You can watch this log file if you want to find out what went wrong (since
import.log is simple text file you can open it with any text editor)
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Common questions
Question
Answer
How can I edit my
You can create or edit .TLS using Windows Notepad. When saving a file simply give
own ticker list
.TLS extension to the file (instead of the default. TXT)
(.TLS) file?
There are following ready-to-use ticker lists available for download:
What about
ready-to-use
complete ticker
lists for NYSE,
NASDAQ, AMEX?
• DJIA.TLS (30 stocks)
• DJTA.TLS (20 stocks)
• DJUA.TLS (15 stocks)
• NASDAQ100.TLS (100 stocks)
• NYSE.TLS (2612 stocks)
• NASDAQ.TLS (4464 stocks)
• AMEX.TLS (794 stocks)
Further information
For further information please consult AmiBroker User's Guide section "Data management - Importing data
from ASCII file". In case of any further questions, comments and suggestions please contact me at:
[email protected]
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Metastock importer window
IMPORTANT NOTE: Metastock importer should be used ONLY if you want to import MS data to native, local
AmiBroker database once. If you want AmiBroker to just read Metastock database DIRECTLY without need to
import new data over and over please set up your database WITH METASTOCK PLUGIN as described in the
Tutorial.
NOTE 2: if you setup your database with the MS plugin you should NOT use Metastock importer, because
there is no point in using it when your data are already fed by the plugin.
Metastock importer opens AmiBroker to very rich source of historical data. The importer supports both old
Metastock 6.5 and new 7.x (XMASTER) formats.
Basically Metastock data consist of:
• MASTER/EMASTER file which holds general information about the tickers, stock names, etc.
• F1.DAT....Fxx.DAT files which hold actual quotation data
The MASTER/EMASTER file is essential because it holds the references to Fxx.DAT files. Fxx.DAT files store
only quotations in either 5 field (date/high/low/close/volume), 6 or 7 field
(date/open/high/low/close/volume/openinterest) format. As you see MASTER/EMASTER and Fxx.DAT files
are closely connected and you need them all to import the data.
Usage
To import Metastock data you should do the following:
• Choose Metastock import from the menu
• Using the directory requester (Browse...) select the location of data in Metastock format (the directory
with MASTER/EMASTER and Fxx.DAT files)
• After choosing proper directory AmiBroker will display the list of available symbols and date ranges.
By default all available symbol will be marked for importing (checkmark at the beginning of the list).
Now you can exclude some symbol from the import list by clicking appropriate item in the list
(checkmark will toggle when you click).
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• You can decide to which group and watch list the new symbols are added using Group and Watch
List combos.
• After making your selections push 'Import' button to start the process of importation.
• During the process you can cancel the operation by clicking 'Abort' button in the progress window
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Understanding AmiBroker database concepts
Background
A typical Windows application, for example, Paint, works with a SINGLE file. You just open and save that
single file (.BMP in Paint, or .DOC in MS WORD), and that file holds all the necessary information.
AmiBroker is a more complex piece of software. It uses huge amounts of data (all quotes from different
tickers, hand drawn studies, assignments to groups, markets, watch lists, favorites, industries, sectors, etc.),
so it must manage multiple files.
It would actually be possible to save all this information in a single file, but it would be (a) huge, and (b) slow
to update selectively. So AmiBroker uses multiple files for storing all the data. There are a lot of files
associated with any database. The files for a particular database are stored in a directory (and its
subdirectories) specific to that database. In AmiBroker documentation, such a directory is referred to either as
a "database directory" (versions 3.9 or later) or as a "workspace directory" (earlier AmiBroker versions).
When you install AmiBroker for the first time, a default database directory is created, called 'data', in the
AmiBroker directory. This database directory contains a sample Dow Jones Industrial Average database.
In AmiBroker database menu and dialog selections, you are choosing or creating a database
directory, not an individual file.
AmiBroker database structure
A database (or a workspace) is a directory that holds a set of binary files, which are stored in 0-9, a-z, '_'
subdirectories. Those binary files hold quotes, symbol information, your studies (trend lines, Fibonacci stuff).
Each symbol's information is stored separately in the file with the name of the ticker symbol located in the
subdirectory corresponding to the first character of the symbol, so IBM quotation data/studies are stored in the
'IBM' file located in the 'I' subdirectory.
The default database for AB is the 'data' directory. It contains DJIA sample data. You may create additional
databases in other directories via the File->'New database' menu.
In addition to these subdirectories and files, two additional files are also created by AmiBroker:
broker.workspace and broker.master. The first is used to store category names and information about
advancing/declining/unchanged issues. The latter stores the table of all symbols that is used for quick loading
of the database. These two files are located in the root directory of each database, the 'data' directory, by
default.
In almost all cases, you should NOT touch files in an AmiBroker database, as the program manages
them automatically, and no user intervention is required.
What about the external data?
AmiBroker 3.9 has the ability to read quotes DIRECTLY from an external data source. Currently, AmiBroker
can read directly from Quotes Plus (QP2), TC2000 (TC2K) and Metastock (MS) databases. This is achieved
by means of data plug-ins that AmiBroker uses to read the data from an external data source. When a user
decides that she/he wants to use an external database - AmiBroker - instead of reading the quotes from its
own database - just asks the plug-in for quotes for any given symbol. The plug-in reads the external database
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and feeds the data to AmiBroker. The whole process is shown in the picture below:
As you can see, data plug-ins provide read-only access to the quotes in the external database. This means
that your external data sources are never modified by AmiBroker. Changes or additions that you make to data
and charts (like hand drawn studies, assignments to categories, etc.) are always saved in AmiBroker's own
database. So AmiBroker still uses its own database (to save changes, as a cache to speed up access,
and for other tasks), even when using an external data source.
The Data source switch represented in the graphic above can be set by the user to access various external
databases. External data sources are selected by going to the File->'Database settings' dialog, shown below:
You may also choose to store the quotes retrieved from the external source to AmiBroker's own database for
faster retrieval in subsequent accesses. If you want to do this, you should switch the 'Local data storage'
setting to 'Enabled'.
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Note: Similar settings can be found in the Tools->Preferences 'Data' tab, but these are only defaults used
when creating new databases. File->Database Settings configurations always take precedence over
those done in Preferences -- EXCEPT in the following cases: If you choose the 'Default' entry in the
Data Source drop down list (shown above), or the 'Default' radio button for Local Data Storage (also
shown above), AmiBroker will use your Preferences settings for those items.
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Understanding categories
AmiBroker has an ability to assign symbols to different categories allowing you (when properly set up) to
narrow your analysis searches to the symbols meeting certain selection criteria (thanks to Filter feature
available in Quick Review and Automatic Analysis windows). The initial set up of categories may be a little bit
complicated especially when you want to track several thousands symbols.
Categories show up in Symbols window. First and foremost thing
to remember is categories do NOT work like folders and
Workspace window does NOT work like Windows Explorer.
The difference is fundamental. In the Windows Explorer file
appears (usually) only once in the given tree leaf.
In the symbol tree given symbol shows up multiple times because
it appears in every category leaf to which it belongs to even if this
is the same symbol and only it exists only as single entity.
Symbols window is divided into three parts:
a) search box
b) category tree
c) symbol list
The search box allows to perform full text searches (including
wildcard matching) against symbol and full name within selected
category. So for example if you select "Technology" sector and
type A* (letter 'A' and wildcard character *) the symbol list will
show all symbols belonging to Technology sector with symbol or
full name beginning with letter 'A'. Another example would be
tping *-A0-FX - this will return all forex symbols on eSignal
database (those ending with -A0-FX substring).
The category tree (see the picture) shows different kind of
categories.
The symbol list (bottom part) shows the list of symbols belonging
to selected category. The symbol list can be sorted by symbol or
by full name. To sort just click on the header row of the list. Once
you choose desired sorting order it will be kept for all subsequent
category choices and searches. Also the order of columns can be
changed so Full name column appears as first one. To re-arrange
column, click on the column header, hold down the moust button
and drag the column to desired location. Then release mouse
button.
Single symbol belongs to MANY categories at the same time. For
example AAPL (Apple Inc.) will belong to:
• Stocks group category
• Nasdaq market category
• Information sector category
• Comp-Computer Mfg industry category
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and may also belong to several watch lists and favorites category.
All at the same time. That's why one symbol will appear in many
leaves of the workspace symbol tree. Now if you delete the
SYMBOL it will of course disappear from ALL categories because
you have deleted the symbol itself, not its assignment to category.
There are two types of categories:
1. with mutualy exclusive membership: groups, markets, sectors/industries, GICS - it means that symbol
must belong to single group, single market and single sector/industry at a time. You can move the
symbol from one group/market/sector/industry to another but you can not remove this assignment you should create "Unassigned" group/market/sector/industry instead and move 'unassigned' symbols
there.
2. with free membership: watch lists/favorites/indexes- it means that a symbol may belong to ANY
number (including zero) of watch lists (and to favorite/index category too). In this case you can
remove this assignment by Watch List->Remove
Watch lists are covered in detail in the User's Guide: Tutorial: Working with Watch Lists.
There is also one special category called "ALL" that shows up in the workspace symbol tree. It simply lists
ALL symbols present in the database.
Working with sectors and industries
Basics - predefined sectors and industries
Now we will focus on setting up sectors and industries and assigning the symbols to them. First let me discuss
some basic ideas.
AmiBroker comes with an example Dow Jones Industrials database holding all 30 components of this world's
most famous market average. They are assigned to predefined sectors and industries. These sectors and
industries are exactly the same as used on Yahoo finance site and here is a table which shows them all:
Sector
Industry
Chemical Manufacturing
Chemicals - Plastics & Rubber
Containers & Packaging
Fabricated Plastic & Rubber
Basic Materials (0)
Forestry & Wood Products
Gold & Silver
Iron & Steel
Metal Mining
Misc. Fabricated Products
Non-Metallic Mining
Paper & Paper Products
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Aerospace & Defense
Constr. - Supplies & Fixtures
Constr. & Agric. Machinery
Construction - Raw Materials
Construction Services
Misc. Capital Goods
Mobile Homes & RVs
Conglomerates (2)
Conglomerates
Apparel/Accessories
Appliance & Tool
Audio & Video Equipment
Auto & Truck Manufacturers
Consumer Cyclical (3)
Auto & Truck Parts
Footwear
Furniture & Fixtures
Jewelry & Silverware
Photography
Recreational Products
Textiles - Non Apparel
Tires
Beverages (Alcoholic)
Beverages (Non-Alcoholic)
Consumer/Non-Cyclical (4)
Crops
Fish/Livestock
Food Processing
Office Supplies
Personal & Household Prods.
Tobacco
Coal
Energy (5)
Oil & Gas - Integrated
Oil & Gas Operations
Oil Well Services & Equipment
Consumer Financial Services
Insurance (Accident & Health)
Insurance (Life)
Financial (6)
Insurance (Miscellaneous)
Insurance (Prop. & Casualty)
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Investment Services
Misc. Financial Services
Money Center Banks
Regional Banks
S&Ls/Savings Banks
Biotechnology & Drugs
Healthcare (7)
Healthcare Facilities
Major Drugs
Medical Equipment & Supplies
Advertising
Broadcasting & Cable TV
Business Services
Casinos & Gaming
Communications Services
Hotels & Motels
Motion Pictures
Personal Services
Printing & Publishing
Services (8)
Printing Services
Real Estate Operations
Recreational Activities
Rental & Leasing
Restaurants
Retail (Apparel)
Retail (Catalog & Mail Order)
Retail (Department & Discount)
Retail (Drugs)
Retail (Grocery)
Retail (Home Improvement)
Retail (Specialty)
Retail (Technology)
Schools
Security Systems & Services
Waste Management Services
Communications Equipment
Computer Hardware
Computer Networks
Technology
(9)sectors and industries
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Computer Peripherals
Computer Services
Computer Storage Devices
Electronic Instruments & Controls
Office Equipment
Scientific & Technical Instr.
Semiconductors
Software & Programming
Air Courier
Airline
Transportation (10)
Misc. Transportation
Railroads
Trucking
Water Transportation
Electric Utilities
Utilities (11)
Natural Gas Utilities
Water Utilities
It is important to understand the difference between a sector and an industry: industries "belong" to sectors,
for example: "Air Courier", "Airline", "Railroads", "Trucking" industries belong to "Transportation" sector. So if a
symbol is assigned to given industry, it is "automatically" assigned also to the corresponding sector.
In the example DJIA database each stock is assigned to specific industry, for example GM (General Motors)
is assigned to "Auto & Truck Manufacturers" industry, and this implicates that GM belongs to
"Consumer/Cyclical" sector.
AmiBroker can handle up to 32 sectors and up to 256 industries.
How to assign symbol to the industry?
You can change the industry to which given symbol is assigned by using Window->Information dialog
(Industry combo box)
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or using Symbol->Organize Assignments.
The first method is fine if you want to change single symbol settings. The latter is better if you want to move
multiple symbols from one category to another.
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How to define your own sectors and industries
Please go to Symbol->Categories dialog, the last two tabs are "Sectors" and "Industries". First, switch to the
"Sectors" tab and you will see the list of 32 sector names. You can now select the sector by clicking once on
its name and edit the sector name by pressing ENTER or clicking "Edit name" button. Hit ENTER again to
accept the name change.
After you renamed the sectors you can switch to the "Industries" tab. Similarly to the previous tab you can
select the industry in the list and edit its name in the same manner. Here you can also assign the industry to
the sector using "Sector" combo. Just select the sector to which you want to assign currently selected
industry.
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Where sector and industry information is stored?
Generally speaking this information is stored in AmiBroker database. The sector and industry names and
settings are stored in the broker.workspace file (in the workspace folder), symbol data files hold only the
information about the assignment of the symbol to given industry (IndustryID).
When you create a new workspace (a database) AmiBroker sets up your industries and sectors according to
the templates stored in the "broker.sectors" and "broker.industries" files. These are simple text files that could
be edited with plain text editor (such as Notepad). These files could be also used for quick, automatic setup of
the sectors and industries. AmiBroker comes with predefined broker.sectors and broker.industries that follow
described above convention (see the table). You can rewrite broker.sectors and broker.industries files to
define your own default scheme. So, "broker.sectors" and "broker.industries" files are used as a template
when creating new workspace. Once workspace is created these files are not taken into consideration. In this
way you may have different categories in each workspace. If you want AmiBroker to load them into already
existing workspace please delete broker.workspace file before opening the workspace. If you then open the
workspace AmiBroker will read broker.sectors and broker.industries.
The layout of broker.sectors file is very simple: it is plain text file holding sector names written line by line as
shown below:
Basic Materials
Capital Goods
Conglomerates
Consumer Cyclical
Consumer/Non-Cyclical
Energy
Financial
Healthcare
Services
Technology
Transportation
Utilities
The layout of broker.industries is similar, but in addition to industry names there is a number at the beginning
of each line:
8 Advertising
1 Aerospace & Defense
10 Air Courier
10 Airline
3 Apparel/Accessories
3 Appliance & Tool
3 Audio & Video Equipment
3 Auto & Truck Manufacturers
3 Auto & Truck Parts
4 Beverages (Alcoholic)
4 Beverages (Non-Alcoholic)
7 Biotechnology & Drugs
8 Broadcasting & Cable TV
8 Business Services
8 Casinos & Gaming
0 Chemical Manufacturing
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0 Chemicals - Plastics & Rubber
5 Coal
9 Communications Equipment
The numbers at front of industry names are "Sector IDs". Those numbers decide to which sector given
industry belongs to. Because several industries may belong to one sector - you may need to put the same
number for sector Id. Sector IDs are zero based, which means that 0 refers to the first line (sector name) of
"broker.sectors" file, while 7 refers to the eighth line of this file. In the example above: "Advertising" industry
belongs to "Services" sector, while "Aerospace & Defence" industry belongs to "Capital Goods" sector.
If you don't want to setup detailed industry information and want assign symbols only to sectors you can
define one-to-one relationship between first 32 industries so they will be equivalent to sectors. Using the
broker.sectors as show earlier in this article 1-1 broker.industries file would look like:
0 Basic Materials
1 Capital Goods
2 Conglomerates
3 Consumer Cyclical
4 Consumer/Non-Cyclical
5 Energy
6 Financial
7 Healthcare
8 Services
9 Technology
10 Transportation
11 Utilities
Note that this file is essentially the same as broker.sectors with the only difference that we have consecutive
numbers prepended to each line. Using this kind of setup setting the industry will be equivalent to setting the
sector.
Making it automatic
As described above symbol and industries names and relationship can be easily set up quickly using
"broker.sectors" and "broker.industries" files. It will save some work needed otherwise to enter this information
in Symbol->Categories window.
Unfortunately a lot more work is needed to assign all symbols to the industries even using
Symbol->Organize Assignments dialog.
Fortunatelly there is a way to setup and update the database automatically.
In pre-5.60 version it still required scripting and lots of work (see 4th issue of AmiBroker Tips newsletter) but
version 5.60 brings completely new ways to setup the database automatically.
The improved ASCII importer in v5.60 allows to import symbols, sectors and industry names and build
complete database in just one step.
Let us say that we have CSV file that looks as follows:
"DDD","3D Systems Corporation","Technology","Computer Software: Prepackaged Software"
"MMM","3M Company","Health Care","Medical/Dental Instruments"
"SVN","7 Days Group Holdings Limited","Consumer Services","Hotels/Resorts"
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"AHC","A.H. Belo Corporation","Consumer Services","Newspapers/Magazines"
"AIR","AAR Corp.","Capital Goods","Aerospace"
"AAN","Aaron's, Inc.","Technology","Diversified Commercial Services"
Now we can import it into AmiBroker and automatically setup all sectors and industries using this format
definition
$FORMAT Ticker, FullName,SectorName,IndustryName
$SEPARATOR ,
$AUTOADD 1
$NOQUOTES 1
$OVERWRITE 1
$CLEANSECTORS 1
$SORTSECTORS 1
The last two commands ($CLEANSECTORS and $SORTSECTORS) instruct AmiBroker to clean (wipe)
existing sector/industry names before importing and sort newly imported sectors after importing so they
appear alphabetically
AmiBroker will read such ASCII file one-by one, then it will check whenever given sector name/industry name
already exists, if not - it will create new sector/industry. Then it will assign given symbol to specified
sector/industry.
The result will be a database with new sector/industry structure being set up and symbols assigned to proper
sectors and industries.
Described functionality is used to implement Tools->Update US symbol list and categories tool.
One-click "Update US symbol list and categories"
Automatic setup and update of US stock database is available from Tools->Update US symbol list and
categories menu. This is implemented using new #import command and new ASCII importer commands
described above.
The command downloads symbol, sector and industry list from amibroker.com web site and create or update
current database with stocks listed on NYSE, Nasdaq and AMEX. It also creates sector and industry structure
and assigns stocks to proper industries.
CAVEAT: Be aware that using this tool will WIPE (delete) any existing sectors/industries and replace them
with the ones imported automatically.
Note about GICS
GICS stands for Global Industry Classification Standard
(http://en.wikipedia.org/wiki/Global_Industry_Classification_Standard).
AmiBroker allows also GICS 4-level classification system, but demo database does not have symbols
classified according to that standard. You can find GICS classification codes in GICS.txt file inside AmiBroker
folder.
Note about ICB
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ICB stands for Industry Classification Benchmark
(http://en.wikipedia.org/wiki/Industry_Classification_Benchmark).
AmiBroker allows also ICB 4-level classification system, but demo database does not have symbols classified
according to that standard. You can find ICB classification codes in ICB.txt file inside AmiBroker folder.
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Working with watch lists
AmiBroker 5.00 uses now new watch list system. Watch lists differ from other kinds of categories (as groups,
markets, industries, sectors) in that, that you can assign single symbol to more than one watch list.
You can use UNLIMITED number of watch lists with their names definable in Symbol->Categories window.
The members of each watch list is shown in the symbol tree under "Watch lists" leaf.
Watch lists are now stored as text files inside "Watchlists" folder inside database. The folder contains of any
number of .TLS files with watch lists themselves and index.txt that defines the order of watch lists. You can
add your own .tls file (one symbol per line) and AmiBroker will update index.txt automatically (adding any new
watch lists at the end)The .TLS files can also be open in AmiQuote.
Watch lists remember the order in which symbols were added, so for example if you sort AA result list in some
order and then you"add symbols to watch list" the order will be kept in the watch list.
Adding / removing watch lists
You can now Add/Delete watch lists using Symbol->Watch List->New Watchlist and Symbol->Watch
List->Delete Watch list menu or from watch list context menu. Note that if you have done any customization
to the menu, you may need to go to Tools->Customize, select "Menu Bar" and press "Reset" button for this
new menu items to appear.
Adding tickers to watch lists
You can easily add a ticker to the watch list by simply clicking with a right mouse button over the item in the
symbol tree and choosing Watch List->Add selected symbol option:
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After choosing this option a watch list selector window will appear:
Here you should select the list you want to add the symbol to. Note that you can add one symbol to multiple
lists at once, by holding CTRL key while clicking on the list items. After clicking OK selected symbol (MSFT)
appears in the watch list of your choice:
You can also type-in symbols directly into the watch list using Symbol->Watch list->Type-in option.
Symbols should be comma-separated. You can also right click over the watch list name in the workspace tree
to type in symbols directly into the watch list.
Sorting tickers in a watch list
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You can now alphabetically sort the symbols in the watch list - click on the watch list with RIGHT mouse
button and select "Sort Alphabetically"
Removing tickers from watch lists
Removing symbols from the watch list is as easy as adding them. Just click on the list member with a right
mouse button and select Remove from watch list(s). Then similar list selector window will appear showing
only those lists that currently selected symbol belongs to. You can now select one or more lists and the
symbol will be removed from the list(s).
Erasing watch lists
Sometimes you may want to clear (or erase) the whole watch list. Then just select Symbol->Watch
list->Erase (empty) option. In the watch list selector window mark the list(s) you want to clear and click OK.
This way selected watch list(s) become empty.
Hiding/Unhiding empty watch lists
By default empty watch lists are shown in the symbol tree but you can hide them by right-click on watch list in
the symbol tree and select "Hide Empty Watchlists" menu. To un-hide, select this option again.
Using watch lists in Automatic analysis window
AmiBroker gives you a very easy way to store the results of scanning, backtesting and exploration into a
watch list with a single mouse click - just run your favourite AFL formula over the whole database and click on
the results list with a right mouse button to see the following menu:
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When you choose Add all/selected results to watch list a watch list selector will appear where you select to
which list symbols should be added, then after clicking OK all symbols filtered by your trading rules will
automatically appear in the watch list of your choice.
You can also use option Replace watch list with the results/selected results
This new option empties the watch list before adding results. The order of symbols in the result list is
preserved in the watch list.
How to import/export watch list from/to file
IMPORT WATCH LIST FROM FILE
1. Choose Symbol->Watch List->Import menu, or right click over watch list in the tree and choose Import.
2. Choose destination watch list
3. In the file dialog that will appear pick .TLS, .LST, .TXT or .CSV file
.TLS, .CSV, .TXT files should have one ticker symbol per line and no other fields.
.LST files are Quotes-Plus standard, comma separated list files that have the ticker symbol in the first column
and some additional data in remaining columns. AmiBroker reads just first column and ignores rest.
4. Click OK.
EXPORT WATCHLIST TO FILE
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1. Choose Symbol->Watch List->Export menu.
or right click over watch list in the tree and choose Export.
2. Choose source watch list and switch to "External data source"
3. In the file dialog choose the file to export to. Generated file will be simple ASCII file witch one ticker symbol
per line.
How to import/export watch list from/to external database
ATTENTION: It works ONLY if you have "Data source" set to "Fast Track" plugin in File->Database Settings
(and if you have FastTrack database installed of course).
IMPORT FAMILY FROM FASTTRACK
1. Choose Symbol->Watch List->Import menu, or right click over watch list in the tree and choose Import.
2. Choose destination watch list and switch to "External data source"
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3. In the dialog that will appear unfold one category and select the family you want to import symbols from:
4. Click OK.
EXPORT WATCHLIST TO FASTTRACK FAMILY
1. Choose Symbol->Watch List->Export menu.
or right click over watch list in the tree and choose Export.
2. Choose source watch list and switch to "External data source"
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3. Now either TYPE IN the new personal family name in "New user family" (and the description in the file next
on the right side) OR choose existing personal family from the list.
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Understanding how AFL works
Introduction
One of most important aspects of AFL is that it is an array processing language. It operates on arrays (or
rows/vectors) of data. This way of operation is quite similar to the way how popular spreadsheets work (like
Microsoft Excel). Anyone familiar with MS Excel should have no trouble quickly picking up AFL. - In fact all the
examples in this article were all created using MS Excel.
What is an Array?
An array is simply a list (or row) of values. In some books it may be referred to as a vector. Each numbered
row of values in the example represents an individual array. Amibroker has stored in its database 6 arrays for
each symbol. One for opening price, one for the low price, one for the high price, one for the closing price and
one for volume (see the rows labelled 1-5 below) and one for open interest. These can be referenced in AFL
as open, low, high, close, volume, openint or o, l, h, c, v, oi.
Bar
1
2
3
4
5
6
7
8
9
1,24
1,21
1,26
1,24
1,29
1,33
1,32
1,35
1
Open
1,23
Fig 1. Open price array
10
1,37
Any other array is calculated from these 6 arrays using formulae built into AFL. These arrays are not stored in
the database but calculated where necessary.
Each individual value in an array has a date associated with it. If you have the tool tip option turned on
(Preferences -> Miscellaneous Tab - > Price data tool tips), when you move your cursor over candle on a daily
candle chart, a small yellow rectangle appears. AFL then looks up the open, low, high, close, volume values in
the appropriate array and displays them inside the tool tip.
Processing arrays - why is AFL so fast?
Lets see how the following statement is processed:
MyVariable = ( High + Low )/2;
When AFL is evaluating statement like this ( High + Low )/2 it does not need to re-interpret this code for each
bar. Instead it takes the High ARRAY and Low ARRAY and adds corresponding array elements in single
stage. In other words + operator (and other operators too) work on arrays at once and it is executed at full
compiled-code speed, then the resulting array (each element of it) is divided by 2 also in single stage.
Let's look into the details - see fig 2.. When AFL engine looks at the ( High + Low )/2 it first takes High (1) and
Low (2) arrays and produces (in single compiled step) the temporary array (3). Then it creates the final array
(4) by dividing each element of temporary array by two. This result is assigned to myVariable
Bar
1
2
3
4
5
6
7
8
9
10
1 High (built-in array)
1,24 1,27 1,25
1,29 1,25
1,29
1,35
1,35 1,37 1,29
2 Low (built-in array)
1,20 1,21 1,19
1,20 1,21
1,24
1,30
1,28 1,31 1,27
2,44 2,48 2,44
2,49 2,46
2,53
2,65
2,63 2,68 2,46
3
High+Low (temporary array created during
evaluation)
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4 ( High+Low ) /2 (gets assigned to MyVariable) 1,22 1,24 1,22 1,245 1,23 1,265 1,325 1,315 1,34 1,23
Fig 2. AFL steps when processing ( High + Low ) /2
Moving averages, conditional statements
Let us now consider the following code:
Cond1 = Close > MA( Close, 3 );
Cond2 = Volume > Ref( Volume, -1 );
Buy = Cond1 AND Cond2;
Sell = High > 1.30;
This code generates a buy signal when todays close is higher than 3 day moving average of close AND
todays volume is higher than yesterday's volume. It also generates a sell signal when today's high is higher
than 1.30.
If in your AFL code you need to see if the closing price is greater than say a 3 day simple moving average
AFL will first run through the close array creating a new array called MA(close,3) for the symbol being
analysed. Each cell in the new array can then be compared one for one in the close array. In the example an
array called Cond1 is created this way. For each cell where the closing price is greater than the corresponding
cell value in MA(close,3) the cell value for new array 'Cond1' is set to '1'. If the closing price is not greater than
the corresponding price in the close array the value in 'Cond1' is set to '0'.
AFL can also look forwards or backwards a number of cells in an array using the Ref function (see row 6
where temporary array is created holding previous day volume)
In row 9 a new array called Cond2 has been created by comparing the value of each cell in the volume array
with its previous cell setting the Cond2 cell value to '1' if true and '0' if false.
Row 10 shows an array called 'Buy' created by comparing the cell values in Cond1 with the cell values in
Cond2. If the cell in Cond1 has a '1' AND so does the corresponding cell in Cond2 then a '1' is placed in the
'Buy' array cell.
Row 11 shows an array called 'Sell' created whenever the cell value in the close array is greater than $1.30.
Day
1
2
3
4
5
6
7
8
9
10
1
Open
1,23 1,24
1,21
1,26
1,24
1,29
1,33
1,32
1,35
1,37
2
High
1,24 1,27
1,25
1,29
1,25
1,29
1,35
1,35
1,37
1,29
3
Low
1,20 1,21
1,19
1,20
1,21
1,24
1,30
1,28
1,31
1,27
4
Close
1,23 1,26
1,24
1,28
1,25
1,25
1,31
1,30
1,32
1,28
5
Volume
8310 3021 5325 2834 1432 5666 7847
6
Ref( Volume, -1 ) (temporary array
created during eval)
Null 8310 3021 5325 2834 1432 5666 7847
7
MA( Close, 3 ) (temporary array
created during eval)
Null Null 1,243 1,260 1,257 1,260 1,270 1,287 1,310 1,300
8
Cond1 = Close < MA(close,3) (gives
1 (or true) if condition met, zero
otherwise)
Null Null
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0
1
1
0
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0
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Cond2 = Volume > Ref(volume,-1)
Null
0
1
0
0
1
1
0
1
0
Null Null
1
0
0
1
0
0
0
0
11 Sell = High > 1.30
0
0
0
0
0
0
1
1
1
Obviously Buy and Sell are special arrays whose results can be displayed in the Analyser window or on
screen using a red or green value as needed.
0
10 Buy = Cond1 AND Cond2
Getting little bit more complex
The examples above were very simple. Now I will just explain 3 things that seem to generate some confusion
among the users:
• referencing selected values (SelectedValue, BeginValue, EndValue, LastValue)
• IIF function
• AMA function
As written in the Tutorial: Basic charting guide you can select any quote from the chart and you can mark
From-To range. The bar selected by verticall line is called "selected" bar while start and end bars of the range
are called "begin" and "end" bars. AFL has special functions that allow to reference value of the array at
selected, begin and end bar respectively. These functions are called SelectedValue, BeginValue and
EndValue. There is one more function called LastValue that allows to get the value of the array at the very last
bar. These four functions take the array element at given bar and return SINGLE NUMBER representing the
value of the array at given point. This allows to calculate some statistics regarding selected points. For
example:
EndValue( Close ) - BeginValue( Close )
Will give you dollar change between close prices in selected from-to range.
When number retrieved by any of these functions is compared to an array or any other arithmetic operation
involving number and the array is performed it works like the number spanned all array elements. This is
illustrated in the table below (rows 2, 6, 7). Green color marks "begin" bar and red color marks "end" bar.
Selected bar is marked with blue.
Day
1
2
3
4
5
6
7
8
9
10
1
Open
1,23
1,24
1,21
1,26
1,24
1,29
1,33
1,32
1,35
1,37
2
BeginValue( Open )
1,24
1,24
1,24
1,24
1,24
1,24
1,24
1,24
1,24
1,24
3
EndValue( Open )
1,32
1,32
1,32
1,32
1,32
1,32
1,32
1,32
1,32
1,32
4
SelectedValue( Open )
1,21
1,21
1,21
1,21
1,21
1,21
1,21
1,21
1,21
1,21
5
LastValue( Open )
1,37
1,37
1,37
1,37
1,37
1,37
1,37
1,37
1,37
1,37
6
Close
1,22
1,26
1,23
1,28
1,25
1,25
1,31
1,30
1,32
1,28
7
Close <= BeginValue(
Open )
1
0
1
0
0
0
0
0
0
0
8
result = IIF( Close <=
BeginValue( Open ),
Close, Open );
1,22
1,24
1,23
1,26
1,24
1,29
1,33
1,32
1,35
1,37
9
Period
2
3
4
2
3
5
2
3
4
2
0,667
0,500
0,400
0,667
0,500
0,333
0,667
0,500
0,400
0,667
10 Factor = 2/(Period+1)
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Tutorial
0,500
0,600
0,333
0,500
0,667
0,333
0,500
0,600
0,333
12 AMA( Close, Factor )
0,8125 1,0363 1,1138 1,2234 1,2367 1,2399 1,2853 1,2927 1,3036 1,2866
Now the IIF(condition, truepart, falsepart) function. It works that it returns the value of second (truepart) or
third (falsepart) argument depending on condition. As you can see in the table above in row 8 the values
come from Close array (truepart) for bars when condition is true (1) and come from Open array (falsepart) for
the remaining bars. In that case the array returned by IIF function consists of some values from Close and
some values from Open array. Note that both truepart and falsepart are arrays and they are evaluated
regardless of the condition (so this is not a regular IF-THEN-ELSE statement but function that returns array)
The AMA( array, factor) function seems to cause the most problems with understanding it. But in fact it is very
simple. It works in recursive way. It means that it uses its previous value for the calculation of current value. It
processes array bar by bar, with each step it multiplies given cell of first argument (array) by given cell of
second argument (factor) and adds it to the previous value of AMA multiplied by (1-factor). Lets consider
column 3. The value of AMA in the column 3 is given by multipling close price from column 3 (1,23) by factor
(0,4). Than we add the previous value of AMA (1,0363) multiplied by (1-factor = 0,6). The result (rounded to 4
places) is 1,23 * 0,4 + 1,0363 * 0,6 = 1,1138.
If you look at the figures in the row 12 you may notice that these values look like a moving average of close.
And that's true. We actually presented how to calculate variable-period exponential moving average using
AMA function.
New looping
With version 4.40 AmiBroker brings ability to iterate through quotes using for and while loops and adds if-else
flow control statement. These enhancements make it possible to work BOTH ways: either use ARRAY
processing (described above) for speed and simplicity or use LOOPS for doing complex things. As an
example how to implement variable period exponential averaging (described above) using looping see the
following code:
Period = ... some calculation
vaexp[ 0 ] = Close[ 0 ]; // initialize first value
for( i = 1; i < BarCount; i++ )
{
// calculate the value of smoothing factor
Factor = 2/(Period[ i ] + 1 );
// calculate the value of i-th element of array
// using this bar close ( close[ i ] ) and previous average value ( vaexp[ i 1 ])
vaexp[ i ] = Factor * Close[ i ] + ( 1 - Factor ) * vaexp[ i - 1 ];
}
As you can see the code is longer but on the other hand it is very similar to any other programming language
as C/Pascal/Basic. So people with some experience with programming may find it easier to grasp.
If you are beginner I suggest to learn array processing first before digging into more complex looping stuff.
If you're having trouble coding AFL I suggest you generate the arrays in the example in Excel for yourself. If
that's a problem get some help from a friend - especially if that friend is an accountant.
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Once you've got the hang of it you can code any system from a book on trading - or build one yourself.
--- Special thanks to Geoff Mulhall for original article in the newsletter that was the basis of this tutorial ---
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Creating your own indicators
There are two ways to create your own indicators:
1) using drag-and-drop interface
2) by writing your own formula
First method, using drag-and-drop interface is very simple and does not require writing single line of code. To
learn more about drag-and-drop indicator creation please check Tutorial: How to use drag-and-drop charting
interface
Second method involves writing an indicator formula in flexible AFL (AmiBroker Formula Language). You can
find the description of this language in AFL Reference Guide section of user's guide. Here we will present
basic steps needed to define and display your own custom indicator. In this example we will define an
"indicator" that will show line volume graph (opposite to built-in bar volume graph).
Just follow these steps
1. Select Analysis->Formula Editor option from the menu as shown below:
2. You will see the following dialog displayed on the screen:
It presents an empty Formula Editor window.
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3. Now single-click in the edit field located in the editor toolbar to change the name of the indicator:
Now you can edit the name of the custom indicator. Give it the name "My own indicator". After you
press ENTER key the caption will be updated with the new file name as shown below:
4. Now type the formula:
Plot( Volume, "My volume chart", colorGreen );
This formula instructs AmiBroker to plot built-in Volume array. Second parameter specifies the title of
the plot and third parameter defines the color. The picture below shows formula editor after entering
the code:
5. Now click Apply indicator toolbar button (or choose Tools->Apply indicator menu) as shown in the
picture and close editor by pressing X button in the upper right corner of the editor window.
Now the indicator you have just written is displayed as a chart. You can also find it stored as a formula in
Chart tree:
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Now you can improve your indicator by adding Param functions so both color and style of the plot can be
modified using Parameters dialog. To do so, click with RIGHT mouse button over chart pane and select Edit
Formula (or press Ctrl+E)
And modify the formula to:
Plot( Volume, "My volume chart", ParamColor("Color", colorGreen ),
ParamStyle("Style", 0, maskAll ) );
Then press Apply indicator to apply the changes. Now click with RIGHT mouse button over chart pane again
and select Parameters (or press Ctrl+R) and you will see parameters dialog allowing to modify colors and
styles used to plot a chart:
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Also in the "Axes & Grid" tab you will be able to change settings for axes, grids and other charting options
referring to this particular chart:
For further information on creating your indicators please check Using graph styles and colors tutorial section
For further reference on using Formula Editor please consult Environment - Formula Editor and AmiBroker
Formula Language - AFL Tools sections of AmiBroker User's guide and using AFL editor.
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Using graph styles, colors, titles and parameters in Indicators
AmiBroker provides customizable styles and colors of graphs in custom indicators. These features allow more
flexibility in designing your indicators. This article will explain how to use styles and colors. It will also explain
how to define chart title that appears at the top of the chart.
Plot() function
Plot is the function used to plot a chart. It takes 9 parameters, out of which first 3 are required.
Plot( array, name, color, style = styleLine, minvalue = Null, maxvalue = Null, XShift = 0, ZOrder = 0, width = 1
)
• array parameter represents data to be plotted,
• name parameter defines the name of the graph (used in title string to show the values of the
indicator),
• color parameter defines the color of plot,
• style defines "the look" of the chart (i.e. line/histogram/candlestick/bar, etc). Default style is line.
• minvalue and maxvalue are rarely used paremeters that define hard-coded minimum and maximum
values used when graph uses "independent" scaling, i.e. styleOwnScale is specified in style
parameter. Usually you don't need to specify them at all.
• XShift allows shifting chart past the last bar (for example displaced moving averages or projections
into the future)
• ZOrder - defines the Z-axis position of given plot. The default is zero. Zorder = 0 means also where
the "grid" is located. So if you want to plot BEHIND the grid you need to specify negative zorder
parameter.Plots are drawn in the following order:
zorder parameter takes precedence over the order of calling Plot() functions, so if z-order is set, it
determines plotting order. See this picture. If multiple plots use the same z-order parameter they are
plotted in reverse call order (ones that appear last in the code are plotted first). This rule can be
changed by already existing switch graphzorder = 1 which, when specified, reverses this behaviour
(so plots are drawn in call order). Please note the above applies to each zorder "layer" separately (so
within same zorder "layer" reverse call rule applies)
• width - (new in 5.60) defines pixel or percent width of given plot. The default is 1 pixel. Positive values
specify PIXEL width, negative values specify width in percent of current bar width. So for example -20
will give you dynamic width that is 20% of bar width.
An example, the following single function call plots a RSI indicator with red color line:
Plot( RSI(14), "My RSI", colorRed );
As you can see we have provided only first three (required) parameters. First parameter is the array we need
to plot. In our example it is RSI(14) indicator. Second parameter is just the name. It can be any name you
want. It will be displayed in the title line along with indicator value as shown in the picture below:
Third parameter is the color. To specify plot color you can use one of the following pre-defined constants:
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Color constants
Custom colors refer to color user-defined palette editable using Tools->Preferences->Colors, the numerical
values that appear after = (equation) mark are for reference only and you don't need to use them. Use just
the name such as colorDarkGreen.
colorCustom1 = 0
colorCustom2 = 1
colorCustom3 = 2
colorCustom4 = 3
colorCustom5 = 4
colorCustom6 = 5
colorCustom7 = 6
colorCustom8 = 7
colorCustom9 = 8
colorCustom10 = 9
colorCustom11 = 10
colorCustom12 = 11
colorCustom13 = 12
colorCustom14 = 13
colorCustom15 = 14
colorCustom16 = 15
colorBlack = 16
colorBrown = 17
colorDarkOliveGreen = 18
colorDarkGreen = 19
colorDarkTeal = 20
colorDarkBlue = 21
colorIndigo = 22
colorDarkGrey = 23
colorDarkRed = 24
colorOrange = 25
colorDarkYellow = 26
colorGreen = 27
colorTeal = 28
colorBlue = 29
colorBlueGrey = 30
colorGrey40 = 31
colorRed = 32
colorLightOrange = 33
colorLime = 34
colorSeaGreen = 35
colorAqua = 35
colorLightBlue = 37
colorViolet = 38
colorGrey50 = 39
colorPink = 40
colorGold = 41
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colorYellow = 42
colorBrightGreen = 43
colorTurquoise = 44
colorSkyblue = 45
colorPlum = 46
colorLightGrey = 47
colorRose = 48
colorTan = 49
colorLightYellow = 50
colorPaleGreen = 51
colorPaleTurquoise = 52
colorPaleBlue = 53
colorLavender = 54
colorWhite = 55
You can also use new 24-bit (full color palette) functions ColorRGB and ColorHSB
You can easily plot multi colored charts using both Plot functions. All you need to do is to define array of color
indexes.
In the following example MACD is plotted with green color when it is above zero and with red color when it is
below zero.
dynamic_color = IIf( MACD() > 0, colorGreen, colorRed );
Plot( MACD(), "My MACD", dynamic_color );
In addition to defining the color we can supply 4th parameter that defines style of plot. For example we can
change previous MACD plot to thick histogram instead of line:
dynamic_color = IIf( MACD() > 0, colorGreen, colorRed );
Plot( MACD(), "My MACD", dynamic_color, styleHistogram |
styleThick );
As you can see, multiple styles can be combined together using | (binary-or) operator. (Note: the | character
can be typed by pressing backslash key '\' while holding down SHIFT key). Resulting chart looks like this:
To plot candlestick chart we are using styleCandle constant, as in this example:
Plot( Close, "Price", colorBlack, styleCandle );
To plot traditional bars with color (green up bars and red down bars) we just specify color depending on
relationship between open and close price and styleBar in style argument:
Plot( Close, "Price", IIf( Close > Open, colorGreen, colorRed ),
styleBar | styleThick );
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All available style constants are summarized in the table below.
Style constants
Style is defined as a combination (using either addition (+) or binary-or (|) operator) of one or more following
flags ( you can use predefined style__ constants instead of numbers)
styleLine = 1 - normal (line) chart (default)
styleHistogram = 2 - histogram chart
styleThick =4 - fat (thick)
styleDots = 8 - include dots
styleNoLine = 16 - no line
styleDashed = 32 - dashed line style
styleCandle = 64 - candlestick chart
styleBar = 128 - traditional bar chart
styleNoDraw = 256 - no draw (perform axis scaling only)
styleStaircase = 512 - staircase (square) chart
styleSwingDots = 1024 - middle dots for staircase chart
styleNoRescale = 2048 - no rescale
styleNoLabel = 4096 - no value label
stylePointAndFigure = 8192 - point and figure
styleArea = 16384 - area chart (extra wide histogram)
styleOwnScale = 32768 - plot is using independent scaling
styleLeftAxisScale = 65536 - plot is using left axis scale (independent from right axis)
styleNoTitle = 131072 - do not include this plot value in title string
styleCloud = 262144 - paint a "cloud" (filled area) chart (see examples below)
styleClipMinMax = 524288 - clip area between Min and Max levels defined in Plot statement. (Note: this style
is not compatible with most printers)
styleGradient - (new in 5.60) - gradient area chart. Upper gradient color is specified by color parameter in
Plot() function, bottom gradient color is either background color or can be defined using SetGradientFill
function. styleGradient can be combined with styleLine
Not all flag combinations make sense, for example (64+1) (candlestick + line) will result in candlestick chart
(style=64)
Note on candlestick/bar charts: if these styles are applied to Plot() function then they use indirectly O, H, L
arrays.
If you want to specify your own OHL values you need to use PlotOHLC() function.
New styleCloud and styleClipMinMax styles bring new interesting possibilities shown in the sample image
below:
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The formula for chart in the middle pane (rainbow 24-bit multiple moving averages) looks as follows:
side = 1;
increment = Param("Increment",2, 1, 10, 1 );
for( i = 10; i < 80; i = i + increment )
{
up = MA( C, i );
down = MA( C, i + increment );
if( ParamToggle("3D effect?", "No|Yes", 1 ) )
side = IIf(up<=down AND Ref( up<=down, 1 ), 1, 0.6 );
PlotOHLC( up,up,down,down, "MA"+i, ColorHSB( 3*(i - 10),
Param("Saturation", 128, 0, 255 ),
side * Param("Brightness", 255, 0, 255 ) ), styleCloud | styleNoLabel
);
}
The formula for the chart in the lower pane (slow stochastic %K with colored tops and bottoms) looks as
follows. It uses styleClipMinMax to achieve clipping of the cloud region between min and max levels specified
in the plot statement. Without this style area between min/max would be filled. Please note that due to
Windows GDI limitation clipping region (styleClipMinMax) is supported only on raster (bitmap) devices so it is
not compatible with printers or WMF (windows metafile) output.
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SetChartOptions(0,0,ChartGrid30 | ChartGrid70 );
r = StochK(14);
Plot( r, "StochK", colorBlack );
PlotOHLC( r,r,50,r, "", IIf( r > 50, colorRed, colorGreen ), styleCloud |
styleClipMinMax, 30, 70 );
X-shift feature
The XShift parameter allows to displace (shift) the plot in horizontal direction by specified number of bars. This
allows to plot displaced moving averages and projections into the future. See the following sample code of
displaced moving average:
Periods = Param("Periods", 30, 2, 100 );
Displacement = Param("Displacement", 15, -50, 50 );
Plot( MA( C, Periods ), _DEFAULT_NAME(), ColorCycle, styleLine, 0, 0,
Displacement );
PlotForeign() function
It is now easy to overlay price plots of multiple symbols using PlotForeign function:
PlotForeign( tickersymbol, name, color/barcolor, style = styleCandle | styleOwnScale, minvalue = {empty},
maxvalue = {empty}, xshift = 0)
Plots the foreign-symbol price chart (symbol is defined by tickersymbol parameter). Second argument name
defines graph name used for displaying values in a title bar. Graph color could be static (if third argument is a
number) or dynamic (when third argument is an array). Color indexes are related to the current palette (see
Preferences/Color)
style defines chart plot style (see Plot() function for possible values)
PlotForeign( "^DJI", "Dow Jones", colorRed );
PlotForeign( "^NDX", "Nasdaq 100", colorBlue );
PlotForeign( "^IXIC", "Nasdaq Composite", colorGreen );
Multiple plots using different scaling
Two new styles can be used to plot multiple graphs using different Y-scale: styleOwnScale and
styleLeftAxisScale.
It also makes it easy to plot 2 or more "own scale" plots with the same scaling:
minimum = LastValue( Lowest( Volume ) );
maximum = LastValue( Highest( Volume ) );
Plot( Close, "Price", colorBlue, styleCandle );
/* two plots below use OwnScale but the scale is common because we
set min and max values of Y axis */
Plot( Volume, "Volume", colorGreen, styleHistogram | styleThick |
styleOwnScale, minimum, maximum );
Plot( MA( Volume, 15 ), "MA volume", colorRed, styleLine |
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styleOwnScale, minimum, maximum );
New style: styleLeftAxisScale = 65536 - allows to plot more than one graph using common scaling but
different from regular (right axis) scale.
Example: price plot plus volume and moving average plot:
// Plot price plot and its moving average
Plot( Close, "Price", colorWhite, styleCandle );
Plot( MA( Close, 20 ), "MAC", colorRed );
// Now plot volume and its moving average using left-hand axis
scaling
Plot( Volume , "Volume", colorBlue, styleLeftAxisScale |
styleHistogram | styleThick );
Plot( MA( Volume,15), "MAV", colorLightBlue, styleLeftAxisScale );
New parameters make it also easy to plot ribbons, for example:
Plot( Close, "Price", colorBlue, styleCandle );
Plot( 2, /* defines the height of the ribbon in percent of pane width
*/
"Ribbon",
IIf( up, colorGreen, IIf( down, colorRed, 0 )), /* choose color */
styleOwnScale|styleArea|styleNoLabel, -0.5, 100 );
Using custom defined parameters
AmiBroker allows to create user-defined parameters. Such parameters are then available via Parameters
dialog for quick and fast adjustment of indicator.
Most often used parameter functions are (click on the links to get more detailed description):
• Param( "name", default, min, max, steps, incr = 0 )
• ParamStr( "name", "default" );
• ParamColor( "name", defaultcolor );
• ParamStyle(''name'', defaultval = styleLine, mask = maskDefault )
They make it possible to define your own parameters in your indicators. Once Param functions are included in
the formula you can right click over chart pane and select "Parameters" or press Ctrl+R, and change them via
Parameters dialog and get immediate response.
The simplest case looks like this:
period = Param("RSI period", 12, 2, 50, 1 );
Plot( RSI( period ), "RSI( " + period + ") ", colorRed );
Right click over the chart and choose "Parameters" and move the slider and you will see RSI plotted with
different periods immediatelly as you move the slider.
Sample code below shows how to use ParamStr to get the ticker symbol and ParamColor to get colors.
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ticker = ParamStr( "Ticker", "MSFT" );
sp = Param( "MA Period", 12, 2, 100 );
PlotForeign( ticker, "Chart of "+ticker,
ParamColor( "Price Color", colorBlack ), styleCandle );
Plot( MA( Foreign( ticker, "C" ), sp ), "MA", ParamColor( "MA Color",
colorRed ) );
The following sample formula (from AmiBroker mailing list) that allows to visually align price peak/troughs with
sine curve on the chart:
Cycle = Param("Cycle Months", 12, 1, 12, 1 )*22;//264==12mth,22==1mth
xfactor = Param("Stretch",1,0.1,2,0.1);//1==1yr,2==2yr
xshift = Param("slide",0,-22,22,2)/3.1416^2;//slide curve 1==5days
x = 2*3.1416/Cycle/xfactor;
y = sin(Cum(x)-xshift);
Plot(C,"Daily Chart", colorBlack, styleCandle | styleNoLabel);
Plot(y,
"cycle =" + WriteVal(Cycle*xfactor/22,1.0)+"months",
colorBlue,styleLine|styleNoLabel|styleOwnScale);
Right click over the chart and choose "Parameters" and move the sliders and you will see chart immediatelly
reflecting your changes.
For more information on user-definable parameters please check also Tutorial: Using drag-and-drop interface
Plotting texts at arbitrary positions on the chart
AmiBroker now allows annotation of the chart with text placed on any x, y position specified on the formula
level using new PlotText function.
PlotText( "text", x, y, color, bkcolor = colorDefault )
where
x - is x-coordinate in bars (like in LineArray)
y - is y-coordinate in dollars
color is text color, bkcolor is background color. If bkcolor is NOT specified (or equal to colorDefault) text is
written with TRANSPARENT background, any other value causes solid background with specified background
color
Example:
Plot(C,"Price", colorBlack, styleLine );
Plot(MA(C,20),"MA20", colorRed );
Buy=Cross( C, MA(C,20 ) );
Sell= Cross( MA( C, 20 ), C );
dist = 1.5*ATR(10);
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for( i = 0; i < BarCount; i++ )
{
if( Buy[i] ) PlotText( "Buy\[email protected]" + C[ i ], i, L[ i ]-dist[i], colorGreen );
if( Sell[i] ) PlotText( "Sell\[email protected]" + C[ i ], i, H[ i ]+dist[i], colorRed,
colorYellow );
}
PlotShapes( Buy * shapeUpArrow + Sell * shapeDownArrow, IIf( Buy, colorGreen,
colorRed ) );
Gradient fill of the background
AmiBroker 4.90 allows to fill indicator background with gradually changing color. To achieve this you need to
use new function SetChartBkGradientFill( topcolor, bottomcolor, titlebkcolor = default )
The function enables background gradient color fill in indicators.
Please note that this is independent from chart background color (background color fills entire pane, gradient
fill is only for actual chart interior, so axes area is not affected by gradient fill). Parameters are as follows:
topcolor - specifies top color of the gradient fill
bottomcolor - specifies bottom color of the gradient fill
titlebkcolor - (optional) the background color of title text. If not specified then top color is automatically used for
title background.
Example:
SetChartBkGradientFill( ParamColor("BgTop", colorWhite),ParamColor("BgBottom",
colorLightYellow));
Gradient fill area charts
Version 5.60 brings native gradient area charts. To display a simple gradient chart it is enough to use
styleGradient in the Plot() function call. By default upper gradient color is specified by color parameter in Plot()
function, bottom gradient color is either background color. styleGradient can be combined with styleLine.
A simple gradient area chart can be displayed using:
Plot( C, "C", colorDefault, styleGradient | styleLine );
For detailed control over gradient colors and baseline there is an extra function SetGradientFill( topcolor,
bottomcolor, baseline, baselinecolor ) that should be called before Plot().
When you use SetGradientFill function, the upper gradient color is specified by topcolor argument, bottom
gradient color is specified by botttomcolor. Optional parameters (baseline/baselinecolor) allow reverse
gradient chart (such as underwater equity) and 3 color gradients top->baseline->bottom. See code for
Underwater Equity for example usage of reverse gradient chart (with baseline at the top). Baseline parameter
specifies the Y-axis position of chart baseline. The baselinecolor parameter specifies the color of gradient that
is to be used at that level. If baselinecolor is not specified, then only 2-color gradient is plotted
(topcolor->bottomcolor).
For example to display three-color gradient Rate Of Change that will use green as "top" color for positive
values, background color as "baseline" color and red as "bottom" color for negative values it is enough to
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write:
SetGradientFill( colorGreen /*top*/, colorRed /*bottom*/, 0 /*baseline level*/,
GetChartBkColor() /*baseline color */);
Plot( ROC( C, 14), "ROC", colorLightOrange, styleLine | styleGradient, Null,
Null, 0, -1 );
The resulting chart will look as follows (using Basic chart theme):
.. or this way (using Black chart theme):
Super thick charts
Version 5.60 allows to define the line width beyond styleThick that was the only option before.
Now 9th parameter of Plot() defines pixel or percent width of given plot. The default is 1 pixel. Positive values
specify pixel width, negative values specify width in percent of current bar width. So for example -20 will give
you dynamic width that is 20% of bar width. Example:
Plot( C, "Close", colorDefault, styleBar, Null, Null, 0, 1, -20 /* line width as
percent of bar */ );
As you zoom-in the bars will become thicker and thicker.
Now you can get super thick lines as shown in the example below (10-pixel thick line chart):
Plot( C, "Close", colorRed, styleLine, Null, Null, 0, 1, 10 /* 10 pixel wide */
);
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Miscellaneous
As you already know each plot has its own name that is used to create a title string which displays names and
values of indicators. AmiBroker however allows you to override this automatic mechanism and define your
own title string from the scratch. The Title reserved variable is used for that. You just assign a string to it and
it will be displayed in the chart instead of automatically generated one.
Also there two more reserved variables (GraphXSpace and GraphZOrder) that allow to fine-tune indicator
look.
They are all described in the table below.
Variable
Usage
Applies to
Title
Defines title text
Indicators
If you use Title variable you can specify colors in the string.
It is advised to use AFL EncodeColor function that makes it easier than
coding escape sequences.
EncodeColor( colornumber ).
And you can write the above example like this:
Title = "This is written in " + EncodeColor( colorViolet ) + "violet color " +
EncodeColor( colorGreen ) + "and this in green";
Multi-line caption is possible by simply embedding line break \n, for
example:
Title = "This is 1st line\nThis is second line";
For sake of completeness: colors can also be specified using espace
sequences but it is NOT recommended because is hard to write and hard
to read. \\cXX sequence where XX is 2 digit number specifying color
index \\c38 - defines violet, there is a special sequence \\c-1 that resets to
default axis color.
For example
Title = "This is written in \\c38violet color \\c27and this in green";
Tooltip
Obsolete in 5.40. Use Data window instead or use Plot() with
styleHidden if you want to add your custom values to data tooltip.
Indicators
For example:
Plot( my_value, "MyValueForTooltip", colorBlack, styleHidden );
GraphXSpace
defines how much extra space should be added above and below graph
line (in percent).
For example:
Indicators
GraphXSpace = 5;
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adds 5% extra space above and below the graph line. When
GraphXSpace is not defined in the formula then default 2% is used.
GraphLabelDecimals (new in 5.90) controls number of decimals in chart value labes (example,
adding GraphLabelDecimals = 2; to the formula would give you value
lables with 2 decimal places)
Indicators
GraphZOrder
Indicators
GraphZOrder variable allows to change the order of plotting indicator
lines. When GraphZOrder is not defined or is zero (false) - old ordering
(last to first) is used, when GraphZOrder is 1 (true) - reverse ordering is
applied.
Obsolete graph variables
This table shows obsolete reserved variables. They are still functional for backward-compatibility but new
code should use Plot() functions only. What's more, when using new Plot() functions you should NOT use
obsolete variables below.
Variable
Usage
Applies to
maxgraph
specifies maximum number of graphs to be drawn in custom indicator window
(default=3)
Indicators
graphN
defines the formula for the graph number N (where N is a number 0,1,2,...,
maxgraph-1)
Indicators
graphNopen,
graphNhigh,
graphNlow,
define additional O, H, L price arrays for candlestick and traditional bar charts
Indicators
graphNcolor
defines the color index of Nth graph line. Color indexes are related to the
current palette - see Preferences/Color.
Indicators
graphNbarcolor defines the array that holds palette indexes for each bar drawn
graphNstyle
Indicators
defines the style of Nth graph. Style is defined as a combination (sum) of one or Indicators
more following flags ( you can use predefined style__ constants instead of
numbers)
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How to create your own exploration
One of the most useful features of the Analysis window is called "Exploration". Basically, an exploration works
in a similar way to scan but instead of looking for and reporting just buy/sell signals it allows you to generate
customizable screening (or exploration) report that can give you much more information than simple scan.
The idea behind an exploration is simple - one variable called filter controls which symbols/quotes are
accepted. If "true" (or 1) is assigned to that variable for given symbol/quote it will be displayed in the report.
So, for example, the following formula will accept all symbols with closing prices greater than 50 :
filter = close > 50;
(NOTE: To create new formula please open Formula Editor using Analysis->Formula Editor menu, type the
formula and choose Tools->Send to Analysis menu in Formula editor)
Note that exploration uses all range and filter settings that are also used by back-tester and scanning modes
so you can get multiple signals (report lines) if you select "All quotations" range. To check just the most
recent quote you should choose "1 recent bar(s)"
Now, what about customizable reports?
Yes, exploration mode allows you to create and then export a report with completely customizable columns
and it is quite simple to do.
All you have to do is to tell AmiBroker what columns do you want. This can be done by calling AddColumn
function in your exploration formula:
AddColumn( Close, "Close" );
The first argument of AddColumn function is the data ARRAY you want to display, the second argument
defines the column caption
If you now press "Explore" button in the Analysis window you will get the result similar to this:
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Note that there are actually 3 columns: predefined Ticker and Date/Time column and one custom
columnholding close price. Note that only tickers with close price greater than 50 are reported.
Now you can click "Export" and your exploration will be saved to CSV (comma separated values) file that
could be easily loaded to any other program including Excel for further analysis.
Actually AddColumn function accepts more arguments to allow you to customize the output even more. The
full syntax is:
AddColumn( array, name, format = 1.2, textColor = colorDefault, bkgndColor = colorDefault )
format parameter allows you to define the formatting applied to numbers. By default all variables are
displayed with 2 decimal digits, but you can change this by assigning a different value to this variable: 1.5
gives 5 decimal digits, 1.0 gives no decimal digits. So, in our example, typing:
AddColumn( Close, "Close", 1.4 );
will give closing prices displayed with 4 decimal digits.
(Note for advanced users: the integer part of this number can be used to pad formatted number with spaces - 6.0 will give no decimal digits but a number
space-padded upto 6 characters.)
There are also special format pre-defined constants that allow to display date/time and single character
codes:
• formatDateTime - produces date time formated according to your system settings
AddColumn( DateTime(), "Date / Time", formatDateTime );
• formatChar - allows outputting single ASCII character codes:
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Example (produces signal file accepted by various other programs):
Buy=Cross(MACD(),Signal());
Sell=Cross(Signal(), MACD());
Filter=Buy OR Sell;
SetOption("NoDefaultColumns", True );
AddColumn( DateTime(), "Date", formatDateTime );
AddColumn( IIf( Buy, 66, 83 ), "Signal", formatChar );
textColor and bkgndColor arguments allow you to produce colorful reports. By default result list is displayed
using system color but you can override this behaviour providing your own colors.
For example, the code that displays close price in green color when 1 day rate of change is positive and
otherwise uses red color:
AddColumn( Close, "Close", 1.4, IIF( ROC(C, 1 ) > 0, colorGreen, colorRed ) );
Examples
The exploration mode is extermely flexible: you can, for example, export the whole database to CSV file using
the following formula:
filter = 1; /* all symbols and quotes accepted */
AddColumn(Open,"Open",1.4);
AddColumn(High,"High",1.4);
AddColumn(Low,"Low",1.4);
AddColumn(Close,"Close",1.4);
AddColumn(Volume,"Volume",1.0);
This one will show you only heavily traded securities:
filter = volume > 5000000; /* adjust this threshold for your own
needs */
AddColumn(Close,"Close",1.4);
AddColumn(Volume,"Volume",1.0);
or...just show securities with volume being 30% above its 40-day exponential average
filter = volume > 1.3 * ema( volume, 40 );
AddColumn(Close,"Close",1.4);
AddColumn(Volume,"Volume",1.0);
With this one, you can export multiple indicator values for further analysis:
filter = close > ma( close, 20 ); /* only stocks trading above its 20
day MA*/
AddColumn( macd(), "MACD", 1.4 );
AddColumn( signal(), "Signal", 1.4 );
AddColumn( adx(), "ADX", 1.4 );
AddColumn( rsi(), "RSI", 1.4 );
AddColumn( roc( close, 15 ), "ROC(15)", 1.4 );
AddColumn( mfi(), "MFI", 1.4 );
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AddColumn( obv(), "OBV", 1.4 );
AddColumn( cci(), "CCI", 1.4 );
AddColumn( ultimate(), "Ultimate", 1.4 );
One more example of color output:
Filter =1;
AddColumn( Close, "Close", 1.2 );
AddColumn( MACD(), "MACD", 1.4 , IIf( MACD() > 0, colorGreen,
colorRed ) );
AddTextColumn( FullName(), "Full name", 77 , colorDefault, IIf( Close
< 10, colorLightBlue, colorDefault ) );
Scatter (X-Y) charts in Exploration
Version 5.60 brings a new feature to the exploration - scatter X/Y charts. Scatter charts are useful to display
relationships between many symbols such as correlation, risk, etc. They can be seen as replacement and
upgrade to "Risk/yield" map that was hard coded to just one function. Now you can code your own X-Y charts
that are not limited to just risk/yield maps.
All you need to do to display your own scatter plot is to add XYChartAddPoint to your formula for each X-Y
point you want to have on your chart.
For example you can get scatter plot of MFE/Profit and MAE/Profit relationships as shown in the description of
XYChartAddPoint AFL function.
To display risk/yield scatter chart using new functions follow the steps below.
1. Click File->New->Analysis
2. Pick "Formulas\Exploration\RiskYield.afl" file (listed below)
3. Click on Explore button in the new Analysis window
4. In the bottom row of tabs you will see new "Risk/Yield" tab, click on it and you will see XY chart generated
during exploration:
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You can hover the mouse over that X-Y chart to read the values and you can click, drag to mark rectangle to
zoom in. Click without marking rectangle restores full view.
// XY scatter chart example
// This is AFL equivalent of Risk-Yield map
// Note that this exploration should be run on
// WEEKLY data
// it calculates average weekly gain (yield)
// and standard deviation of gains (risk)
Filter=Status("lastbarinrange");
Length = SelectedValue( BarIndex() );
Chg = ROC( C, 1 ); //one bar yield
yield = MA( Chg, Length - 1);
risk = StDev( Chg, Length - 1);
AddColumn(yield,"yield");
AddColumn(risk,"risk");
Clr = ColorHSB( 2 * Status("stocknum") % 255, 255, 255 );
XYChartAddPoint( "Risk/Yield", Name(), risk[ Length ], yield[ Length ] , Clr );
XYChartSetAxis("Risk/Yield", "Risk[%]", "Yield[%]");
Final tip
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Please don't forget that you can sort the results of the exploration by any column by simply clicking on its
header.
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How to write your own chart commentary
One of the interesting aspects of using AmiBroker Formula Language is writing automatic chart
commentaries. The idea behind this technique is as follows:
1. You write the commentary formula that consists of two basic elements: static texts and AFL
expressions
2. AmiBroker evaluates expressions using currently selected symbol data and generates dynamic
content
3. The mixture of static text and evaluated formulas are displayed in commentary output window
4. Additionally buy/sell arrows are plotted on the chart
Commentaries are available from Analysis->Commentary menu. When you open commentary window you will
see two tabs: Commentary and Formula. In the Formula tab you can type the AFL statements which will be
evaluated by AmiBroker resulting in dynamic commentary that appears in Commentary tab. The following
sections will guide you through the steps needed to write your very own commentary formulas.
Writing static texts
Static text elements written in the formula should be enclosed in the quotation marks and terminated by
semicolon sign as shown below:
"This is sample static text statement";
You can write several statements and each statement will be placed in a new line in the commentary output
window:
"This is first line of text";
"This is second line of text";
Please type these examples into edit field in the Formula tab and switch to Commentary tab. You will see the
texts displayed in the output area but without any quotation marks or semicolons. This is because AmiBroker
has evaluated this simple text statements into strings and it displayed the strings in the output window.
Instead of just typing the text, it is advised that any new code should use printf function instead.
printf( "This is sample static text statement" );
To write several lines of text you can use a couple of statements as shown above or you can do this using
single statement and line break sequence ('\n'):
printf( "This is first line of text\nThis is second line of
text\nThis is third line of text" );
You can also concatenate the string constants which will result in single line text:
printf( "This" +
" is" +
" single"+
" line" + " of text" );
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Colors and styles
Since version 5.90 commentary and interpretation windows support colors and bold/italic styles. To specify
beginning and end of bold section use <b> and </b> tags. To specify beginning and end of italic section use
<i> and </i> tags. To change text color use EncodeColor as shown in the example below:
printf("<b>Bold text</b>\n");
printf("<i>Italic text</i>\n");
printf("Now " + EncodeColor( colorRed ) + "red text\n");
printf("and finally " + EncodeColor( colorGreen ) + "green <b>AND bold <i>AND
italic</i></b>\n");
printf(EncodeColor( colorBlack ) + "going back to black");
Dynamic content
I guess that you are quite bored with these simple examples, let's start with some dynamic content.
To enable dynamic commentaries AFL has a couple of special functions available, but two of them are the
most important: NumToStr() and WriteIF(). WriteIF() function is used for conditional text display and will be
described later in this article, now let us see what we can do using NumToStr() function.
The AFL reference manual says:
SYNTAX
NumToStr( NUMBER );
NumToStr( ARRAY );
RETURNS
STRING
FUNCTION
This function can only be used within an Guru commentary. It is used to
display the numeric value of NUMBER or ARRAY.
So, if you want to display a value of a number or currently selected bar of the array you should use
NumToStr() function. But... wait a minute - what does it mean "currently selected bar of the array"? Let me
explain this using simple formula (please type it in the Formula tab):
printf( NumToStr( close ) );
When you switch to Commentary tab you will see the value of closing price (the same one which is displayed
at the top of main price chart). But when you click on the chart in another place, selecting different date and
then you click "Refresh" button you will see different value - the closing price at day you have selected. So
NumToStr( close ) function displays the value of currently selected bar of close array. And it works exactly the
same way with other arrays. If you write
printf( NumToStr( macd() ) );
you will see the exact value of MACD indicator at the day you have selected in the main chart. Having our
current know-how we are able to write some statistics:
printf( "Closing price = " + NumToStr( close ) + "\n" );
printf( "Change since yesterday = " + NumToStr( close - ref( close,
-1 ) ) + "\n" );
printf( "Percent chg. since yesterday = " + NumToStr( roc( close, 1 )
) + " %%\n" );
printf( "MACD =" + NumToStr( macd() ) + " , Signal line =" +
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NumToStr( signal() ) + "\n" );
When you switch to Commentary tab you will see output similiar to this one:
Closing price = 17.940
Change since yesterday = -0.180
Percent chg. since yesterday = -0.993 %
MACD = -0.001 , Signal line = 0.063
Quite nice, isn't it? You can also write current symbol ticker and selected date using name() and date()
functions as shown below:
printf( "Statistics of " + name() + " as of " + date() );
Instead of using NumToStr to convert number to string, we can format numbers directly using printf flexible %
format specifiers. For example using %.2f means write a number with 2 decimal places, %.3f will mean write a
number with 3 decimal places, %g will mean write a number with minimum required number of digits
(auto-format). So we could write our previous example as follows:
printf(
printf(
printf(
printf(
"Closing price = %.3f\n", close );
"Change since yesterday = %.3f\n", close - ref( close, -1 ) );
"Percent chg. since yesterday = %.2f%%\n", roc( close, 1 ) );
"MACD = %.4f, Signal line = %.4f\n", macd(), signal() );
As we can see this code is shorter and clearer. The first argument of printf function is a string (strictly
speaking so called formatting string that contains text and number placeholders/format specifiers marked with
%. Subsequent arguments of printf function are actual values (numbers) we want to write (without need to
convert to string anymore). As you may have noted, if we want to specify just percent sign, not a formatting
sequence, we need to write %% (two percent signs).
But what we miss here is an ability to write something if some condition is met and write something different
otherwise...
Conditional text output
AFL is equipped with very nice function called WriteIF() that can output different texts depending on the
condition. Let us look what documentation says:
SYNTAX
writeif( EXPRESSION, "TRUE TEXT", "FALSE TEXT" )
RETURNS
STRING
FUNCTION
This function can only be used within an Guru commentary. If EXPRESSION
evaluates to "true", then the TRUE TEXT string is displayed within the
commentary. If EXPRESSION evaluates to "false", then the FALSE TEXT
string is displayed.
So we can easily output different text depending on expession, for example:
writeif( macd() > signal(), "The MACD is bullish because is is above
it's signal line", "The MACD is bearish because it is below its
signal line" );
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You can also combine several WriteIf() function calls in order to handle more possibilities:
"The current market condition for "+ name() + " is: ";
avgcond1 = ( c > ema( close, 200) ) + 0.1 * ( close > ema( close, 90)
) + 0.1 * ( close > ema( close , 30 ) );
avgcond2 = -( c < ema( close, 200) ) - 0.1 * ( close < ema( close,
90) ) - 0.1 * ( close < ema( close , 30 ) );
WriteIf( avgcond1
"Very Bullish",
WriteIf( avgcond1
"Bullish",
WriteIf( avgcond1
"Mildly Bullish",
== 1.2,
WriteIf( avgcond2
"Very Bearish",
WriteIf( avgcond2
"Bearish",
WriteIf( avgcond2
"Mildly Bearish",
== -1.2,
== 1.1,
== 1.0,
"") ) ) +
== -1.1,
== -1.0,
"") ) );
The formula above will return the text "The current market condition for {your ticker here} is: Very Bullish" if
close price is above 30 day average and close is above 90 day average and close is above 200 day average.
In other cases the formula will give you Bullish, Mildly Bullish, Mildly Bearish, Bearish or Very Bearish ratings.
For more examples on AFL commentaries please check AFL formula library especially MACD commentary
formula which demonstrates all techniques presented here.
Now you are ready to start with your own commentaries... Good luck!
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Using studies in AFL formulas
AmiBroker 3.52 introduces ability to reference hand-drawn studies from AFL formulas. This feature is quite
unique among trading software and as you will find out using this feature is quite easy.
I will show you an example how to check if the trend line is broken from AFL code. All we need to do is three
simple steps:
1. Draw a trend line
2. Define study ID
3. Write the formula that checks trend line break
Drawing trend line
A trend line is a sloping line drawn between two prominent points on a
chart.
In this example we will draw the rising trend line that defines the uptrend.
This kind of trend line is usually drawn between two (or more) troughs
(low points) to illustrate price support.
For sure you know how to draw a trend line in AmiBroker - just select a
"Trend line" tool from "Draw" toolbar, find at least two recent troughs and
just draw the line.
Define study ID
As you probably know, you can modify the properties of each line drawn
in AmiBroker by clicking with the right mouse button over the study and
selecting "Properties" from the menu. The properties dialog that shows up
allows you to define exact start/end points and choose line colour, style
and left and/or right extension mode.
For further analysis we will use the right-extended trend line (click on
appropriate checkbox) to make sure that the trend line is automaticaly
extended when new data are added.
Since version 3.52 the properties dialog allows also to define "Study ID" (the combo below colour box). "Study
ID" is a two-letter code of the study that can be assigned to any study within a chart that allows AmiBroker to
reference it from AFL. Predefined identifiers are: "UP" - uptrend, "DN" - downtrend, "SU" - support, "RE" resistance, "ST" - stop loss, however you can use ANY identifiers (there are no limitations except that
AmiBroker accepts only 2 letter codes). This way if you draw the support lines in many symbols and give them
all "SU" identifier then you will be able to reference the support line from AFL code.
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So we will assign the "SU" study ID to the rising support trend line we have just drawn.
Write the formula that checks trend line break
In this example we will detect if the closing price drops BELOW support trend line. This is actually very simple:
sell = cross( study( "SU" ), close, GetChartID() );
Note that study() function accepts two arguments: the first is StudyID two letter code that corresponds to one
given in properites dialog; the second argument is chart ID - it should be taken either via GetChartID() function
(then it refers to current indicator) or read from Parameter dialog, Axes & Grid: Miscellaneous: Chart ID.
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Back-testing your trading ideas
Introduction
One of the most useful things that you can do in the analysis window is to back-test your trading strategy on
historical data. This can give you valuable insight into strengths and weak points of your system before
investing real money. This single AmiBroker feature is can save lots of money for you.
Writing your trading rules
First you need to have objective (or mechanical) rules to enter and exit the market. This step is the base of
your strategy and you need to think about it yourself since the system must match your risk tolerance, portfolio
size, money management techniques, and many other individual factors.
Once you have your own rules for trading you should write them as buy and sell rules in AmiBroker Formula
Lanugage (plus short and cover if you want to test also short trading).
In this chapter we will consider very basic moving average cross over system. The system would buy
stocks/contracts when close price rises above 45-day exponential moving average and will sell
stocks/contracts when close price falls below 45-day exponential moving average.
The exponential moving average can be calculated in AFL using its built-in function EMA. All you need to do is
to specify the input array and averaging period, so the 45-day exponential moving average of closing prices
can be obtained by the following statement:
ema( close, 45 );
The close identifier refers to built-in array holding closing prices of currently analysed symbol.
To test if the close price crosses above exponential moving average we will use built-in cross function:
buy = cross( close, ema( close, 45 ) );
The above statement defines a buy trading rule. It gives "1" or "true" when close price crosses above ema(
close, 45 ). Then we can write the sell rule which would give "1" when opposite situation happens - close price
crosses below ema( close, 45 ):
sell = cross( ema( close, 45 ), close );
Please note that we are using the same cross function but the opposite order of arguments.
So complete formula for long trades will look like this:
buy = cross( close, ema( close, 45 ) );
sell = cross( ema( close, 45 ), close );
NOTE: To create new formula please open Formula Editor using Analysis->Formula Editor menu, type the
formula and choose Tools->Send to Analysis menu in Formula editor
Back testing
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To back-test your system just click on the Back test button in the Automatic analysis window. Make sure you
have typed in the formula that contains at least buy and sell trading rules (as shown above). When the formula
is correct AmiBroker starts analysing your symbols according to your trading rules and generates a list of
simulated trades. The whole process is very fast - you can back test thousands of symbols in a matter of
minutes. The progress window will show you estimated completion time. If you want to stop the process you
can just click Cancel button in the progress window.
Analysing results
When the process is finished the list of simulated trades is shown in the bottom part of Automatic analysis
window. (the Results pane). You can examine when the buy and sell signals occurred just by double clicking
on the trade in Results pane. This will give you raw or unfiltered signals for every bar when buy and sell
conditions are met. If you want to see only single trade arrows (opening and closing currently selected trade)
you should double click the line while holding SHIFT key pressed down. Alternatively you can choose the type
of display by selecting appropriate item from the context menu that appears when you click on the results
pane with a right mouse button.
In addition to the results list you can get very detailed statistics on the performance of your system by clicking
on the Report button. To find out more about report statistics please check out report window description.
Changing your back testing settings
Back testing engine in AmiBroker uses some predefined values for performing its task including the portfolio
size, periodicity (daily/weekly/monthly), amount of commission, interest rate, maximum loss and profit target
stops, type of trades, price fields and so on. All these settings could be changed by the user using settings
window. After changing settings please remember to run your back testing again if you want the results to be
in-sync with the settings.
For example, to back test on weekly bars instead of daily just click on the Settings button select Weekly from
Periodicity combo box and click OK, then run your analysis by clicking Back test.
Reserved variable names
The following table shows the names of reserved variables used by Automatic Analyser. The meaning and
examples on using them are given later in this chapter.
Variable
Usage
Applies to
buy
defines "buy" (enter long position) trading rule
Automatic
Analysis,
Commentary
sell
defines "sell" (close long position) trading rule
Automatic
Analysis,
Commentary
short
defines "short" (enter short position - short sell) trading rule
Automatic
Analysis
cover
defines "cover" (close short position - buy to cover) trading rule
Automatic
Analysis
buyprice
defines buying price array (this array is filled in with the default values
according to the Automatic Analyser settings)
Automatic
Analysis
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sellprice
defines selling price array (this array is filled in with the default values
according to the Automatic Analyser settings)
shortprice
defines short selling price array (this array is filled in with the default values Automatic
according to the Automatic Analyser settings)
Analysis
coverprice
defines buy to cover price array (this array is filled in with the default
values according to the Automatic Analyser settings)
Automatic
Analysis
exclude
If defined, a true (or 1) value of this variable excludes current symbol from
scan/exploration/back test. They are also not considered in buy and hold
calculations. Useful when you want to narrow your analysis to certain set
of symbols.
Automatic
Analysis
roundlotsize
defines round lot sizes used by backtester (see explanations below)
Automatic
Analysis (new in
4.10)
ticksize
defines tick size used to align prices generated by built-in stops (see
explanations below) (note: it does not affect entry/exit prices specified by
buyprice/sellprice/shortprice/coverprice)
Automatic
Analysis (new in
4.10)
pointvalue
allows to read and modify future contract point value (see backtesting
futures)
CAVEAT: this AFL variable is by default set to 1 (one) regardless of
contents of Information window UNLESS you turn ON futures mode
(SetOption("FuturesMode", True ))
Automatic
Analysis (new in
4.10)
margindeposit allows to read and modify future contract margin (see backtesting futures)
positionsize
Automatic
Analysis
Automatic
Analysis (new in
4.10)
Allows control dollar amount or percentage of portfolio that is invested into Automatic
the trade (see explanations below)
Analysis (new in
3.9)
Advanced concepts
Until now we discussed fairly simple use of the back tester. AmiBroker, however supports much more
sophisticated methods and concepts that will be discussed later on in this chapter. Please note that the
beginner user should first play a little bit with the easier topics described above before proceeding.
So, when you are ready, please take a look at the following recently introduced features of the back-tester:
a) AFL scripting host for advanced formula writers
b) enhanced support for short trades
c) the way to control order execution price from the script
d) various kinds of stops in back tester
e) position sizing
f) round lot size and tick size
g) margin account
h) backtesting futures
AFL scripting host is an advanced topic that is covered in a separate document available here and I won't
discuss it in this document. Remaining features are much more easy to understand.
Short trade support
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In the previous versions of AmiBroker, if you wanted to back-test system using both long and short trades, you
could only simulate stop-and-reverse strategy. When long position was closed a new short position was
opened immediatelly. It was because buy and sell reserved variables were used for both types of trades.
Now (with version 3.59 or higher) there are separate reserved variables for opening and closing long and
short trades:
buy - "true" or 1 value opens long trade
sell - "true" or 1 value closes long trade
short - "true" or 1 value opens short trade
cover - "true" or 1 value closes short trade
Som in order to back-test short trades you need to assign short and cover variables.
If you use stop-and-reverse system (always on the market) simply assign sell to short and buy to cover
short = sell;
cover = buy;
This simulates the way pre-3.59 versions worked.
But now AmiBroker enables you to have separate trading rules for going long and for going short as shown in
this simple example:
// long trades entry and exit rules:
buy = cross( cci(), 100 );
sell = cross( 100, cci() );
// short trades entry and exit rules:
short = cross( -100, cci() );
cover = cross( cci(), -100 );
Note that in this example if CCI is between -100 and 100 you are out of the market.
Controlling trade price
AmiBroker now provides 4 new reserved variables for specifying the price at which buy, sell, short and cover
orders are executed. These arrays have the following names: buyprice, sellprice, shortprice and coverprice.
The main application of these variables is controlling trade price:
BuyPrice = IIF( dayofweek() == 1, HIGH, CLOSE );
// on monday buy at high, otherwise buy on close
So you can write the following to simulate real stop-orders:
BuyStop = ... the formula for buy stop level;
SellStop = ... the formula for sell stop level;
// if anytime during the day prices rise above buystop level
(high>buystop)
// the buy order takes place (at buystop or low whichever is higher)
Buy = Cross( High, BuyStop );
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// if anytime during the day prices fall below sellprice level ( low
< sellstop )
// the sell order takes place (at sellstop or high whichever is
lower)
Sell = Cross( SellPrice, SellStop);
BuyPrice = max( BuyStop, Low ); // make sure buy price not less than
Low
SellPrice = min( SellStop, High ); // make sure sell price not
greater than High
Please note that AmiBroker presets buyprice, sellprice, shortprice and coverprice array variables with the
values defined in system test settings window (shown below), so you can but don't need to define them in
your formula. If you don't define them AmiBroker works as in the old versions.
During back-testing AmiBroker will check if the values you assigned to buyprice, sellprice, shortprice,
coverprice fit into high-low range of given bar. If not, AmiBroker will adjust it to high price (if price array value
is higher than high) or to the low price (if price array value is lower than low)
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Profit target stops
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As you can see in the picture above, new settings for profit target stops are available in the system test
settings window. Profit target stops are executed when the high price for a given day exceedes the stop level
that can be given as a percentage or point increase from the buying price. By default stops are executed at
price that you define as sell price array (for long trades) or cover price array (for short trades). This behaviour
can be changed by using "Exit at stop" feature.
"Exit at stop" feature
If you mark "Exit at stop" box in the settings the stops will be executed at exact stop level, i.e. if you define
profit target stop at +10% your stop and the buy price was 50 stop order will be executed at 55 even if your
sell price array contains different value (for example closing price of 56).
Maximum loss stops work in a similar manner - they are executed when the low price for a given day drops
below the stop level that can be given as a percentage or point increase from the buying price
Trailing stops
This kind of stop is used to protect profits as it tracks your trade so each time a position value reaches a new
high, the trailing stop is placed at a higher level. When the profit drops below the trailing stop level the position
is closed. This mechanism is illustrated in the picture below (10% trailing stop is shown):
<
The trailing stop, as well as two other kind of stops could be enabled from user interface (Automatic analysis'
Settings window) or from the formula level - using ApplyStop function:
To reproduce the example above you would need to add the following code to your automatic analysis
formula:
ApplyStop( 2, 1, 10, 1 ); // 10% trailing stop, percent mode, exit at stop ON
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or you can write it using predefined constants that are more descriptive
ApplyStop( stopTypeTrail, stopModePercent, 10, True );
Trailing stops could be also defined in points (dollars) and percent of profit (risk). In the latter case the amount
parameter defines the percentage of profits that could be lost without activating the stop. So 20% percent of
profit (risk) stop will exit your trade that has maximum profit of $100 when the profit decreases below $80.
Dynamic stops
The ApplyStop() function allows now to change the stop level from trade to trade. This enables you to
implement for example volatility-based stops very easily.
For example to apply maximum loss stop that will adapt the maximum acceptable loss based on 10 day
average true range you would need to write:
ApplyStop( 0, 2, 2 * ATR( 10 ), 1 );
or you can write it using predefined constants that are more descriptive
ApplyStop( stopTypeLoss, stopModePoint, 2 * ATR( 10 ), True );
The function above will place the stop 2 times 10 day ATR below entry price.
As ATR changes from trade to trade - this will result in dynamic, volatility based stop level. Please note that
3rd parameter of ApplyStop function (the amount) is sampled at the trade entry and held troughout the trade.
So in the example above it uses ATR(10) value from the date of the entry. Further changes of ATR do not
affect the stop level.
See complete APPLYSTOP function documentation for more details.
Coding your own custom stop types
ApplyStop function is intended to cover most "popular" kinds of stops. You can however code your own kind
of stops and exits using looping code. For example the following re-implements profit target stop and shows
how to refer to the trade entry price in your formulas:
/* a sample low-level implementation of Profit-target stop in AFL: */
Buy = Cross( MACD(), Signal() );
priceatbuy=0;
for( i = 0; i < BarCount; i++ )
{
if( priceatbuy == 0 && Buy[ i ] )
priceatbuy = BuyPrice[ i ];
if( priceatbuy > 0 && SellPrice[ i ] > 1.1 * priceatbuy )
{
Sell[ i ] = 1;
SellPrice[ i ] = 1.1 * priceatbuy;
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priceatbuy = 0;
}
else
Sell[ i ] = 0;
}
Position sizing
This is a new feature in version 3.9. Position sizing in backtester is implemented by means of new reserved
variable
PositionSize = <size array>
Now you can control dollar amount or percentage of portfolio that is invested into the trade
• positive number define (dollar) amount that is invested into the trade for example:
PositionSize = 1000; // invest $1000 in every trade
• negative numbers -100..-1 define percentage:
-100 gives 100% of current portfolio size,
-33 gives 33% of available equity for example:
PositionSize = -50; /* always invest only half of the current equity */
• dynamic sizing example:
PositionSize = - 100 + RSI();
as RSI varies from 0..100 this will result in position depending on RSI values -> low values of RSI will
result in higher percentage invested
If less than 100% of available cash is invested then the remaining amount earns interest rate as defined in the
settings.
There is also a new checkbox in the AA settings window: "Allow position size shrinking" - this controls how
backtester handles the situation when requested position size (via PositionSize variable) exceeds available
cash: when this flag is checked the position is entered with size shinked to available cash if it is unchecked
the position is not entered.
To see actual position sizes please use a new report mode in AA settings window: "Trade list with prices and
pos. size"
For the end, here is an example of Tharp's ATR-based position sizing technique coded in AFL:
Buy = <your buy formula here>
Sell = 0; // selling only by stop
TrailStopAmount = 2 * ATR( 20 );
Capital = 100000; /* IMPORTANT: Set it also in the Settings: Initial Equity */
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Risk = 0.01*Capital;
PositionSize = (Risk/TrailStopAmount)*BuyPrice;
ApplyStop( 2, 2, TrailStopAmount, 1 );
The technique could be summarized as follows:
The total equity per symbol is $100,000, we set the risk level at 1% of total equity. Risk level is defined as
follows: if a trailing stop on a $50 stock is at, say, $45 (the value of two ATR's against the position), the $5
loss is divided into the $1000 risk to give 200 shares to buy. So, the loss risk is $1000 but the allocation risk is
200 shares x $50/share or $10,000. So, we are
allocating 10% of the equity to the purchase but only risking $1000. (Edited excerpt from the AmiBroker
mailing list)
Round lot size and tick size
Round lot size
Various instruments are traded with various "trading units" or "blocks". For example you can purchase
fractional number of units of mutual fund, but you can not purchase fractional number of shares. Sometimes
you have to buy in 10s or 100s lots. AmiBroker now allows you to specify the block size on global and
per-symbol level.
You can define per-symbol round lot size in the Symbol->Information page (pic. 3). The value of zero means
that the symbol has no special round lot size and will use "Default round lot size" (global setting) from the
Automatic Analysis settings page (pic. 1). If default size is set also to zero it means that fractional number of
shares/contracts are allowed.
You can also control round lot size directly from your AFL formula using RoundLotSize reserved variable, for
example:
RoundLotSize = 10;
Tick size
This setting controls the minimum price move of given symbol. You can define it on global and per-symbol
level. As with round lot size, you can define per-symbol tick size in the Symbol->Information page (pic. 3). The
value of zero instructs AmiBroker to use "default tick size" defined in the Settings page (pic. 1) of Automatic
Analysis window. If default tick size is also set to zero it means that there is no minimum price move.
You can set and retrieve the tick size also from AFL formula using TickSize reserved variable, for example:
TickSize = 0.01;
Note that the tick size setting affects ONLY trades exited by built-in stops and/or ApplyStop(). The backtester
assumes that price data follow tick size requirements and it does not change price arrays supplied by the
user.
So specifying tick size makes sense only if you are using built-in stops so exit points are generated at
"allowed" price levels instead of calculated ones. For example in Japan - you can not have fractional parts of
yen so you should define global ticksize to 1, so built-in stops exit trades at integer levels.
Margin account
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Account margin setting defines percentage margin requirement for entire account. The default value of
Account margin is 100. This means that you have to provide 100% funds to enter the trade, and this is the
way how backtester worked in previous versions. But now you can simulate a margin account. When you buy
on margin you are simply borrowing money from your broker to buy stock. With current regulations you can
put up 50% of the purchase price of the stock you wish to buy and borrow the other half from your broker. To
simulate this just enter 50 in the Account margin field (see pic. 1) . If your intial equity is set to 10000 your
buying power will be then 20000 and you will be able to enter bigger positions. Please note that this settings
sets the margin for entire account and it is NOT related to futures trading at all. In other words you can trade
stocks on margin account.
Additional settings
• "Reverse entry signal forces exit" check box to the Backtester settings.
When it is ON (the default setting) - backtester works as in previous versions and closes already open
positon if new entry signal in reverse direction is encountered. If this switch is OFF - even if reverse
signal occurs backtester maintains currently open trade and does not close positon until regular exit
(sell or cover) signal is generated.
In other words when this switch is OFF backtester ignores Short signals during long trades and
ignores Buy signals during short trades.
• "Allow same bar exit (single bar trade)" option to the Settings
When it is ON (the default settings) - entry and exit at the very same bar is allowed (as in previous
versions)
if it is OFF - exit can happen starting from next bar only (this applies to regular signals,there is a
separate setting for ApplyStop-generated exits). Switching it to OFF allows to reproduce the
behaviour of MS backtester that is not able to handle same day exits.
• "Activate stops immediately"
This setting solves the problem of testing systems that enter trades on market open. In versions prior
to 4.09 backtester assumed that you were entering trades on market close so built-in stops were
activated from the next day. The problem was when you in fact defined open price as the trade entry
price - then same day price fluctuations did not trigger the stops. There were some published
workarounds based on AFL code but now you don't need to use them. Simply if you trade on open
you should mark "Activate stops immediately" (pic. 1).
You may ask why do not simply check the buyprice or shortprice array if it is equal to open price.
Unfortunatelly this won't work. Why? Simply because there are doji days when open price equals
close and then backtester will never know if trade was entered at market open or close. So we really
need a separate setting.
• "Use QuickAFL"
QuickAFL(tm) is a feature that allows faster AFL calculation under certain conditions. Initially (since
2003) it was available for indicators only, as of version 5.14+ it is available in Automatic Analysis too.
Initially the idea was to allow faster chart redraws through calculating AFL formula only for that part
which is visible on the chart. In a similar manner, automatic analysis window can use subset of
available quotations to calculate AFL, if selected “range” parameter is less than “All quotations".
Detailed explanation on how QuickAFL works and how to control it, is provided in this Knowledge
Base article: http://www.amibroker.com/kb/2008/07/03/quickafl/
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Note that this option works not only in the backtester, but also in optimizations, explorations and
scans.
See Also:
Portfolio-level backtesting article.
Backtesting systems for futures contracts article.
APPLYSTOP function description
Using AFL editor section of the guide.
Insider guide to backtester (newsletter 1/2002)
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Portfolio-level backtesting
IMPORTANT: Please read first Tutorial: Backtesting your trading ideas article
New backtester works on PORTFOLIO LEVEL, it means that there is single portfolio equity and position
sizing refers to portfolio equity. Portfolio equity is equal to available cash plus sum of all simultaneously open
positions at given time.
AmiBroker's portfolio backtester lets you combine trading signals and trade sizing strategies into simulations
which exactly mimic the way you would trade in real time. A core feature is its ability to perform dynamic
money management and risk control at the portfolio level. Position sizes are determined with full knowledge of
what's going on at the portfolio level at the moment the sizing decision is made. Just like you do in reality.
HOW TO SET IT UP ?
There are only two things that need to be done to perform portfolio backtest
1. You need to have first the formula that generates buy / sell / short /cover signals as described in
"Backtesting your trading ideas" article
2. You should define how many simultaneous trades you want to test and what position sizing algorithm you
want to use.
SETTING UP MAXIMUM NUMBER OF SIMULTANEOUSLY OPEN TRADES
There are two ways to set the maximum number of simultaneously open trades:
1. Go to the Settings dialog, switch to Portfolio tab and enter the number to Max. Open Positions field
2. Define the maximum in the formula itself (this overrides any setting in the Settings window) using SetOption
function:
SetOption("MaxOpenPositions", 5 ); // This sets maximum number of open positions
to 5
SETTING UP POSITION SIZE
IMPORTANT: to enable more than one symbol to be traded you have to add PositionSize variable to your
formula, so less than 100% of funds are invested in single security:
PositionSize = -25; // invest 25% of portfolio equity in single trade
or
PositionSize = 5000; // invest $5000 into single trade
There is a quite common way of setting both position size and maximum number of open positions so equity
is spread equally among trades:
PosQty = 5; // You can define here how many open positions you want
SetOption("MaxOpenPositions", PosQty );
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PositionSize = -100/PosQty; // invest 100% of portfolio equity divided by max.
position count
You can also use more sophisticated position sizing methods. For example volatility-based position sizing
(Van Tharp-style):
PositionSize = -2 * BuyPrice/(2*ATR(10));
That way you are investing investing 2% of PORTFOLIO equity in the trade adjusted by BuyPrice/2*ATR
factor.
USING POSITION SCORE
You can use new PositionScore variable to decide which trades should be entered if there are more entry
signals on different securities than maximum allowable number of open positions or available funds. In such
case AmiBroker will use the absolute value of PositionScore variable to decide which trades are preferred.
See the code below. It implements simple MA crossover system, but with additional flavour of preferring
entering trades on symbols that have low RSI value. If more buy signals occur than available cash/max.
positions then the stock with lower RSI will be preferred. You can watch selection process if you backtest with
"Detailed log" report mode turned on.
The code below includes also the example how to find optimum number of simultaneously open positions
using new Optimization in Porfolio mode.
/*****
** REGULAR PORTFOLIO mode
** This sample optimization
** finds what is optimum number of positions open simultaneously
**
****/
SetOption("InitialEquity", 20000 );
SetTradeDelays(1,1,1,1);
RoundLotSize = 1;
posqty = Optimize("PosQty", 4, 1, 20, 1 );
SetOption("MaxOpenPositions", posqty);
// desired position size is 100% portfolio equity
// divided by PosQty positions
PositionSize = -100/posqty;
// The system is very simple...
// MA parameters could be optimized too...
p1 = 10;
p2 = 22;
// simple MA crossover
Short=Cross( MA(C,p1) , MA(C,p2) );
Buy=Cross( MA(C,p2) , MA(C,p1) );
// always in the market
Sell=Short;
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Cover=Buy;
// now additional score
// that is used to rank equities
// when there are more ENTRY signals that available
// positions/cash
PositionScore = 100-RSI(); // prefer stocks that have low RSI;
BACKTEST MODES
AmiBroker 5.0 offers 6 different backtest modes:
• regular mode (backtestRegular)
• regular raw mode (backtestRegularRaw)
• regular raw + multiple positions mode (backtestRegularRawMulti)
• regular raw2 mode (backtestRegularRaw2)
• regular raw2 + multiple positions mode (backtestRegularRaw2Multi)
• rotational trading mode (backtestRotational)
All "regular" modes use buy/sell/short/cover signals to enter/exit trades, while "rotational" mode (aka "ranking /
switching" system) uses only position score and is descibed later.
Backtest modes are switchable using SetBacktestMode() AFL function.
The difference between "regular" modes is how repeated (also known as "redundant" or "extra") entry signals
are handled. An "extra" entry signal is the signal that comes AFTER initial entry but before first matching exit
signal.
In the regular mode - the default one, redundant entry signals are removed as shown in the picture below.
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As you can see Buy-Sell signal pairs are matched and treated as a TRADE. If trade is NOT entered on first
entry signal due to weak rank, not enough cash or reaching the maximum open position count, subsequent
entry signals are ignored until matching exit signal. After exit signal, the next entry signal will be possible
candidate for entering trade. The process of removing excess signals occurring after first buy and matching
sell (and short-cover pair respectively) is the same as ExRem() AFL function provides. To use regular mode
you don't need to call SetBacktestMode function at all, as this is the default mode.
You may or may not consider removing extra signals desirable. If you want to act on ANY entry signal you
need to use second mode - backtestRegularRaw. To turn it on you need to include this line in the code:
// signal-based backtest, redundant (raw) signals are NOT removed, only one
position per symbol allowed
SetBacktestMode( backtestRegularRaw );
It does NOT remove redundant entry signals and will act on ANY entry provided that it is scored highly
enough and there is a cash available and maximum number of open positions is not reached. It will however
allow only ONE OPEN POSITION per symbol at any given time. It means that if log trade is already open and
later in the sequence appears an extra buy signal, it will be ignored until a "sell" signal comes (short-cover
signals work the same). Note that you can still use sigScaleIn/sigScaleOut to increase or decrease the size of
this existing position, but it will appear as single line in backtest result list.
If you want ALL repeated entry signals to be acted and allow to open multiple, separate positions on the same
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symbol without scaling in/out effect (so multiple positions on the same symbol open simultaneously appear as
separate lines in the backtest report) you need to use backtestRegularRawMulti mode by adding the following
line to the code:
SetBacktestMode( backtestRegularRawMulti );
In this mode MULTIPLE positions per symbol will be open if BUY/SHORT signal is "true" for more than one
bar and there are free funds. Sell/Cover exit all open positions on given symbol, Scale-In/Out work on all open
positions of given symbol at once.
Remark: The remaining modes are for advanced users only
Raw2 modes are "special" for advanced users of custom backtester. They are only useful if you do custom
processing of exit signals in custom backtester procedure. They should NOT be used otherwise, because of
performance hit and memory consumption Raw2 modes cause.
The common thing between Raw and Raw2 modes is that they both do NOT remove excess ENTRY signals.
The difference is that Raw modes remove excess EXIT signals, while Raw2 do NOT.
In Raw2 modes all exit signals (even redundant ones) are passed to second phase of backtest just in case
that you want implement strategy that skips first exit. Lets suppose that you want to exit on some condition
from first phase but only in certain hours or after certain numbers of bars in trade or only when portfolio equity
condition is met. Now you can do that in Raw2 modes.
Note that Raw2 modes can get significantly slower when you are using custom backtester code that iterates
thru signals as there can be zillions of exit signals in the lists even for symbols that never generated any entry
signals, therefore it is advised to use it only when absolutely necessary. Raw2 modes are also the most
memory consuming. Note also that if you run the system WITHOUT custom backtest procedure there should
be no difference between Raw and Raw2 modes (other than speed & memory usage) as first matching exit
signal is what is used by default.
ROTATIONAL TRADING
Rotational trading (also known as fund-switching or scoring and ranking) is possible too. For more information
see the description of EnableRotationalTrading function.
HOLDMINBARS and EARLY EXIT FEES
(Note that these features are available in portfolio-backtester only and not compatible with old backtester or
Equity() function)
HoldMinBars is a feature that disables exit during user-specified number of bars even if signals/stops are
generated during that period
Please note that IF during HoldMinBars period ANY stop is generated it is ignored. Also this period is ignored
when it comes to calculation of trailing stops (new highest highs and drops below trailing stops generated
during HoldMinBars are ignored).This setting, similar to EarlyExitFee/EarlyExitBars is available on per-symbol
basis (i.e. it can be set to different value for each symbol)
Example:
SetOption("HoldMinBars", 127 );
Buy=BarIndex()==0;
Sell=1;
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// even if sell signals are generated each day,
//they are ignored until bar 128
Early exit (redemption) fee is charged when trade is exited during first N bars since entry.
The fee is added to exit commission and you will see it in the commissions reported for example in detailed
log. However, it is NOT reflected in the portfolio equity unless trade really exits during first N bars - this is to
prevent affecting drawdowns if trade was NOT exited early.
// these two new options can be set on per-symbol basis
// how many bars (trading days)
// an early exit (redemption) fee is applied
SetOption("EarlyExitBars", 128 );
// early redemption fee (in percent)
SetOption("EarlyExitFee", 2 );
(note 180 calendar days is 128 or 129 trading days)
// how to set it up on per-symbol basis?
// it is simple - use 'if' statement
if( Name() == "SYMBOL1" )
{
SetOption("EarlyExitBars", 128 );
SetOption("EarlyExitFee", 2 );
}
if( Name() == "SYMBOL2" )
{
SetOption("EarlyExitBars", 25 );
SetOption("EarlyExitFee", 1 );
}
In addition to HoldMinBars, EarlyExitBars there are sibling features (added in 4.90) called HoldMinDays and
EarlyExitDays that work with calendar days instead of data bars. So we can rewrite previous examples to
use calendar days accurately:
// even if sell signals are generated each day,
//they are ignored until 180 calendar days since entry
SetOption("HoldMinBars", 180 );
Buy=BarIndex()==0;
Sell=1;
// these two new options can be set on per-symbol basis
// how many CALENDAR DAYS
// an early exit (redemption) fee is applied
SetOption("EarlyExitDays", 180 );
// early redemption fee (in percent)
SetOption("EarlyExitFee", 2 );
(note 180 calendar days is 128 or 129 trading days)
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// how to set it up on per-symbol basis?
// it is simple - use 'if' statement
if( Name() == "SYMBOL1" )
{
SetOption("EarlyExitDays", 180 );
SetOption("EarlyExitFee", 2 );
}
if( Name() == "SYMBOL2" )
{
SetOption("EarlyExitDays", 30 );
SetOption("EarlyExitFee", 1 );
}
RESOLVING SAME BAR, SAME SYMBOL SIGNAL CONFLICTS
It is possible for the system to generate on the very same symbol both entry and exit signal at the very same
bar. Consider for example, this very simple system that generates buy and sell signals on every bar:
Buy = 1;
Sell = 1;
If you add an exploration code to it to show the signals:
AddColumn(Buy,"Buy", 1.0 );
AddColumn(Sell, "Sell", 1.0 );
Filter = Buy OR Sell;
you will get the following output (when you press Explore);
Now because of the fact that entry and exit signals do NOT carry any timing information, so you don't know
which signal comes first, there are three ways how such conflicting same bar, entry and exit signals may be
interpreted:
1. only one signal is taken at any bar, so trade that begins on bar 1 ends on bar 2 and next trade may
only be open on bar 3 and closed on bar 4
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2. both signals are used and entry signal precedes exit signal, so trade that begins on bar 1 ends on
bar 1, then text trade opens on bar 2 and ends on bar 2, and so on (we have single-bar trades and we
are out of market between bars)
3. both signals are used and entry signal comes after exit signal. In this situation the very first signal
(exit) is ignored because we are flat, and trade is open on same bar entry signal. Then we don't have
any more signals for given bar and trade is closed on the next bar exit signal, then we get another
entry (same bar). So trade that begins on bar 1 ends on bar 2, then text trade opens on bar 2 and
ends on bar 3, and so on (we have trades that span between bars, but both exit and entry signal
occuring on the very same bar are acted upon)
Since, as we mentioned already, buy/sell/short/cover arrays do not carry timing information we have to
somehow tell AmiBroker how to interpret such conflict. One would think that it is enough to set buyprice to
open and sellprice to close to deliver timing information, but it is NOT the case. Price arrays themselves DO
NOT provide timing information neither. You may ask why. This is quite simple, first of all trading prices do not
need to be set to exact open/close. In several scenarios you may want to define buyprice as open + slippage
and sellprice as close - slippage. Even if you do use exact open and close, it happens quite often that open is
equal close (such ase defines a doji candlestick) and then there is no way to find out from price alone,
whenever it means close or open. So again buyprice/sellprice/shortprice/coverprice variables DO NOT
provide any timing information.
The only way to control the way how same bar, same symbol entry/exit conflicts are resolved is via
AllowSameBarExit option and HoldMinBars option.
Scenario 1. Only one signal per symbol is taken at any bar
This scenario is used when AllowSameBarExit option is set to False (turned off).
In this case it does not really matter whether exit or entry was the first within single bar. It is quite easy to
understand: on any bar only one signal is acted upon. So if we are flat on given symbol, then entry signal is
taken (with buy signal taking precedence over short), other signals are ignored and we move to next bar. If
we are long on given symbol, then sell signal is taken, trade is exited and we move to next bar ignoring other
signals. If we are short on given symbol then cover signal is taken, trade is exited and we move to next bar
again ignoring other signals. If there we are in the market but there is no matching exit signal - the position is
kept and we move to next bar.
SetOption("AllowSameBarExit", False );
Buy = 1;
Sell = 1;
The following pictures show which signals are taken and resulting trade list. All trades begin one day and end
next day. New trade is open on the following day.
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Scenario 2. Both entry and exit signals are used and entry signal precedes exit signal
This scenario is used when AllowSameBarExit option is set to True (turned on) and HoldMinBars is set to
zero (which is the default setting).
In this case we simply act on both signals immediately (same bar). So if we are flat on given symbol, then
entry signal is taken (with buy signal taking precedence over short), but we do not move to the next bar
immediately. Instead we check if exit signals exist too. If we are long on given symbol, then sell signal is
taken. If we are short on given symbol then cover signal is taken. Only after processing all signals we move to
the next bar.
SetOption("AllowSameBarExit", True );
Buy = 1;
Sell = 1;
The following pictures show which signals are taken and resulting trade list. As we can see, this time all
signals are acted upon and we have sequence of single-bar trades.
Scenario 3. Both signals are used and entry signal comes after exit signal.
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This scenario is used when AllowSameBarExit option is set to True (turned on) and HoldMinBars is set to 1
(or more).
In this case we simply act on both signals in single bar, but we respect the HoldMinBars = 1 limitation, so
trade that was just open can not be closed the same bar. So if we are long on given symbol, then sell signal is
taken. If we are short on given symbol then cover signal is taken. We don't move to next bar yet. Now if we
are flat on given symbol (possibly just exited position on this bar exit signal), then entry signal is taken if any
(with buy signal taking precedence over short) and then we move to the next bar.
SetOption("AllowSameBarExit", True );
SetOption("HoldMinBars", 1 );
Buy=1;
Sell=1;
The following pictures show which signals are taken and resulting trade list. As we can see, again all signals
are acted upon BUT... trade duration is longer - they are not same bar trades - they all span overnight.
How does it work in portfolio case?
The mechanism is the same regardless if you test on single symbol or multiple symbols. First same-bar
conflicts are resolved on every symbol separately the way described above. Then, when you test on multiple
symbols, resulting trade candidates are subject to scoring by PositionScore described in earlier part of this
document.
Support for market-neutral, long-short balanced strategies
An investment strategy is considered market neutral if it seeks to entirely avoid some form of market risk,
typically by hedging. The strategy holds Long / short equity positions, with long positions hedged with short
positions in the same and related sectors, so that the equity market neutral investor should be little affected by
sector- or market-wide events. This places, in essence, a bet that the long positions will outperform their
sectors (or the short positions will underperform) regardless of the strength of the sectors.
In version 5.20 the following backtester options have been added to simplify implementing market-neutral
systems: SeparateLongShortRank, MaxOpenLong, MaxOpenShort.
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SeparateLongShortRank backtester option
To enable separate long/short ranking use:
SetOption("SeparateLongShortRank", True );
When separate long/short ranking is enabled, the backtester maintains TWO separate "top-ranked" signal
lists, one for long signals and one for short signals. This ensures that long and short candidates are
independently even if position score is not symetrical (for example when long candidates have very high
positive scores while short candidates have only fractional negative scores). That contrasts with the default
mode where only absolute value of position score matters, therefore one side (long/short) may completely
dominate ranking if score values are asymetrical.
When SeparateLongShortRank is enabled, in the second phase of backtest, two separate ranking lists are
interleaved to form final signal list by first taking top ranked long, then top ranked short, then 2nd top ranked
long, then 2nd top ranked short, then 3rd top ranked long and 3rd top ranked short, and so on... (as long as
signals exist in BOTH long/short lists, if there is no more signals of given kind, then remaining signals from
either long or short lists are appended)
For example:
Entry signals(score):ESRX=Buy(60.93), GILD=Short(-47.56), CELG=Buy(57.68), MRVL=Short(-10.75),
ADBE=Buy(34.75), VRTX=Buy(15.55), SIRI=Buy(2.79),
As you can see Short signals get interleaved between Long signals even though their absolute values of
scores are smaller than corresponding scores of long signals. Also there were only 2 short signals for that
particular bar so, the rest of the list shows long signals in order of position score. Although this feature can be
used independently, it is intended to be used in combination with MaxOpenLong and MaxOpenShort options.
MaxOpenLong / MaxOpenShort backtester options
MaxOpenLong - limits the number of LONG positions that can be open simultaneously
MaxOpenShort - limits the number of SHORT positions that can be open simultaneously
Example:
SetOption("MaxOpenPositions", 15 );
SetOption("MaxOpenLong", 11 );
SetOption("MaxOpenShort", 7 );
The value of ZERO (default) means NO LIMIT. If both MaxOpenLong and MaxOpenShort are set to zero ( or
not defined at all) the backtester works old way - there is only global limit active (MaxOpenPositions)
regardless of type of trade.
Note that these limits are independent from global limit (MaxOpenPositions). This means that MaxOpenLong
+ MaxOpenShort may or may not be equal to MaxOpenPositions.
If MaxOpenLong + MaxOpenShort is greater than MaxOpenPositions then total number of positions allowed
will not exceed MaxOpenPositions, and individual long/short limits will apply too. For example if your system
MaxOpenLong is set to 7 and maxOpenShort is set to 7 and MaxOpenPositions is set to 10 and your system
generated 20 signals: 9 long (highest ranked) and 11 short, it will open 7 long and 3 shorts.
If MaxOpenLong + MaxOpenShort is smaller than MaxOpenPositions (but greater than zero), the system
won't be able to open more than (MaxOpenLong+MaxOpenShort).
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Please also note that MaxOpenLong and MaxOpenShort only cap the number of open positions of given type
(long/short). They do NOT affect the way ranking is made. I.e. by default ranking is performed using
ABSOLUTE value of positionscore.
If your position score is NOT symetrical, this may mean that you are not getting desired top-ranked signals
from one side. Therefore, to fully utilise MaxOpenLong and MaxOpenShort in rotational balanced ("market
neutral") long/short systems it is desired to perform SEPARATE ranking for long signals and short signals. To
enable separate long/short ranking use:
SetOption("SeparateLongShortRank", True );
See Also:
Backtesting your trading ideas article.
Backtesting systems for futures contracts article.
Using AFL editor section of the guide.
Insider guide to backtester (newsletter 1/2002)
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Reading backtest report
To view the report of last backest simply click Report button in the automatic analysis window. To view results
of ALL past backtest, click drop down arrow on the Report button and choose Report Explorer option. This
will display the Report Explorer window that will show the list of all backtests performed. If you double click on
the line - detailed report will be shown.
New report is hugely enhanced compared to old one. It includes separate statistics for all, long and short
sides as well as large number of new metrics. You can get short help on given figure by hovering your mouse
over given field name. You will see the description in the tooltip. Short explanations are provided also below:
Exposure % - 'Market exposure of the trading system calculated on bar by bar basis. Sum of bar exposures
divided by number of bars. Single bar exposure is the value of open positions divided by portfolio equity.
Net Risk Adjusted Return % - Net profit % divided by Exposure %
Annual Return % - Compounded Annual Return % (CAR)
Risk Adjusted Return % - Annual return % divided by Exposure %
Avg. Profit/Loss, also known as Expectancy ($) - (Profit of winners + Loss of losers)/(number of trades),
represents expected dollar gain/loss per trade
Avg. Profit/Loss %, also known as Expectancy (%) - '(% Profit of winners + % Loss of losers)/(number of
trades), represents expected percent gain/loss per trade
Avg. Bars Held - sum of bars in trades / number of trades
Max. trade drawdown - The largest peak to valley decline experienced in any single trade. The lower the
better
Max. trade % drawdown - The largest peak to valley percentage decline experienced in any single trade.
The lower the better
Max. system drawdown - The largest peak to valley decline experienced in portfolio equity. The lower the
better
Max. system % drawdown - The largest peak to valley percentage decline experienced in portfolio equity.
The lower the better
Recovery Factor - Net profit divided by Max. system drawdown
CAR/MaxDD - Compound Annual % Return divided by Max. system % drawdown. Good if bigger than 2
RAR/MaxDD - Risk Adjusted Return divided by Max. system % drawdown. Good if bigger than 2.
Profit Factor - Profit of winners divided by loss of losers
Payoff Ratio - Ratio average win / average loss
Standard Error - Standard error measures chopiness of equity line. The lower the better.
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Risk-Reward Ratio - Measure of the relation between the risk inherent in a trading the system compared to
its potential gain. Higher is better. Calculated as slope of equity line (expected annual return) divided by its
standard error.
Ulcer Index - Square root of sum of squared drawdowns divided by number of bars
Ulcer Performance Index - (Annual profit - Tresury notes profit)/Ulcer Index'>Ulcer Performance Index.
Currently tresury notes profit is hardcoded at 5.4. In future version there will be user-setting for this.
Sharpe Ratio of trades - Measure of risk adjusted return of investment. Above 1.0 is good, more than 2.0 is
very good. More information http://www.stanford.edu/~wfsharpe/art/sr/sr.htm . Calculation: first average
percentage return and standard deviation of returns is calculated. Then these two figures are annualized by
multipling them by ratio (NumberOfBarsPerYear)/(AvgNumberOfBarsPerTrade). Then the risk free rate of
return is subtracted (currently hard-coded 5) from annualized average return and then divided by annualized
standard deviation of returns.
K-Ratio - Detects inconsistency in returns. Should be 1.0 or more. The higher K ratio is the more consistent
return you may expect from the system. Linear regression slope of equity line multiplied by square root of sum
of squared deviations of bar number divided by standard error of equity line multiplied by square root of
number of bars. More information: Stocks & Commodities V14:3 (115-118): Measuring System Performance
by Lars N. Kestner
Color-coding in the backtest report (new in 5.60)
Version 5.60 brings enhanced backtest report: color-coding 'good' and 'bad' values in backtest report. Some
of the metrics in the backtest report are color-coded. Blue means "neutral", Green means "good", Red means
"bad". Metrics that are not colorized are always black.
This color coding is of course arbitrary and should be used as guideance only. Treat 'red' as a warning flag
and advice to check the value in detail.
As of now the following metrics are colorized:
Net Profit, Net Profit % - bad < 0, good > 0
Annual Profit %, bad < 0, neutral betwen 0 and 10, good > 10
RAR % bad < 0, good > (10 / Exposure)
Avg. Profit/Loss all trades (Expectancy $) - bad < 0, good > 0
Avg Profit/Loss % all trades (Expectancy %) - bad < 0, good > 0
Max. system % drawdown - bad: dd worse than -30%, neutral: dd between -30 and -10%, good - -10% to 0%
CAR/MaxDD, RAR/MaxDD - bad < 1, neutral between 1 and 2, good > 2
Recovery factor - bad < 1, neutral between 1 and 2, good > 2
Payoff ratio - bad < 1, neutral between 1 and 2, good > 2
See Also:
Old backtest report
Backtesting your trading ideas article.
Portfolio Backtesting article.
Backtesting systems for futures contracts article.
Using AFL editor section of the guide.
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Insider guide to backtester (newsletter 1/2002)
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How to optimize trading system
NOTE: This is fairly advanced topic. Please read previous AFL tutorials first.
Introduction
The idea behind an optimization is simple. First you have to have a trading system, this may be a simple
moving average crossover for example. In almost every system there are some parameters (as averaging
period) that decide how given system behaves (i.e. is is well suited for long term or short term, how does is
react on highly volatile stocks, etc). The optimization is the process of finding optimal values of those
parameters (giving highest profit from the system) for a given symbol (or a portfolio of symbols). AmiBroker is
one of the very few programs that allow you to optimize your system on multiple symbols at once.
To optimize your system you have to define from one upto ten parameters to be optimized. You decide what
is a minimum and maximum allowable value of the parameter and in what increments this value should be
updated. AmiBroker then performs multiple back tests the system using ALL possible combinations of
parameters values. When this process is finished AmiBroker displays the list of results sorted by net profit.
You are able to see the values of optimization parameters that give the best result.
Writing AFL formula
Optimization in back tester is supported via new function called optimize. The syntax of this function is as
follows:
variable = optimize( "Description", default, min, max, step );
where:
variable - is normal AFL variable that gets assigned the value returned by optimize function.
With normal backtesting, scanning, exploration and comentary modes the optimize function returns default
value, so the above function call is equivalent to: variable = default;
In optimization mode optimize function returns successive values from min to max (inclusively) with step
stepping.
"Description" is a string that is used to identify the optimization variable and is displayed as a column name in
the optimization result list.
default is a default value that optimize function returns in exploration, indicator, commentary, scan and normal
back test modes
min is a minimum value of the variable being optimized
max is a maximum value of the variable being optimized
step is an interval used for increasing the value from min to max
Notes:
• AmiBroker supports upto 64 calls to optimize function (therefore upto 64 optimization variables), note
that if you are using exhaustive optimization then it is really good idea to limit number of optimization
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variables to just few.
• Each call to optimize generate (max - min)/step optimization loops and multiple calls to optimize
multiply the number of runs needed. For example optimizing two parameters using 10 steps will
require 10*10 = 100 optimization loops.
• Call optimize function only ONCE per variable at the beginning of your formula as each call generates
a new optimization loops
• Multiple-symbol optimization is fully supported by AmiBroker
• Maximum search space is 264 (1019 = 10,000,000,000,000,000,000) combinations
Examples
1. Single variable optimization:
sigavg = Optimize( "Signal average", 9, 2, 20, 1 );
Buy = Cross( MACD( 12, 26 ), Signal( 12, 26, sigavg ) );
Sell = Cross( Signal( 12, 26, sigavg ), MACD( 12, 26 ) );
2. Two-variable optimization (suitable for 3D charting)
per = Optimize("per", 2, 5, 50, 1 );
Level = Optimize("level", 2, 2, 150, 4 );
Buy=Cross( CCI(per), -Level );
Sell = Cross( Level, CCI(per) );
3. Multiple (3) variable optimization:
mfast = Optimize( "MACD Fast", 12, 8, 16, 1 );
mslow = Optimize("MACD Slow", 26, 17, 30, 1 );
sigavg = Optimize( "Signal average", 9, 2, 20, 1 );
Buy = Cross( MACD( mfast, mslow ) , Signal( mfast, mslow, sigavg ) );
Sell = Cross( Signal( mfast, mslow, sigavg ), MACD( mfast, mslow ) );
After entering the formula just click on Optimize button in "Automatic Analysis" window. AmiBroker will start
testing all possible combinations of optimization variables and report the results in the list. After optimization is
done the list of result is presented sorted by the Net % profit. As you can sort the results by any column in the
result list it is easy to get the optimal values of parameters for the lowest drawdown, lowest number of trades,
largest profit factor, lowest market exposure and highest risk adjusted annual % return. The last columns of
result list present the values of optimization variables for given test.
When you decide which combination of parameters suits your needs the best all you need to do is to replace
the default values in optimize function calls with the optimal values. At current stage you need to type them by
hand in the formula edit window (the second parameter of optimize function call).
Displaying 3D animated optimization charts
To display 3D optimization chart, you need to run two-variable optimization first. Two variable optimization
needs a formula that has 2 Optimize() function calls. An example two-variable optimization formula looks like
this:
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per = Optimize("per", 2, 5, 50, 1 );
Level = Optimize("level", 2, 2, 150, 4 );
Buy=Cross( CCI(per), -Level );
Sell = Cross( Level, CCI(per) );
After entering the formula you need to click "Optimize" button.
Once optimization is complete you should click on the drop down
arrow on Optimize button and choose View 3D optimization
graph. In a few seconds a colorful three-dimensional surface plot
will appear in a 3D chart viewer window. An example 3D chart
generated using above formula is shown below.
By default the 3D charts display values of Net profit against optimization variables. You can however plot 3D
surface chart for any column in the optimization result table. Just click on the column header to sort it (blue
arrow will appear indicating that optimization results are sorted by selected column) and then choose View 3D
optimization graph again.
By visualizing how your system's parameters affect trading performance, you can more readily decide which
parameter values produce "fragile" and which produce "robust" system performance. Robust settings are
regions in the 3D graph that show gradual rather than abrupt changes in the surface plot. 3D optimization
charts are great tool to prevent curve-fitting. Curve-fitting (or over-optimization) occurs when the system is
more complex than it needs to be, and all that complexity was focused on market conditions that may never
happen again. Radical changes (or spikes) in the 3D optimization charts show clearly over-optimization areas.
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You should choose parameter region that produces a broad and wide plateau on 3D chart for your real life
trading. Parameter sets producing profit spikes will not work reliably in real trading.
3D chart viewer controls
AmiBroker's 3D chart viewer offers total viewing capabilities with full graph rotation and animation. Now you
can view your system results from every conceivable perspective. You can control the position and other
parameters of the chart using the mouse, toolbar and keyboard shortcuts, whatever you find easier for you.
Below you will find the list.
Mouse controls:
- to Rotate - hold down LEFT mouse button and move in X/Y directions
- to Zoom-in, zoom-out - hold down RIGHT mouse button and move in X/Y directions
- to Move (translate) - hold down LEFT mouse button and CTRL key and move in X/Y directions
- to Animate - hold down LEFT mouse button, drag quickly and release button while dragging
Keyboard controls:
SPACE - animate (auto-rotate)
LEFT ARROW KEY - rotate vert. left
RIGHT ARROW KEY - rotate vert. right
UP ARROW KEY - rotate horiz. up
DOWN ARROW KEY - rotate horiz. down
NUMPAD + (PLUS) - Near (zoom in)
NUMPAD - (MINUS) - Far (zoom out)
NUMPAD 4 - move left
NUMPAD 6 - move right
NUMPAD 8 - move up
NUMPAD 2 - move down
PAGE UP - water level up
PAGE DOWN - water level down
Smart (non-exhaustive) optimization
Introduction
AmiBroker now offers smart (non-exhaustive) optimization in addition to regular, exhaustive search.
Non-exhaustive search is useful if number of all parameter combinations of given trading system is simply too
large to be feasible for exhaustive search.
Exhaustive search is perfectly fine as long as it is reasonable to use it. Let's say you have 2 parameters each
ranging from 1 to 100 (step 1).
That's 10000 combinations - perfectly OK for exhaustive search. Now with 3 parameters you got 1 million
combinations - it is still OK for exhaustive search (but can be lenghty). With 4 parameters you have 100
million combinations and with 5 parameters (1..100) you have 10 billion combinations. In that case it would be
too time consuming to check all of them, and this is the area where non-exhaustive smart-search methods
can solve the problem that is not solvable in reasonable time using exhaustive search.
Quick Start
Here is absolutely the SIMPLEST instruction how to use new non-exhaustive optimizer (in this case CMA-ES).
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1. Open your formula in the Formula Editor
2. Add this single line at the top of your formula:
OptimizerSetEngine("cmae"); // you can also use "spso" or "trib" here
3. (Optional) Select your optimization target in Automatic Analysis, Settings, "Walk-Forward" tab,
Optimization target field. If you skip this step it will optimize for CAR/MDD (compound annual return divided
by maximum % drawdown).
and... that's it.
Now if you run optimization using this formula, it will use new evolutionary (non-exhaustive) CMA-ES
optimizer.
How does it work ?
The optimization is the process of finding minimum (or maximum) of given function. Any trading system can
be considered as a function of certain number of arguments. The inputs are parameters and quotation data ,
the output is your optimization target
(say CAR/MDD). And you are looking for maximum of given function.
Some of smart optimization algorithms are based on nature (animal behavior) - PSO algorithm, or biological
process - Genetic algorithms,
and some are based on mathematical concepts derived by humans - CMA-ES.
These algorithms are used in many different areas, including finance. Enter "PSO finance" or "CMA-ES
finance" in Google and you will find lots of info.
Non-exhaustive (or "smart") methods will find global or local optimum. The goal is of course to find global one,
but if there is a single sharp peak
out of zillions parameter combinations, non-exhaustive methods may fail to find this single peak, but taking it
form trader's perspecive, finding single sharp peak is useless for trading because that result would be instable
(too fragile) and not replicable in real trading. In optimization process we are rather looking for plateau regions
with stable parameters and this is the area where intelligent methods shine.
As to algorithm used by non-exhaustive search it looks as follows:
a) the optimizer generates some (usually random) starting population of parameter sets
b) backtest is performed by AmiBroker for each parameter set from the population
c) the results of backtests are evaluated according to the logic of algorithm
and new population is generated based on the evolution of results,
d) if new best is found - save it and go to step b) until stop criteria are met
Example stop criteria can include:
a) reaching specified maximum iterations
b) stop if the range of best objective values of last X generations is zero
c) stop if adding 0.1 standard deviation vector in any principal axis direction does not change the value of
objective value
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d) others
To use any smart (non-exhaustive) optimizer in AmiBroker you need to specify the optimizer engine you want
to use in the AFL formula using OptimizerSetEngine function.
OptimizerSetEngine("name")
The function selects external optimization engine defined by name. AmiBroker currently ships with 3 engines:
Standard Particle Swarm Optimizer ("spso"), Tribes ("trib"), and CMA-ES ("cmae") - the names in braces are
to be used in OptimizerSetEngine calls.
In addition to selecting optimizer engine you may want to set some of its internal parameters. To do so use
OptimizerSetOption function.
OptimizerSetOption("name", value ) function
The function set additional parameters for external optimization engine. The parameters are
engine-dependent.
All three optimizers shipped with AmiBroker (SPSO, Trib, CMAE) support two parameters: "Runs" (number of
runs) and "MaxEval" (maximum evaluations (tests)per single run). The behaviour of each parameter is
engine-dependent, so same values may and usually will yield different results with different engines used.
The difference between Runs and MaxEval is as follows. Evaluation (or test) is single backtest (or evaluation
of objective function value).
RUN is one full run of the algorithm (finding optimum value) - usually involving many tests (evaluations).
Each run simply RESTARTS the entire optimization process from the new beginning (new initial random
population).
Therefore each run may lead to finding different local max/min (if it does not find global one). So Runs
parameter defines number of subsequent algorithm runs. MaxEval is the maximum number of evaluations
(bactests) in any single run.
If the problem is relatively simple and 1000 tests are enough to find global max, 5x1000 is more likely to find
global maximum
because there are less chances to be stuck in local max, as subsequent runs will start from different initial
random population
Choosing parameter values can be tricky. It depends on problem under test, its complexity, etc, etc.
Any stochastic non-exhaustive method does not give you guarantee of finding global max/min, regardless of
number of tests if it is smaller
than exhaustive. The easiest answer is to : specify as large number of tests as it is reasonable for you in
terms of time required to complete.
Another simple advice is to multiply by 10 the number of tests with adding new dimension. That may lead to
overestimating number
of tests required, but it is quite safe. Shipped engines are designed to be simple to use, therefore
"reasonable" default/automatic values are used so optimization can be usually run without specifying anything
(accepting defaults).
Caveat
It is important to understand that all smart optimization methods work best in continuous parameter spaces
and relatively smooth objective functions. If parameter space is discrete evolutionary algorithms may have
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trouble finding optimum value. It is especially true for binary (on/off) parameters - they are not suited for any
search method that uses gradient of objective function change (as most smart methods do). If your trading
system contains many binary parameters, you should not use smart optimizer directly on them. Instead try to
optimize only continuous parameters using smart optimizer, and switch binary parameters manually or via
external script.
SPSO - Standard Particle Swarm Optimizer
Standard Particle Swarm Optimizer is based on SPSO2007 code that is supposed to produce good results
provided that correct parameters (i.e. Runs, MaxEval) are provided for particular problem.
Picking correct options for the PSO optimizer can be tricky therefore results may significantly vary from case
to case.
SPSO.dll comes with full source codes inside "ADK" subfolder.
Example code for Standard Particle Swarm Optimizer:
(finding optimum value in 1000 tests within search space of 10000 combinations)
OptimizerSetEngine("spso");
OptimizerSetOption("Runs", 1 );
OptimizerSetOption("MaxEval", 1000 );
sl = Optimize("s", 26, 1, 100, 1 );
fa = Optimize("f", 12, 1, 100, 1 );
Buy = Cross( MACD( fa, sl ), 0 );
Sell = Cross( 0, MACD( fa, sl ) );
TRIBES - Adaptive Parameter-less Particle Swarm Optimizer
Tribes is adaptive, parameter-less version of PSO (particle swarm optimization) non-exhaustive optimizer. For
scientific background see:
http://www.particleswarm.info/Tribes_2006_Cooren.pdf
In theory it should perform better than regular PSO, because it can automatically adjust the swarm sizes and
algorithm strategy to the problem being solved.
Practice shows that its performance is quite similar to PSO.
The Tribes.DLL plugin implements "Tribes-D" (i.e. dimensionless) variant. Based on
http://clerc.maurice.free.fr/pso/Tribes/TRIBES-D.zip by Maurice Clerc. Original source codes used with
permission from the author
Tribes.DLL comes with full source code (inside "ADK" folder)
Supported parameters:
"MaxEval" - maximum number of evaluations (backtests) per run (default = 1000).
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OptimizerSetOption("MaxEval", 1000 );
You should increase the number of evaluations with increasing number of dimensions (number of optimization
params).
The default 1000 is good for 2 or maximum 3 dimensions.
"Runs" - number of runs (restarts). (default = 5 )
You can leave the number of runs at default value of 5.
By default number of runs (or restarts) is set to 5.
To use Tribes optimizer, you just need to add one line to your code:
OptimizerSetEngine("trib");
OptimizerSetOption("MaxEval", 5000 ); // 5000 evaluations max
CMA-ES - Covariance Matrix Adaptation Evolutionary Strategy optimizer
CMA-ES (Covariance Matrix Adaptation Evolutionary Strategy) is advanced non-exhaustive optimizer.
For scientific background see:
http://www.bionik.tu-berlin.de/user/niko/cmaesintro.html
According to scientific benchmarks outperforms nine other, most popular evolutionary strategies (like PSO,
Genetic and Differential evolution).
http://www.bionik.tu-berlin.de/user/niko/cec2005.html
The CMAE.DLL plugin implements "Global" variant of search with several restarts with increasing population
size
CMAE.DLL comes with full source code (inside "ADK" folder)
By default number of runs (or restarts) is set to 5.
It is advised to leave the default number of restarts.
You may vary it using OptimizerSetOption("Runs", N ) call, where N should be in range 1..10.
Specifying more than 10 runs is not recommended, although possible.
Note that each run uses TWICE the size of population of previous run so it grows exponentially.
Therefore with 10 runs you end up with population 2^10 greater (1024 times) than the first run.
There is another parameter "MaxEval". The default value is ZERO which means that plugin will automatically
calculate MaxEval required. It is advised to NOT to define MaxEval by yourself as default works fine.
The algorithm is smart enough to minimize the number of evaluations required and it converges very fast to
solution point, so often it finds solutions faster than other strategies.
It is normal that the plugin will skip some evaluations steps, if it detects that solution was found, therefore you
should not be surprised that optimization progress bar may move very fast at some points. The plugin also
has ability to increase number of steps over initially estimated value if it is needed to find the solution. Due to
its adaptive nature, the "estimated time left" and/or "number of steps" displayed by the progress dialog is only
"best guess at the time" and may vary during optimization course.
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To use CMA-ES optimizer, you just need to add one line to your code:
OptimizerSetEngine("cmae");
This will run the optimization with default settings which are fine for most cases.
It should be noted, as it is the case with many continouos-space search algorithms, that decreasing "step"
parameter in Optimize() funciton calls does not significantly affect optimization times. The only thing that
matters is the problem "dimension", i.e. the number of different parameters (number of optimize function
calls). The number of "steps" per parameter can be set without affecting the optimization time, so use the
finest resolution you want. In theory the algorithm should be able to find solution in at most 900*(N+3)*(N+3)
backtests where "N" is the dimension. In practice it converges a LOT faster. For example the solution in 3
(N=3) dimensional parameter space (say 100*100*100 = 1 million exhaustive steps) can be found in as few as
500-900 CMA-ES steps.
Multi-threaded individual optimization
Starting from AmiBroker 5.70 in addition to multiple-symbol multithreading, you can perform multi-threaded
single-symbol optimization. To access this functionality, click on drop down arrow next to "Optimize" button in
the New Analysis window and select "Individual Optimize".
"Individual Optimize" will use all available processor cores to perform single-symbol optimization, making it
much faster than regular optimization.
In "Current symbol" mode it will perform optimization on one symbol. In "All symbols" and "Filter" modes it will
process all symbols sequentially, i.e. first complete optimization for first symbol, then optimization on second
symbol, etc.
Limitations:
1. Custom backtester is NOT supported (yet)
2. Smart optimization engines are NOT supported - only EXHAUSTIVE optimization works.
For explanation of these limitations see Tutorial: Efficient use of multi-threading.
Eventually we may get rid of limitation (1) - when AmiBroker is changed so custom backtester does not use
OLE anymore. But (2) is probably here to stay for long.
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Walk-forward testing
AmiBroker 5.10 features the automatic Walk-Forward test mode.
The automatic Walk forward test is a system design and validation technique in which you optimize the
parameter values on a past segment of market data (”in-sample”), then verify the performance of the system
by testing it 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. The
process can be repeated over subsequent time segments. The following illustration shows how the process
works.
The purpose of walk-forward test is to determine whenever the performance of optimized trading system is the
realistic or the result of curve-fitting. The performance of the system can be considered realistic if it has
predicitive value and performs good on unseen (out-of-sample) market data. When the system is properly
designed, the real-time trading performance should be in relation to that uncovered during optimization. If the
system is going to work in real trading, it must first pass a walk-forward test. In other words, we don't really
care about in-sample results as they are (or should be) always good. What matters is out-of-sample system
performance. It is the realistic estimate of how the system would work in real trading and will quickly reveal
any curve-fitting issues. If out-of-sample performance is poor then you should not trade such a system.
The premise of performing several optimization/tests steps over time is that the recent past is a better
foundation for selecting system parameter values than the distant past. We hope is that the parameter values
chosen on the optimization segment will be well suited to the market conditions that immediately follow. This
may or may not be the case as markets goes through bear/bull cycle, so care should be taken when choosing
the length of in-sample period. For more information about system design and verification using walk-forward
procedure and all issues involved, we can recommend Howard Bandy's book: "Quantitative Trading Systems"
(see links on AmiBroker page).
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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.
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You should use Easy mode (EOD) when testing on end-of-day data or Easy mode (Intraday) when
testing on intraday data. The difference is that in EOD mode the END date of previous period and
START date of next period are the same - thus avoiding gap
between periods. Intraday mode set START date of the next period as NEXT DAY after END of
previous period. That guarantees
that boundary day is not counted twice when testing on intraday data.
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 running sequential backtests without optimization).
All settings are immediatelly reflected in the PREVIEW list that shows all generated IS/OOS segments
and their dates.
4. 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.
5. Once you defined Walk-Forward settings, please go to Automatic Analysis and
6. 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}}";
OUT-OF-SAMPLE summary report (new in 5.60)
Version 5.60 brings a new walk-forward summary report that covers all out-of-sample steps. It is visible in the
Report Explorer as last one and has "PS" type.
There were significant changes to walk forward testing made to allow summary out-of-sample report. The
most important change is that each subsequent out-of-sample test uses initial equity equal to previous step
ending equity. (Previously it used constant initial equity). This change is required for proper calculation of all
statistics/metrics throughout all sections of out-of-sample test.
Summary report shows the note that built-in metrics correctly represent all out-of-sample steps but summary
custom metrics are composed using user-definable method:
1 first step value, 2 last step value, 3 sum, 4 average, 5 minimum, 6 maximum.
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By default summary report shows last step value of custom metrics UNLESS user specifies different
combining method in
bo.AddCustomMetrics() call.
bo.AddCustomMetrics has now new optional parameter - CombineMethod
bool AddCustomMetric( string Title, variant Value, [optional] variant LongOnlyValue, [optional] variant
ShortOnlyValue , [optional] variant DecPlaces = 2, [optional] variant CombineMethod = 2 )
This method adds custom metric to the backtest report, backtest "summary" and optimization result list. Title
is a name of the metric to be displayed in the report, Value is the value of the metric, optional arguments
LongOnlyValue, ShortOnlyValue allow to provide values for additional long/short-only columns in the backtest
report. Last argument DecPlaces controls how many decimal places should be used to display the value.
Supported CombineMethod values are:
1 first step value, - summary report will show the value of custom metric from very first out-of-sample step
2 last step value (default), - summary report will show the value of custom metric from the last out-of-sample
step
3 sum, - summary report will show the sum of the values of custom metric from all out of sample steps
4 average, - summary report will show the average of the values of custom metric from all out of sample steps
5 minimum, - summary report will show the smallest value of custom metric from all out of sample steps
6 maximum.- summary report will show the largest value of custom metric from all out of sample steps
Note that certain metrics calculation methods are complex and for example averaging them would not lead to
mathematically correct representation of all out of sample test. Summaries of all built-in metrics are
mathematically correct out-of-the-box (i.e. they are *not* averages, but properly calculated metrics using
method that is appropriate for given value). This contrasts with custom metrics, because they are
user-definable and it is up to the user to select 'combining' method, and still it may happen that none of the
available methods is appropriate.
For that reason the report includes the note that explains what user-definable method was used to combine
custom metrics.
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Back-testing systems for futures contracts
Introduction
Before you read this article you should read first "Backtesting your trading ideas" section as it gives necessary
background of backtesting in general.
When you open long position on stocks you just buy given number of shares at given price, then after some
time you sell them and your profit is given by difference between sell and buy price mutliplied by number of
shares. If you want to open long position on future contract you pay a deposit - margin - for each contract. The
margin is just a little part of full contract value (for example 10%). So you can buy 10 contracts paying no
more than full value of one contract. This gives you a leverage that makes trading futures more risky than
trading stocks. When price of the contract changes your profit/loss changes accordingly. If contract's point
value is 1 each 1$ change in contract price represents 1$ profit/loss per contract - like in stocks. But futures
can have point value different that 1. If, for example, point value is 5 each 1 point change in price of the
contract represents 5$ profit/loss in your equity. When you close position you get the margin deposit back, so
your profit/loss is given by number of contracts multiplied by point value mutlipled by difference between sell
and buy prices.
Futures mode of the backtester
There are 3 futures-only settings in the backtester:
• Futures mode check box (Settings-General page)
• Margin deposit (Symbol-Information page)
• Point value (Symbol-Information page)
Futures mode check box in the settings page (underscored with green line in the picture above) is the key to
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backtesting futures. It instructs backtester to use margin deposit and point value in calculations.
The remaining settings are per-symbol and they are accessible from Symbol->Information window.
Margin deposit
The margin is the amount of money required to open single contract position. You can specify per-symbol
margin in the Symbol-Information page (picture above). Positive values describe margin value in dollars, while
negative express margin value as percentage of contract price. Margin value of zero is used for stocks (no
margin). Margin can be also specified in the formula by using MarginDeposit reserved variable:
MarginDeposit = 675;
In the Futures mode margin setting is used to determine how many contacts can be purchased. Let's suppose
that your initial equity is set to $50000 and you want to invest upto 20% of equity in single trade and the
margin deposit is $675. In that case your "desired" position size is 50'000 * 0.2 = 10'000. Provided that you
have set round lot size to 1, the backtester will "buy" 10000/675 = (integer)14.8148 = 14 contracts, and true
positon value will be $9450 (18.9% of the initial equity).
To simulate this in AmiBroker you would need to enter 50000 in the Initial Equity field in the backtester, switch
on futures mode, and setup remaining parameters in your formula:
PositionSize = -20; // use 20% of equity
MarginDeposit = 675; // this you can set also in the
Symbol-Information page
RoundLotSize = 1; // this you can set also in the Settings page
All further trades will use the same logic but position will be sized according to current cumulated equity
instead of initial equity level, unless you specify fixed position size in your formula ( PositionSize = 10000 for
example).
Point value
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Point-value is per-symbol setting (definable in Symbol-Information window - (picture above)) that determines
the amount of profit generated by one contract for a one point increase in price. Example: copper is quoted in
cents per pound, a price quote of 84.65 (or 8465) equals 84 cents and 65/100 of a cent per pound. A change
of +.37 or 37 represents 37/100ths of a cent you will normally hear it quoted as 37 points. But because of the
fact that point value for copper is 2.5 every point change gives $2.5 profit/loss, so in this example profit/loss
for the day would be 2.5 * 37 = $92.50.
You can also set it from the formula level using PointValue reserved variable, for example:
PointValue = 2.5;
Note: When you load old database AmiBroker presets point value field to 1 and assumes that by default 1
point represents one dollar so one dollar change gives one dollar profit/loss. This is done to ensure that you
get correct results even if you (by mistake) run futures mode test on stocks.
Note 2: Although point value setting affects (multiplies) profits/losses it does NOT affect built-in stops. The
stops ALWAYS operate on price movement alone. So you should be aware that setting 10% profit target stop
will result in 25% profit on trade exited by this stop when point value is set to 2.5.
Simple cases
Points-only test
Points only test is equivalent to trading just one contract. This can be easily accomplished using Futures
mode of the backtester and adding the following one line to your formula:
PositionSize = MarginDeposit = 1;
Trading 'n' contracts
In a similar way you can setup your formula so it always trades say 7 contracts. All you need to do is to add
the following to your formula:
NumContracts = 7;
PositionSize = NumContracts * MarginDeposit;
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Monte Carlo Simulation of your trading system
NOTE: Advanced topic. Make sure to read previous parts of the tutorial first.
Introduction
Generally speaking "Monte Carlo" methods represent broad class of computer algorithms that use repeated
random sampling to obtain statistical properties of given process. It was invented by Polish mathematican
Stanislaw Ulam working on nuclear weapons projects at the Los Alamos lab. As he was unable to analyse
complex physical processes using conventional mathematical methods, he thought that he could set up a
series of random experiments, observe the outcomes and use them to derive statistical properties of the
process.
More on Monte Carlo methods in general can be found here:
https://en.wikipedia.org/wiki/Monte_Carlo_method
In trading system development, Monte Carlo simulation refers to process of using randomized simulated trade
sequences to evaluate statistical properties of a trading system.
There are many ways to perform actual computations that differ when it comes to implementation details, but
probably the most straightforward and reliable is bootstraping method that performs random sampling with
replacement of actual trade list generated by the back-test.
See https://en.wikipedia.org/wiki/Bootstrapping_(statistics) for detailed discussion of bootstrapping method.
Various Monte Carlo simulation methods allow to verify robustness of the trading system, find out probability
of ruin and many other statistical properties of the trading system.
How does it work in AmiBroker?
In order to perform Monte Carlo simulation (or bootstrap test) of your trading system, AmiBroker performs the
following:
A. Creating input set
A.1 Perform back-testing of your trading system to produce original set of N trades
B. Repeatedly (1000+ times)
B.1 pick randomly trades from the original trade list to produce new, random set of N trades
(called 'realization')
This random set contains the same number of trades, they are ordered randomly and some
original trades may be skipped and some used more than once (permutation with repetition,
or random sampling with replacement).
Since number of unique realizations is N^N (so with just 100 input trades we have 10000
unique realizations), with sufficient number of trades (>100) the probability of picking identical
sequence as original is virtually zero.
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B.2 perform gain/loss calculation for each randomly picked trade, using position sizing
defined by the user to produce system equity
B.3 record system equity in the distribution
C. Post-process
C.1 Process data obtained in B to generate distribution statistics and charts
All of the above happens when you press Backtest button in the New Analysis window. AmiBroker's Monte
Carlo simulator is so fast that it usually costs just a fraction of second on top of normal backtest procedure.
Settings
The way how Monte Carlo simulator works can be controlled from the Analysis Settings page, "Monte Carlo"
tab:
Enable Monte Carlo simulation
this check box controls whenever MC simulation is performed automatically as a part of backtest (right after
backtest generates trade list)
Number of runs
defines the number of MC simulations to run (should be 1000 or more)
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Position sizing
defines position sizing method used by MC simulator:
Don't change - uses original position size as used during backtest
Fixed size - uses fixed number of shares/contracts per trade
Constant value - uses fixed dollar amount for opening any trade
Percent of equity - uses defined percent of current simulated equity value
Enable MC equity curves (Min/Max/Avg)
turns on MC equity charts (including highest, lowest and average equity plots plus straw broom equity charts).
Note that green and red lines (min/max equity) are not really single "best" and "worst" equities. They are
bar-by-bar highest (max) and lowest( min) points of ALL equities generated during MC.
So they are actually best points from all equities and worst points from all equities. And blue line (avg) is the
average from all equity lines (all runs).
Show absolute value - displays equities in absolute dollar values
Show Percent change - displays equities as "rate of change" since the beginning
Straw broom chart plots - defines how many individual test equites should be plotted as 'straw
broom chart' (large number may slow down processing/drawing)
Interpreting the results
The results of Monte Carlo simulation are displayed in the "Monte Carlo" page of Backtest report.
At the top of the page we can see a table that gives values of few key statistics derived from the distribution of
Monte Carlo simulation results.
Here are sample results (highlights are added manually for the purpose of illustration). Starting equity was
10000 in this example. Test was done over 7 years (EOD data).
Final Equity Annual Return Max. Drawdown $ Max. Drawdown % Lowest Eq.
1%
5706
-7.37%
1302
7.23%
3618
5%
7987
-3.02%
1549
9.76%
5853
10%
9706
-0.41%
1726
11.32%
6690
25%
12851
3.48%
2136
14.38%
8107
50%
16174
6.78%
2747
19.77%
9135
75%
19632
9.64%
3563
27.63%
9640
90%
23258
12.21%
4626
38.48%
9922
95%
25269
13.48%
5292
45.47%
10000
99%
29139
15.71%
7685
63.82%
10000
First column shows percentile level (the value below which a given percentage of test observations
(realizations) fall). So say 10th percentile tells us that 10% of time observed value is below shown amount.
For example, the annual return value at 10th pecentile (in this case -0.41%) means that 10% of tests
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(realizations) had annual profit less or equal than shown (-0.41%). So we can say that there is about 10%
chance that our system would not make any money (would not breakeven). A max. drawdown figure at 90th
percentile (38.48%) means that in 90% of cases drawdown will be less than 38.48%. So in other words, we
can say that there is 10% of chance that it will be higher than that. If we look further in the table we can also
notice that in 99% of cases drawdown will be less than 63.82%
Below the table we can find min/avg/max + straw broom chart of simulated equities:
Note that green and red lines (min/max equity) are not really single "best" and "worst" equities. They are
bar-by-bar highest (max) and lowest( min) points of ALL equities generated during MC. So they are actually
best points from all equities and worst points from all equities. And blue line (avg) is the average from all
equity lines (all runs). The 'cloud' of gray lines represents individual test equities - as we can see the same
trading system may generate different outcomes when market conditions change and MC simulation attempts
to simulate various outcomes and provide you some statistical information on how bad/good it may be.
After straw broom chart you can find cumulative distribution function (CDF) charts of final equity, CAR,
drawdowns and lowest equity (again green and red annotation lines were added manually):
Cumulative distribution charts presents the same information that was included in the table at the top of
"Monte Carlo" page but in the graphical form. Again, when we take a look at annual profit % (CAR) distribution
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chart we can see that in approximately 10% of cases our system would not break even (produces negative
CAR). We can also see that in approximately 35% of cases our CAR would be below 5%. Profits above 10%
per year only occur in top 20% of tests.
All other charts in the MC page are constructed the same and you can read them using the same
methodology.
Final equity chart shows the cumulative distribution function of final value of the equity (at the end of test
period)
Annual return chart shows the cumulative distribution function of compound annual percentage return of the
test
Max. Drawdown $ and Max. Drawdown % charts show the cumulative distribution function of drawdowns
(maximum peak to valey dollar/percent distances) experienced during the test
Lowest Equity chart shows the cumulative distribution function of lowest equity ever experienced during the
test
How to control it from the formula level?
In addition to using Settings dialog, you can control Monte Carlo simulator using SetOption() function. You can
also retrieve those values using GetOption function.
SetOption("MCEnable", 0 ); // value == 0 disables MC simulation
SetOption("MCEnable", 1 ); // value == 1 enables MC only in portfolio backtests (default)
SetOption( "MCEnable", 2 ); // value == 2 forces MC to be enabled everywhere (in every mode including
optimization - SLOW !)
Note that enabling MC in optimization is highly discouraged unless you actually use MC metrics as
optimization target via custom backtester
or otherwise use MC distributions in the optimization process. Monte Carlo process is computationally costly
and while few hundred milliseconds added to one backtest don't matter much, in case of optimizations when
these are multipled by number of steps you can easily increase optimization time by orders of magnitude. So
unless you REALLY need MC distribution as custom metric and optimization target, do NOT enable MC in
optimization.
SetOption("MCRuns", 1000 ); // define number of MC simulation runs (realizations)
Other MC parameters that can be set using SetOption and retrived using GetOption:
• "MCChartEquityCurves" (true/false)
• "MCStrawBroomLines" (0..100)
• "MCPosSizePctEquity" (0..100)
• "MCPosSizeMethod" - 0 - don't change, 1 - fixed size, 2 - constant amount, 3 - percent of equity,
• "MCPosSizeShares" (number),
• "MCPosSizeValue" (number)
• "MCPosSizePctEquity" (number)
How to add custom metric based on MC test distribution(s) to the backtest report ?
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In addition to built-in MC report, you can add your own custom metrics to the report using
GetMonteCarloSim() method of the Backtester object and MonteCarloSim object that this function returns. If
you are new to custom metrics, please consult "How to add custom metrics to backtester report" part of this
manual first.
MonteCarloSim object has one function GetValue( "field", percentile ) that allows to access CDF values.
Available "field" values are:
• "FinalEquity"
• "CAR"
• "LowestEquity"
• "MaxDrawdown"
• "MaxPercDrawdown"
Now here is the sample code that presents how to add 30th percentile FinalEquity and CAR to the report:
SetOption( "MCEnable", True );
SetOption( "MCRuns", 1000 );
SetCustomBacktestProc( "" );
if( Status( "action" ) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest(); // run default backtest procedure
//
//
//
//
mc
get access to Monte Carlo results
note 1: it may be NULL if MC is NOT enabled
note 2: MC results are available after Backtest() or PostProcess
as MC simulation is done in final phase of post processing
= bo.GetMonteCarloSim();
if( mc )
{
// get 30-th percentile of final equity and CAR distribution
bo.AddCustomMetric( "FinalEq30", mc.GetValue( "FinalEquity", 30 ) );
bo.AddCustomMetric( "CAR30", mc.GetValue( "CAR", 30 ) );
// you can also combine MC stats with normal stats
st = bo.GetPerformanceStats(0);
bo.AddCustomMetric( "CAR30/MDD", mc.GetValue( "CAR", 30 ) / st.GetValue(
"MaxSystemDrawdownPercent" ) );
}
}
Once custom metrics is added, it can be used as Optimization target (don't forget to change MCEnable to 2)
and used in Walk Forward test process as objective function. To select custom metric as optimization target,
you would need to type its name exactly as it appears in the AddCustomMetric call into "Optimization Target"
field in the Settings dialog, Walk Forward page. This way you can run optimization / walk forward test that is
directed by values of MC simulation distribution. So for example instead of using CAR/MDD you can use
CAR30/MDD (30th percentile MC CAR divided by max. system drawdown).
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How about Monte Carlo randomization instead of bootstrap test?
The Monte Carlo randomization is different than bootstrap test because it does not use actual (realized) trade
list from the backtest but it attempts to use "all individual returns whenever they are realized or hyphotetical".
For example when trading system is generating way more signals than we can actually trade due to limited
buying power, then we have to choose which trades we would take and which we would skip. Normally this
selection is a part of trading system and in AmiBroker PositionScore variable tells the backtester which
positions are preferred and should be traded. In randomization test, instead of using some
analytic/deterministic PositionScore, you use random one. If there are more signals to open positions than we
could take, this process would lead to randomized trade picks. Now using Optimize() function and random
PositionScore we can run thousands of such random picks to produce Monte Carlo randomization test:
step = Optimize( "step", 1, 1, 1000, 1 ); // 1000 backtests
// with random trade picks from the broad universe (make sure you run it on large
watch lists)
PositionScore = mtRandom();
Randomization test has one big disadvantage: can not be used in many cases. When system does not
produce enough signals each bar there is not much (if any) to choose from. Also, more importantly, MC
randomization makes false assumption that all "trading opportunities" (signals) are equal. In many cases they
are not. Pretty often our trading system has specific, deterministic way to pick trades from many oppotunities
by some sort of ranking/scoring. When system is using a score (rank) as a core component of the system
(rotational systems do that) - if you replace analytic score of with random number you are just testing white
noise not the system.
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Pyramiding (scaling in/out) and mutliple currencies in the portfolio
backtester
IMPORTANT: Please read first Tutorial: Backtesting your trading ideas article and Portfolio
Backtesting
Starting from version 4.70 portfolio backtester allows position scaling and supports multiple currencies. Note
that these advanced features are supported by PORTFOLIO backtester only. Old single-security backtester
and single-security equity() function do NOT support these features.
Pyramiding / Scaling
Two special constants: sigScaleIn / sigScaleOut added to provide means to tell the backtester when you want
to scale-in/out
All you have to do to implement pyraminding is to:
- Assign sigScaleIn to BUY/SHORT variable if you want to scale-in (increase size of) LONG/SHORT position
- Assign sigScaleOut to BUY/SHORT variable if you want to scale-out (decrease size of) LONG/SHORT
position
Scaling size is defined by PositionSize variable which in case of scaling defines not absolute positionsize but
dollar increase or decrease.
IMPORTANT: Please note that backtester treats trade that you scale-in/out as SINGLE trade (i.e. will show
single row in trade list). The only difference versus plain trade is that it will calculate average entry price (and
avg. entry fx rate) based on all partial entries and average exit price (and avg. exit fx rate) based on all parial
exits and will show average prices in entry/exit price field. The commission is of course applied correctly to
each (partial) entry/exit depending on partial buy/sell size.
If you want to see details about scaling you have to run backtest in "DETAIL LOG" mode as only then you will
see how scaling-in /out works and how average prices are calculated.
Note also that scaling-in/-out and multiple-currency support is available only in portfolio backtester. Old
backtester as well as Equity() function do NOT handle scaling-in/out nor multiple currencies (they simply
ignore scaling commands).
Easy examples:
Example 1: dollar-cost averaging (each month you buy stocks for fixed dollar amount)
FixedDollarAmount = 500;
MonthBegin = Month() != Ref( Month(), -1 );
FirstPurchase = Cum( MonthBegin ) == 1;
Buy = IIf( FirstPurchase, 1, // True (or 1) represents regular buy signal
IIf( MonthBegin, sigScaleIn, // each month increase position
0 ) ); // otherwise no signal
Sell = 0; // we do not sell
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PositionSize = FixedDollarAmount;
Example 2: dollar-cost averaging
(simplified formula because AB treats first sigScaleIn as buy anyway)
FixedDollarAmount = 500;
MonthBegin = Month() != Ref( Month(), -1 );
FirstPurchase = Cum( MonthBegin ) == 1;
Buy = IIf( MonthBegin, sigScaleIn, 0 ); // each month increase position
Sell = 0; // we do not sell
PositionSize = FixedDollarAmount;
Example 3: increasing position when profit generated by trade without pyramiding
becomes greater than 5% and decreasing position when loss is greater than -5%
// percent equity change threshold when pyramiding is performed
PyramidThreshold = 5;
// regular trading rules (no pyramiding)
Buy = Cross( MACD(), Signal() );
Sell = Cross( Signal(), MACD() );
e = Equity(1); // generate equity without pyramiding effect
PcntProfit = 100 * ( e - ValueWhen( Buy, e ) )/ValueWhen( Buy, e );
InTrade = Flip( Buy, Sell );
// ExRem is used here to ensure that scaling-in/out occurs
// only once since trade entry
DoScaleIn = ExRem( InTrade AND PcntProfit > PyramidThreshold, Sell );
DoScaleOut = ExRem( InTrade AND PcntProfit < -PyramidThreshold, Sell );
// modify rules to handle pyramiding
Buy = Buy + sigScaleIn * DoScaleIn + sigScaleOut * DoScaleOut;
PositionSize = IIf( DoScaleOut, 500, 1000 ); // enter and scale-in size $1000,
scale-out size: $500
Example 4: partial exit (scaling out) on profit target stops
Example of code that exits 50% on first profit target, 50% on next profit target and everything at trailing stop:
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Buy = Cross( MA( C, 10 ), MA( C, 50 ) );
Sell = 0;
//
//
//
//
the system will exit
50% of position if FIRST PROFIT TARGET stop is hit
50% of position is SECOND PROFIT TARGET stop is hit
100% of position if TRAILING STOP is hit
FirstProfitTarget = 10; // profit
SecondProfitTarget = 20; // in percent
TrailingStop = 10; // also in percent
priceatbuy=0;
highsincebuy = 0;
exit = 0;
for( i = 0; i < BarCount; i++ )
{
if( priceatbuy == 0 AND Buy[ i ] )
{
priceatbuy = BuyPrice[ i ];
}
if( priceatbuy > 0 )
{
highsincebuy = Max( High[ i ], highsincebuy );
if( exit == 0 AND
High[ i ] >= ( 1 + FirstProfitTarget * 0.01 ) * priceatbuy )
{
// first profit target hit - scale-out
exit = 1;
Buy[ i ] = sigScaleOut;
}
if( exit == 1 AND
High[ i ] >= ( 1 + SecondProfitTarget * 0.01 ) * priceatbuy )
{
// second profit target hit - exit
exit = 2;
SellPrice[ i ] = Max( Open[ i ], ( 1 + SecondProfitTarget * 0.01 ) *
priceatbuy );
}
if( Low[ i ] <= ( 1 - TrailingStop * 0.01 ) * highsincebuy )
{
// trailing stop hit - exit
exit = 3;
SellPrice[ i ] = Min( Open[ i ], ( 1 - TrailingStop * 0.01 ) *
highsincebuy );
}
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if( exit >= 2 )
{
Buy[ i ] = 0;
Sell[ i ] = exit + 1; // mark appropriate exit code
exit = 0;
priceatbuy = 0; // reset price
highsincebuy = 0;
}
}
}
SetPositionSize( 50, spsPercentOfEquity );
SetPositionSize( 50, spsPercentOfPosition * ( Buy == sigScaleOut ) ); // scale
out 50% of position
Mulitple Currency Support
The portfolio backtester allows to backtest systems on securites denominated in different currencies. It
includes ability to use historical (variable) currency rates. Currency rates are definable in "Currencies" page in
the preferences. The currency in which given symbol is denominated in can be entered in
Symbol->Information page.
"Currencies" page in Preferences - allows to define base currency and exchange rates (fixed or dynamic)
for different currencies. This allows to get correct backtest results when testing securities denominated in
different currency than your base portfolio currency.
How does AB know whether I want the fixed or dynamic quote?
There are following requirements to use currency adjustements:
a) Symbol->Information, "Currency" field shows currency different than BASE currency
b) Appropriate currency (defined in Symbol) has matching entry in Preferences->Currencies page
c) the dynamic rate "FX SYMBOL" defined in the preferences EXISTS in your database and HAS QUOTES
for each day under analysis range.
What is "INVERSE" check box for in the preferences?
Let's for example take EURUSD.
When "USD" is your BASE currency then EUR exchange rate would be "straight" EURUSD fx (i.e. 1.3).
But when "EUR" is your BASE currency then USD exchange rate would be INVERSE of EURUSD (i.e. 1/1.3).
Opposite would be true with FX rates like USDJPY (which are already "inverse").
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Using formula-based alerts
Introduction
AmiBroker allows you to define formula-based alerts. When alert is triggered a text can be displayed,
user-defined sound played back, e-mail notification can be sent and any external application can be launched.
This is all handled by single AlertIF function.
By default all alerts generate text that is displayed in the Alert Output window.
To show this window you have to select Window->Alert Output menu.
There is also Easy Alerts window that allows you to define simple alerts that do not require any coding (but do
not offer full flexibility of AlertIf function).
Settings
Alert - related settings are present in the "Alerts" tab of Tools->Preferences window.
It allows to define e-mail account settings, test sound output and define which parts of AmiBroker can
generate alerts via AlertIF function.
E-mail setting page now allows to choose among most popular authorization schemes like: AUTH LOGIN
(most popular), POP3-before-SMPT (popular), CRAM-MD5, LOGIN PLAIN.
"Enable alerts from" checkboxes allow you to selectively enable/disable alerts generated by Automatic
analysis, Commentary/Interpretation and custom indicators.
Alert output window now has an additional column that shows the source of alert - if this is Automatic
Analysis, Commentary or one of your custom indicators. This makes it easier to find out which part of
AmiBroker generates alerts.
New in AmiBroker 5.30 - support for SSL (secure connection) used by GMail for example.
In order to enable SSL support you need to follow these steps:
1. Download and run SSL add-on from http://www.amibroker.com/bin/SSLAddOn.exe
2. Configure (Tools->Preferences->Alerts) with SSL enabled as shown below
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AlertIF function
AlertIF function is similar to WriteIF. But instead of just writing the text to the output window
(commentary/interpretation) it allows to:
• direct the customized text to "alert output" window,
• make a sound (just by computer beeper or from .WAV file)
• send an e-mail
• launch any external application
The syntax is as follows:
AlertIf( BOOLEAN_EXPRESSION, command, text, type = 0, flags = 1+2+4+8, lookback = 1 );
1. BOOLEAN_EXPRESSION is the expression that if evaluates to True (non zero value) triggers the alert. If it
evaluates to False (zero value) no alert is triggered. Please note that only lookback most recent bars are
considered.
2. The command string defines the action taken when alert is triggered. If it is empty the alert text is simply
displayed in the Alert output window (Window->Alert Output). Other supported values of command string are:
SOUND the-path-to-the-WAV-file
EMAIL
EXEC the-path-to-the-file-or-URL <optional args>
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SOUND command plays the WAV file once.
EMAIL command sends the e-mail to the account defined in the settings (Tools->Preferences->E-mail). The
format of the e-mail is as follows:
Subject: Alert type_name (type) Ticker on Date/Time
Body: text
EXEC command launches external application or file or URL specified after EXEC command. <optional args>
are attached after file name and text is attached at the end
3. Text defines the text that will be printed in the output window or sent via e-mail or added as argument to the
application specified by EXEC command
4. Type defines type of the alert. Pre-defined types are 0 - default, 1 - buy, 2 - sell, 3 - short, 4- cover. YOu
may specify higher values and they will get name "other"
5. Flags control behaviour of AlertIF function. This field is a combination (sum) of the following values:
( 1 - display text in the output window, 2 - make a beep (via computer speaker), 4 - don't display repeated
alerts having the same type, 8 - don't display repeated alerts having the same date/time) By default all these
options are turned ON.
6. lookback parameter controls how many recent bars are checked
Examples:
Buy = Cross( MACD(), Signal() );
Sell = Cross( Signal(), MACD() );
Short = Sell;
Cover = Buy;
AlertIF( Buy, "EMAIL", "A sample alert on "+FullName(), 1 );
AlertIF( Sell, "SOUND C:\\Windows\\Media\\Ding.wav", "Audio alert", 2 );
AlertIF( Short, "EXEC Calc.exe", "Launching external application", 3 );
AlertIF( Cover, "", "Simple text alert", 4 );
Note EXEC command uses ShellExecute function and allows not only EXE files but URLs too.
Notes
1. Please note that by default AlertIf function does not generate repetitive signals when the same scan is run
multiple times. During experimentation you may prefer to get repeated signals in subsequent scans. To do so
you should change default flags to 1 + 2:
AlertIF( condition, "", "Text", 1, 1+2 );
2. If you want to generate the alert only on COMPLETED bar you may need to add this code:
barcomplete = BarIndex() < LastValue(BarIndex());
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AlertIF( barcomplete AND condition, "", "Text", 1 );
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Using interpretation window
Note: Please read How to write your own chart commentary article before proceeding.
Interpretation window (Window->Interpretation) shows chart-sensitive commentaries. To add a interpretation
just use Formula Editor and add commentary code after the code for the indicator. Please note that to get the
best performance you should use conditional statement that ensures that interpretation code is executed only
in "commentary" mode.
if( Status("action") == actionCommentary )
{
// printf statements here....
}
Example:
Plot( Close, "Price", -1, 64 );
Plot( SAR( Prefs( 50 ), Prefs( 51 ) ), "SAR",-17, 8+16 );
if( Status("action") == actionCommentary )
{
printf("The Parabolic SAR provides excellent exit points. \n");
printf("You should Close long positions when the price falls below\n");
printf("the SAR AND Close Short positions when the price rises above the
SAR.\n");
printf( WriteIf( Graph1 > Close, "SAR is above close", "SAR is below close" ) );
}
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Multiple Time Frame support in AFL
Release 4.41 brings ability to use multiple time frames (bar intervals) in single formula. The time frame
functions can be divided into 3 functional groups:
1. switching time frame of build-in O, H, L, C, V, OI, Avg arrays: TimeFrameSet, TimeFrameRestore
2. compressing/expanding single arrays to/from specified interval: TimeFrameCompress,
TimeFrameExpand
3. immediate access to price/volume arrays in different time frame: TimeFrameGetPrice
First group is used when your formula needs to perform some calculations on indicators in different time
frame than currently selected one. For example if you need to calculate 13-bar moving average on 5 minute
data and 9 bar exponential avarage from hourly data while current interval is 1 minute you would write:
TimeFrameSet( in5Minute ); // switch to 5 minute frame
/* MA now operates on 5 minute data, ma5_13 holds time-compressed 13 bar MA of
5min bars */
ma5_13 = MA( C, 13 );
TimeFrameRestore(); // restore time frame to original
TimeFrameSet( inHourly ); // switch now to hourly
mah_9 = EMA( C, 9 ); // 9 bar moving average from hourly data
TimeFrameRestore(); // restore time frame to original
Plot( Close, "Price", colorWhite, styleCandle );
// plot expanded average
Plot( TimeFrameExpand( ma5_13, in5Minute), "13 bar moving average from 5 min
bars", colorRed );
Plot( TimeFrameExpand( mah_9, inHourly), "9 bar moving average from hourly bars",
colorRed );
TimeFrameSet( interval ) - replaces current built-in price/volume arrays: open, high, low, close, volume,
openint, avg with time-compressed bars of specified interval once you switched to a different time frame all
calculations and built-in indicators operate on selected time frame. To get back to original interval call
TimeFrameRestore() funciton. If you want to call TimeFrameSet again with different interval you have to
restore original time frame first using TimeFrameRestore(). Interval is time frame interval in seconds. For
example: 60 is one minute bar. You should use convenient constants for common intervals: in1Minute,
in5Minute, in15Minute, inHourly, inDaily, inWeekly, inMonthly.
With version 4.70 you can also specify N-tick intervals. This is done by passing NEGATIVE value as interval.
For example -5 will give 5-tick bar compression, and -133 will give 133-tick compression. Please note that
using N-tick intervals works only if your database uses Tick base time interval set in File -> Database
Settings dialog.
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TimeFrameSet( -133 ); // switch to 133-tick interval
TimeFrameRestore() - restores price arrays replaced by SetTimeFrame.Note that only OHLC, V, OI and Avg
built-in variables are restored to original time frame when you call TimeFrameRestore(). All other variables
created when being in different time frame remain compressed. To de-compress them to original interval you
have to use TimeFrameExpand.
Once you switch the time frame using TimeFrameSet, all AFL functions operate on this time frame until you
switch back the time frame to original interval using TimeFrameRestore or set to different interval again using
TimeFrameSet. It is good idea to ALWAYS call TimeFrameRestore when you are done with processing in
other time frames.
When time frame is switched to other than original interval the results of all functions called since
TimeFrameSet are time-compressed too. If you want to display them in original time frame you would need to
'expand' them as described later. Variables created and assigned before call to TimeFrameSet() remain in the
time frame they were created. This behaviour allows mixing unlimited different time frames in single formula.
Please note that you can only compress data from shorter interval to longer interval. So when working with
1-minute data you can compress to 2, 3, 4, 5, 6, ....N-minute data. But when working with 15 minute data you
can not get 1-minute data bars. In a similar way if you have only EOD data you can not access intraday time
frames.
Second group: TimeFrameCompress/TimeFrameExpand allow to compress and expand single arrays to /
from different time frames. Especially worth mentioning is TimeFrameExpand that is used to decompress
array variables that were created in different time frame. Decompressing is required to properly display the
array created in different time frame. For example if you want to display weekly moving average it must be
'expanded' so the data of one weekly bar covers five daily bars (Monday-Friday) of corresponding week.
TimeFrameExpand( array, interval, mode = expandLast ) - expands time-compressed array from 'interval'
time frame to base time frame ('interval' must match the value used in TimeFrameCompress or
TimeFrameSet)
Available modes:
expandLast - the compressed value is expanded starting from last bar within given period (so for example
weekly close/high/low is available on Friday's bar)
expandFirst - the compressed value is expanded starting from first bar within given period (so for example
weekly open is available from Monday's bar)
expandPoint - the resulting array gets not empty values only for the last bar within given period (all remaining
bars are Null (empty)).
Caveat: expandFirst used on price different than open may look into the future. For example if you create
weekly HIGH series, expanding it to daily interval using expandFirst will enable you to know on MONDAY
what was the high for entire week.
TimeFrameCompress is provided for completeness and it can be used when you want to compress single
array without affecting built-in OHLC,V arrays. If you call TimeFrameCompress it does not affect results of
other functions.
wc = TimeFrameCompress( Close, inWeekly );
/* now the time frame is still unchanged (say daily) and our MA will operate on
daily data */
dailyma = MA( C, 14 );
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/* but if we call MA on compressed array, it will give MA from other time frame
*/
weeklyma = MA( wc, 14 ); // note that argument is time-compressed array
Plot( dailyma, "DailyMA", colorRed );
weeklyma = TimeFrameExpand( weeklyma, inWeekly ); // expand for display
Plot( weeklyma, "WeeklyMA", colorBlue );
During this formula the time frame remained at original setting we only compressed single array.
TimeFrameCompress( array, interval, mode = compressLast )
- compresses single array to given interval using given compression mode available modes:
compressLast - last (close) value of the array within interval
compressOpen - open value of the array within interval
compressHigh - highest value of the array within interval
compressLow - lowest value of the array within interval
compressVolume - sum of values of the array within interval
Graph0 = TimeFrameExpand( TimeFrameCompress( Close, inWeekly, compressLast ),
inWeekly, expandLast );
Graph1 = TimeFrameExpand( TimeFrameCompress( Open, inWeekly, compressOpen ),
inWeekly, expandFirst );
Third group consist of just one useful function: TimeFrameGetPrice which allows to reference price and
volume from other time frames without switching /compressing/expanding time frames. Just one function call
to retrieve price from higher time frame. It allows also to reference not only current but past bars from different
time frames.
TimeFrameGetPrice( pricefield, interval, shift = 0, mode = expandFirst );
- references OHLCV fields from other time frames. This works immediatelly without need to call
TimeFrameSet at all.
Price field is one of the following: "O", "H", "L", "C", "V", "I" (open interest). Interval is bar interval in seconds.
shift allows to reference past (negative values) and future (positive values) data in higher time frame. For
example -1 gives previous bar's data (like in Ref function but this works in higher time frame).
Examples:
TimeFrameGetPrice( "O", inWeekly, -1 ) // gives you previous week Open price
TimeFrameGetPrice( "C", inWeekly, -3 ) // gives you weekly Close price 3 weeks
ago
TimeFrameGetPrice( "H", inWeekly, -2 ) // gives you weekly High price 2 weeks ago
TimeFrameGetPrice( "O", inWeekly, 0 ) // gives you this week Open price.
TimeFrameGetPrice( "H", inDaily, -1 ) // gives previous Day High when working on
intraday data
Shift works as in Ref() function but it is applied to compressed time frame.
Note these functions work like these 3 nested functions
TimeFrameExpand( Ref( TimeFrameCompress( array, interval, compress(depending on
field used) ), shift ), interval, expandFirst )
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therefore if shift = 0 compressed data may look into the future ( weekly high can be known on monday ). If you
want to write a trading system using this function please make sure to reference PAST data by using negative
shift value.
The only difference is that TimeFrameGetPrice is 2x faster than nested Expand/Compress.
Note on performance of TimeFrame functions:
a) Measurements done on Athlon 1.46GHz, 18500 daily bars compressed to weekly time
frame
TimeFrameGetPrice( "C", inWeekly, 0 ) - 0.0098 sec (9.8 milliseconds)
TimeFrameSet( inWeekly ) - 0.012 sec (12 milliseconds)
TimeFrameRestore( ) - 0.006 sec (6 milliseconds)
TimeFrameCompress( Close, inWeekly, compressLast ); - 0.0097 sec (9.7 milliseconds)
TimeFrameExpand( array, inWeekly, expandLast ); - 0.0098 sec (9.8 milliseconds)
b) Measurements done on Athlon 1.46GHz, 1000 daily bars compressed to weekly time
frameall functions below 0.0007 sec (0.7 millisecond)
How does it work internally ?
Time-frame functions do not change the BarCount - they just squeeze the arrays so you have first N-bars
filled with NULL values and then - last part of the array contains the actual time-compressed values. This is
why it is essential to expand the data back to the original frame with TimeFrameExpand. The following simple
exploration shows what happens after you switch to a higher timeframe. Run Exploration on current symbol,
all quotations, periodicity set to daily and you will see how "weekly close compressed" column contains empty
values at the beginning and weekly compressed data at the end of array.
Filter = 1;
AddColumn(Close, "Daily close");
TimeFrameSet(inWeekly);
AddColumn(wc = Close, "weekly close compressed");
TimeFrameRestore();
AddColumn( TimeFrameExpand(wc, inWeekly), "weekly close expanded");
EXAMPLES
EXAMPLE 1: Plotting weekly MACD and cross arrows from daily data
TimeFrameSet( inWeekly );
m = MACD(12, 26 ); // MACD from WEEKLY data
TimeFrameRestore();
m1 = TimeFrameExpand( m, inWeekly );
Plot( m1, "Weekly MACD", colorRed );
PlotShapes( Cross( m1, 0 ) * shapeUpArrow, colorGreen );
PlotShapes( Cross( 0, m1 ) * shapeDownArrow, colorGreen );
EXAMPLE 2: weekly candlestick chart overlaid on line daily price chart
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wo
wh
wl
wc
=
=
=
=
TimeFrameGetPrice(
TimeFrameGetPrice(
TimeFrameGetPrice(
TimeFrameGetPrice(
Tutorial
"O",
"H",
"L",
"C",
inWeekly,
inWeekly,
inWeekly,
inWeekly,
0,
0,
0,
0,
expandPoint
expandPoint
expandPoint
expandPoint
);
);
);
);
PlotOHLC( wo, wh, wl, wc, "Weekly Close", colorWhite, styleCandle );
Plot( Close, "Daily Close", colorBlue );
EXAMPLE 3: Simplified Triple screen system
/* switch to weekly time frame */
TimeFrameSet( inWeekly );
whist = MACD( 12, 26 ) - Signal( 12, 26, 9 );
wtrend = ROC( whist, 1 ); // weekly trend - one week change of weekly macd
histogram
TimeFrameRestore();
/* expand calculated MACD to daily so we can use it with daily signals */
wtrend = TimeFrameExpand( wtrend, inWeekly );
/* elder ray */
bullpower= High - EMA(Close,13);
bearpower= Low - EMA(Close,13);
Buy = wtrend > 0 /* 1st screen: positive weekly trend */
AND
bearpower < 0 AND bearpower > Ref( bearpower, -1 ) /* 2nd screen bear power
negative but rising */
AND
H > Ref( H, -1 ); /* 3rd screen, if prices make a new high */
BuyPrice = Ref( H, -1 ); // buy stop level;
Sell = 0 ; // exit only by stops
ApplyStop( stopTypeProfit, stopModePercent, 30, True );
ApplyStop( stopTypeTrailing, stopModePercent, 20, True );
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Efficient use of multithreading
AmiBroker 5.50 fully supports multithreading (parallel execution on all CPU cores) in both charting and New
Analysis window. This greatly enhances speed of operation and improves responsivity of application as
worker AFL execution threads do not block the user interface. For example on 4 core Intel i7 that can run upto
8 threads, it can run upto 8 times faster than old Analysis window. Exact speed up depends on complexity of
the formula (the more complex it is, the more speedup is possible), amount of data processed (RAM access
may be not as fast as CPU thus limiting possible speed gains).
This chapter describes how to avoid pitfalls that can affect multithreaded performance.
Understanding how multithreading is implemented
It is important to understand one simple rule first - in AmiBroker one thread can run one operation on one
symbols' data:
1 operation * 1 symbol = 1 thread
The operation is displaying single chart pane, scan, exploration, backtest, optimization. The consequences
are as follows: single chart pane always uses one thread. Also a single backtest or optimization running on
one symbol uses one thread only.
But a chart that consists of 3 panes uses 3 threads, even though they all operate on the same symbol. So we
can also write:
N operations * 1 symbol = N threads
We can also run single operation (like scan/exploration/backtest/optimization) on multiple symbols, then
1 operation * N symbols = N threads
Of course you can also run multiple Analysis windows each of it running multiple symbols or run multiple
charts on multiple symbols, then
P operations * N symbols = ( P * N ) threads
It is also important to understand that some operations consist of not only AFL execution part but some extra
processing and/or user-interface work. In such cases only AFL execution can be done with multiple threads.
This has consequences for Individual Backtest mode which will be described in detail further.
Note: In version 5.70 there is one exception from this rule: new multi-threaded individual optimization, that
allows to run single-symbol optimization using multiple threads.
Limits
The number of threads that actually are launched depends on your CPU and the version of AmiBroker you are
using. Standard Edition has a limit of 2 (two) threads per Analysis window. Professional Edition has a limit
of 32 threads per Analysis window. In addition to this limit, AmiBroker will detect how many logical
processors are reported by Windows (for example a single Intel i7 920 CPU is recognized as 8 logical
processors (4 cores x 2 hyperthreading)) and will not run more threads per single Analysis window than the
number of logical processors.
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Common pitfals
There are following areas of AFL programming that require some attention if you want to write
multithreading-friendly AFL formulas:
1. Avoiding the use of OLE / CreateObject
2. Reducing use of AddToComposite / Foreign to minimum
3. Efficient and correct use of static variables
4. Implementing pre-processing / initialisation in the Analysis window
5. Accessing ~~~Equity symbol
Generally speaking the AFL formula can run in full speed only if it does not access any shared resources. Any
attempt to access shared resource may result in formula execution waiting for the semaphore/critical section
that protects shared resource from simultaneous modification.
1. Avoiding the use of OLE / CreateObject
AmiBroker fully supports calling OLE objects from AFL formula level, and it is still safe to use, but there are
technical reasons to advocate against using OLE. The foremost reason is that OLE is slow especially when
called not from "owner" thread.
OLE was developed by Microsoft back in 1990's in the 16-bit days it is old technology and it effectivelly
prevents threads from running at full speed as all OLE calls must be served by one and only user-interface
thread. For more details see this article:
http://blogs.msdn.com/b/oldnewthing/archive/2008/04/24/8420242.aspx
For this reason, if only possible you should strictly avoid using OLE / CreateObject in your formulas.
If you fail to do so, the performance will suffer. Any call to OLE from a worker thread causes posting a
message to OLE hidden window and waiting for the main application UI thread to handle the request. If
multiple threads do the same, the performance would easily degrade to single-thread level, because all OLE
calls are handled by main UI thread anyway.
Not only that. Threads waiting for OLE can easily deadlock when OLE server is busy with some other work.
AmiBroker contains some hi-tech patented code that checks for such OLE deadlock condition and is able to
unlock from it, but it may take even upto 10 seconds to unlock. Even worse. OLE calls made from non-UI
thread suffer from overhead of messaging and marshaling and can be as much as 30 slower compared to
when they are called from same process main UI thread. To avoid all those troubles, avoid using OLE if only
possible.
For example instead of using OLE to do RefreshAll like this:
AB = CreateObject("Broker.Application"); // AVOID THIS
AB.RefreshAll(); // AVOID THIS
Use AmiBroker native RequestTimedRefresh function which is orders of magnitude faster and does not cause
any problems. If you want to refresh UI after Scan/Analysis/Backtest use
SetOption("RefreshWhenCompleted", True )
Keep in mind that in most cases the refresh is completely automatic (for example after AddtoComposite) and
does not require any extra coding at all.
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If you use OLE to read Analysis filter settings (such as watch list number), like this:
AB = CreateObject("Broker.Application"); // AVOID THIS
AA = AB.Analysis; // AVOID THIS
wlnum = AA.Filter( 0, "watchlist" ); // AVOID THIS
you should replace OLE calls by simple, native call to GetOption that allows to read analysis formula filter
settings in multithreading friendly manner. For example to read Filter Include watch list number use:
wlnum = GetOption("FilterIncludeWatchlist"); // PROPER WAY
For more information about supported filter settings fields see GetOption function reference page.
Also note that AB.Analysis OLE object always refers to OLD automatic analysis window. This has side effect
of launching/displaying old automatic analysis whenever you use AB.Analysis in your code. As explained
above, all calls to OLE should be removed from your formulas if you want to run in New multithreaded
Analysis window. It is only allowed to access new Analysis via OLE from external programs / scripts. To
access new Analysis from external program you need to use AnalysisDocs/AnalysisDoc objects as described
in OLE Automation interface document.
2. Reducing use of AddToComposite / Foreign to minimum
Any access to other than "current" symbol from the formula level involves global lock (critical section) and
therefore may impact the performance. For this reason it is recommended to reduce use of
AddToComposite/Foreign functions and use static variables wherever possible
3. Efficient and correct use of static variables
The access to static variables is fast, thread safe and atomic on single StaticVarSet/StaticVarGet call level. It
means that it reads/writes entire array in atomic way, so no other thread will read/write that array in the middle
of other thread updating it.
However, care must be taken if you write multiple static variables at once. Generally speaking when you write
static variables as a part of multi-symbol Analysis scan/exploration/backtest, optimization, you should do the
writing (StaticVarSet) on very first step using Status("stocknum")==0 as described below. This is
recommended way of doing things:
if( Status("stocknum") == 0 )
{
// do all static variable writing/initialization here
}
Doing all initialization/writes to static variables that way provides best performance and subsequent reads
(StaticVarGet) are perfectly safe and fast. You should avoid making things complex when it is possible to
follow simple and effective rule of one writer - multiple readers. As long as only one thread writes and many
threads just read static variables, you are safe and you don't need to worry about synchronization.
For advanced formula writers only:
If you, for some reason, need to write multiple static variables that are shared and accessed from multiple
threads at the same time, and when you must ensure that all updates are atomic, then you need to protect
regions of your formula that update multiple static variables with a semaphore or critical section. For best
performance you should group all reads/writes in one section like this:
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if( _TryEnterCS( "mysemaphore" ) ) // see StaticVarCompareExchange function for
implementation
{
// you are inside critical section now
// do all static var writing/reading here - no other thread will interfere here
_LeaveCS();
}
else
{
_TRACE("Unable to enter CS");
}
The implementation of both semaphore and critical section in AFL is shown in the examples to
StaticVarCompareExchange function.
4. Implementing pre-processing / initialisation in the Analysis window
Sometimes there is a need to do some initialization or some time consuming calculation before all the other
work is done. To allow for that processing without other threads interferring with the outcome you can use the
following if clause:
if( Status("stocknum") == 0 )
{
/// initialization / pre processing code
}
AmiBroker detects such statement and runs very first symbol in one thread only, waits for completion and only
after completion it launches all other threads. This allows things like setting up static variables for use in
further processing, etc.
5. Accessing ~~~Equity symbol
Using Foreign("~~~Equity", "C" ) makes sense only to display chart of the equity of the backtest that has
completed. It is important to understand that new Analysis window supports multiple instance, and therefore
it can not use any shared equity symbol, because if it did, multiple running backtest would interfere with each
other. So New Analysis has local, private instance of all equity data that is used during backtesting and only
AFTER backtesting is complete, it copies ready-to-use equity data to ~~~Equity symbol. This means that if
you call Foreign("~~~Equity", "C" ) from within the formula that is currently being backtested, you will receive
previous backtest equity, not current one.
To access current equity, you need to use custom backtester interface. It has "Equity" property in the
backtester object that holds current account equity. If you need equity as an array there are two choices,
either collect values this way:
SetOption("UseCustomBacktestProc", True );
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.PreProcess(); // Initialize backtester
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PortEquity = Null; // will keep portfolio equity values
for(bar=0; bar < BarCount; bar++)
{
bo.ProcessTradeSignals( bar );
// store current equity value into array element
PortEquity[ i ] = bo.Equity;
}
bo.PostProcess(); // Finalize backtester
// AT THIS POINT YOU PortEquity contains ARRAY of equity values
}
Or you can use EquityArray property added to Backtester object in v5.50.1
if( Status("action") == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest();
AddToComposite( bo.EquityArray, // get portfolio Equity array in one call
"~~~MY_EQUITY_COPY", "X",
atcFlagDeleteValues | atcFlagEnableInPortfolio );
}
Please note that values are filled during backtest and all values are valid only after backtest is complete (as in
above example). If you call it in the middle of backtest, it will contain equity only upto given bar. Avoid abusing
this function and it is costly in terms of RAM/CPU (however it is less costly than Foreign).
Both ways presented will access local, current copy of equity in New Analysis (unlike Foreign that accesses
global symbol values from previous backtest)
Single-symbol operations run in one thread
As explained at the beginning of the article, any operation such as scan, exploration, backtest, optimization or
walk forward test that is done on single symbol can only use one thread. For that reason there is almost no
speed advantage compared to running same code in the old versions of AmiBroker.
Update as of 5.70: This version has a new "Individual Optimize" functionality that allows to run single-symbol
optimization using multiple threads, albeit some limitations: only exhaustive optimization is supported and no
custom backtester is supported. This is for two reasons: a) smart optimization engines need the result of
previous step to decide what parameter combination choose for the next step; b) second phase of backtest
talks to UI and OLE (custom backtester) and as such can not be run from non-UI thread (see below for the
details).
Individual Backtest can only be run in one thread
The most important thing to understand is that the Individual backtest is a portfolio-level backtest ran on just
ONE symbol. Even if you run it on watch list, it still executes things sequentially, single backtest on single
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symbol at once, then moving to next symbol in the watch list. Why this is so is described below.
Both portfolio level and individual backtests consist of the very same two phases
I. running your formula and collecting signals
II. actual backtest that may involve second run of your formula (custom backtester)
Phase I runs the formula on each symbol in the list and it can be multi-threaded (if there is more than one
symbol in the list).
Phase II that processes the signals collected in phase I, generates raport and displays results is done only
once per backtest.
It can not be multi-threaded because:
a) it talks to User Interface (UI)
b) it uses OLE/COM to allow you to run custom backtester.
Both OLE and UI + access can not be done from worker (non user-interface) thread. Even worse OLE/UI +
multithreading equals death, see:
http://blogs.msdn.com/b/oldnewthing/archive/2008/04/24/8420242.aspx
Usually, in case of multi symbol portfolios, Phase I takes 95% of time needed to run portfolio backtest so once
you run phase I in multiple threads, you get very good scalability as only 5% is not multi-threaded.
Since individual backtest runs on ONE symbol then the only phase that can be run in multiple threads, i.e.
phase 1 - consists of just one run, and as such is run in one thread.
To be able to run Phase II from multiple threads you would NOT be able to talk to UI and would NOT be able
to use COM/OLE (no custom backtester).
That causes that Individual Backtest can NOT be any faster than in old Automatic Analysis.
Doing the math & resonable expectations
Some users live in fantasy land and think that they can throw say 100GB data and the data will be processed
fast because "they have latest hardware". This is dead wrong. What you will get is a crash. While 64-bit
Windows removes 2GB per-application virtual address space barrier, it is not true that there are no limits
anymore.
Unfortunatelly even people with technical background forget to do the basic math and have some unresonable
expectations. First and foremost thing that people are missing is the huge difference between access speeds
made by data size. The term "Random Access Memory" in the past (like back in 1990) meant that accessing
data takes the same amount of time, regardless of location. That is NO LONGER the case. There are huge
differences in access speeds depending on where data is located. For example Intel i7 920, triple channel
configuration accesses L1 cached data with 52GB/second speed, L2 cached data 30GB/second (2x slower!),
L3 cached data 24GB/second and regular RAM with 11GB/second. It means that cached data access is 5
times faster than RAM access. Things get even more dramatic if you run out of RAM and system has to go to
the disk. With most modern SSD disks we speak about just 200MB/sec (0.2GB/sec). That is two orders (100x)
of magnitude slower than RAM and three orders of magnitude slower than cache. That assumes zero latency
(seek). In real world, disk access can be 10000 times slower than RAM.
Now do yourself a favour and do the math. Divide 100GB by 0.2GB/second SSD disk speed. What you will
get ? 500 seconds - almost ten minutes just to read the data. Now are you aware that if application does not
process messages for just 1 second is considered as "not responding" by Windows? What does that mean? It
means that even in 64-bit world, any Windows application will have trouble processing data sets that exceed
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5GB just because of raw disk read speed that in best case does not exceed 200MB/sec (usually much worse).
Attempting to backtest such absurd amounts of data on high-end PC will just lead to crash, because timeouts
will be reached, the Windows will struggle processing messages and you will overrun system buffers. And it
has nothing to do with software. It is just brutal math lesson that some forgot. First and most important rule for
getting more speed is limit your data size, so it at least fits in RAM.
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Ranking functionality
A ranking is a relationship between a set of items such that, for any two items, the first is either 'ranked higher
than', 'ranked lower than' or 'ranked equal to' the second. The simplest way to obtain the rank is to sort items
by 'value' or 'score'. For example you can take 100-bar rate of change for symbols - it will be your item 'score'
or 'value. Then sort the results by it so you will get symbol list where first one is best performing (highest rate
of change) and the last one is worst performing one.
AmiBroker allows user to perform/use three different kind of rankings
1. use ranking of trade entry signals (buy/short) to decide which entries are preferred over the others
during portfolio backtesting/optimization
2. display multiple rankings in tables created using Exploration
3. generate numeric ranks for later use (general-purpose functionality)
The first kind of ranking is performed automatically if your trading system formula defines PositionScore
variable. You can use PositionScore variable to decide which trades should be entered if there are more
entry signals on different securities than maximum allowable number of open positions or available funds. In
such case AmiBroker will use the absolute value of PositionScore variable to decide which trades are
preferred. For the details about ranking functionality during backtesting see Portfolio Backtester tutorial.
Second kind of ranking is simply assigning a number (rank) to the line of exploration output. The rank column
is added to the exploration output just by calling AddRankColumn function after performing a sort using
SetSortColumns function. You can call SetSortColumns multiple times and you can call AddRankColumn
multiple times to achieve many different ranks based on multiple-columns. See example below:
Filter = 1;
AddColumn( Close, "Close" );
AddColumn( Volume, "BI" );
AddSummaryRows( 31 + 32, 1.5 );
AddRankColumn(); // without prior sorting AddRankColumn just adds line number
SetSortColumns( -4 );
AddRankColumn(); // rank according to 4th column (descending)
SetSortColumns( -3 );
AddRankColumn(); // rank according to 3rd column (ascending)
A third kind of ranking is general-purpose, bar-by-bar ranking that is performed using static variables. It is
most resource hungry (computationally intensive) but also gives most possibilities.
Generally the process involves creating static variables with values to be used for sorting/ranking, i.e. "scores"
and then calling a special function (StaticVarGenerateRanks) that generates new set of static variables that
hold calculated ranks.
NOTE: This function is NOT intended to replace bakctester's built-in ranking via PositionScore. Just the
opposite: whenever you can, you should use PositionScore as it is way way faster and less
memory-consuming way to perform backtests with ranking.
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StaticVarGenerateRanks is generally intended to be used for tasks OTHER than backtesting such as
explorations or indicators that may require ranking functionality, but of course it can also be used for
backtesting when/where PositionScore alone does not allow to implement what you need in your trading
system.
WARNING: this function is computationally and memory intensive. It takes about 20ms per 15K bars and 7
symbols. Try to call it just once per scan/exploration/backtest using if( Status("stocknum")==0) or better yet,
use separate scan just once to pre-calculate ranks and use it later (like composite creation scan). If you fail to
do so and call StaticVarGenerateRanks for every symbol performance would drop significantly as this function
not only needs lots of time to compute but it also has to lock the access to shared memory used by static
variables so other threads trying to access static variables would wait until this function completes.
StaticVarGenerateRanks function
StaticVarGenarateRanks( "outputprefix", "inputprefix", topranks, tiemode ) is a core element of general
purpose ranking system. It takes 4 parameters: "outputprefix" - the prefix appended to output static variables
that hold the ranks, "inputprefix" the prefix of static variables holding scores (input), topranks - which defines
how many top/bottom ranking symbols should be included in the generated rank set and tiemode that defines
how ties (equal ranks) should be resolved.
The "inputprefix" is a prefix that defines names of static variables that will be used as input for ranking.
AmiBroker will search for all static variables that begin with that prefix and assume that remaining part of the
variable name is a stock symbol. Say you want to rank stocks by ROC (rate of change). All you need to do is
to store values into static variables. Let us say that we will use static variable names like "ItemScoreAPPL",
"ItemScoreMSFT", and so on.
To fill input static variables you can use this loop:
for ( i = 0; ( sym = StrExtract( symlist, i ) ) != ""; i++ )
{
SetForeign( sym );
Value = ROC( C, 10 );
RestorePriceArrays();
StaticVarSet( "ItemScore" + sym, Value );
}
Now you are ready to perform sorting/ranking. There are two modes, normal ranking mode and Top/Bottom
Rank mode. Normal ranking mode is performed when toprank argument is set to zero.
StaticVarGenerateRanks( "rank", "ItemScore", 0, 1224 );
In this case StaticVarGenerateRanks call would generate set of static variables starting with prefix defined by
2nd argument each variable holding the rank of particular symbol, so in this case RankItemScoreMSFT will
hold ranking of MSFT, RankItemScoreAAPL will hold ranking of AAPL. Note that in AmiBroker rank count start
from ONE.
Third argument (topranks) is zero in normal ranking mode. Fourth argument (tiemode) defines how ties are
ranked. Supported modes are 1234 and 1224. In 1224 mode ties are numbered with equal rank.
Example code for normal ranking mode (everything done is done in one pass, can be used in indicator):
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symlist = "C,CAT,DD,GE,IBM,INTC,MSFT";
// delete static variables
StaticVarRemove( "ItemScore*" );
// fill input static arrays
for ( i = 0; ( sym = StrExtract( symlist, i ) ) != ""; i++ )
{
SetForeign( sym );
Value = ROC( C, 10 );
RestorePriceArrays();
StaticVarSet( "ItemScore" + sym, Value );
}
// perform ranking
StaticVarGenerateRanks( "rank", "ItemScore", 0, 1224 ); // normal rank mode
// read ranking
for ( i = 0; ( sym = StrExtract( symlist, i ) ) != ""; i++ )
{
Plot( StaticVarGet( "RankItemScore" + sym ), sym, colorCustom10 + i );
}
Top/bottom ranking mode (that generates top/bottom ranking tables that hold indexes to top ranking values.
When topranks > 0 top ranked values are used, when topranks < 0 then bottom ranked values are used. The
values are stored in variables that have format of:
OutputprefixInputprefixN where N is a number 1, 2, 3 representing top/bottom ranks. Let us assume that
OutputPrefix parameter is "Top" and Inputprefix parameter is ROC. In such case variable TopROC1 would
hold the index of top rated value. TopROC2 would hold second top rated value, and so on.
StaticVarGenerateRanks function uses rank numbering that starts from ONE. In top ranking mode
StaticVarGenerateRanks will also prepare static variable that contains comma separated list of variable
names that can be used to find out which index refers to which symbol. So if TopROC1 holds 1 you would
lookup first substring in TopROCSymbols variable to find out what variable (symbol) ranked at the top.
Additionally StaticVarGetRankedSymbols gives easy-to-use method to retrieve comma separated list of
ranked symbols for particular datetime.
Example code for top ranking mode:
symlist = "C,CAT,DD,GE,IBM,INTC,MSFT";
// delete static variables
StaticVarRemove( "ItemScore*" );
// fill input static arrays
for ( i = 0; ( sym = StrExtract( symlist, i ) ) != ""; i++ )
{
SetForeign( sym );
Value = ROC( C, 10 );
RestorePriceArrays();
StaticVarSet( "ItemScore" + sym, Value );
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}
// perform ranking
StaticVarGenerateRanks( "rank", "ItemScore", 0, 1224 ); // normal rank mode
StaticVarGenerateRanks( "top", "ItemScore", 3, 1224 ); // top-N mode
StaticVarGenerateRanks( "bot", "ItemScore", -3, 1224 ); // bottom-N mode
// read ranking
for ( i = 0; ( sym = StrExtract( symlist, i ) ) != ""; i++ )
{
Plot( StaticVarGet( "RankItemScore" + sym ), sym, colorCustom10 + i );
}
sdt = SelectedValue( DateTime() );
Title = "{{NAME}} -{{DATE}} - {{VALUES}} TOP: " + StaticVarGetRankedSymbols(
"top", "ItemScore", sdt ) +
" BOT: " + StaticVarGetRankedSymbols( "bot", "ItemScore", sdt ) ;
How to use StaticVarGenerateRanks in Analysis window
Since ranking is resource hungry process, it should be performed just once per Analysis run, not for every
symbol. You can achieve it either by running separate ranking-generation formula once by hand prior to
running Analysis or using Status("stocknum") == 0 statement that would ensure that ranking process is done
only for the very first symbol from the watch list under analysis.
Here is an example code for exploration that takes currently active watch list or all symbol list and performs
ranking
if ( GetOption( "ApplyTo" ) == 2 )
{
wlnum = GetOption( "FilterIncludeWatchlist" );
List = CategoryGetSymbols( categoryWatchlist, wlnum ) ;
}
else
if ( GetOption( "ApplyTo" ) == 0 )
{
List = CategoryGetSymbols( categoryAll, 0 );
}
else
{
Error( "The formula works fine if your ApplyTo setting is 'Filter' or 'All'
" );
}
if ( Status("stocknum") == 0 ) // GENERATE RANKING WHEN WE ARE ON VERY FIRST
SYMBOL
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{
StaticVarRemove( "values*" );
for ( n = 0; ( Symbol = StrExtract( List, n ) )
!= "";
n++
)
{
SetForeign ( symbol );
values = RSI();
RestorePriceArrays();
StaticVarSet ( "values"
_TRACE( symbol );
+
symbol, values );
}
StaticVarGenerateRanks( "rank", "values", 0, 1224 );
}
symbol = Name();
values = StaticVarGet ( "values" + symbol );
rank = StaticVarGet ( "rankvalues" + symbol );
AddColumn ( values, "values" );
AddColumn ( rank, "rank" );
Filter = 1;
SetSortColumns( 2, 4 );
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Using AFL Code snippets
Code snippet is a small piece of re-usable AFL code. It can be inserted by
• right-clicking in the AFL editor window and choosing "Insert Snippet" menu, or
• dragging a snippet from Code Snippet window, or
• typing keyboard trigger (such as @for ) in the editor
In version 5.90 Code snippets are also available in auto complete list in the AFL Editor. Just type @ plus first
letter of snippet key trigger and auto-complete list would show you the list of available snippets that have
keyboard triggers defined starting with that letter.
Replacement of keyboard triggers works even without auto complete activated, so just typing @keytrigger is
replaced by snippet text.
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DEFINING YOUR OWN SNIPPETS
You can add your own snippets fairly easy using new Code Snippet window. Code Snippets window is
available in new AFL editor. It can be shown/hidden using Window menu.
To create your own snippet, do the following:
1. type the code you want
2. select (mark) the code you want to place in a snippet
3. press Save selection as snippet button in the Code Snippets window
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If you do the steps above the following dialog will appear:
Now you need to enter the Name of the snippet, the Description and Category. Category can be selected
from already existing items (using drop down box), or new category name can be typed in the category field.
Key trigger field is optional and contains snippet auto-complete trigger (described above). The Formula field
is the snippet code itself. Once you enter all fields and press OK, your new snippet will appear in the list.
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From then on you can use your own snippet the same way as existing snippets. Perhaps most convenient
method is using drag-drop from the list to AFL editor.
As you may have noticed user-defined snippets are marked with red color box in the Code Snippets list. Only
user-defined snippets can be overwritten and/or deleted.
To edit existing user-defined snippet, you can either follow the steps above and give existing name.
AmiBroker will ask then if you want to overwrite existing snippet, or you can simply click on Properties button
and edit the snippet directly, without re-inserting it.
To delete a snippet, select the snippet you want to delete from the list and press Delete (X) button in the Code
Snippet window.
TECHNICAL INFO (advanced users only)
There are two files located in AmiBroker directory that hold snippets:
CodeSnippets.xml - these are snippets shipped with AmiBroker installation (and can be replaced in
subsequent installations, so don't modify it!)
UserSnippets.xml - these are user-definable snippets. This file is NOT present in the installation and user can
create it by him/herself.
The XML schema for snippets file is simple (as below). Key trigger functionality is NOT yet implemented,
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however Keytrigger fields should be included in the definition for future use. It will be work like 'autocomplete'
so that you type the shortcut it, it will unfold to the formula.
<?xml version="1.0" encoding="ISO-8859-1"?>
<AmiBroker-CodeSnippets CompactMode="0">
<Snippet>
<Name>First Snippet</Name>
<Description>Description of the snippet</Description>
<Category>User category</Category>
<KeyTrigger>?trigger1</KeyTrigger>
<Formula>
<![CDATA[
// the formula itself
]]>
</Formula>
</Snippet>
<Snippet>
<Name>Second Snippet</Name>
<Description>Description of the snippet</Description>
<Category>User category</Category>
<KeyTrigger>?trigger2</KeyTrigger>
<Formula>
<![CDATA[
// the formula itself
]]>
</Formula>
</Snippet>
</AmiBroker-CodeSnippets>
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Video Tutorials (on-line)
For your convenience we have prepared the following Video Tutorials (in Macromedia Flash format) on our
web page:
• How to install AmiBroker
• How to use drag-and-drop charting interface
• How to setup new database with eSignal RT feed (RT version)
• How to setup new database with IQFeed RT feed (RT version)
How to setup new database with Interactive Brokers (RT version)
• How to use AmiQuote in 'manual' mode
• How to use chart sheets and layouts
• How to use layers
• How to use AFL Code Wizard
For more video tutorials please check:
http://www.amibroker.com/support.html
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• AmiBroker User Interface Reference
• ASCII Importer reference
• AmiBroker's OLE automation object model
• AmiQuote's OLE automation object model
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Windows
This part describes functionality of AmiBroker windows.
All these windows are asynchronous i.e. you can open as many windows as you like, and work with all of
them at the same time.
Charting
• Chart window pane
• Data window
• Parameters window
• Study drawing tools
• Line study properites window
• Text box properties window
• Formula editor
• Risk-yield map window
• Place order window
Settings
• Database settings / Intraday settings
• Preferences
• Customize tools window
Symbol / Data
• Symbol tree
• Information window
• Notepad window
• Quote Editor window
• Symbol finder window
• Finance window
• Profile view
• Assignment organizer window
• Composite calculator window
• Categories window
• Import Wizard window
• Metastock importer window
• Real-time Quote window
• Easy Alerts window
• Time/Sales window
• Bar Replay window
Analysis/Tools
• Formula editor
• Code Snippets window
• Quick review window
• Analysis window
• Filter settings window
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• System test settings window
• Commission schedule window
• System test report window
• Commentary window
• Plugins window
• Indicator Maintenance wizard
• Log window
• Performance Monitor
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Chart window pane
This window shows the chart of different technical indicators.
In the bottom of the chart you can see X axis, depending on Parameter window setting it may or may not
display dates, and below you can see scroll bar and chart sheets tab control. Scroll bar can be used to display
past quotes, while sheet tab allows to view different chart pages/sheets (click here to learn more about chart
sheets).
To the right you can see Y-axis area (marked with blue color) that shows Y-scale and value labels. Value
labels are color fields that display precisely the "last value" of plots. "Last value" is the value of the indicator
(or price) for the last currently displayed (rightmost) bar. Y-axis area is used also to move/size chart vertically.
Chart parameters and settings can be adjusted by clicking with RIGHT MOUSE button over chart and
choosing Parameters option from the chart context menu.
Chart can also be scrolled, resized, moved, shrinked, resized - to learn more about it please read Tutorial:
Basic Charting Guide.
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Parameters window
This window allows the user to modify parameters specified in the AFL formula via Param, ParamStr,
ParamColor, ParamStyle, ParamField, ParamToggle, ParamDate, ParamTime, ParamList functions and also
to adjust axes and grid settings.
It is accessible via chart context menu (right click the mouse over the chart pane to see the context menu) :
choose Parameters and a small window with parameter list will appear. To edit parameter value simply click
on the item value field as shown in the picture. Then depending on type of the parameter appropriate
control(s) will appear.
For example, if given parameter is a string then text field will appear, and if given parameter is color then
color-picker control will allow you to change the color.
When editing numeric parameters you can adjust the value by either entering the value to the edit field or by
moving a slider control. To show the edit field - click on the number itself (marked with blue color in the picture
below). To show a slider control click next to the number (right-hand side).
If given parameter is a number then slider or the edit field will be shown as in the picture below:
You can move the slider using mouse, <- -> cursor keys and mouse wheel. As changes are made underlying
chart is immediately refreshed giving great feedback for the user.
Parameters are grouped into "sections". Sections represent part of the codes surrounded by
_SECTION_BEGIN/_SECTION_END markers. To learn more about this check Tutorial: Using drag-and-drop
interface.
At any time you can press Reset all button that will reset all parameters to default values.
For more information on using parameters please read Tutorial: Using colors, styles, titles and parameters in
the indicators and Tutorial: Using drag-and-drop interface.
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Parameter window allows also to control axes and grid appearance as well as some other per-chart settings.
These controls are available in the second Axes & Grid tab as shown below:
The following options are available:
• Axes
• Grid
♦ Scaling:
◊ Automatic - minimum and maximum value of Y axis is determined automatically by
AmiBroker
◊ Custom - minimum and maximum value of Y axis are user-defined
♦ Minimum - minimum Y axis value (this property is locked if automatic scaling is selected, to
unlock choose Custom scaling)
♦ Maximum - maximum Y axis value (this property is locked if automatic scaling is selected, to
unlock choose Custom scaling)
♦ Type
◊ Linear - use linear Y axis scale
◊ Logarithmic - use logarithmic Y axis scale
♦ Show date axis - turn on/off date display on X axis
♦ Show middle lines - display automatic Y axis grid lines spaced evenly between minimum
and maximum
♦ Show upper/lower limits - display minimum and maximum Y axis value labels
♦ Show % values - display values as percents
♦ Levels - allows to turn on grid lines at some fixed, popular levels such as 30/70, 20/80, 10/90,
-100/+100, 0
• Miscellaneous
♦ Show trading arrows - when turned ON this pane will show buy/sell/short/cover arrows
generated by corresponding options available from Automatic Analysis menu.
♦ File path (locked) - shows the path to the formula file that given chart uses
♦ Chart ID (locked) - shows the numeric value of Chart ID given pane uses. Chart ID does not
matter unless you use Study() function in your formula(s).
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Data window
Data window can be displayed using
Window->Data Window menu
The Data Window shows the date/time and values
of open, high, low, close, volume, open interest,
aux1 and aux2 of the bar under the mouse cursor.
It also shows mouse cursor Y-coordinate ("Value")
expressed in terms of price corresponding to
current mouse cursor location.
The Data Window also shows the values of all
indicators defined in the formula. These values are
automatically updated when cursor stops moving
for a fraction of a second.
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Study drawing tools
AmiBroker's study drawing tools are accessible from Draw / Fibonacci & Gann toolbars:
The following tools are available:
• trend line
• ray (new in 4.20)
• extended line (new in 4.20)
• vertical line
• horizontal line
• parallel lines (new in 4.20)
• Regression channels: Raff, standard deviation, standard error (all new in 4.20)
• Fibonacci Retracement study (enhanced in 4.20)
• Fibonacci Time zones study
• Fibonacci Extensions (new in 4.60)
• Fibonacci Time Extensions (new in 4.60)
• Fibonacci Fan
• Fibonacci arc
• Gann Square (new in 4.20)
• Gann Fan (new in 4.20)
• Ellipse tool
• Triangle tool (new in 4.30)
• Andrews' pitchfork (new in 4.30)
• Cycles tool (new in 4.60)
• Arrow tool (new in 4.70)
• Zig-zag tool (new in 4.70)
• Arc tool
• Rectangle
• text box tool
The default Select tool (red arrow) is used to select drawing objects and quotations on the
chart. If you want to draw given study just switch on appropriate button and start drawing on
the chart by pointing the mouse where you want to start the drawing and click-and-hold left
mouse button. Then move the mouse. Study tracking line will appear. Release left mouse
button when you want to finish drawing. You can also cancel study drawing by pressing ESC
(escape) key. For beginners' guide to charting check Tutorial: Charting guide
Trend line, Ray, Extended, Vertical, Horizontal
These tools give different flavours of basic trend line. Trend line gives a line segment, Ray gives
right-extended trend line, Extended gives trend line that is extended automatically from both left- and rightsides. Vertical and Horizontal are self-explaining.
Arrow
Similar to Trend line but ends with an arrow
Zig-zag
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Draws a series of connected trend lines. To end drawing press ESC key.
Parallel
This tool allows to draw a series of parallel trend line segments. First you draw a trend line as usual, then a
second line parallel to the first is automatically created and you can move them around with the mouse. Once
you click on the chart it is placed in given position. Then another parallel line appears that can be placed
somewhere else. And again, and again. To stop this please either press ESC key or choose "Select" tool.
Regression channels
AmiBroker allows to draw easily 3 kinds of regression channels:
• Raff regression channel
• Standard error channel
• Standard deviation channel
All these channels are based on linear regression trend line.
The Regression Channel is constructed by plotting two parallel, equidistant lines above and below a Linear
Regression trendline. The distance between the channel lines to the regression line is the greatest distance
that any one high or low price is from the regression line.
Standard Error Channels are constructed by plotting two parallel lines above and below a linear regression
trendline. The lines are plotted a specified number of standard errors away from the linear regression
trendline.
Standard Deviation Channels are constructed by plotting two parallel lines above and below a linear
regression trendline. The lines are plotted a specified number of standard errors away from the linear
regression trendline.
You can choose the type of channel by double clicking on the channel study (or choosing Properties from
right mouse button menu)
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If Use common color and style box is marked channel lines use the same style and color as regression
(middle) line. If it is not marked you can set separate colors and style for upper and lower channel line. You
can also switch off completely upper and lower channel lines by unticking Show Upper line and Show Lower
line boxes.
"Study ID" column defines study identifier that can be used in your custom formulas to detect crossovers. You
can change these IDs if required by simple editing these fields. For more information on Study IDs check
Tutorial: Using studies in AFL formulas
More information on regression channels is available from Technical analysis guide.
Ellipse and Arc drawing tools
These new drawing tools are connected to the date/price coordinates (as trend lines) rather than to the screen
pixels so they can change the visual shape when displayed at various zoom factors or screen sizes.
To see the properties of these elements you should double-click on the clock-like 3, 6, 9 or 12 hour positions.
Fibonacci arc
This new drawing tool generates standard Fibonacci-arcs that are controlled by the trend line drawn with a
dotted style. To see the properites of the arcs click on the controlling trend line.
Note that arc radius and central point are relative to the controlling trendline and because Fibonacci arcs must
be circular regardless of screen size/resolution and zoom factor the position of the arcs may move in
date/price domain.
Fibonacci retracement
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First please note that Fibonacci tool works differently depending on the direction of drawing and "show
extensions" flag. See the pictures below.
Upward drawing direction
Show Extensions ON
Upward drawing direction
Show Extensions OFF
as you can see it shows both retrace levels (38.2, 50, 61.8) and extension levels (127.2, 161.8). If "show
extensions" box is OFF the tool shows ONLY retrace levels. It works in a similar way when controlling trend
line is drawn downwards.
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Downward drawing direction
Show Extensions ON
AmiBroker Reference Guide
Downward drawing direction
Show Extensions OFF
Now more about Fibonacci settings window:
First column "Show" switches particular line ON/OFF
Second column "Level (%)" defines percentage level. 100 and 0 represent Y-coordinate
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of begin and end points of controlling trend line.
Third column "Color" defines color of the line, Fourth column "Style" allows
to choose between regular, thick and dotted styles.
Fifth and Sixth columns "Left side" and "Right side" control display of text
that appear on the left and right side of the Fibonacci level line. Empty - means no text,
% - means percentage level, $ - means dollar (point) level.
Seventh column "Study ID" defines study identifier that can be used in your custom formulas
to detect crossovers. Each Fibonacci level has a separate ID be default F0... F9.
You can change these IDs if required by simple editing these fields.
As described in User's Guide: Tutorial: Using studies in AFL formulas
you can easity write the formula that checks for penetration of particular Fibonacci level.
In this example we will detect if the closing price drops F2 (38.2% retracement) level line. The formula is very
simple:
sell = cross( study( "F2" ), close );
Note that study() function accepts two arguments: the first is StudyID two letter code that corresponds to one
given in properites dialog; the second argument is chart ID - by default it is 1 (when it is not given at all) and
then it references the studies drawn in the main price pane. For checking studies drawn in other panes you
should use the codes given above (in the table describing study() function).
Please note that this formula is universal - it will use appropriate level from any symbol that has Fibonacci
lines drawn.
This is so because AmiBroker keeps data of all studies drawn in its database.
When you scan using above code - AmiBroker checks if Fibonacci levels are drawn for symbol being currently
scanned,
if it finds one - it looks what F2 study is - it finds that this is a fibonacci line 38.2% located (for example for
particular symbol) at $29.06
so AmiBroker internally substitutes study( "F2" ) by $29.06 (caveat: this is simplification - in fact it internally
generates array that represents a trend line) and checks for cross.
"Extension factor" decides how far lines are right-extended (in X-axis direction). If you enter 2 you will get
lines extended twice as much as default '1'. If you enter 0 Fibonacci level lines will end where controlling trend
line ends.
"Use as default" - if you check this box and accept the settings by clicking OK - all Fibonacci drawings that
you will draw later will use these settings.
When using text box tool just type the text in the box, when you want to finish click outside the text box. You
can also cancel editing by pressing ESC key.
Fibonacci Extensions
The Fibonacci Extensions tool is similar to the Fibonacci Retracements tool. The Fibonacci Extensions tool
requires a third point. The extensions and retracement levels are drawn from this third point, but based upon
the distance between the first two points. A common use of this tool is to first connect two points that
represent the endpoints of a major trend (or wave). Then choose the third point to be the endpoint of a
retracement of that trend. Extensions are then drawn in the direction of the initial trend, from the third point,
using the distance between points one and two as a basis for the extension levels.
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The Fibonacci Extensions toolbar button and drawing tool work much like the Andrew's Pitchfork drawing tool.
First, click on the Fibonacci Extension button on the toolbar. Then, click three times, once on each of the
points that are involved in the Fibonacci Extension. The first click should be on the starting point of the initial
trendline. The second click should be on the ending point of the initial trendline. The third click should be on
the ending bar of the retracement period.
As with Fibonacci Retracements, there is a great deal of flexibility via Fibonnacci settings tab available after
clicking on the study with a right mouse and selecting "Properties" from the context menu.
Fibonacci Time Extensions
Fibonacci Time Extensions tool is used to specify vertical lines at date/time levels which are determined to be
probable values of changes in trend based on the market’s previous date/time range and a third extension
point.
The time extension tool should be used as follows. First, click on the Fibonacci Time extension button on the
toolbar. Then select the first range point (typically a major top or bottom of a market) by clicking on the chart
where you want the range to begin, then move the mouse pointer to select the second range point by again
clicking on the chart where you want the range to end. Extension lines now will be drawn onto the future bars.
As in Fibonacci Price retracement and extensions tools you have complete control over which percentages
are used in the Time Extensions tool, and the colours of each of the extension values via Properites dialog.
Gann square and Gann Fan
Gann Squares indicate possible time and price movements from important highs and lows. To draw a Gann
Square on a chart move the cursor on the chart to the starting point. The starting point is generally an
important High or Low on the chart. Then drag the mouse to the right until a desired ending point is reached.
The start and end points will be the corners of the square. The ending point is often to the right of the chart
bars. Watch for trends to change directions at the Gann Square levels. As the Gann Square is drawn to the
screen the angle of the controlling trend line is shown in the status bar.
Properties Window
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The properties window is used to change the square levels, color, style, thickness, and defaults. Click on any
of the Gann Square Show entries to add or remove lines. Click in the square color box to change the line
color. Click on style combo boxes to change the line style. Check the Use as Default box to save the settings
as the default for all subsequent Gann Squares that are drawn. "Left side" and "Right side" columns
control display of text that appear on the left and right side of the Gann lines. Empty - means no text, % means percentage level, $ - means dollar (point) level. "Study ID" column defines study identifier that can be
used in your custom formulas to detect crossovers. You can change these IDs if required by simple editing
these fields. For more information on Study IDs check Tutorial: Using studies in AFL formulas
Triangle tool
Triangle tool is self-explaining. Drawing a triangle is easy: left-click at the first point, hold down and drag to the
second point, then release mouse button and drag to the third point and click once. The controlling triangle will
become the pitchfork.
Andrews' Pitchfork
Andrews pitchfork is a study using parallel trendlines. In constructing the study, starting points are chosen.
The first is a major peak or trough on the left side of the chart display. The second and third starting points are
chosen to be a major peak and a major trough to the right of the first point. After all starting points have been
decided, AmiBroker draws a trendline from the first point (the most left) so that it passes directly between the
right most points. This line is called the handle of the pitchfork. The second and third trend lines are drawn by
AmiBroker beginning at the starting points and parallel to the handle. Dr. Andrews suggested that prices make
it to the median line (or handle) about 80% of the time while the price trend is in place. This means that while
the basic long term price trend remains intact, Dr. Andrews believed that the smaller trends in price would
gravitate toward the median line while the larger price trend remained in tact. When that does not occur, it
may be evidence that a reversal in the larger price trend may be in progress or provides evidence of a
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stronger bias at work in market. When price fails to make it to the medial line from either side, it is often an
expression of the relative enthusiasm of buyers and sellers and may predict the next major direction of prices.
If prices fail to reach the median line while above the median line, it is a bullish and failing to reach the median
line from below is bearish.
Operating Andrews' Pitchfork tool is similar to drawing triangle. Left-click at the first point, hold down and drag
to the second point, then release mouse button and drag to the third point and click once. The controlling
triangle will become the pitchfork.
Cycles tool
To use time cycles tool, click on the cycles drawing tool button in the toolbar then click at the starting point of
the cycle and drag to the end of the cycle. These two control points control the interval between the cycle
lines. When you release the mouse button you will get a series of
parallel lines with equal interval in between them.
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Line study properties window
In the study properites window you can select start and end coordinates as well as line colours and styles.
You can also enable automatic left- or right- line extension so that line will be extended when new quotes will
be available.
There are following fields available:
• Start X, Start Y, End X, End Y - study start and end coordinates
• Third X, Third Y - visible only for TRI-POINT studies like triangle, pitchfork - the coordinates of 3rd
control point of the study
• Lock position - if this field is marked it's impossible to chenge the position of the study with use of
mouse
• Color - allows you to change the study color
• StudyID - defines Study ID which allows you to refer to the study from AFL formula.
The detailed information is available in Using studies in your AFL formulas chapter.
• Layer - indicates the layer that the study is placed on.
To learn more about layers read Working with layers.
• Z-order - defines the Z-order of the line. Lines, plots and graphics can be ordered in "Z" direction
using Z-order. Learn more about this in Using Z-order tutorial.
• Line width - (new in 5.90) specifies line width in pixels. Default line width is 1 pixel.
• Thick - doubles the width of the line. The width is defined by Line width parameter. Turning this on
makes the line twice as wide, so actual pixel width would be 2 * lineWidth.
• Left / Right Extend - you can choose whether line is extended
• Extension factor - (new in 5.90) - decides how far line is extended to left/right. Lines are extended in
the direction of "X-axis" (i.e. date/time axis). 0 (zero) means infinite extension, one unit represents
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X-axis distance between study end and start points. Fractional values are allowed. Allowable range
0...25.5.
Line study properites window is accessible from chart window's right mouse button menu. When you click on
a study line with a right mouse button the following menu appears:
Simply choose Properties to show the line study window.
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Text box properties window
In the text box properites window you can change the text displayed in the box, select start co-ordinates as
well as text and background colours and transparent style.
There are following fields available:
• Start X, Start Y - text coordinates
• Color - allows you to change the color of the text
• Background Color - allows you to change the color of the background
• Layer - indicates the layer that the text is placed on. To learn more about layers read Working with
layers.
Text box properites window is accessible from right mouse button menu. When you click on a text box with a
right mouse button the following menu appears:
Simply choose Properties to show the text box properties window.
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In the text box properites window you can change the text displayed in the box, select start co-ordinates as
well as text and background colours and transparent style.
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Formula Editor
A new AFL Formula Editor features:
• Syntax highlighting (improved in 5.80)
• Automatic brace matching/highlighting (NEW in 5.80)
• Auto indentation (NEW in 5.80)
• Indentation markers (NEW in 5.80)
• Enhanced auto-complete in two modes (immediate (NEW in 5.80) and on-demand)
• Parameter information tooltips
• Line numbering margin and selection margin (NEW in 5.80)
• Code folding (NEW in 5.80)
• In-line Error Reporting (NEW in 5.80)
• New tabbed user interface with ability to work in both MDI and separate floating frame mode, can be
moved behind main AmiBroker screen and brought back (Window->Toggle Frame) (NEW in 5.80) or
kept on top (Window->Keep on top)
• Rectangular block copy/paste/delete (Use mouse and hold down left Alt key to mark rectangular
block) (new in 5.80)
• Auto capitalisation (change case)
• Virtual space (new in 5.80)
• Enhanced printing (with syntax highlighting and header/footer)
• Code snippets (new in 5.80)
These features greatly simplifies writing formula and provides instant help so time needed to write formula decreases significantly.
Menu
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Formula Editor menu options are described in detail in Menus: Formula Editor chapter of the guide.
Toolbar
The Formula Editor toolbar provides the following buttons:
• New - clears the formula editor window
• Open - opens the formula file
• Save - saves the formula under current name
• Print - prints the formula
• Cut - cuts the selection and copies to the clipboard
• Copy - copies the selection to the clipboard
• Paste - pastes current clipboard content in the current cursor position
• Undo - un-does recent action (multiple-level)
• Redo - re-does recent action (multiple-level)
• Formula Name - an EDIT field that allows to modify the formula file name, once you change the
name here and press Save button the formula will be saved under new name and the change will be
refleced in editor CAPTION BAR and in the STATUS BAR (Status bar shows full path).
• Check syntax - checks current formula for errors
• Apply indicator - saves the formula and applies current formula as a chart/indicator ONCE
• Analysis - saves the formula and selects it as current formula in Automatic Analysis window and
repeat most recently used Analysis operation (i.e. Scan or Exploration or Backtest or Optimization)
Usage
Typical use of Formula Editor is as follows:
• open Formula Editor
• type the formula
• type meaningful name that describes the purpose of you code into Formula Name field
• click Apply indicator button (if you have written indicator code)
.. or..
click Analysis button to display Automatic Analysis window (when you have written exploration/scan
or trading system)
Syntax highlighting
AmiBroker's AFL editor features user-definable syntax highlighting that automatically applies user-defined colors and styles to
different language elements like functions and reserved variable names, strings, numbers, comments, etc. This feature greatly
simplifies code writing. You can modify coloring scheme in Preferences window.
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Enhanced error reporting
When you make an error in your formula, AmiBroker's enhanced error reporting will help you to locate and fix
an error by highlighting the place where error occured and displaying extended error description with the
examples of common mistakes and advice how to fix them. In version 5.80 description of errors are displayed
in-line with the code.
A message bar displays total number of errors and/or warnings. If you press "Go to error" button the editor
will move the caret to the relevant line with the error, if you press it again, it will move to the next error and so
on. If you close the message bar with the "X" button all error messages will be cleared (hidden) from the view.
You can use Edit->Clear Error Message menu (Ctrl+E) to clear individual error message (in the current line).
Context help
You can quickly display relevant AFL function reference page if you press F1 key or choose "Function
reference" from the context menu while the caret is inside or right after function name as shown in the picture
below:
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Automatic statement completion
The automatic completion feature (available when you press CTRL+SPACE key combination) finishes typing
your functions and reserved variables for you, or displays a list of candidates if what you've typed has more
than one possible match. You can select the item from the list using up/down arrow keys or your mouse. To
accept selection press RETURN (ENTER). You can also type immediately space (for variables) or opening
brace (for function) and AmiBroker will auto-complete currently selected word and close the list. To dismiss
the list press ESC key.
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Parameter Information
When you are typing a function, you can display a Tool Tip containing the complete function prototype,
including parameters. The Parameter Info Tool Tip is also displayed for nested functions.
With your insertion point next to a function, type an open parenthesis as you normally would to enclose the
parameter list.
AmiBroker displays the complete declaration for the function in a pop-up window just under the insertion point.
Typing the closing parenthesis dismisses the parameter list.
You can also dismiss the list if you press arrow up/down key, click with the mouse or press RETURN.
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Editor configuration
The settings of the AFL editor can be changed using Tools->Preferences, Editor page:
• Auto change case - controls whenever editor automatically changes case of reserved keywords (for
example if user typed valuewhen it would change it to ValueWhen)
• Parameter info - controls whenever parameter info tips are displayed
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• Virtual space - controls whenever it is possible to place the caret freely in any place after the end of a
line
• Move edited files from drag-drop to custom folder - normally formulas created by drag-drop
mechanism are located in hidden drag-drop folder, if you then want to edit them, you can do so in
place so they remain in drag drop (hidden) folder, or you may choose to move them automatically to
'custom' folder. This switch enables automatic move to custom folder
• Copy as HTML - enables copies in HTML format so AFL code is copied with colors, without it it will be
copied as plain text without formatting
• Use separate frame - if turned on it displays AFL Editor in completely separate frame that behaves
like separate application, if it is turned off, then AFL editor is displayed as a MDI tab within main
AmiBroker frame (along with charts, analysis windows, web, account windows and so on). By default
it is turned on
• Auto-complete: in "On-demand" mode auto-complete list shows up only when you press
Ctrl+SPACE, in "Immediate" mode auto-complete list pops up automatically as soon as you type first
character (letter) of the identifier.
Window control
AFL Editor Window as a separate frame can be brought on top or to the back as any other application window
using Windows Task Bar. In addition to that there is a Window->Toggle Frame menu (and Ctrl+` shortcut, `
is the tilde key just above TAB key on most keyboards) that allows to quickly toggle between AmiBroker main
frame and AFL editor frame.
The user may also turn on Window->Keep On Top feature that keeps editor window on top of AmiBroker
main frame.
Margins
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Line numbers margin, Selection margin and Fold margin can be switched on/off using View menu. In this
menu there are also options to fold/unfold all code.
Code snippets
Code snippet is a small piece of AFL code. It can be inserted by:
• right-clicking in the AFL editor window and choosing "Insert Snippet" menu, or
• dragging a snippet from Code Snippet window, or
• typing keyboard trigger (such as @for ) in the editor
For more information about Code snippets see Tutorial: Using Code-snippets
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Code Snippets window
Code snippets are small re-usable pieces of AFL code, detailed information on usage of Code Snippets can
be found in this tutorial.
Code Snippets window is available in new AFL editor. It can be shown/hidden using Window menu.
INSERTING SNIPPET
To insert an existing snippet, drag-drop the snippet from the Code Snippet list into AFL Editor, or double click
on the snippet.
CREATING YOUR OWN SNIPPET
To create your own snippet, do the following:
1. type the code you want
2. select (mark) the code you want to place in a snippet
3. press Save selection as snippet button in the Code Snippets window
If you do the steps above the following dialog will appear:
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Now you need to enter the Name of the snippet, the Description and Category. Category can be selected
from already existing items (using drop down box), or new category name can be typed in the category field.
Key trigger field is optional and contains snippet auto-complete trigger (described above). The Formula field
is the snippet code itself. Once you enter all fields and press OK, your new snippet will appear in the list.
From then on you can use your own snippet the same way as existing snippets. Perhaps most convenient
method is using drag-drop from the list to AFL editor.
As you may have noticed user-defined snippets are marked with red color box in the Code Snippets list. Only
user-defined snippets can be overwritten and/or deleted.
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EDITING SNIPPET
To edit existing user-defined snippet, you can either follow the steps above and give existing name.
AmiBroker will ask then if you want to overwrite existing snippet, or you can simply click on Properties button
and edit the snippet directly, without re-inserting it.
DELETING SNIPPET
To delete a snippet, select the snippet you want to delete from the list and press Delete (X) button in the Code
Snippet window.
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Risk-Yield Map window
This map provides fast information about risk and possible yields. Yield is a the average weekly percentage
return while Risk is a standard deviation of percentage weekly returns. On the X axis risk is presented and on
Y axis - yield. Thus in the upper part of the map we have got symbols with giving best yield, with risk
increasing from left to right side of the map.
Selected symbol is marked with a different color, and you can zoom the part of the map by pressing left
mouse button and marking rectangle to zoom in.
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Place Order dialog
NOTE: This functionality requires automated trading interface add-on that can be downloaded separately
To place order from the chart please first choose Insert->Buy Order or Insert->Sell Order menu or
appropriate buttons from Order toolbar, then AmiBroker will allow you to draw a horizontal line with mouse
cursor over the chart. Simply click with LEFT mouse button over chart and hold it down - you a horizontal line
will show marking the price level, once you move the line to correct level, release left mouse button to place
the order (the following dialog will show up), or press ESC key to cancel entire operation.
In the "Brokerage" currently selected trading interface is displaed. After installing Interactive Brokers
automated trading interface (from http://www.amibroker.com/at/) the text "Interactive Brokers" should appear.
If there is no trading interface installed the combo box will be empty. If you installed other trading interfaces
they should appear in the list.
In the "Action" field you can choose either Buy or Sell - note that preselected is the option choosen earlier
from the menu or the toolbar.
In the "Type" field you can choose order type (Market, Limit, Stop, StopLimit, etc), by default "Limit" order is
selected.
In the "Expiry" field you can choose how long given order will be valid. Currently available are Day and
GoodTilCanceled.
In the "Quantity" field you can enter the number of shares / contracts to buy/sell
In the "Limit Price" field you can enter the limit price for the order - AmiBroker will fill the value selected on
chart by default.
In the "Stop Price" field you can enter stop price for Stop and Stop Limit orders.
In the "Bracket" group you can choose additional automatic bracket orders. Bracket orders are "child" stop
loss and/or take profit orders that are connected to main "Parent" order and work as OCA (one cancel
another) group (so when for example take profit is triggered, the corresponding stop loss is canceled). Bracket
prices are calculated automatically from Limit price. The distance between limit price and stop loss / take profit
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levels is defined by appropriate "offset" fields. The distance can be expressed in amount (dollars) or percent
of limit price.
All prices are subject to rounding depending on current symbol TickSize setting (see Information window). If
TickSize is not defined (i.e. is equal to zero), then AmiBroker assumes 0.01 (one cent).
Status field (highlighted in yellow) - shows the connection status between AmiBroker and trading interface.
Any connection error will be displayed here and in case of an error AmiBroker will disable "Accept" button will
attempt to reconnect every 5 seconds. You can also manually trigger reconnection attempt by pressing button
with two green arrows.
When status field shows "Connected" then Accept button is enabled and you can press it to place order. Note
that currently the interface places orders with Transmit flag set to FALSE. This means that orders are NOT
actually transmitted to exchange but await manual transmit in the TWS. This is safety measure.
Once dialog is closed by pressing Accept, the horizontal line showing the limit price entered will stay on chart.
You can not move it by default, but you can delete it by selecting it and pressing "DEL" (Delete) key.
Place Order dialog
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Database Settings
This window allows you to define per-database settings. It is accessible via File->Database Settings menu.
IMPORTANT: These per-database settings in this window take precedence over default values definable in
Preferences window. See explanation in Tutorial: Understanding database concepts.
The database settings window is divided into two parts: General and Data source
General settings part are enabled only at the database creation time (File->New database), once database
is created these controls become disabled.
• Browse... - allows to browse for folder where new database should be created.
• Create - clicking on this button creates the database inside the folder specified in Database folder
edit field.
For more details about creating new database working with particular data source please check Tutorial
section.
Data source part becomes enabled once database is created and it can be used to modify settings for already
existing databases (via File->Database Settings menu). The following controls are available:
• Data source: defines data souce, this can be either
♦ (local) - it means that no external source is used and data are maintained by AmiBroker itself.
Such database can be updated either using AmiQuote (Tools->Auto-update quotes) or using
ASCII import - Import Wizard, Metastock importer, or script.
♦ external data source (one of: eSignal, myTrack, QuoteTracker, Quotes Plus, TC2000/TCNet,
FastTrack, Metastock) - it means that data are retrieved directly from external database / data
source. Such database is updated automatically via plugin and does not require any user
Database Settings
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action in AmiBroker. For example if you use TC2000 as a data source all data that are
present in TC2000 system become automatically available in AmiBroker. For more details
please read Tutorial: Understanding database concepts.
• Local data storage: decides if data from external data source should be stored/cached also in
AmiBroker's own files. If "Enabled" then external data are cached in local files. If "Disabled" then local
files do not store external data. Switching this to "Enabled" is required for most real-time data
sources as eSignal, myTrack, QuoteTracker. This setting has no effect if data source is set to (local).
• Number of bars to load - defines how many bars should be loaded from external data source and
kept in AmiBroker. Examples: 10-years EOD: 2600, 60-days intraday 1-minute: 30000 (approx). This
setting has no effect if data source is set to (local).
• Base time interval - defines what 'base' bar interval is used in this database. For real-time data
sources this should be set once at the database creation time. This is so because real-time sources
need to collect RT ticks and pack them (time-compress) into interval bars. This setting defines the
minimum 'grain'. For EOD sources it is (End-of-day (daily). For real-time sources this should be
1-minute or higher. For some real-time sources (like eSignal) this can be also set to tick, 5-sec or
15-sec.
Please note also that you won't be able to use intraday charting and/or analysis until base time
interval is set to something below end-of-day interval (it can be 1-minute for example). For more
details please read Tutorial: Basic charting guide.
• Flush cache - allows to force cache flushing and force retrieving fresh data from the plugin
• Configure - allows to display data source specific configuration dialog see Tutorial section for details
on configuring various data sources.
• Intraday settings - allows to define per-database settings for intraday databases (see below)
Intraday Settings window
Intraday Settings window
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• Filtering - this provides control over the display of intraday data. AmiBroker collects all the data but
displays only those data which are inside selected trading hours start-end time. Please note that this
affects all charts and windows except Quote Editor that always displays all available data.
Show 24 hours trading (no filtering) - all data are displayed (no filtering at all)
Show day session only - only the data between day session (RTH) start and end times are
displayed
Show night session only - only the data between night sesison (ETH) start and times are displayed
Show day and night session only - only the data between either day session start/end time or night
session start/end time are displayed
Filter weekends - when checked AmiBroker collects but does not display data from weekends. When
unchecked those data are collected and displayed.
• Trading hours Start / End - defines trading hours start and end times for day (RTH) and night (ETH)
sessions separately (see above). Please note that the times should be specified in your local time
zone.
• Daily time-compression uses - this decides how AmiBroker performs intraday to daily time
compression
Exchange time - daily data are constructed from intraday bars starting from 00:00 and ending at
23:59 in the EXCHANGE (or data source) TIME ZONE
Local time - daily data are constructed from intraday bars starting from 00:00 and ending at 23:59 in
the LOCAL (computer) TIME ZONE
Day/Night session times as defined above - daily data are constructed from the intraday bars that
start at the start time of night session (previous day) and end at the end time of day session)
• Time shift - is the time difference (in hours) between your local time zone and the exchange time
zone
• Allow mixed EOD/Intraday data - it allows to work with database that has a mixture of intraday and
EOD data in one data file. If this is turned on then in intraday modes EOD bars are removed on-the-fly
and in daily mode EOD bars are displayed instead of time compressed intraday or if there is no EOD
bar for corresponding day then intraday bars are compressed as usual.
This mode works in conjunction with new versions of plugins that allow mixed data. As of June 2008
Mixed mode is now supported by IQFeed plugin, eSignal plugin (1.7.0 or higher) plugins only. Mixed
mode allows intraday plus very long daily histories in one database.
Note that Intraday Settings available from Database Settings dialog are PER-DATABASE. There is
however also an option to define PER-GROUP intraday settings. To use PER-GROUP intraday settings you
have to open Symbol->Categories window, switch to Groups tab and
check "Group uses own intraday settings" box as shown in the picture below
Intraday Settings window
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Then you can click on Intraday Settings button to display per-group settings. Please note that each group in
the category list can have its own individual settings so you can easily setup groups so they contain
instruments traded in different hours. You can move symbols between groups using Symbol->Organize
assignments dialog.
Intraday Settings window
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Preferences window
Charting tab - allows you to modify charting options
• Default number of quotations in a chart - this sets the amount of bars initially displayed in the
chart. (in other words it defines "normal" zoom range)
• Blank bars in right margin - defines how many blank bars are added in the right margin (past the
last available quote). This blank margin allows you to project studies (trend lines for example) into the
future
• Quote selection only by CTRL+LMB - this decides how vertical selection line is invoked. When this
box is unchecked - single click on the chart causes display of the selection line, when this box is
checked you have to hold down CTRL key while clicking to get the selection line
• Show vertical line between days (intraday)/years(EOD) - this decides if dotted vertical line is
displayed on the chart to mark day (in intraday mode) or year (in EOD mode) boundaries
• Show value labels - this decides if value lables for indicator / price chart lines should be displayed.
See basic charting guide for explanation what value label is.
• Candlesticks - this setting provides detailed control over the appearance of candlesticks. The distinct
color may be used to draw part of the candlestick or entire candle may be drawn in the same color as
its interior.
• Drawing
♦ Return to select mode after drawing - when checked current tool is deactivated after
drawing and select mode is entered, when unchecked currently selected drawing tool remains
active after drawing (allows to plot one study after another, note that the same effect can be
achieved even if this box is checked - it is enough to hold down SHIFT key while drawing and
the tool will remain active)
Preferences window
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♦ Auto-select last drawn object - this useful feature automatically selects recently drawn
object. This allows to hit ALT+ENTER to display properties box immediately without need to
click on the study, and allows to Copy the study via CTRL+C also without additional click
♦ Snap to price % threshold - defines how far price 'magnet' works, it will snap to price when
the mouse is nearer than % threshold from H/L/C price
• Miscellaneous
♦ Ask for parameters of newly inserted indicators - when checked AmiBroker will
automatically display Parameters window each time you insert new indicator or overlay one
indicator over another.
♦ Ask for confirmation when deleting indicator sections - when checked AmiBroker will ask
you to confirm deletion of any overlaid indicator section (applies to indicators created via
drag-and-drop). Please note that deletion of indicator section modifies the underlying formula.
More on this in Tutorial: Drag-and-drop
♦ Max number of chart sheets - defines how many chart sheets (tabs) should be available.
More information on chart sheets is in the Tutorial section here. Note that this setting will take
effect after restart.
•
Color tab - allows to define colors for particular chart element.
The controls provide user definable color selection for charts, grid & background.
Palette editor - allows to modify custom colors that can be referenced later via colorCustom0..colorCustom15
constants
Preferences window
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Editor tab - controls the appearance and features of AFL editor.
• Use syntax highlighting - when checked editor automatically colorizes your code (different
colors/styles for functions, constants, numbers, etc)
• Auto-change case - when checked the function and reserved variable names are automatically
capitalised so if you type bARSSince, editor will change it to BarsSince
• Auto-complete - when checked you will be able to use auto-completion feature (CTRL+SPACE will
auto-complete the word)
• Parameter info - when checked the editor will display parameter information tooltip when you type a
function name and opening brace
• Highlight error line - when checked the formula editor marks the line of code that contains an error
with a yellow background (Windows 2000 and XP only)
• Copy As HTML - when checked the AFL editor on Edit->Copy / Cut command puts not only plain text
and RTF formats to the clipboard but also HTML and DwHTML (Dreamweaver HTML) formats
allowing pasting syntax-colorized code to Macromedia Dreamweaver and other HTML-aware
applications. Note: rarely (on very few machines) turning this on may cause problems with pasting to
Outlook.
• Move edited files from Drag-drop to Custom folder - when checked the editor will automatically move
manually edited formulas created by drag-and-drop mechanism inside hidden 'Drag-drop' subfolder to
'Custom' subfolder.
• Font settings - allows you to define AFL editor font face and size
• Colors and styles - allows you to define what colors and styles will be used to mark certain language
elements when syntax highlighting is ON.
Preferences window
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Data tab - allows you to define default, global values for all databases.
IMPORTANT: some of these settings may get overwritten by PER-DATABASE settings in File->Database
Settings window. See explanation in Tutorial: Understanding database concepts.
• Data source: defines default data souce (for databases that do not specify other source in
File->Database Settings)
• Local data storage: default setting for external databases (this setting gets overwritten by
File->Database Settings). If "Enabled" then external data are cached in local files. If "Disabled" then
local files do not store external data.
• In-memory cache (max. symbols) - defines how many symbols data should be kept in RAM (for
very fast access) - this works together with the next setting
• In-memory cache (max. MegaBytes) - defines how many MB of RAM should be used for temporary
data cache (for very fast access)
• Number of bars to load - default setting for external databases (this setting gets overwritten by
File->Database Settings). Defines how many bars should be loaded from external data souce and
kept in AmiBroker. Examples: 10-years EOD: 2600, 60-days intraday 1-minute: 30000 (approx)
• Limit number of saved quotations - if this option is ON AmiBroker will save database with limited
number of quotations. This prevents the database from growing too much
• Max. number of saved quotations - this is the limit itself. Preferable 300 or higher for EOD
databases, 3000 or higher for intraday
• Default database path - this defines the path to the database that is loaded on startup. If such
database does not exist it will be re-created at startup time.
Preferences window
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Intraday tab - provides settings for intraday charting
• Custom time intervals - allow to define your own N-minute or N-hours intervals (available later from
View->Intraday menu)
• Custom N-tick chart settings - allow to define your own N-tick charts (available later from
View->Intraday menu)
• Align custom minute bars to regular market hours - when checked AmiBroker will trim pre-market
custom interval bar so new bar will begin exactly when trading hours start. Trading hours can be set
per-database in File->Database Settings->Intraday settings. Let's say that we have 45-minute bars.
Without this setting we would bet bars starting at 9:00, 9:45, 10:30, 11:15 etc. When this is turned on
and trading starts at 9:30 we have guarantee that bars will be aligned to 9:30: 8:45, 9:30, 10:15, 11:00
• Time compressed bars shows:
♦ time of FIRST tick inside bar - when selected the bar gets the time stamp of the very first
trade inside given time slot (bar)
♦ time of the LAST tick inside bar - when selected the bar gets the time stamp of the very last
trade inside given time slot (bar)
♦ START time of the interval - when selected the bar is time-stamped with start time of the
time slot (bar). Lets say that 30 minute bar covers 9:00:00..9:29:59. When this is selected
AmiBroker will display time of this bar as 9:00
♦ END time of the interval - when selected the bar is time-stamped with start time of the time
slot (bar). Lets say that 30 minute bar covers 9:00:00..9:29:59. When this is selected
AmiBroker will display time of this bar as 9:29:59
• Realtime chart refresh interval - defines interval between automatic chart refreshes in real-time
mode. By default charts are refreshed every 3 seconds but in very volatile market you may prefer to
set it to 1, so charts are refreshed every second in real-time mode.
Preferences window
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New in 4.90: To enable 'every tick' chart refresh in Professional Edition, go to Tools->Preferences,
Intraday tab and enter ZERO (0) into "Intraday chart refresh interval" field. (note Standard Edition
won't allow to do that).
Once you enter zero, AmiBroker will refresh all charts with every new trade arriving provided that the
formulasyou use execute fast enough. If not, it will dynamically adjust refresh rate to maintain
maximum possible refresh rate without consuming more than 50% of CPU (on average). So for
example if your charts take 0.2 sec to execute AmiBrokerwill refresh them on average 2.5 times per
second.
Note: built-in Windows Performance chart shows cumulated CPU consumption for all processes, to
display PER-PROCESS CPU load use SysInternals free software
http://www.sysinternals.com/Utilities/ProcessExplorer.html
• Price data tooltips
if checked small tooltips will appear when you hover over the chart displaying selected bar date,
prices / indicator values
• Show interpretation in tooltip
if checked data tooltips will include also interpretation text that is normally displayed in the
Interpretation window.
• Data tip auto-hide timeout
defines how many seconds data tooltip should remain on the screen if you don't move your mouse.
• Add full name to ticker in the ticker box
when checked the ticker box displays not only symbol but also full name of the issue
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• Add full name to ticker in the tree
when checked the workspace tree displays not only symbol but also full name of the issue
• Full-name tooltips in symbol tree
when checked then full name of symbol is displayed in the tooltip that appears when you move your
mouse over symbol in the symbol tree.
• Data-tip auto-hide timeout
defines time in seconds how long data tooltip (that shows values of indicators) will be displayed when
mouse cursor does not move
• Thousand separator
defines thousand separator for number displayed on charts and all list-views.
• Decimal places in RT quote window
defines how many decimal places should be displayed in Real Time quote window.
• Axis font
defines font face and size to be used for chart axis and text tool
• No minimum size for resizing dialogs
when checked it allows to size dialogs below the minimum size (so some controls become invisible)
• Display plugin activity
when checked AmiBroker displays information about accessing data plugin in the status bar
• Case sensitive ticker symbols
when checked ticker symbols are case sensitive. In other words INTC and Intc and iNTc are
considered DIFFERENT. This is required for some Canadian symbols for example. Please use with
caution. If your exchange do not use case-sensitive tickers please make sure it is UNCHECKED.
• Auto-arrange charts
if this option is on chart windows are scaled and arranged to fit the screen after every opening/closing
chart window.
• Auto-tile multiple chart windows
when checked multiple chart windows are always tiled vertically on every resize of the main
application window.
• Ask to save changed data
when checked AmiBroker asks if you want to save modified data on exit. When unchecked AmiBroker
saves modified data without asking.
• Save on exit: Preferences, Templates, Layouts
controls which settings should be saved automatically on exit
Preferences window
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Alerts tab - It allows to define e-mail account settings, test sound output and define which parts of AmiBroker
can generate alerts via AlertIF function.
E-mail settings page now allows to choose among most popular authorization schemes like: AUTH LOGIN
(most popular), POP3-before-SMPT (popular), CRAM-MD5, LOGIN PLAIN. Version 5.30 allows also to use
SSL (secure connection) used by GMail for example. For more information about setting up with GMail see
Tutorial: Formula based alerts.
Enable alerts from checkboxes allow you to selectively enable/disable alerts generated by Automatic
analysis, Commentary/Interpretation and custom indicators.
Keyboard tab
- keyboard tab has been moved to Tools->Customize dialog
Preferences window
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AFL tab
• Multi-threaded charts - enables multi-threaded execution of AFL in charts/indicators. Multi-threading
allows to maximize speed and utilisation of modern multi-core / multi-CPU computers. For example on
8-core Intel i7 CPU your charts will run upto 8 times faster than in version 5.30. In version 5.40 the
AFL engine has been completely rewritten from ground up to allow multiple instances of the engine
running simultaneously. This enables not only multithreading but also enhances responsiveness of
entire application, as even badly-written user formula used in a chart is not able to lock or slow the
rest of the program. Multi-threading is ON by default. It can be turned off by unchecking this box but it
is strongly discouraged. Multi-threading should be turned ON if you want AmiBroker to operate at full
speed.
• Catch system exceptions in Indicators and commentaries - when checked all exceptions
(run-time errors) are catched by the indicator drawing code, so no Bug Recovery window appears.
Instead exception information is displayed inside chart pane. It is recommended to have this turned
ON especially when you use real-time data
• Stop parsing on first error - when checked parser stops further code analysis on first encountered
error so only one (first) error is displayed in the formula editor error list. If it is unchecked then parser
will list all errors found. It is recommended to turn it off.
• Enable loop termination by Shift-BREAK - when checked AmiBroker will allow to break any for(),
while() and do-while() loop by pressing and holding down SHIFT and BREAK(PAUSE) keys on your
keyboard.
• Check Shift+BREAK key every - defines how often keyboard state should be checked when loop is
executed. Note that specifying small values will make loop execution slower.
• Endless loop detection threshold - defines the number of loop iterations after which AmiBroker will
terminate the loop with "Possible Endless loop detected" error message. This is useful in situations
when the code has infinite loop (due to mistake of the formula author) because it won't allow
Preferences window
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AmiBroker to hang due to infinite looping
• Standard include path - the default path to use when #include statement uses < > braces instead of
""
• Formula tree root path - the root path of Formula file/directory tree displayed in the Charts tab of
Workspace window
• Show hidden folders - determines if formula tree should show subfolders with "hidden" attribute
(drag-drop folder is created as "hidden" by the setup program)
Currencies tab
This page allows to define base currency and exchange rates (fixed or dynamic) for different currencies. This
allows to get correct backtest results when testing securities denominated in different currency than your base
portfolio currency. For more details please check Tutorial: Pyramiding and multiple-currency support in the
backtester.
How does AB know whether I want the fixed or dynamic quote?
There are following requirements to use currency adjustements:
a) Symbol->Information, "Currency" field shows currency different than BASE currency
b) Appropriate currency (defined in Symbol) has matching entry in Preferences->Currencies page
c) the dynamic rate "FX SYMBOL" defined in the preferences EXISTS in your database and HAS QUOTES
for each day under analysis range.
Preferences window
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What is "INVERSE" check box for in the preferences?
Let's for example take EURUSD.
When "USD" is your BASE currency then EUR exchange rate would be "straight" EURUSD fx (i.e. 1.3).
But when "EUR" is your BASE currency then USD exchange rate would be INVERSE of EURUSD (i.e. 1/1.3).
Opposite would be true with FX rates like USDJPY (which are already "inverse").
Preferences window
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Customize tools window
This dialog allows you to customize the User Interface. It can be invoked from Tools->Customize menu.
In "Tools" tab you define custom tool menu items:
You can launch executable files (.exe), script files (.js, .vbs), web pages (.html) and any other registered file
types from the tools menu. In order to add a new tool you should open this dialog and click "New" button.
Then enter the tool name, command (by hand or using file dialog) optional arguments and initial directory. If
you check "Prompt for arguments" checkbox AmiBroker will ask for program's arguments each time
Version 5.60 brings new #import command that allows to import ASCII files from local disk or even from
remote (web) sources.
In the Tools->Customize, "Tools" page, you can now define custom tool that uses new #import command
Command: #import
Arguments: URL to download data from
Initial dir: path to format definition file
This functionality is used by the "Update US symbol list and categories" tool.
Other tabs provide UI customization features described in Customize UI tutorial section.
Keyboard tab
The keyboard tab allows you to define your own keyboard shortcuts.
To assign a shortcut key
On the Tools menu, click Customize, and then click the Keyboard tab.
Customize tools window
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In the Categories list, select the menu that contains the command to which you want to assign the shortcut
key.
In the Commands list, select the command to which you want to assign the shortcut key.
Put the cursor in the Press New Shortcut Key box, press the shortcut key or key combination that you want,
and click Assign.
If you press a key or key combination that is invalid, no key is displayed. You cannot assign key combinations
with ESC, F1, or combinations such as CTRL+ALT+DEL that are already being used by your operating
system.
If you press a key or key combination that is currently assigned to another command and press "Assign" the
error message will appear giving you choice to either cancel or re-assign the key shortcut to new command.
To delete a shortcut key
On the Tools menu, click Customize, and then click the Keyboard tab.
On the Categories, and Commands lists, select the location for the shortcut key you want to delete.
In the Current Keys list, select the shortcut key you want to delete and click Remove.
To reset all shortcut keys to their default values
On the Tools menu, click Customize, and then click the Keyboard tab.
Click Reset All.
Customize tools window
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Symbol tree window
In this windows we have got list of available symbols and categories. Selecting one of them will refresh all
opened charts and update information windows. This selection is global for the program i.e. all symbol
functions will reference symbol selected in this window.
Symbols window is divided into three parts:
a) search box
b) category tree
c) symbol list
The search box allows to perform full text searches (including wildcard
matching) against symbol and full name within selected category. So
for example if you select "Technology" sector and type A* (letter 'A' and
wildcard character *) the symbol list will show all symbols belonging to
Technology sector with symbol or full name beginning with letter 'A'.
Another example would be tping *-A0-FX - this will return all forex
symbols on eSignal database (those ending with -A0-FX substring).
The category tree (see the picture) shows different kind of categories.
The symbol list (bottom part) shows the list of symbols belonging to
selected category. The symbol list can be sorted by symbol or by full
name. To sort just click on the header row of the list. Once you choose
desired sorting order it will be kept for all subsequent category choices
and searches. Also the order of columns can be changed so Full name
column appears as first one. To re-arrange column, click on the column
header, hold down the moust button and drag the column to desired
location. Then release mouse button.
Single symbol belongs to MANY categories at the same time. For
example AAPL (Apple Inc.) will belong to:
• Stocks group category
• Nasdaq market category
• Information sector category
• Comp-Computer Mfg industry category
and may also belong to several watch lists and favorites category. All
at the same time. That's why one symbol will appear in many leaves of
the workspace symbol tree. Now if you delete the SYMBOL it will of
course disappear from ALL categories because you have deleted the
symbol itself, not its assignment to category.
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Information window
This window allows you to display and edit preferences of the symbol.
• Symbol
The short name, used in ‘Select’ window and with quotation import functions. If you use them,
please check if ticker given in this field is the same as used in your quotation datasource
• Alias
The alternative ticker name. It will be useful if you e.g. get the realtime quotes and backfill from two
separate datasources, that use different ticker names.
• Full name
Official version of firm name
• Code
Symbol code number
• Web ID
Symbol Web ID - can be used when you define Profile view
• Address
Corporation address
• Issue
Total number of shares
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• Nominal value
• Book value
• Currency
• Market
Indicates which market the symbol belongs to.
• Industry
Indicates which industry the symbol belongs to.
• Group
Indicates which Group the symbol belongs to.
• Round lot size
Various instruments are traded with various "trading units" or "blocks". For example you can purchase
fractional number of units of mutual fund, but you can not purchase fractional number of shares.
Sometimes you have to buy in 10s or 100s lots. AmiBroker now allows you to specify the block size
on global and per-symbol level.
You can define per-symbol round lot size in the Symbol->Information page . The value of zero means
that the symbol has no special round lot size and will use "Default round lot size" (global setting) from
the Automatic Analysis settings page. If default size is set also to zero it means that fractional number
of shares/contracts are allowed.
• Tick size
This setting controls the minimum price move of given symbol. You can define it on global and
per-symbol level. As with round lot size, you can define per-symbol tick size in the
Symbol->Information page (pic. 3). The value of zero instructs AmiBroker to use "default tick size"
defined in the Settings page (pic. 1) of Automatic Analysis window. If default tick size is also set to
zero it means that there is no minimum price move.
Note that the tick size setting affects ONLY trades exited by built-in stops and/or ApplyStop(). The
backtester assumes that price data follow tick size requirements and it does not change price arrays
supplied by the user.
So specifying tick size makes sense only if you are using built-in stops so exit points are generated at
"allowed" price levels instead of calculated ones. For example in Japan - you can not have fractional
parts of yen so you should define global ticksize to 1, so built-in stops exit trades at integer levels.
• Margin deposit - explained in Backtesting systems for futures contracts
• Point value - explained in Backtesting systems for futures contracts
• Continuous quotations
Enables continuous trading for this symbol (this enables candlestick charts and manual entry
open/high/low/volume controls and candlestick charts), otherwise symbol is traded with price fixing
• Index
Specifies if symbol belongs to Indexes category.
• Favourites
Specifies if symbol belongs to Favourites category.
• Use only local database for this symbol
Indicates that symbol is not updated via the plugin in real-time database. This field is checked by
default if the symbol is added into realtime database as a result of import from ASCII file (also
AmiQuote download). This setting allows you to keep additional symbols in the database and prevent
Information window
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plugin from overwriting the imported data.
For explanation of Fundamental data fields please read "Tutorial: Using fundamental data" chapter of this
guide.
Information window
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Notepad window
Notepad window (that you can show/hide using Window->Notepad
menu) that allows to store free-text notes about particular security. Just
type any text and it will be automatically saved / read back as you browse
through symbols. Notes are global and are saved in "Notes" subfolder as
ordinary
text files.
Notes can be also read and written to using AFL langauge NoteGet and
NoteSet functions.
NoteGet( "Symbol" );
- retrieves note linked to "symbol". If symbol is "" (empty string) then
current symbol is used
NoteSet( "Symbol", "Text..." );
- sets text of the note linked to "symbol".
If symbol is "" (empty string) then current symbol is used.
If you overwrite note from AFL level that is opened at the same time in
Notepad editor the editor will ask you (when you switch the focus to it) if it
should reload new text or allow to save your manually entered text.
Example:
NoteSet("AMD", "Jun 15, 2004: AMD will deliver its
first multi-core processors next year");
Notepad window
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Quote Editor window
Quote Editor allows editing, deleting and adding quotes.
To add new quote:
- select (new) entry
- enter date/time
- enter price data
- click on the list on the entry other than (new)
To edit existing quote:
- select quote from the list
- edit price data
- click on the list on the entry other than current
To delete existing quote(s):
- mark one or more quotes (multiple selection possible by holding down SHIFT or CTRL key)
- click "Delete" button
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Symbol Finder window (F3)
Stock finder window allows you to quickly search the database for a symbol by typing the first letters of its full
name or ticker. This feature is very useful when you don't know the ticker symbol. The symbol finder is
accessible via Edit->Find symbol, Symbol->Find menus or by pressing F3 key.
To find a symbol just type one or more letters in the Search for box. Choose by Name if you want to perform
full name search or choose by Ticker if you want to look up for the ticker. When you type the letters in the edit
box appropriate symbols will appear in the list. You can click on the item to choose one or you can just press
ENTER key to select the first one. Note that searching starts when the edit box contains at least 1 character if it is empty no symbol is shown in the list.
Symbol Finder window (F3)
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Using Web Research window
Web Research window allows you to view on-line news, research, profiles, statistics and all kind of
information related to currently selected symbol available over the Internet (World Wide Web). Using Web
Research instead of plain web browser has speed advantage as you don't need to type complicated/long
addresses (URLs) each time you need to get desired information.
Web Research window introduced in version 4.90, replaces and enhances previously available Profile
window. Now it allows unlimited number of user-definable web research (profile) pages, browsing to any web
page (just type URL), tab-browsing, opening multiple pages at once, selective auto-synchronization.
Web-Reasarch uses Internet Explorer engine so you can be sure that pages are rendered with the same
quality you would get from stand-alone browser.
OPEN NEW WEB RESEARCH WINDOW
Use File->New->Web Research menu to create new web research window
PICKING PRE-DEFINED WEB RESEARCH PAGE:
To display any pre-defined web research page, simply click on the drop down arrow in the Address
combo-box and pick one item from the list. Once you do so, the web page relevant to currently selected
symbol will be automatically displayed.
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Now you can specify if and when displayed page should change automatically if you select different symbol.
The Sync button allows to decide when page should be automatically synchronized with currently selected
symbol.
• Don't sync - means that page should not be synchronized with currently selected symbol at all
• Sync active - means that page should be synchronized ONLY when it is currently active or becomes
active (by user clicking on given tab) - this is recommended setting for web-research profiles since it
conserves bandwidth and resources (not active pages are not synchronized and do not consume any
bandwidth)
• Sync always - means that page is synchronized with currently selected symbol always, no matter if it
is active or not.
NAVIGATION
Web Research window operates in a way very similar to stand-alone browser. To display any web page just
type the URL address to "Address" field and press ENTER (RETURN) key. To navigate back and forward in
the history use <- and -> buttons.
OPEN NEW WEB RESEARCH WINDOW
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To close currently displayed page use regular window close X button as shown in the picture above
DEFINING YOUR OWN WEB RESEARCH PLACES
In addition to web-research pre-defined pages you can define any number of your own places. To do so use
Tools->Customize menu, Web Pages tab.
To add new place press New button, then type the URL template in the URL field and web page description in
the Description field.
The URL template is the web address in that has parts that depend on selected symbol. The URL template is
parsed by AmiBroker to make actual URL to the web page. For example to see Yahoo's profiles page you can
use following URL template:
http://biz.yahoo.com/p/{t0}/{t}.html.
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Symbols enclosed in brackets {} define fields which are evaluated in execution time. {t0} symbol is evaluated
to the first character of the ticker name and {t} is evaluated to the whole ticker name. So if AAPL is selected
AmiBroker will generate following URL from above template:
http://biz.yahoo.com/p/a/aapl.html
Then AmiBroker uses built-in web browser (Web Research window) to display the contents of the page.
Special fields encoding scheme
As shown in above example template URL can contain special fields which are substituted at run time by
values corresponding to the currently selected symbol. The format of the special field is {x} where x is
describes field type. Currently there are three allowable field types: ticker symbol in original case {t}, ticker
symbol in lowercase {s}, ticker symbol in UPPERCASE {S}, alias {a}, web id {i}. You can specify those fields
anywhere within the URL and AmiBroker will replace them with appropriate values entered in the Information
window. You can also reference to single characters of ticker, alias or web id. This is useful when given web
site uses first characters of, for example, ticker to group the html files (Yahoo Finance site does that), so you
have files for tickers beginning with 'a' stored in subdirectory 'a'. To reference to single character of the field
use second format style {xn} where x is field type described above and n is zero-based index of the character.
So {a0} will evaluate to the first character of the alias string. To get first two characters of a ticker write simply
{t0}{t1}. Note about web id field: this new field in Information window was added to handle situations when
web sites do not use ticker names for storing profile files. I found some sites that use their own numbering
system so they assign unique number to each symbol. AmiBroker allows you to use this nonstandard coding
for viewing profiles. All you have to do is to enter correct IDs in Web ID field and use appropriate template
URL with {i} keyword.
Pages stored locally
You may want to have all pages stored on your local hard disk. This has an advantage that profiles are
accessible instantly but they can take significant amount of storage space and you will need to update them
from time to time. To access locally stored files use the following template URL (example, C: denotes drive):
file://C:\the_folder_with_profile_files\{t}.html. You are not limited to HTML files, you can use simple TXT files
instead. Then create (or download) the .html (or txt) files for each symbol in the portfolio. These files should
obey the following naming convention: <ticker>.html. So for example for APPLE (ticker AAPL) the profile
should have the name AAPL.html (or AAPL.txt)
Web-based profiles
If you want to display the profiles from remote web pages you will need to find out how they are accessible
(the URL to the web page) and how the data for different symbols are accessible. I will describe the problem
on the example of Sharenet (www.sharenet.co.za) site providing the data for companies listed on
Johannesburg Stock Exchanges. Sharenet provides company information that is accessible at the following
address (URL):
http://www.sharenet.co.za/free/free_company_na.phtml?code=JSECODE&scheme=default
The problem is that database provided by Sharenet uses long ticker names and JSECODE is a short symbol
code. For example for "Accord Technologies" company the ticker in Sharenet database is ACCORD but the
code is ACR. To solve the problem we will need to use Web ID field in the symbol Information window. If you
have Sharenet database just choose the ACCORD from the ticker list, open Symbol->Information window and
enter ACR to the Web ID edit box and click OK. Then enter the following URL template to the URL edit box:
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http://www.sharenet.co.za/free/free_company_na.phtml?code={i}&scheme=default
To be 100% sure please select the text above with a mouse. Then copy it to the clipboard (Edit->Copy,
CTRL-C). Then switch to AmiBroker and click on the Profile URL edit box. Delete everything from it and press
CTRL-V (this will paste the text). Type "Sharenet" into Description field.
Please note that we have used {i} special field in the template that will be replaced by AmiBroker with the text
entered in the Web ID field of the symbol information window. Now please select File->New->Web Research
and pick Sharenet from Address combo box. You should see the profile for ACCORD company.
You can also delete any entry by selecting it from the list and pressing Delete button. You can change the
order in which pages appear in the Web Research address combo using Move Up and Move Down buttons
(select the item first and then use buttons).
Configuration data are stored in webpages.cfg plain text file that holds any number of URL templates in the
form of:
URLTemplate|Description
(each entry in separate line)
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Assignment organizer window
In order to make assigning the symbols to categories simpler and faster a new assignment organizer was
developed. Now you can simply mark a group of symbols and quickly move them from one category to
another.
You can also delete multiple symbols using this window. To do so, select one or more symbols from the
left pane and click on "Delete" button.
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Composite recalculation window
This dialog allows automatic calculation of number and volume of advancing/declining/unchanged issues.
Also possible in this dialog is calculation of volume numbers for indexes if imported incorrectly. Note well, that
automatic recalculation of composite data makes only sense when you follow whole exchange (all symbols
are included in your database) otherwise this calculation will give wrong results.
In order to calculate the composites in the database it's necessary to set the base index for the market, as it
may happen that not all stocks are quoted every businness day. AmiBroker checks the 'base index' quotations
dates and tries to find the corresponding quotes of all the stocks belonging to that market, to find out how
many issues advanced, declined and not changed at all.
To calculate composities you need to:
• Open Categories window using Symbol -> Categories menu item.
• 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 ^DJI (Dow Jones Average) ^DJI must be marked
as index in Symbol -> Information and must belong to the same market.
• Choose "Symbol ->Calculate composites" menu item to open the window shown below and mark :
Number of advancing/declining issues and choose markets that you calculate composities for and the
time range.
• Click Calculate.
There are also two additional fields available:
• Volume for base index
• Copy volume to all indexes
These fields 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 indices belonging to
given market.
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Categories window
This dialog, allows you to define names of markets, groups, sectors and industries. For each market you can
also define base indexes for calculating relative strength, composite data, beta or web profile URL. The
detailed information about categories can be found in Understanding categories chapter of this manual.
To Edit name of certain category, please select it from the list and press 'Edit name' button.
Base indexs for fields allow you to set the index used in calculation of:
• Relative Strength indicator
• Composities via Composite calculation option
• Beta
Profile field allows you to define URL-template for viewing on-line (or off-line) companies' profiles. These
URL-templates are market-based, what means you can have different templates for each market. The
template is then parsed to create the actual URL to the web page, which will be displayed in an embedded
web browser. To learn more read How to set up the profile view chapter.
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ASCII Import Wizard
ASCII Import Wizard provides an easy way to import your quotation data files as well as define your own
import formats for future use. Note that wizard offers only a subset of features available in ASCII importer so it
is provided for novice users only.
The wizard guides you through 3 simple steps
1. Picking the files to import
2. Defining fields
3. Additional settings
Step 1. Picking the files
In this step you select the files you want to import. Just click on the Pick files button and you will see a file
dialog. Browse to the folder where your data files are located and select the file(s). Please note that you can
select multiple files by holding CTRL or SHIFT key while clicking on the files. After making your selection
please click Open
A complete list of files that you have selected will be displayed in the field at the bottom of the wizard window.
Please check if the list is correct, if not click "Pick files" to correct your choice.
Step 2. Defining fields
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In this step you define the types of fields in the data file. For your convenience date file sample is shown (a
few first lines of the first selected file) at the bottom of the window.
To define fields please select appropriate field types from Column N combo-boxes. For example, if the first
field (column) in your data file is a symbol ticker please select "Ticker" from Column 1 combo box. If second
field in your data file is a date in Year-Month-Day format please select "YMD" from the second combo-box.
You can select also DMY for Day-Month-Year dates, MDY for Month-Day-Year dates. Other field types
available from the wizard are: "Open", "Close", "High", "Low" for the prices and "Volume".
Note about the dates: AmiBroker recognizes both 4 digit and 2 digit year dates. As for months both numbers
and three letter codes ("Jan", "Feb", ...) are allowed. Also day, month and year may be separated by any of
the following characters: / (slash), \ (backslash), - (minus sign) or may not be separated at all. All you have to
do is to specify the order: DMY, MDY, YMD. For example valid YMD dates are (31th December 2000):
20001231,
001231,
2000-12-31
2000/12/31
2000-Dec-31
00-12-31
00/12/31
00\12\31
If your file has more than 7 columns please check More columns box and you will see additional
combo-boxes.
The remaining controls here are:
Group: here you should select to which group new symbols are added
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Watch list: here you should select to which watch list new symbols are added (if empty - they are not added
to any watch list)
Separator: here you should select the character used as a field separator (comma is the most often)
Skip lines: this tells AmiBroker how many initial lines should be skipped (ignored) - for example a few first
lines of the file should contain a comment or other information that should be ignored, and this is the place to
define this
Log errors: this tells AmiBroker that it should log all errors to the file (import.log). In case of any errors this log
will be displayed to the user after finishing import process.
Automatically add new symbols: this tells AmiBroker to add the symbols that appear in the data file but do
not exist yet in AmiBroker database.
Calculate composites: this tells AmiBroker to calculate advance/decline figures and volume for indexes after
import (this requires composites to be set up properly before importing)
Allow negative prices: this tells AmiBroker to allow negative number in close, open, high, low fields. By
default zero and negative values are NOT allowed.
No quotation data: allows to import data that do not contain prices. For example ticker lists and/or
categories.
Step 3. Additional settings
By default the format you have defined is for single-use only. It is OK for novice users and for experimenting
with the wizard.
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If you, however, want to make your definition permantent and available in the future via ASCII importer you
should check Add current settings to ASCII importer definitions box. Then you should enter the Format
description, File mask and Format file name (or you can accept automatically generated defaults). If you do
so, you will be able to use the format defined in the ASCII importer window - just by selecting your own format
(as typed in Format description field) from the "Files of type" combo of a file dialog.
Whatever you decide, you should click "Finish" button in order to start importing your data.
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Metastock importer window
IMPORTANT NOTE: Metastock importer should be used ONLY if you want to import MS data to native, local
AmiBroker database once. If you want AmiBroker to just read Metastock database DIRECTLY without need to
import new data over and over please set up your database WITH METASTOCK PLUGIN as described in the
Tutorial.
NOTE 2: if you setup your database with the MS plugin you should NOT use Metastock importer, because
there is no point in using it when your data are already fed by the plugin.
Metastock importer opens AmiBroker to very rich source of historical data. The importer supports both old
Metastock 6.5 and new 7.x (XMASTER) formats.
Basically Metastock data consist of:
• MASTER/EMASTER file which holds general information about the tickers, stock names, etc.
• F1.DAT....Fxx.DAT files which hold actual quotation data
The MASTER/EMASTER file is essential because it holds the references to Fxx.DAT files. Fxx.DAT files store
only quotations in either 5 field (date/high/low/close/volume), 6 or 7 field
(date/open/high/low/close/volume/openinterest) format. As you see MASTER/EMASTER and Fxx.DAT files
are closely connected and you need them all to import the data.
Usage
To import Metastock data you should do the following:
• Choose Metastock import from the menu
• Using the directory requester (Browse...) select the location of data in Metastock format (the directory
with MASTER/EMASTER and Fxx.DAT files)
• After choosing proper directory AmiBroker will display the list of available symbols and date ranges.
By default all available symbol will be marked for importing (checkmark at the beginning of the list).
Now you can exclude some symbol from the import list by clicking appropriate item in the list
(checkmark will toggle when you click).
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• You can decide to which group and watch list the new symbols are added using Group and Watch
List combos.
• After making your selections push 'Import' button to start the process of importation.
• During the process you can cancel the operation by clicking 'Abort' button in the progress window
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Using account manager
Account manager is a tool for keeping track of your trades and your performance. You are able to enter trades
you make, deposit/withdraw funds, check the statistics and historical performance. All transactions are
recorded so you will never forget what happened in the past. Account manager allows you to keep track of
unlimited number of accounts.
New account manager replaces and enhances functionality provided by portfolio manager in pre-4.90
versions.
CREATE A NEW ACCOUNT
Use File->New->Account menu to create new account
FUNDING AN ACCOUNT
Before you do any trading, you have to fund your account. To do so press "FUNDING" button on the account
manager toolbar, then select "Deposit" as operation type, enter the DATE when you have funded your
account and enter the amount.
Note that funding date must PRECEDE any trading, as account manager won't allow you to trade prior to
funding date. Initial deposit will show as "initial equity" in summary tab.
THE SETTINGS
It is good idea to go to "Summary tab" and setup commissions and trading mode. If this account is used for
End-of-day trading you should set "EOD Mode" to YES, otherwise (if you trade intraday) you should set "EOD
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Mode" to NO. Depending on this setting Buy/Sell dialogs will allowyou to enter date and time of the trade or
only date.
Commission table allows to enter both per-share (per-contract) commissions and commissions that are
expressed as percent of trade value. Or a combination of both. You can also set minimums and maximums
expressed in dollar amount and/or percent of trade value. For example if your broker may use 0.01$ (one
cent) per share commission, then you would use PerShare = 0.01 and %OfTradeValue = 0. If your broker
uses say 0.2% of trade value then you would use PerShare = 0 and %OfTradeValue = 0.2;
Practical example: Interactive Brokers default commission for U.S. stocks is: 0.005 per share but not less than
1 dollar and not more than 0.2% of trade value. Appropriate settings for such schedule are shown in the
screenshot above.
Commission table works as follows: first sum of per-share commission and % of trade value is calculated.
Then the result is checked against minimum and maximum limits and if calculated value exceeds the limit
then commission is set to value of such the limit, otherwise calculated value is used without change.
Summary page contains a little bit of basic statistics as well.
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ENTERING TRADES
Once you funded an account you can enter trades.To buy (enter long position or cover short position ) click on
"BUY" button.
Then in the Buy dialog you need to select the symbol, the trade date/time. Once they are entered AmiBroker
will display price of given symbol at the selected date/time (or preceding one if no exact match is found). It will
also calculate maximum possible quantity taking price and available funds into account.
You can change the price and quantity manually.
All other values (net market valye, commission, market deposit, currency, fx rate) are calculated or retrieved
automatically from Symbol->Information page. Once values are good, click OK to confirm transaction. If you
made mistake, you can press UNDO (Edit->Undo) to revert last transaction.
Similar procedure is for selling (entering short positions or closing longs) with the exception that you should
press "SELL" button instead.
All transactions that you made are listed in the "Transactions" sheet. All open positions are listed in "Open
Positions" sheet. If you enter the trade for symbol that has position already open, AMiBroker will adjust "open
positions" accordingly (perform scaling in/out). Once open position is closed it is removed from "open
positions" list and moved to "Closed trades" sheet.
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After each transaction, "Equity history" sheet is updated with current account equity value and also
"Summary" page is updated with basic open/long/short trade stats.(More stats are to come).
IMPORTANT
You have to remember that you must enter all transactions in chronological manner(oldest first, newest last),
as account manager won't allow you to add trades out-of-order. If you make mistake, there is one-level undo
that you can use to revert to state before last transaction. If you made more mistakes, the only option is to
close account without saving and re-open original file.
SAVING YOUR ACCOUNT DATA
To save edits made to account use File->Save (or File->Save As to save under new name). Note that
account files are NOT encrypted now, and it is quite easy to read the file for everyone who has the access
to it. So make sure not to leave your files on some public computer. Password protection/encryption is
planned but NOT implemented yet.
OPENING PREVIOUSLY CREATED ACCOUNT
To open account file, go to File->Open, in the File dialog, select "Account (*.acx)" from "Files of type"
combo-box, and select the account file you want to load.
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MULTIPLE ACCOUNTS
You can create/open multiple accounts at once (just use File->New->Account, File->Open many times).
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Real-time quote window
Working with real time quote window
The RT quote window provides real-time streaming quotes and some basic fundamental data. It is fairly easy
to operate as shown in the picture below:
You can also display context menu by pressing RIGHT mouse button over RT quote window.
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The context menu allows you to access the following options:
• Time & Sales
Opens Time & Sales window that provides information about every bid, ask and trade streaming from
the market.
• Easy Alerts
Opens Easy Alerts window that provides way to define realtime alerts executed when bid/ask/last and
other fields hit user-defined levels
• Add Symbol
Adds current symbol to Real-Time Quote list
• Add watch list...
Adds entire watch list to real-time quote window
• Type-in symbols
Allows to type the symbols directly as comma-separated list
• Insert empty line
Adds empty (separator) line - useful for grouping symbols
• Remove Symbol
Removes highlighted line (symbol) from the Real-Time Quote list.
• Remove All
Removes all symbols from real-time quote list
• Hide
Hides Real-Time Quote list
Re-arranging symbols using drag-and-drop
Real-time quote window now (v5.10 and up) allows you to re-arrange the list of symbols by drag-and-drop
mechanism. Simply click the left mouse button over the symbol, hold it down and drag to desired location then
release the button.
Bid/ask trend indicator
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Version 5.90 adds Bid/Ask trend - a graphical indicator showing the direction of 10 most recent changes in
real-time bid/ask prices. The right-most box is most recent and as new bid/ask quotes arrive they are shifted
to the left side. Color coding is as follows:
• Dark green: bid > previous bid OR ask > previous ask
• Bright green: bid > previous bid AND ask > previous ask
• Dark red: bid < previous bid OR ask < previous ask
• Bright red: bid < previous bid AND ask < previous ask
• Red / Green box: ask < previous ask AND bid > previous bid
• Green / Red box: ask > previous ask AND bid < previous bid
If bid/ask prices don't change there is no new box. NOTE: This column works only if there are real-time quotes
streaming (markets are open)
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Easy alerts window
Easy alert window allows to define real-time alerts without any coding. Please note that this functionality is
available ONLY if you are using real-time data plugin and is not available in end-of-day mode.
Adding new alert
• press Add button
• enter ticker symbol into Symbol field
• choose price field from Field combo box
• enter high trigger value and/or low trigger value
• select at least one of the Text/Pop-up/E-mail/Sound fields
Alert will be generated when selected price field (for example Ask) will become equal or greater than High
value (if defined), or when selected price field will become equal or less than Low value (if defined). Alert once
hit will not re-trigger until you press "Reset".
Modifying an alert
Select one of listed alerts and modify values in the edit fields below. If you want to modify an alert that was hit
already, after doing modifications please press "Reset" button
Deleting alerts
Select one or more alerts from the list (multiple selection possible by pressing down SHIFT key) and then
press Delete button.
Resetting triggered alerts
The alert that was once hit is market as "Hit high" or "Hit low" in the status field and becomes inactive (won't
trigger anymore). If you want to re-activate it, select it from the list and press Reset button.
Kinds of alert output
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• Text
when this checkbox is marked, when alert is triggered the text defined in comment field will be
displayed in Alert Output window (use Window->Alert output menu to display it)
• Pop-up
when this checkbox is marked, triggered alert will display pop-up dialog box
• E-mail
when this checkbox is marked, triggered alert will send an e-mail to the account defined in
Preferences/Alerts.
• Sound
when this checkbox is marked, triggered alert will play sound defined in Preferences/Alerts.
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Time & Sales window
NOTE: Standard Edition is limited to 1 time & sales window, Professional Edition allows UNLIMITED number
of time & sales window open simultaneously.
Time & Sales window that provides information about every bid, ask and trade streaming from the market.
Each row displayed represents either new trade, new bid or new ask that is sent by the streaming data
source.
Each line in time and sales window is marked with color to make it easier to distinguish between various
conditions.
Coloring rules are:
• light green background means NEW ASK
• light red background means NEW BID
• normal (white) background means NEW TRADE
• Red text for bid/ask price/size means that the value is LESS than previous value of the same category
(for example bid price written in red letters mean that the new BID is lower than previous bid price,
green volume field means that the volume of last trade or ask/bid size is greater than last trade
volume or ask/bid size)
• Red last trade price means trade occuring on or below current bid
• Green text for bid/ask price/size means that the value is GREATER then previous value.
• Green last trade price means trade occuring on or above current ask.
• Black text for bid/ask price/size/volume means that the value is the same
• Black last trade price means trade occuring inside current bid-ask range (greater than bid and less
than ask)
Time&Sales window in version 5.30 shows some "recent statistics" regarding trading namely:
• number of trades and average # of trades per second
• number of trades and shares traded at ask or above
• number of trades and shares traded at bid or below
• ask minus bid difference expressed in number of trades and shares
• ask minus bid difference expressed as percentage ratio to total trades/total volume traded
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A little background:
Ask minus bid: the positive numbers represent more transactions occuring on ASK side than on BID side. This
in theory may mean more buying than selling, but in practice things are largely dependent on security traded.
Esp. dark liquidity pools do not show in order books and may report trades to the tape several seconds later
thus invalidating relationship between bid/ask and actual trade prices.
IMPORTANT:
These are temporary, short-term stats - they cover ONLY trades displayed in the T&S window since opening
of the window OR
resetting stats.
You can reset statistics using right click menu : "Reset Stats"
Easy alerts window
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Bar Replay window
Bar Replay tool is available from Tools->Bar Replay menu. Bar Replay feature plays back data for all
symbols at once with user-defined speed. It means that data for all symbols will end at specified "playback
position". This affects all formulas (no matter if they are used in charts (indicators) or auto-analysis).
Controls description
Navigation bar:
•
- Rewind to the beginning
•
- one Step Back
•
- Stop - turns bar replay OFF (chart are not affected by bar reply)
•
- Pause - pauses current playback or enters pause mode that allows to manually drag the slider
bar and affect chart display - in PAUSE mode data are internally modified so quotes past selected
"playback" position are invisible to any part of AmiBroker ( charts / automatic analysis ), except
quotation editor
•
- Play - playback bars history
•
- one Step Forward
•
- Forward to end of selected range
Slider bar - allows to see the playback progress as well as MANUALLY move back and forward by dragging
the slider thumb.
Start/End - controls provide start and end simulation dates. The playback works so that all data upto currently
selected "Playback position" are visible. Data past this position are invisible. "Playback position" can change
from user-defined "Start" to "End"dates. The small ^ buttons on the right side of Start / End date fields allow to
set Start/End to currently selected date on the chart.
Step interval - defines interval of the step. Recommended setting is base interval of your database. So if you
have 1-minute database, step interval should be 1 minute. If you have EOD database, step interval should be
daily, however it is allowed to select higher step intervals. Note that chart viewing interval is independent from
that. So you can playback 1 minute database and watch 15 minute bars (they will look like real - building last
"ghost" bar as new data come in)
Speed parameter defines step frequency. It means how many steps will be played back within one second.
Default is 1. Maximum is 5 minimum is 0.1. If you select 3 for example, AmiBroker will play one step every
0.333 sec giving total of 3 steps per second.
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Skip afterhours - when turned on, playback skips hours outside regular trading hours as defined in
File->Database Settings->Intraday Settings
Skip weekends - when turned on, playback skips Saturdays and Sundays
Usage
To ENTER Playback mode - press PLAY
or PAUSE
buttons - then data are truncated at current
"playback position".
To EXIT Playback mode - press STOP
button or close Bar Replay dialog - the full data set will be
restored.
Note that playback simulation is done internally and the database is kept untouched in fact (all data are still
visible in Quote Editor), so there is no risk using Bar Reply.
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Formula Editor
A new AFL Formula Editor features:
• Syntax highlighting (improved in 5.80)
• Automatic brace matching/highlighting (NEW in 5.80)
• Auto indentation (NEW in 5.80)
• Indentation markers (NEW in 5.80)
• Enhanced auto-complete in two modes (immediate (NEW in 5.80) and on-demand)
• Parameter information tooltips
• Line numbering margin and selection margin (NEW in 5.80)
• Code folding (NEW in 5.80)
• In-line Error Reporting (NEW in 5.80)
• New tabbed user interface with ability to work in both MDI and separate floating frame mode, can be
moved behind main AmiBroker screen and brought back (Window->Toggle Frame) (NEW in 5.80) or
kept on top (Window->Keep on top)
• Rectangular block copy/paste/delete (Use mouse and hold down left Alt key to mark rectangular
block) (new in 5.80)
• Auto capitalisation (change case)
• Virtual space (new in 5.80)
• Enhanced printing (with syntax highlighting and header/footer)
• Code snippets (new in 5.80)
These features greatly simplifies writing formula and provides instant help so time needed to write formula decreases significantly.
Menu
Formula Editor
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Formula Editor menu options are described in detail in Menus: Formula Editor chapter of the guide.
Toolbar
The Formula Editor toolbar provides the following buttons:
• New - clears the formula editor window
• Open - opens the formula file
• Save - saves the formula under current name
• Print - prints the formula
• Cut - cuts the selection and copies to the clipboard
• Copy - copies the selection to the clipboard
• Paste - pastes current clipboard content in the current cursor position
• Undo - un-does recent action (multiple-level)
• Redo - re-does recent action (multiple-level)
• Formula Name - an EDIT field that allows to modify the formula file name, once you change the
name here and press Save button the formula will be saved under new name and the change will be
refleced in editor CAPTION BAR and in the STATUS BAR (Status bar shows full path).
• Check syntax - checks current formula for errors
• Apply indicator - saves the formula and applies current formula as a chart/indicator ONCE
• Analysis - saves the formula and selects it as current formula in Automatic Analysis window and
repeat most recently used Analysis operation (i.e. Scan or Exploration or Backtest or Optimization)
Usage
Typical use of Formula Editor is as follows:
• open Formula Editor
• type the formula
• type meaningful name that describes the purpose of you code into Formula Name field
• click Apply indicator button (if you have written indicator code)
.. or..
click Analysis button to display Automatic Analysis window (when you have written exploration/scan
or trading system)
Syntax highlighting
AmiBroker's AFL editor features user-definable syntax highlighting that automatically applies user-defined colors and styles to
different language elements like functions and reserved variable names, strings, numbers, comments, etc. This feature greatly
simplifies code writing. You can modify coloring scheme in Preferences window.
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Enhanced error reporting
When you make an error in your formula, AmiBroker's enhanced error reporting will help you to locate and fix
an error by highlighting the place where error occured and displaying extended error description with the
examples of common mistakes and advice how to fix them. In version 5.80 description of errors are displayed
in-line with the code.
A message bar displays total number of errors and/or warnings. If you press "Go to error" button the editor
will move the caret to the relevant line with the error, if you press it again, it will move to the next error and so
on. If you close the message bar with the "X" button all error messages will be cleared (hidden) from the view.
You can use Edit->Clear Error Message menu (Ctrl+E) to clear individual error message (in the current line).
Context help
You can quickly display relevant AFL function reference page if you press F1 key or choose "Function
reference" from the context menu while the caret is inside or right after function name as shown in the picture
below:
Formula Editor
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Automatic statement completion
The automatic completion feature (available when you press CTRL+SPACE key combination) finishes typing
your functions and reserved variables for you, or displays a list of candidates if what you've typed has more
than one possible match. You can select the item from the list using up/down arrow keys or your mouse. To
accept selection press RETURN (ENTER). You can also type immediately space (for variables) or opening
brace (for function) and AmiBroker will auto-complete currently selected word and close the list. To dismiss
the list press ESC key.
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Parameter Information
When you are typing a function, you can display a Tool Tip containing the complete function prototype,
including parameters. The Parameter Info Tool Tip is also displayed for nested functions.
With your insertion point next to a function, type an open parenthesis as you normally would to enclose the
parameter list.
AmiBroker displays the complete declaration for the function in a pop-up window just under the insertion point.
Typing the closing parenthesis dismisses the parameter list.
You can also dismiss the list if you press arrow up/down key, click with the mouse or press RETURN.
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Editor configuration
The settings of the AFL editor can be changed using Tools->Preferences, Editor page:
• Auto change case - controls whenever editor automatically changes case of reserved keywords (for
example if user typed valuewhen it would change it to ValueWhen)
• Parameter info - controls whenever parameter info tips are displayed
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• Virtual space - controls whenever it is possible to place the caret freely in any place after the end of a
line
• Move edited files from drag-drop to custom folder - normally formulas created by drag-drop
mechanism are located in hidden drag-drop folder, if you then want to edit them, you can do so in
place so they remain in drag drop (hidden) folder, or you may choose to move them automatically to
'custom' folder. This switch enables automatic move to custom folder
• Copy as HTML - enables copies in HTML format so AFL code is copied with colors, without it it will be
copied as plain text without formatting
• Use separate frame - if turned on it displays AFL Editor in completely separate frame that behaves
like separate application, if it is turned off, then AFL editor is displayed as a MDI tab within main
AmiBroker frame (along with charts, analysis windows, web, account windows and so on). By default
it is turned on
• Auto-complete: in "On-demand" mode auto-complete list shows up only when you press
Ctrl+SPACE, in "Immediate" mode auto-complete list pops up automatically as soon as you type first
character (letter) of the identifier.
Window control
AFL Editor Window as a separate frame can be brought on top or to the back as any other application window
using Windows Task Bar. In addition to that there is a Window->Toggle Frame menu (and Ctrl+` shortcut, `
is the tilde key just above TAB key on most keyboards) that allows to quickly toggle between AmiBroker main
frame and AFL editor frame.
The user may also turn on Window->Keep On Top feature that keeps editor window on top of AmiBroker
main frame.
Margins
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Line numbers margin, Selection margin and Fold margin can be switched on/off using View menu. In this
menu there are also options to fold/unfold all code.
Code snippets
Code snippet is a small piece of AFL code. It can be inserted by:
• right-clicking in the AFL editor window and choosing "Insert Snippet" menu, or
• dragging a snippet from Code Snippet window, or
• typing keyboard trigger (such as @for ) in the editor
For more information about Code snippets see Tutorial: Using Code-snippets
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Quick review window
This window provides overall market information like:
• daily symbol quotes
• weekly returns comparison table
• monthly returns comparison table
• quarterly returns comparison table
• yearly returns comparison table
• Price/Earnings comparison
• Price/Book value comparison
In the Date field you select the base date for comparisons. For example weekly returns are calculated by
dividing base day close price with the closing price one week before.
Filter button allows you to narrow down your search to symbols defined in Filter settings window.
Quick review window
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Automatic analysis window
Automatic analysis window enables you to check your quotations against defined buy/sell rules. AmiBroker
can produce report telling you if buy/sell signals occurred on given symbol in the specified period of time. It
can also simulate trading, giving you an idea about performance of your system.
In the upper part of window you can see the path to the formula used along with Pick and Edit buttons.
Pick button opens up a file dialog that allows you to choose the formula you want to use for the analysis.
Edit button opens up the AFL Formula Editor that allows you to edit currently selected formula.
If you want to create new formula just open Formula Editor directly from Tools->Formula Editor menu, type
the formula and press Analysis button in the Formula Editor toolbar.
In the formula editor you need to write the code that specifies either scan/exploration you want to run or a
trading system you want to back test. You can find the description of this language in AFL reference guide.
In order to make things work you should write two assignment statements (one for buy rule, second for the
sell rule), for example:
buy = cross( macd(), 0 );
sell = cross( 0, macd() );
Below these fields there are several controls for setting:
1. To which symbol(s) analysis should be applied.
You can select here all symbols, only currently selected symbol (selected in Select Window) or
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custom filter setting
2. Time range of analysis
analysis can be applied to all available quotations or only to the defined number of most recent
quotations (or days) or to a date range (from/to)
In the lower part of the analysis window you can see 4 buttons:
1. Scan
this starts the signal scan mode - AmiBroker will search through defined range of symbols and
quotations for buy/sell signals defined by your trading rules.If one of the buy/sell conditions is fulfilled,
AmiBroker will display a line describing when and on which symbol the signal has occurred. Next
AmiBroker proceeds to the end of the range so multiple signals on single symbol may be generated.
2. Explore
this starts an exploration mode when AmiBroker scans through database to find symbols that match
user-defined filter. The user can define output columns that show any kind of information required. For
more information please check out "Tutorial: How to create your own exploration"
3. Back Test
this starts the back-testing mode - AmiBroker will search through defined range of symbols and
quotation for BUY signal defined by your buy rule. If the buy rule is fulfilled, AmiBroker will "buy"
currently analyzed shares. Next it will search for SELL signal. Then, if sell rule is fulfilled, AmiBroker
will "sell" previously bought symbols. At the same time it will display the information about this trading
in the listview. After performing simulation the summary will be displayed. Read more in "Tutorial:
How to backtest your trading system"...
The back testing parameters could be changed using Settings window.
4. Settings - allows you to change back tester settings
5. Optimize - allows you to optimize your trading system. Read more in the "Tutorial: How to optimize
your trading system"...
6. Check - this option allows you to check if your formula references future quotes. AmiBroker analyses
your formula and detects if it uses quotes past current bar. Please note that formulas referencing
future can give unrealistic backtesting results that can not be reproduced in real trading, therefore you
should avoid systems that reference future.
7. Report
this displays Report window that allows you to watch, print and save test results
8. Equity
- available only after backtesting - displays Equity curve for currently selected symbol in a new chart
pane. Check out "AFL: Equity chart and function".
9. Export - allows you to export the results to CSV (comma separated values) file
10. Close
this closes the analysis window
Moreover you two options "Load" and "Save" for loading and saving your trading rules from/to files.
Enlarging results view in Automatic analysis window
There is a small arrow button next to the "Result list" horizontal divider line. This button is provided to
enlarge/shrink the result list. When you are editing your formula it is good to have edit view larger, but to see
the backtesting results it is convenient to enlarge the result list. In that case just click on that button and the
result list will be enlarged (and the edit field will get shrinked). To do the reverse just click the button again.
Automatic analysis window
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Filter settings window
This window is available from "Filter/Define..." button in quick-review and analysis windows.
Filtering option gives you ability to narrow your search to symbols belonging to the specified market, group,
sector and industry. You can also mark to include only favourites or indexes. You can use include and/or
exclude type filter so you can also selectively exclude some kind of symbols .
If you use more than one category (for example you select Market and Sector ) the filter will pass only those
symbols that match first AND second category (this logical conjunction, not alternative)
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System test settings window
Here you can define the following parameters of back-testing:
General tab
Initial equity - defines the size of your account. In Portfolio backtest - it represents entire portfolio size. In
"Individual" backtest it is per-symbol initial equity.
Positions considered (long, short, both long and short)
Futures mode
This check box in the settings page is the key to backtesting futures. It instructs backtester to use margin
deposit and point value in calculations.
Min. shares
The minimum number of shares that are allowed to buy/short. Backtester will not enter trades below that limit.
Should be 1 for stocks. Fractional values are good for mutual funds.
Min. pos value
The minimum position value (in base currency) of the trade that is allowed to be entered. Backtester will not
enter trades below that limit. Zero means no limit.
Pad and align to reference symbol
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When this is turned on, all symbols' quotes are padded and aligned to reference symbol. Note: by default this
setting is OFF. Use responsibly. It may slow down backtest/exploration/scan and introduce some slight
changes to indicator values when your data has holes and holes are filled with previous bar data. The feature
is intended to be used when your system uses general market timing (generates global signals based on data
and/or indicators calculated using Foreign from 'reference' symbol) or when you are creating composites out
of unaligned data. Note: if reference symbol does not exist, data won't be padded.
Account margin
This setting defines percentage margin requirement for entire account. The default value of Account margin is
100. This means that you have to provide 100% funds to enter the trade, and this is the way how backtester
worked in previous versions. But now you can simulate a margin account. When you buy on margin you are
simply borrowing money from your broker to buy stock. With current regulations you can put up 50% of the
purchase price of the stock you wish to buy and borrow the other half from your broker. To simulate this just
enter 50 in the Account margin field (see pic. 1) . If your intial equity is set to 10000 your buying power will be
then 20000 and you will be able to enter bigger positions. Please note that this settings sets the margin for
entire account and it is NOT related to futures trading at all. In other words you can trade stocks on margin
account.
Commissions
• commission table - backtester will use commission table as defined in Commission Schedule table
window (press Define... button to show it).
• percent - commission is expressed as a percent of trade value
• $ per trade - commission is fixed amount of dollars (or your currency) per trade
• $ per share/contract - commission is expressed in dollars (or your currency) per share/contract
purchased/sold
Annual interest rate
This setting allows you to define annual interest earned when you are out of the market or your position is less
than available equity.
Periodicity
This setting controls bar interval used for backtesting/scan/exploration/optimization. To backtest intraday data
you should switch to proper interval there and then run the backtest.
Allow position size shrinking
If you mark this box AmiBroker will shrink down positions if available equity is less than requested position
size (via PositionSize variable). If this box is unmarked positions will not be entered in such case.
Activate stops immediatelly
When you trade on open and want to have built-in stops activated on the same bar - just mark this box.
If you trade on close and want built-in stops to be activated from the next bar - unmark this box.
You may ask why do not simply check the buyprice or shortprice array if it is equal to open price.
Unfortunatelly this won't work. Why? Simply because there are doji days when open price equals close and
then backtester will never know if trade was entered at market open or close.
System test settings window
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Round lot size
Various instruments are traded with various "trading units" or "blocks". For example you can purchase
fractional number of units of mutual fund, but you can not purchase fractional number of shares. Sometimes
you have to buy in 10s or 100s lots. AmiBroker now allows you to specify the block size on global and
per-symbol level.
You can define per-symbol round lot size in the Symbol->Information page. The value of zero means that the
symbol has no special round lot size and will use "Default round lot size" (global setting) from the Automatic
Analysis settings page. If default size is set also to zero it means that fractional number of shares/contracts
are allowed.
You can also control round lot size directly from your AFL formula using RoundLotSize reserved variable, for
example:
RoundLotSize = 10;
Tick size
This setting controls the minimum price move of given symbol. You can define it on global and per-symbol
level. As with round lot size, you can define per-symbol tick size in the Symbol->Information page. The value
of zero instructs AmiBroker to use "default tick size" defined in the Settings page of Automatic Analysis
window. If default tick size is also set to zero it means that there is no minimum price move.
You can set and retrieve the tick size also from AFL formula using TickSize reserved variable, for example:
TickSize = 0.01;
Note that the tick size setting affects ONLY trades exited by built-in stops and/or ApplyStop(). The backtester
assumes that price data follow tick size requirements and it does not change price arrays supplied by the
user.
So specifying tick size makes sense only if you are using built-in stops so exit points are generated at
"allowed" price levels instead of calculated ones. For example in Japan - you can not have fractional parts of
yen so you should define global ticksize to 1, so built-in stops exit trades at integer levels.
Reverse entry signal forces exit
When it is ON (the default setting) - backtester works as in previous versions and closes already open positon
if new entry signal in reverse direction is encountered. If this switch is OFF - even if reverse signal occurs
backtester maintains currently open trade and does not close positon until regular exit (sell or cover) signal is
generated.
In other words when this switch is OFF backtester ignores Short signals during long trades and ignores Buy
signals during short trades.
Allow same bar exit (single bar trade)
When it is ON - entry and exit at the very same bar is allowed, when it is OFF then exit may occur only on
bars following the entry bar. You may turn "Allow same bar exit" option ON only if you are entering trades on
OPEN. If you are entering trades on any other time than bar's open, this option should be turned off to avoid
looking into the future.
System test settings window
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Use QuickAFL
QuickAFL(tm) is a feature that allows faster AFL calculation under certain conditions. Initially (since 2003) it
was available for indicators only, as of version 5.14+ it is available in Automatic Analysis too.
Initially the idea was to allow faster chart redraws through calculating AFL formula only for that part which is
visible on the chart. In a similar manner, automatic analysis window can use subset of available quotations to
calculate AFL, if selected “range” parameter is less than “All quotations".
Detailed explanation on how QuickAFL works and how to control it, is provided in this Knowledge Base article:
http://www.amibroker.com/kb/2008/07/03/quickafl/
Note that this option works in the backtester/optimizer, explorations and scans.
Trades tab
• prices buy/sell/short/cover price fields - allows the user to define at which price to buy/sell/short
sell/buy to cover during system test
• delays buy/sell/short/cover delay - allows to define custom delay between signal and trade
Stop tab
• max. loss stop
• profit target stop
• trailing stop
• N-bar stop
See APPLYSTOP function for more details on different stop settings
Report tab
Result list shows
This decides which format of result list is used by new backtester. Possible choices:
• Trade list (the default) - each trade is listed in a separate row. Trades are ordered by exit date by
default
• Detailed log - each data bar is listed separately. The log shows scores, positions and other very
detailed information useful for debugging your trading system/position sizing/scoring strategies
• Summary - one row per backtest is generated. The row contains backtest summary/statistics (like the
report)
Risk free rates
Defines risk free rates for Sharpe and UPI stats
Distribution charts spacing
Defines the spacing of profit, MAE and MFE distribution charts. The spacing is the % amount of
profit/MAE/MFE per single bar in a chart.
Generate detailed reports for individual backtests
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This causes that in Individual backtest mode full report is generated and stored for every security under test.
Note that this will slow down the test and take up quite a bit of hard disk space
Include trade list in the report
When turned ON (by default) the backtest report includes also trade list. Note that trade lists may be huge and
consume quite a bit of disk space
Warn before time-consuming optimizations
When turned ON (by default), AmiBroker will display confirmation dialog box when your optimization has more
than 300 steps.
Portfolio tab
Max. Open Positions
Max. Open Positions - the maximum number of simultaneously open positions. .Settable also using
SetOption("MaxOpenPositions", number ) function.
Add artificial future bar
When checked AmiBroker adds tommorrow's bar and this enables you to see tommorrow's (or next bar) trade
recommendations when your system uses one bar delay. Artificial future bar is has incremented date and
volume set to zero and all price fields (OHLC) set to CLOSE price of last data bar.
Limit trade size as % of entry bar volume
System test settings window
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This prevents from entering the trades greater than given percentage of entry bar's volume. For example if
backtesting daily data and today's volume for thinly traded stock is 177,000 shares, setting this to 10% will
limit the maximum trade size to 17,700 shares (10% of total daily volume). This prevents from 'affecting the
market' by huge orders.
IMPORTANT NOTE:
Some instruments like MUTUAL FUNDS come without VOLUME data. To backtest such instruments please
set this field to ZERO (0) or check "Disable trade size limit weh bar volume is zero" box. This effectively turns
OFF this feature. Otherwise you won't be able to enter any trade at all.
Disable trade size limit when bar volume is zero
When it is turned ON and the entry bar volume is zero the backtesterwill not apply the "limit trade size as % of
entry bar volume"- this is to allow backtesting mutual funds that come with zero volume data When it is OFF
and entry bar volume is zero then backtester will not allow to enter the trade on such bar.
Use previous bar equity for position sizing
Affects how percent of current equity position sizing is performed.
Unchecked (default value) means: use current (intraday) equity to perform position sizing, checked means:
use previous bar closing equity to perform position sizing.
Enable custom backtest procedure
When checked AmiBroker applies the custom backtest formula specified in the field below to every backtest
that you run. This is useful if you want to permantently add your custom metrics to all backtests without need
to copy paste the same code.
Custom backtest procedure path
The full path to custom backtest formula (see above).
Old tab
Drawdown figures based on...
Drawdown figures in the backtest report measure equity dip experienced during the trade(s). To calculate the
dip you can use the worst case scenario: low price for long trades and high price for short trades or single
price (open or close) for both long and short trades. "Drawdown figures based on..." setting (pic. 2) allows you
to choose the price(s) used to calculate drowndowns. Using worst case scenario you will get a few percent
bigger drawdowns than using close or open price. On the other hand Equity() function always uses
shortprice/coverprice array so you may choose open or close field here to match drawdowns as observed in
equity line.
Formula
- mark this box to include AFL formula in the backtest report
Settings
- mark this box to include settings in the backtest report
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Incl. out-of-market pos
- mark this box to include out-of-market positions in the backtest report
Overall summary
- mark this box to include sum of individual symbol backtest results
Symbol summary
- mark this box to include per-symbol summaries
Trade list
- choose format of trade list included in the report
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System test report window
NEW BACKTESTER REPORT
Exposure % - 'Market exposure of the trading system calculated on bar by bar basis. Sum of bar exposures
divided by number of bars. Single bar exposure is the value of open positions divided by portfolio equity.
Net Risk Adjusted Return % - Net profit % divided by Exposure %
Annual Return % - Compounded Annual Return % (CAR) - this is
Risk Adjusted Return % - Annual return % divided by Exposure %
Avg. Profit/Loss - (Profit of winners + Loss of losers)/(number of trades)
Avg. Profit/Loss % - '(% Profit of winners + % Loss of losers)/(number of trades)
Avg. Bars Held - sum of bars in trades / number of trades
Max. trade drawdown - The largest peak to valley decline experienced in any single trade
Max. trade % drawdown - The largest peak to valley percentage decline experienced in any single trade
Max. system drawdown - The largest peak to valley decline experienced in portfolio equity
Max. system % drawdown - The largest peak to valley percentage decline experienced in portfolio equity
Recovery Factor - Net profit divided by Max. system drawdown
CAR/MaxDD - Compound Annual % Return divided by Max. system % drawdown
RAR/MaxDD - Risk Adjusted Return divided by Max. system % drawdown
Profit Factor - Profit of winners divided by loss of losers
Payoff Ratio - Ratio average win / average loss
Standard Error - Standard error measures chopiness of equity line. The lower the better.
Risk-Reward Ratio - Measure of the relation between the risk inherent in a trading the system compared to
its potential gain. Higher is better. Calculated as slope of equity line (expected annual return) divided by its
standard error.
Ulcer Index - Square root of sum of squared drawdowns divided by number of bars
Ulcer Performance Index - (Annual profit - Tresury notes profit)/Ulcer Index'>Ulcer Performance Index.
Currently tresury notes profit is hardcoded at 5.4. In future version there will be user-setting for this.
Sharpe Ratio of trades - Measure of risk adjusted return of investment. Above 1.0 is good, more than 2.0 is
very good. More information http://www.stanford.edu/~wfsharpe/art/sr/sr.htm . Calculation: first average
percentage return and standard deviation of returns is calculated. Then these two figures are annualized by
System test report window
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multipling them by ratio (NumberOfBarsPerYear)/(AvgNumberOfBarsPerTrade). Then the risk free rate of
return is subtracted (currently hard-coded 5) from annualized average return and then divided by annualized
standard deviation of returns.
K-Ratio - Detects inconsistency in returns. Should be 1.0 or more. The higher K ratio is the more consistent
return you may expect from the system. Linear regression slope of equity line multiplied by square root of sum
of squared deviations of bar number divided by standard error of equity line multiplied by square root of
number of bars. More information: Stocks & Commodities V14:3 (115-118): Measuring System Performance
by Lars N. Kestner
OLD BACKTESTER REPORT
This window (accessible from Report button in Automatic analysis window) provides very useful information
about the performance of a trading system under the test. The information included here can be customized
using system test settings dialog.
Explanation of values:
Total net profit: This is total profit/loss realized by the test. Includes the closed-out value of the open position
(if there is any).
Return on account: This is total profit/loss as a percentage of initial investment.
Total commissions paid: The amount of commissions paid during trades.
Open position gain/loss: The closed-out value of open position that existed at the end of the test.
Buy-and-hold profit: The total profit/loss realized by buy-and-hold strategy (including commission).
Buy-and-hold % return: The total buy-and-hold strategy return as a percentage of initial investment.
Bars in test: The number of bars tested (Overall summary shows sum of number of bars in all symbols).
Days in test: The number of days between first bar date and last bar date (overall summary shows arithmetic
System test report window
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average of number of days accross the population of symbols under test)
System to buy-and-hold index: An index showing how much better/worse is the system compared to
buy-and-hold strategy. A value of 0% means that system gives the same profit as buy-and-hold strategy. A
value of 200% means that system gives 200% more profit than buy-and-hold strategy. A value of -50% means
that system gives a half of the gains of buy-and-hold strategy.
Annual system % return: Calculated compound annual percentage return of the system (*see the note)
Annual B&H % return: Calculated compound annual percentage return of the buy and hold strategy (*see
the note)
System drawdown: The largest equity dip experienced by the system (relative to the initial investment).
B&H drawdown: The largest equity dip experienced by the buy and hold strategy (relative to the initial
investment).
Max. system drawdown: The largest point distance between equity peak value and the following trough
value experienced by the system
Max. system % drawdown: The largest percentage distance between equity peak value and the following
trough value experienced by the system
Max. B&H drawdown: The largest point distance between equity peak value and the following trough value
experienced by the buy and hold strategy
Max. B&H % drawdown: The largest percentage distance between equity peak value and the following
trough value experienced by the buy and hold strategy
Trade drawdown: The largest equity dip experienced by any single trade (relative to the trade's entry price).
Max. trade drawdown: The largest point distance between equity peak value and the following trough value
experienced by any single trade
Max. trade % drawdown: The largest percentage distance between equity peak value and the following
trough value experienced by any single trade
Total number of trades: The number of trades (winners + losers)
Percent profitable: The number of winning trades compared to total number of trades shown as a
percentage
Profit of winners/Loss of losers: Total amount of money gained in winners/lost in losers.
Total # of bars in winners/losers: The number of bars spent during winning/losing trades
Largest winning/losing trade: The amount of biggest winner/loser
# of bars in largest winner/loser: The number of bars in the biggest winning/losing trade
Average winning/losing trade: The average of winning/losing trades (sum of winners/losers divided by a
number of winning/losing trades)
Average # of bars in winners/losers: The average of number of bars in winning/losing trades (total number
of bars in winners/losers divided by a number of winning/losing trades)
Max consec. winners/losers: The largest number of consecutive winning/losing trades.
Bars out of the market: The number of bars for which the system was completely out of the market (was
neither long nor short). If you open and close the position during single day, even if you have no open position
on market open and no position on close this day is NOT considered as out of the market.
Interest earned: The total interest earned between trades. Note that AmiBroker simulates O/N (overnight)
deposits. This means that if you closed the position on Monday and opened the next one on Tuesday you
earn interest for single O/N deposit.
Exposure: Shows how much you are exposed to the market. It is a ratio of bars in the market divided by total
number of bars under test. (The number of bars in the market is given by total number of bars minus bars out
of the market)
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Risk adjusted ann. return: Shows annual return of the system (*see note) adjusted (divided) by market
exposure. If your system gained 10% over one year with the exposure of 50% the adjusted return would be
20% (10%/0.5)
Ratio avg win/avg loss: The absolute value of the ratio of average winning trade to average losing trade
Profit factor: The absolute value of the ratio of the profit of winners to loss of losers
Avg. trade (win & loss): The average trade profit calculated as sum of winners and losers divided by the
number of trades.
*Note: Calculation method used for annual percentage returns:
Most of the software (including two the most popular so-called professional packages) use very simple
annualization method based on the following formula:
simple_annualized_percentage_return = percentage_return * ( 365 / days_in_test );
unfortunatelly this method is wrong and very misleading since it would tell you that annual return is 22% when
your system earned 44% during two years. This value is too optimistic. In fact annual return in this case is
only 20%: if your initial investment was 10000 you earn 20% during the first year so you then get 12000 and
20% the second year that gives you 14400 = ( 12000 * 120 % ). So after two years you earned 44% but
annually it is only 20%.
AmiBroker is one of the few programs that calculates annual returns correctly and will give you correct value
of 20% as shown in the example above. The formula that AmiBroker uses for annual return calculation is as
follows:
correctly_annualized_perc_return = 100% * ( (final_value/initial_value) ^ ( 365 / days_in_test ) - 1 )
where x^y means rising x to the power of y.
Known differencies between statistics produced by 'old' and 'new' (portfolio) backtester
Old backtester
New (portfolio) backtester
System and trade
drawdown
Open/Close/H-L range (worst
calculations based case) selectable in settings
on
Close price only (regardless of settings) - subject to
change
Max. % trade
drawdown
Calculated based on total
equity
Calculated based on ACTUAL trade value at entry
point.
Stats available
for all trades only
separately for long, short and all trades
Based on portfolio equity.
PositionSizing
Based on individual symbol
equity
PositionSize = -25;
will enter 25% of current porfolio equity
Trade statistics
Include only closed trades,
open trade is reported
separately
Include all trades (closed and those still open at the end
of analysis period). Any open trades are closed out at
'close' price always.
Exposure
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calculated regardless of
position size (no matter on
what is position size if trade is
taken for particular bar it
assumes 100% exposure at
that bar)
Multiple security
testing
N independent accounts
(multiple single equity)
System test report window
AmiBroker Reference Guide
calculations include now (in 4.43.0) the total amount of
open positions compared to total portfolio equity.
Exposure is calculated on bar by bar basis so if only
50% funds are in open trade, then exposure for this bar
is 0.5. Then individual bar exposures are summed up
and divided by number of bars to produce exposure
figure. This way true market exposure is calculated.
Portfolio equity common to all symbols under test
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Commission window
Commission table is available in the Account manager and in Automatic Analysis -> Settings window,
"General" tab, "Commission and rates: Define..."
In this window you can enter commission taken by buy/sell transactions.
There are 5 tiers of commission schedule table plus "default" tier that is used when others are not defined or
transaction does not match any tier defined. Tiers can be defined based on transaction value or number of
shares/contracts traded. Each tier has user definable minimum and maximum. If min/max is not defined or set
to zero - the tier is not active.
Each tier allows to define commission on per-share, per-trade, % of trade volume basis and allows to define
minimum and maximum commission values based on dollar or percent values.
Commission window
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Commentary window
Commentary window enables you to view textual descriptions of actual technical situation on given market.
Commentaries are generated using formulas written in AmiBroker's own formula language. You can find the
description of this language in AmiBroker Formula Language Reference Guide.
Moreover Commentary feature gives you also graphical representation of buy & sell signals by placing the
marks (arrows) on the price chart.
Newbies should read "Tutorial: How to write your own commentary" for step-by-step instructions and working
with AFL editor.
"Refresh" button causes AmiBroker to reinterpret the commentary using currently selected symbol/date.
"Load" and "Save" buttons allow to load/save commentary formulas.
"Close" button closes the commentary window.
Now the Guru chart commentary window is automatically updated and sychronized with the date selected on
the chart using "Pick" selector tool. This way you can easily read any indicator value on any selected date
right off the chart commentary window.
Commentary window
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Plugins window
Plugins window lists all loaded plug in DLLs. It is useful for inspecting which plugins are active.
In addition to just showing the list of plugins you can unload all DLLs by pressing "Unload" button and load
them back by pressing "Load" button. Please note that a DLL must be placed in the "Plugins" subfolder of
AmiBroker main directory to be seen.
At start AmiBroker scans the "Plugins" folder and loads the DLLs that follows the specifications of AmiBroker
plugin. If a DLL is loaded it is "locked" for writing so it can not be overwritten or modified.
During the development process it is necessary to overwrite/modify the DLL code - because when you apply
the changes to the source code these changes must be recompiled and stored into DLL file. To allow the
developer to overwrite the DLL used by AmiBroker the "Unload" function is available in this window.
Unloading releases the DLL so it can be overwritten without the need to restart AmiBroker. Then, after
modifying the DLL code, you can load the DLL back using "Load" function.
IMPORTANT NOTE: AmiBroker makes no representations on features and performance of non-certified
third-party plug-ins. Specifically certain plug-ins can cause instabilities or even crashes. Entire use of
non-certified third-party plugins is at your own risk.
Plugins window
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Indicator Maintenance Wizard
Indicator maintenance checks for any indicators that were deleted from any layouts on your hard disk and
frees table from entries
allocated for indicators that were deleted. This procedure is rarely but still needed because if you delete
indicator from one
layout there is no guarantee that there is no other layout file buried somewhere on your hard disk that still
references given indicator.
So Indicator Maintenance scans all hard disks and all partitions looking for layout files and analysing them to
built the
" actually used" table of indicators.
The ones which are not referenced by any layout can be deleted from internal table.
Depending on your choice you may leave default behaviour (cleaning up only internal table) or deleting actual
formula files
that are not referenced. This is up to you. If you don't use particular formula for say AA
Scan/Backtest/Optimization you can
delete it. If you use it or need it for some archive purposes - leave it unchecked.
Indicator Maintenance Wizard
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If you are not sure what options to choose, just press "Next" all the time and you will safely complete the
procedure without changing any settings.
Indicator Maintenance Wizard
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Log window
The Log window (available from Window->Log menu) allows to view:
• edit-time errors displayed during formula check
• run-time errors that occur when formula is running (not edited)
• _trace command output within AmiBroker (without using 3rd party debug view)
To perform tasks such clearing the output, copying, changing settings use right - mouse click over the log
window list.
Double click on the error line brings up the editor, so you can fix the error easily.
While "edit-time" error list is cleared automatically each time you check the syntax in the editor, the run-time
error list is NOT cleared, so all errors remain listed, even if they are fixed already, unless you manually clear
the list.
Note that _TRACE output is by default directed to outside debugger (like DebugView), in order to enable
internal display you need to switch appropriate option in the Tools->Preferences->AFL You can choose to
display internally / externally or in both places.
Internal _trace has much lower performance penalty (order of magnitude) than external, but that is achieved
by the fact that
internal log window is refreshed only when application is not busy. It is appropriate for some uses, but you
may prefer more immediate
refresh offered by DebugView.
Note that internal log window accepts special string "!CLEAR!" that causes deleting contents of the log
window, as presented in the example below:
_TRACE("!CLEAR!"); // this clears the internal log window.
_TRACE("First line after clear");
Log window
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Performance Monitor window
The performance monitor is available from Tools->Performance Monitor menu and it shows some memory
and usage statistics:
• number of symbols in the database
• number of symbols cached in RAM
• quotation data memory usage
• current symbol memory usage
• total chart refresh time
• real-time data stream update frequency
The contents of the window is updated automatically every 3 seconds
This tool is intended to be used now for two purposes:
a) tweaking cache settings for best RAM usage (for example optimizations will run faster if all quotation data
can be kept in RAM)
b) monitoring real-time performance
More uses will probably come in the future.
Log window
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Menus
This chapter describes AmiBroker menus.
There are following main pull down menus:
• File
• Edit
• View
• Insert
• Format
• Symbol
• Analysis
• Tools
• Window
• Help
And the following CONTEXT menus:
• AFL Editor context menu (available when you click with RIGHT mouse button in the AFL editor)
• Automatic Analysis window context menu (available when you click with RIGHT mouse button over
Automatic Analysis RESULT LIST)
• Alert Output context menu (available when you click with RIGHT mouse button in the Alert Output
window)
• Chart pane context menu (available when you click with RIGHT mouse button in the chart pane)
• Layouts context menu (available when you click with RIGHT mouse button in the Workspace ->
Layouts tree )
• Formula context menu (available when you click with RIGHT mouse button in the Workspace ->
Charts tree )
• Layers context menu (available when you click with RIGHT mouse button in the Workspace -> Layers
list )
• RealTime Quote context menu (available when you click with RIGHT mouse button in the Real time
quote list)
Menus
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File menu
New
• Database
Creates a new AmiBroker database and launches Database settings window.
• Default Chart
Creates new chart window using default template. It's possible to select the symbols and time frame
independently in each of the windows opened.
• Linked Chart
Creates linked chart window based on current template and active chart. Linked windows use the
same symbol selection, so if you change the selected symbol for one of them, the other one will
synchronize automatically. Linked windows can have DIFFERENT viewing time frame selected.
Simply activate the window and select desired interval from View menu for one window, then switch to
the other one and select different interval for it. This option allows you to select different time frame or
indicators' set in each window and easily move through the database.
• Blank Chart
Creates new (blank) chart window. This is useful if you want to create completely new setup of charts
that do not share the same chart IDs. It is important if you want to have indicators that have
independent parameters from the other windows that you have created.
• Blank Pane
Creates new (blank) chart pane
• Account
Creates New Account (Account Manager)
• Web Research
Creates New Web Research window
File menu
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Open
Opens document (account, database or HTML file - you can pick document type from "Files of type" combo in
the File selector window)
Close
Closes current (active) document window (chart, account, web research)
Open Database
Allows you to open an existing AmiBroker database. Please select the database folder and press OK.
Save Database
Saves the currently used database
Save Database As...
Saves database into new location
Save
Saves current document (account, html file)
Save As...
Saves current document (account, html file) under new name
Save All
Saves all documents currently open
Database Settings
Opens Database settings dialog that allows you to change your database parameters or intraday settings.
Import Wizard
Launches ASCII Import Wizard window, that allows you to easily import ASCII (text) files into your database
Import ASCII
Allows you to import ASCII files with use of predefined import formats. To learn more how to use ASCII
importer, please read ASCII Importer reference chapter.
Import MetaStock data
Launches Metastock importer window. IMPORTANT NOTE: Metastock importer should be used ONLY if you
want to import MS data to native, local AmiBroker database once. If you want AmiBroker to just read
Metastock database DIRECTLY without need to import new data over and over please set up your database
WITH METASTOCK PLUGIN as described in the Tutorial.
Print
Allows you to print currently displayed charts.
Print Preview
Prints currently displayed charts with the preview (you can check the appearance of the document before it's
printed).
Print Setup
Opens printout setup dialog.
File menu
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Send Chart via E-mail
AmiBroker creates .png image (with the currently displayed chart) and uses your default mailing program (e.g.
Outlook Express) to send the file as an attachement.
Exit
Closes AmiBroker program.
File menu
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Edit menu
Undo
Allows to undo the last operation performed on chart studies (trendlines etc.). This option will be unavailable if
no study has been drawn or moved.
Cut, Copy, Paste, Delete
These options can be used to cut, copy, paste or delete studies from the chart. Cut, copy and delete will be
greyed out if no object on the chart is selected. To paste the object, it's necessary to use 'copy' or 'cut' option
first.
To learn more about drawing tools in AmiBroker, please read Drawing tools reference chapter.
Delete All
Deletes all the objects from the currently opened chart window.
Image
• Copy As Bitmap - copies the curently opened chart to the system clipboard as a .BMP image. You
can paste the clipboard contents e.g. into 'Paint' application.
• Copy As Metafile - copies the curently opened chart to the system clipboard as a metafile
• Export to file - saves the currently displayed chart as .PNG file
• Send by E-mail - AmiBroker creates .png image (with the currently displayed chart) and uses your
default mailing program (e.g. Outlook Express) to send the file as an attachement.
Delete quotation
Deletes currently selected bar.
Delete Session
Deletes currently selected bar from ALL the symbols in the database.
Properties
Opens a study properties dialog. More information can be found in Drawing tools reference chapter.
Edit menu
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View menu
Crosshair
Turns on/off crosshair.
X-Y labels
Controls the display of X-Y value labels
• Off
• With crosshair only - display X-Y value labels
when crosshair is activated
• Always on - always display X-Y value labels
Price Chart Style
Changes the style of the default Price chart
• Auto - uses settings defined in Tools
->Preferences
• Line - line chart
• CandleSticks - candlestick chart
• Bars - traditional bar chart
Intraday
Allows you to chose one of intraday time intervals and
decide whether to display day or night sessions. Day and
night sessions' hours can be set in: Database settings
window (File -> Database Settings -> Intraday settings) or
separately for group in Categories window (Symbol ->
Categories).
• Day / Night - shows two bars (day and night) per
day
• Show 24 hours trading - no filtering is applied
and all the data in the database is included in the
chart.
• Show day session only - displays day sessions
only.
• Show night session only - displays night
sessions only.
• Show day and night sessions - displays day
and night sessions.
Daily, Weekly, Monhly, Quarterly, Yearly
Allows to change the display time interval.
Pad non-trading days
Enable padding of Saturdays, Sundays and other
non-trading days with previous close price
View menu
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Filtering
Allows to choose between no filtering (24 hours trading
display), regular trading only, extended trading only.
Zoom
Controls the zoom of the chart
• In - reduces number of bars displayed
• Out - increases number of bars displayed
• All - displays all the available bars for the current
symbol
• Normal - displays default number of bars (defined
in Tools -> Preferences -> Charting)
• Range - displays the bars from the selected
range
• Shorter bars - reduces the vertical size of the
bars
• Longer bars - increases the vertical size of the
bars
History
Allows to move Back/Forward in 'browser-like' way.
• Previous move to previous symbol (keyboard
shortcut: Ctrl+Alt+LEFT)
• Next move to next symbol (keyboard shortcut:
Ctrl+Alt+RIGHT)
Pane
• Close - closes curently selected chart pane
• Arrange All - arranges all the displayed charts
• Move Down - moves curently selected chart
pane one position down
• Move Up - moves curently selected chart pane
one position up
• Maximize - maximizes curently selected chart
pane
• Restore - restores the charts layout after using
Maximize
Toolbars
Allows you to display/hide the toolbars.
View menu
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Refresh
Refreshes the chart window.
Refresh All
Refreshes the chart window and re-reads the contents of all the categories in symbols tree in Workspace
window.
Note to users of previous versions: the items that control Symbol, Layouts, Layers, Charts, Information and
other windows have been moved to Window menu.
View menu
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Insert menu
Trend line
Draws a trend line.
To draw a trend line the chart - start drawing by pointing the mouse and pressing left mouse button where you
want to start the drawing. Then move the mouse and study tracking line will appear. Release left mouse
button when you want to finish drawing. Alternatively you can click once in the place where you want the
trendline to begin, move the mouse and click once again to finish drawing. You can also cancel study drawing
by pressing ESC (escape) key.
Ray
Draws a ray. Ray is a right-extended trend line.
Extended line
Draws an extended line. Extended line is a trend line that is extended automatically from both left- and rightsides.
Horizontal line
Draws a horizontal line. Horizontal line is self expanding so it is only necessary to click on the chosen
Insert menu
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price-level.
Vertical line
Draws a vertical line. Vertical line is self expanding so it is only necessary to click on the chosen bar.
Parallel lines
Draws parallel trendlines.
This tool allows to draw a series of parallel trend line segments. First you draw a trend line as usual, then a
second line parallel to the first is automatically created and you can move them around with the mouse. Once
you click on the chart it is placed in given position. Then another parallel line appears that can be placed
somewhere else. And again, and again. To stop this please either press ESC key or choose "Select" tool.
Regression channel
Draws Raff, standard deviation, standard error channels. To read the detailed information regarding this tool
please read Drawing tools reference chapter.
Andrews' pitchfork
Draws an Andrews' pitchfork. Read Drawing tools reference chapter for more detailed information.
Triangle
Draws a Triangle. Left-click in the first point, move to the second point then click once, then move to the third
point and click once again.
Rectangle
Draws a rectangle. Left-click in the first point, move to the position where you want to place the oposioposite
corner and click once again.
Ellipse
Draws an Ellipse. Ellipse is connected to the date/price coordinates (as trend lines) rather than to the screen
pixels so it can change the visual shape when displayed at various zoom factors or screen sizes. To see the
properties of ellipse you should double-click on the clock-like 3, 6, 9 or 12 hour positions.
Insert menu
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Arc
Draws an Arc. Arc, the same as Ellipse is connected to the date/price coordinates (as trend lines) rather than
to the screen pixels so it can change the visual shape when displayed at various zoom factors or screen
sizes. To see the properties of ellipse you should double-click on the clock-like 3, 6, 9 or 12 hour positions.
Cycle
Draws time cycles. To use time cycles tool, click on the cycles drawing tool button in the toolbar then click at
the starting point of the cycle and drag to the end of the cycle. These two control points control the interval
between the cycle lines. When you release the mouse button you will get a series of parallel lines with equal
interval in between them.
Text
Allows to place a custom text on the chart. Left-click on the chart to start typing. To finish - click once again on
the chart, outside the text box. You can also cancel typing by pressing ESC (escape) key.
Zig-zag
Draws a series of connected trend lines. To finish the series double-click or press ESC (escape) key.
Arrow
Draws a line that ends with an arrow. Drawing technique is exactly the same as drawing a trend line.
Fibonacci
Group of Fibonacci drawing tools. Read Drawing
tools reference chapter for more detailed
information.
• Fibonacci Retracement study
• Fibonacci Time zones study
• Fibonacci Fan
• Fibonacci Arc
• Fibonacci Extensions
• Fibonacci Time Extension lines
Insert menu
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Gann
Group of Gann drawing tools.
• Gann Fan
• Gann Square
Read Drawing tools reference chapter for more detailed information.
Insert menu
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Format menu
These options allow you to apply color or style to the objects. Note that you can also select color and style of
the object before drawing new object: simply deselect previous object (if any), change style selections and
draw new object.
Thick
Changes drawn object formatting to thick style.
Dotted
Changes study formatting to dotted style.
Left Extend
Extends the trendline to the left.
Right Extend
Extends the trendline to the right.
Snap to price
Turns on the magnet that snaps the drawn studies to the prices. Snap to price % threshold can be set in
Preferences window. Snap to price % threshold defines how far price 'magnet' works, it will snap to price
when the mouse is nearer than % threshold from H/L/C price
Format menu
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Symbol menu
New
Allows you to add new symbols into the database. After selecting this function you will be prompted for new
ticker symbol. Please try not to exceed 26 chars. For proper import functioning you should enter the symbol
with CAPITALS.
Delete
Removes currently selected symbol from the database. After choosing this function you will be asked for
confirmation of symbol removing. Note well that this operation can not be undone.
Split
Allows you to perform stock split. AmiBroker provides easy way of handling stock splits. Program will try to
guess split date and ratio by analyzing quotations. If there is just a single quotation after split this should work,
if not you will be asked for split date and ratio. You can specify a split using following expression: x->y which
means that x shares before split become y after it. For example 2->3 means that 2 shares become 3 after the
split. It is also possible to perform reverse-split, for example 2->1, which means that 2 shares are joined
together into 1 share.
Merge
This function allows you to merge two tickers, when the ticker for the symbol is changed and in your database
- one symbol holds historical quotes and the second one holds newest quotes (after name change). I You
should just select the new ticker (after name change) and use Symbol->Merge. Then from the combo you
should choose original ticker ("merge with") and optionally check the following fields:
• overwrite duplicate quotes - checking this option will overwrite the quotes already existing in "new"
ticker with those present in "old" ticker (this should really not be the case, but may happen).
• delete "merge with" afterwards - checking this option will delete the "old" ticker after merging
Symbol menu
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• assign alias name - checking this option will copy the "old" ticker to the alias field of the "new" ticker
Find
Opens Symbol finder window that allows you to quickly search the database for a symbol by typing the first
letters of its full name or ticker.
Information
Opens the Information window for the symbol, which allows you to change the symbol properties.
Finances
Finances window allows you to enter some fundamental data for the symbol (sales income, earnings before
taxes (EBT), earnings after taxes (EAT) ). AmiBroker will compute P/E (Price to Earnings ratio) and EPS
(Earnings Per Share) indicators out of the data given.
Quote Editor
Opens Quote Editor window that allows you to edit, delete and add quotations into your database.
Watchlist
These options allow you to manage your watchlists. Working with watch lists chapter explains in more detail
the way you can use the below options.
• Add Selected Symbol - adds the currently selected symbol to the specified watchlist(s).
• Remove Selected Symbol - removes the currently selected symbol from the specified watchlist(s).
• Type-in Symbols - allows you to type-in the symbols to the watchlist(s).
• Import - allows to import the watchlist from the .TLS file
• Export - exports the symbols belonging to the watchlist to the .TLS (symbol list) file
• Erase (make empty) - removes all the symbols from the specified watchlist.
• Sort alphabetically - sorts tickers alphabetically in the specified watchlist
• Hide empty watchlists - hides watch lists with no symbols in the symbol tree
• New watchlist - creates new watch list
• Delete watchlist - deletes selected watch list (it does not delete symbols from teh database)
Categories
Categories window allows you to define names of markets, groups, sectors and industries. For each market
you can also define base indexes for calculating relative strength, composite data, beta or web profile URL.
Organize assignments
Assignment organizer window allows you to easily change the category assignments for the symbols or to
delete multiple symbols from the database.
Calculate Composities
Opens Composite calculation window that allows for automatic calculation of number and volume of
advancing/declining/unchanged issues or volume numbers for indices.
Symbol menu
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Analysis menu
Quick Review
Opens Quick review window that provides overall market information like: daily symbol quotes,
daily/weekly/monthly/quarterly/yearly returns comparison table or Price/Earnings and Price/Book value
comparison.
Automatic Analysis
Opens Automatic Analysis window that enables you to check your quotations against defined buy/sell rules or
explore your database. AmiBroker can produce report telling you if buy/sell signals occurred on given symbol
in the specified period of time, simulate trading, giving you an idea about performance of your system or
optimize the trading system you use to improve it's performance.
Commentary
Displays Commentary window which allows you to view textual descriptions of actual technical situation on
given market.
Formula Editor
Opens the Formula Editor window that enables you to write your own formulas.
AFL Code Wizard
Opens the AFL Code Wizard - the add-on program that creates trading system AFL code from plain English
sentences. See introduction video to AFL Code Wizard.
Analysis menu
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Tools menu
Database Purify
Database purify tool allows to detect missing/extra quotes, possible splits or invalid OHLC relationship.
Indicator Maintenance
Opens Indicator Maintenance wizard, that helps to clean up unused indicator space
Bar Replay
Opens Bar Replay tool, which allows to replay historical data.
Preferences
Opens Preferences window which allows you to configure the program.
Save Preferences
Saves all the preferences changes (the information is store in broker.prefs file).
Plugins
Opens Plugins window. It contains the lists of all loaded plug-in DLLs and can be used for inspecting which
plugins are active. It's also possible to unload the plugins.
Customize
Customize tools dialog allows you to define custom tools that can be invoked from Tools menu.
Auto-update quotes
Auto-update quotes option updates historical quotes from the last date present in AmiBroker upto today with
use of AmiQuote Downloader. The detailed description on how to use AmiQuote do obtain free quotations can
be found in Automatic update of EOD quotes tutorial chapter.
Sharenet Downloader
Launches the script which downloads the quotations from Sharenet (South Africa only).
Export to CSV file
Runs a script that exports the database to the CSV file. Note that you can use Automatic Analysis window to
export the quotes way faster than with use of this script.
Tools menu
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Cleanup database
Launches the script that allows you to find non-traded stocks in the database. Script automatically scans the
database and checks the latest quotation date. If it is old enough, the script will display warning message and
lets you decide whether the stock should be deleted or not. Additionally script can generate a list of "old"
stocks and save it to the text file. The detailed information is available in: 05-2000 issue of the newsletter.
Tools menu
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Window menu
IMPORTANT NOTE to old version users: Window -> New and Window -> New Linked options have been
moved to File->New->Default Chart and File->New->Linked Chart menus.
Symbols tab - symbols tree with categories (See: Understanding categories).
Layouts tab - list of available global and local layouts (See: Working with chart sheets and window layouts).
Layers tab - list of chart layers (See: Working with layers).
Charts tab - the window showing the list of chart formulas (See: Working with drag-drop charting interface).
Interpretation
Displays/hides the Interpretation window.
Realtime Quote
Displays/hides the Realtime Quote window. The RT quote window provides real-time streaming quotes and
some basic fundamental data. To learn more read: How to use AmiBroker in Real Time mode chapter.
Alert Output
Shows/hides Alert Output window. The window displays texts generated by formula based alert. The detailed
information on how to use alerts is available in: Using formula-based alerts part of the Users' Guide.
Window menu
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Notepad
Displays/hides Notepad window, that allows to store free-text notes about particular security. Just type any
text and it will be automatically saved / read back as you browse through symbols. Notes are global and are
saved in "Notes" subfolder as ordinary text files.
Symbol Information
Shows symbol information window with fundamental data.
Time & Sales
Shows Time and Sales real time window
Log
Shows the log window that displays AFL error messages, run-time errors and _TRACE output
Data window
Shows the data window that displays values of chart indicators
Risk/Yeld map
Displays Risk/Yeld map of all the symbols in the database. Risk/yield map calculates average weekly return
(the yield) and standard deviation of the weekly returns (the risk) over at least 12 weeks. It requires at least 60
bars worth of data for every stock. To zoom in - mark the area with the mouse. To zoom-out simply click on
the map.
Cascade
Cascades opened chart windows.
Tile Horizontaly
Tiles the opened chart windows horizontally.
Tile Vertically
Tiles the opened chart windows vartically.
Normal
Switches the chart window to "normal" (non-floating) state. More info here.
Floating
Switches the chart window to floating state. More info here.
Arange Icons
Allows you to arrange the minimized windows. Arrange icons works only if:
• You created more than two windows (via Window->New or Window->New Linked)
• You have minimized them
• You moved the minimized boxes
Arrange icons option will align the windows nicely at the bottom of the AmiBroker window.
Window menu
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Help menu
Help Contents
Displays the contents of the AmiBroker Users' Guide.
Search
Allows you to search the Users' Guide.
Tip of the day
Shows Tip of the day dialog where many useful usage tips are displayed.
AmiBroker on the web
• link to AmiBroker Home page
• list of benefits for registered users
• secure On-line order form
• AmiBroker Mailing List
• On-line formula library
• On-line AFL function reference
Readme
Displays the contents of Readme file. Please note that all the recent changes in beta releases are reported in
Readme.
About AmiBroker
Shows the 'About' window, which contains the information about program version and user details.
Help menu
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AFL Editor menu
AFL editor features separate menu consisting of the following choices:
1. File
where
• New - clears the formula editor window
• Open - opens the formula file
• Save - saves the formula under current name
• Save As.. - saves the formula under new name
• Print - prints the formula
• Exit - closes the editor
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2. Edit
where
• Undo - un-does recent action (multiple-level)
• Redo - re-does recent action (multiple-level)
• Cut - cuts the selection and copies to the clipboard
• Copy - copies the selection to the clipboard
• Paste - pastes current clipboard content in the current cursor position
• Select All - selects entire text in the editor
• Find... - provides access to text search tool
• Copy Error Message - copies current error message displayed in the bottom of the editor window to
the clipboard (option is active only when there are any errors displayed after syntax check)
3. Tools
where
• Verify syntax - checks current formula for errors
• Apply indicator - saves the formula and applies current formula as a chart/indicator ONCE
• Insert chart - saves the formula and applies current formula as a chart MANY TIMES (inserts multiple
times)
• Send to Auto-Analysis - saves the formula and selects it as current formula in Automatic Analysis
window
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• Scan - saves the formula and performs Scan in Automatic Analysis window
• Exploration - saves the formula and performs Exploration in Automatic Analysis window
• Backtest - saves the formula and performs Backtest in Automatic Analysis window
• Optimization - saves the formula and performs Optimization in Automatic Analysis window
• Check - saves the formula and performs Check (if given formula references future) in Automatic
Analysis window
• Options: Auto-save formula before running analysis - when checked, any click on
Scan/Explore/Backtest/Optimize button in Automatic Analysis window triggers automatic save of
current formula.
4. Help
where
• Function reference - displays reference page for currently highligted AFL function, more on this
feature here.
• Parameter info - displays parameter tooltip for currently highlighted AFL function, more on this feature
here.
• AFL Language reference - displays language reference page.
• Function index by Name - displays alphabetical list of AFL functions.
• Function index by Category - displays categorized list of AFL functions.
• Help on Editor - displays this help page.
as well as context menu (available via RIGHT click over the formula):
which essentially duplicates choices available from regular menu.
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Automatic Analysis result list context menu
This menu shows up when you click with RIGHT mouse button over Automatic Analysis result list.
Available choices:
• Show arrows for all raw signals - show buy/sell/short/cover arrows for all raw (unfiltered) signals. If
your formula is for example
buy = C > MA( C, 10 );
you will get a buy (solid green) arrow for all bars where close was above 10-bar moving average
• Show arrows for actual trades - show arrows only on trade entry/exit bars. This shows arrows for ALL
TRADES. If your formula is for example
buy = C > MA( C, 10 );
you will get a buy (solid green) arrow only for the very first bar when close crossed above moving
average and trade was initiated, and you won't get any subsequent buy arrows until a matching sell
(trade exit) occurs.
Note that trade arrows represent all possible trades taken. Given trade may not be taken by
backtester if there are insufficient funds to enter it.
• Show current trade arrows - show entry/exit arrows for selected trade only. This displays the arrows
for currently selected trade (from the result list). It represents trade actually taken.
Automatic Analysis result list context menu
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• Add all results to watch list - adds all symbols from the result list to the watch list of your choice. More
on this here
• Add selected results to watch list - adds symbols from selected rows to the watch list of your choice.
More on this here
• Replace watch list with all results - empties the watch list and then adds all symbols from the result list
to the watch list of your choice. More on this here
• Replace watch list with selected results - empties the watch list and then adds symbols from selected
rows to the watch list of your choice. More on this here
• Clear result list - removes all rows from the result list
• Copy - copies result list to the Windows clipboard, so you can paste it to some other application, like
Excel for example
IMPORTANT NOTES:
1. Buy arrow is solid green, Sell arrow is solid red, Short arrow is hollow red, Cover arrow is hollow green
2. Arrows are shown only on the charts that have "Show arrows" property turned ON.
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Chart context menu
This context menu shows up when you click with RIGHT mouse button over chart pane.
Available options:
• Parameters... - brings up Parameters dialog allowing you to modify parameters of indicators, as well
as colors, styles, scaling and axes settings
• Edit Formula... - brings up Formula Editor allowing you to view/modify the AFL code of indicator
• Close - closes chart pane
• Intraday ... - allows you to switch viewing time frame to one of available intraday intervals
• Daily view - switches viewing interval to daily
• Weekly view - switches viewing interval to weekly
• Monthly view - switches viewing interval to monthly
• Pane
♦ Close - closes chart pane
♦ Arrange all - arranges panes to equal height
♦ Move up - moves selected chart pane up (switches pane vertical order)
♦ Move down - moves selected chart pane down (switches pane vertical order)
♦ Maximize - maximizes selected pane so it fills entire screen
♦ Restore - restores selected pane to previous size
• Template
♦ Load... - loads single window chart template from the selected file (more on templates and
layouts here)
♦ Save... - saves single window chart template to the selected file
♦ Load default - loads default single window template
♦ Save as default - saves current single window setup as default template
• Delete indicator - deletes one of drag-and-drop indicator sections found in the code
• Delete study - deletes selected manually drawn study (like trend line, Fibonacci, Gann...) - more on
this here
• Delete All studies - deletes all manually drawn studies (like trend line, Fibonacci, Gann...)
• Properties - displays properties (coordinates, colors, etc) of manually drawn study (like trend line,
Fibonacci, Gann...) more on this here and here.
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Layouts context menu
Layouts context menu shows up when you click with RIGHT mouse button over layout in the Workspace
window, Layouts tab.
Available choices:
• Open - loads selected layout
• Save - saves current window layout under current name
• Save As... - save current window layout under new name
• Save as default - save current window layout as default (startup) layout for given database
• Delete - delete selected layout
To learn more about Layouts please check Tutorial: Chart sheets and layouts
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Formula (chart) context menu
Formula (chart) context menu shows up when you click with RIGHT
mouse button over formula listed in the Charts tab of Workspace pane
(see picture on the left)
Available choices:
• Insert - inserts selected indicator into new chart pane.
Insert command internally creates a copy of the original formula file and places such copy into hidden
drag-drop folder so original formula will not be affected by subsequent editing or overlaying other
indicators onto it.
Double clicking on formula name is equivalent with choosing Insert command from the menu.
• Insert Linked - inserts selected indicator into new chart pane directly (i.e. linked to original).
Insert Linked command does not create any copy of the formula. Instead it creates new chart pane
that directly links to original formula. This way subsequent editing and/or overlaying other indicators
will modify the original
• Overlay - overlay selected indicator onto selected chart pane
Overlay command internally appends additional code to the formula used by the chart pane. If given
chart pane was created usign Insert Linked, it will modify original (linked) formula.
• Analysis - show up Automatic Analysis window and pick selected formula
• Edit - open Formula Editor window to edit selected formula
• Rename - rename currently selected formula file
• Delete - delete currently selected formula file
• New
♦ Formula - creates new formula file in currently selected folder
♦ Folder - creates new subfolder under currently selected folder
• Refresh - re-reads Formula directory and re-display formula tree
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Layers context menu
Layers context menu shows up when you click with RIGHT mouse button
over layer list in the Layers tab of Workspace pane.
Available options:
• Add layer - adds new layer
• Remove layer - removes selected layer.
Please note that you can not remove first 5 (built-in) layers
• Show All - shows all not locked layers
• Hide All - hides all not locked layers
• Toggle - toggles visibility of not locked layers
• Lock built-in layers - allows you to lock 5 first (built-in) layers. When layer is locked its visibility changes
automatically when interval changes and you can not show/hide it manually.
• Unlock built-in layers - allows you to unlock 5 first (built-in) layers. Once layer is unlocked its visibility does not
change automatically when interval changes and you can show/hide it manually.
• Properties this launches properties box that allows you to rename layer and decide if given layer should or should not be locked to
interval displayed. If you mark "Lock visibility to interval" box the layer will show/hide automatically depending on what
interval is
currently displayed. You can define visibility for each layer using "Interval" combo and "Show/hide automatically" buttons.
Note that there is a *separate* visibility setting for EACH interval. The layer properties box ALWAYS shows "monthly"
interval at start but this is just a startup condition you just switch to particular interval
and modify visibility. To setup locked layer completely you have to set visibility for every layer listed in the "Interval"
combo-box. Simply select the interval and choose if layer should be shown or hidden for this interval, select next interval
and again choose show or hide, select next and so on...until you define visibility for all intervals.
More information about what layers are and how to use them is in the Tutorial: Using Layers section of the
guide.
Layers context menu
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Real-time quote context menu
Time & Sales
Opens Time & Sales window that provides information about every bid, ask and trade streaming from the
market.
Easy Alerts
Opens Easy Alerts window that provides way to define realtime alerts executed when bid/ask/last and other
fields hit user-defined levels
Add Symbol
Adds current symbol to Real-Time Quote list
Add watch list...
Adds entire watch list to real-time quote window
Type-in symbols
Allows to type the symbols directly as comma-separated list
Insert empty line
Adds empty (separator) line - useful for grouping symbols
Remove Symbol
Removes highlighted line (symbol) from the Real-Time Quote list.
Remove All
Removes all symbols from real-time quote list
Hide
Hides Real-Time Quote list
Layers context menu
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Keyboard shortcuts
AmiBroker allows complete customization of the user interface, including keyboard shortcuts. To define your
own shortcuts use Tools->Customize menu, Keyboard tab. Read more about it in the Tutorial: User
Interface Customization.
Pre-defined keyboard shortcut list follows below, please note that if you used keyboard customization features
the list here may not be valid because some of the entries may have been changed to your own.
Keyboard shortcut
Command
CTRL+0
VIEW_HOURLY
CTRL+1
VIEW_1MINUTE
CTRL+5
VIEW_5MINUTE
CTRL+6
VIEW_15MINUTE
CTRL+C
EDIT_COPY
CTRL+D
VIEW_DAILY
CTRL+E
CHART_EDITFORMULA
CTRL+H
VIEW_CROSSHAIR
CTRL+I
CHART_MORE_INDICATORS
CTRL+M
VIEW_MONTHLY
CTRL+N
FILE_NEW
CTRL+O
FILE_OPEN
CTRL+P
FILE_PRINT
CTRL+R
CHART_PARAMETERS
CTRL+S
FILE_SAVE
CTRL+V
EDIT_PASTE
CTRL+ADD (CTRL+'+')
VIEW_ZOOM_IN
ALT+BACK
EDIT_UNDO
DELETE
EDIT_CLEAR
ALT+DELETE
EDIT_CLEAR_ALL
SHIFT+DELETE
EDIT_CUT
END
CHART_SCROLL_END
F1
HELP
SHIFT+F1
CONTEXT_HELP
F12
CHART_RANGE_BEGIN
CTRL+F12
CHART_RANGE_HIDE
SHIFT+F12
CHART_RANGE_END
Keyboard shortcuts
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F3
STOCK_FIND
F4
QUICK_FIND
F5
VIEW_REFRESH_CHARTS
F6
NEXT_PANE
SHIFT+F6
PREV_PANE
HOME
CHART_SCROLL_BEGIN
CTRL+INSERT
EDIT_COPY
SHIFT+INSERT
EDIT_PASTE
ALT+LEFT
SYMBOL_PREV
CTRL+ALT+LEFT
VIEW_GO_PREV
SHIFT+ALT+LEFT
SYMBOL_PREV_TREE
PAGE_DOWN
CHART_SCROLL_PAGE_RIGHT
CTRL+PAGE_DOWN
VIEW_SHEET_NEXT
PAGE_UP
CHART_SCROLL_PAGE_LEFT
CTRL+PAGE_UP
VIEW_SHEET_PREV
ALT+RETURN
CHART_STUDY_PROPERTIES
ALT+RIGHT
SYMBOL_NEXT
CTRL+ALT+RIGHT
VIEW_GO_NEXT
SHIFT+ALT+RIGHT
SYMBOL_NEXT_TREE
CTRL+SUBTRACT (CTRL+'-')
VIEW_ZOOM_OUT
CTRL+W
VIEW_WEEKLY
CTRL+X
EDIT_CUT
CTRL+Z
EDIT_UNDO
Keyboard shortcuts
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Import ASCII
AmiBroker has easy-to-use and flexible quotation import feature. This document describes advanced
concepts of AmiBroker ASCII importer. Novice users should start with ASCII Import Wizard.
How does it work?
Quotation data may come from various sources so the format of the ASCII (i.e. text based) file may be much
different from one source to another. To handle all those differences AmiBroker uses format definition
commands that define the way the text information is interpreted by the ASCII importer. The format definition
commands are keywords that begin with a dollar sign '$'. These commands may be embedded in the data file
itself or, may be stored in the separate format definition file for multiple use. Storing format definition
commands in separate file avoids the need to include the commands in every data file. The default format
definition file name is "default.format". This file, all other ".format" files and "import.types" file (described later)
should be stored in \Formats subdirectory of AmiBroker's current working directory. The defaults are
overridden by any commands included (embedded) in the data file itself.
So, when you use the "Import from ASCII" menu, AmiBroker first looks for the format definition stored in
"default.format" file and then parses the file you have chosen. If there is no "default.format" file then it uses
internal defaults (described below).
You can modify "default.format" file to suit your needs. Moreover using OLE Automation (Win32 version) or
ARexx (Amiga) interface you can specify the name of the format definition file which will be used instead of
"default.format" file.
Format definition commands
The command keywords begin with a dollar sign '$''. Every line starting with command is interpreted in special
way. Here is the list of commands recognized by AmiBroker's built-in importer. Bold letters mark keywords.
Command
$ADDRESS
Arguments <string>
Define company address
address of company
Alias
Examples
$ADDRESS "One Microsoft Way"
Command
$AUTOADD
Arguments <number>
Switch new ticker add mode
0 - do not add , 1 - add a new stock when
non-existing ticker detected (default = 0)
Alias
Examples
$AUTOADD 1
Command
$ALLOWNEG
Allow negative numbers in prices
Arguments <number>
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0 - do not allow negative values (default),
1 - allow negative values in prices. This
additionally switches off any checking for
OHLC relationship so you can import any
data into OHLC fields.
when $ALLOWNEG is NOT specified in
the ASCII importer definition AmiBroker
performs the following range checking
and fixup on open, low and high prices
if( open == 0 ) open = close;
if( high < max( open, close ) ) high = max(
open, close );
if( low == 0 ) low = min( open, close )
Alias
Examples
$ALLOWNEG 1
Command
$ALLOW99SECONDS Convert invalid second stamp
Arguments <onoff>
This flag works ONLY in
conjunction with $TICKMODE 1
(see below for details)
$ALLOW99SECONDS set to 1 will
convert all records with invalid
seconds (i.e greater than 59)to 59s.
So record stamped 16:29:70 will be
treated as 16:29:59
Alias
Examples
$ALLOW99SECONDS 1
Command
$APPENDNAME
Arguments <string>
Alias
append string to the ticker name (useful
when you need to join several fields
together to make unique stock symbol)
string to append to the ticker symbol
$APPENDTICKER
Examples
Command
$BREAKONERR
Arguments <number>
Define on-error behaviour
0 - to continue, 1 - to break import on
error (default=0)
Alias
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Examples
$BREAKONERR 1
Command
$CONT
Arguments <number>
Define continuous quotations flag
<0 or 1> - continuous quotations flag, this
affects $AUTOADD 1 mode - if this is set,
newly added stocks are switched to
continuous quotation mode (this means
enabling candlestick charts for example)
Alias
Examples
$CONT 1
Command
$CURRENCY
Arguments <string>
Define symbol's currency
Defines currency of symbol
Alias
Examples
$CURRENCY EUR
or
$FORMAT NAME, CURRENCY
$OVERWRITE 1
$AUTOADD 1
Command
$DATE_DMY
Arguments <number>
Define date
The date in Canadian format
(DD-MM-YY). If there is no argument
given the date is taken from the file name
(without an extension)
Alias
$DATE_CDN
Examples
$DATE_DMY 12-05-99
$DATE_CDN 12-05-1999
Command
$DATE_MDY
Arguments <number>
Define date
The date in US format (MM-DD-YY). If
there is no argument given the date is
taken from the file name (without an
extension)
Alias
$DATE_USA
Examples
$DATE_MDY 05/12/99
$DATE_USA 05/12/99
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Command
$DATE_YMD
Arguments <number>
AmiBroker Reference Guide
Define date
The date in International format
(YY-MM-DD). If there is no argument
given the date is taken from the file name
(without an extension)
Alias
$DATE_INT
Examples
$DATE_INT 99-05-12
$DATE_CDN 1999.05.12
Command
$DEBUG
Arguments <number>
Switch logging (debug) mode
0 - no error logging, 1 - log errors to
"import.log" file (default=0)
Alias
Examples
$DEBUG 1
Command
$FORMAT
Arguments DATE_MDY
Define line format
(sequence and types of
fields)
date in US format:
MM-DD-YY (alias:
DATE_USA)
DATE_DMY
date in Canadian format:
DD-MM-YY (alias:
DATE_CDN)
DATE_YMD
date in International
format: YY-MM-DD (alias:
DATE_INT)
TIME
time in HH:MM:SS or
HH:MM or HHMM or
HHMMSS format
NAME
ticker name (alias:
TICKER)
ALIAS
symbol alias ($AUTOADD
and $OVERWRITE
modes only)
FULLNAME
symbol full name
($AUTOADD and
$OVERWRITE modes
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only)
OPEN
open price
HIGH
high price
LOW
low price
CLOSE
close price
ADJCLOSE
split-adjusted close
This is provided to read
adj. close column from
Yahoo. Works only in
conjunction with CLOSE
field. When both CLOSE
and ADJCLOSE are
present in the ASCII
format definition then
importer calculates split
factor by dividing
ADJCLOSE/CLOSE. It
then multiples OPEN,
HIGH, LOW and CLOSE
fields by this factor and
divides VOLUME field by
this factor. This effectively
converts unadjusted
prices to split adjusted
prices. Split ratio gets
locked once ADJCLOSE
drops below 0.05.
OPENINT
open interest
VOLUME
volume
VOL1000
volume in thousands
shares
VOLMIL
volume in millions shares
VOLFACTOR
volume factor (number of
shares in a block) default
=1
TURNOVER
turnover
AUX1
AUX1 field (auxilliary
data)
AUX2
AUX2 field (auxilliary
data)
SKIP
skip (ignore) field
MARKET
specify a field that
contains market ID
(affects $AUTOADD and
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$OVERWRITE modes
only)
GROUP
specify a field that
contains group ID (affects
$AUTOADD and
$OVERWRITE modes
only)
WATCHLIST
specify a field that
contains watch list
number (0-31) (affects
$AUTOADD and
$OVERWRITE modes
only)
INFO
specify a field with
additional information
(WSE specific: nk, ns, rk,
rs, ok, os, zd, bd )
REDUCTION
specify a field with
reduction rate in percents
(WSE specific)
ICB
(new in 5.60)
specify ICB code
For example if your file
looks as follows:
(format is symbol, full
name, ICB code)
AAN,AARON'S INC,5375
Then to import it usign
AmiBroker's import
wizard use the following
$FORMAT
Ticker,FullName,ICB
$OVERWRITE 1$
$SEPARATOR ,
$CONT 1
$GROUP 255
$AUTOADD 1
$NOQUOTES 1
GICS
specify GICS code
For example if your file
looks as follows:
(format is symbol, full
name, gics sub industry
code)
AAN,AARON'S
Format definition commands
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INC,25504060
Then to import it usign
AmiBroker's import
wizard use the following
$FORMAT
Ticker,FullName,GICS
$OVERWRITE 1$
$SEPARATOR ,
$CONT 1
$GROUP 255
$AUTOADD 1
$NOQUOTES 1
INDUSTRY
specify a field that
contains industry ID
(affects $AUTOADD and
$OVERWRITE modes
only)
INDUSTRYNAME
(new in 5.60) specifies a
field that contains
Industry Name.
AmiBroker will check if
given industry name
already exists and if not, it
will create a new Industry
and assign imported
stock to the industry
specified. Also if
SECTORNAME is
specified, it will assign
newly added industry to
specified sector.
(affects $AUTOADD and
$OVERWRITE modes
only)
SECTORNAME
(new in 5.60) specifies a
field that contains Sector
Name. AmiBroker will
check if given sector
name already exists and
if not, it will create a new
Sector. Also if
INDUSTRYNAME is
specified, it will assign
newly added industry to
specified sector.
(affects $AUTOADD and
$OVERWRITE modes
Format definition commands
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only)
APPENDTICKER
specify a field that
contains string that
should be appended to
the ticker name (useful
when you need to join
several fields together to
make unique symbol
symbol)
MARGIN
future contract margin
deposit (positive value =
dollars, negative value percent of full value)
POINTVALUE
future contract point value
ROUNDLOTSIZE
round lot size (trading unit
size)
TICKSIZE
tick size
ADVISSUES
number of advancing
issues
ADVVOLUME
volume of advancing
issues
DECISSUES
number of declining
issues
DECVOLUME
volume of declining
issues
UNCISSUES
number of unchanged
issues
UNCVOLUME
volume of unchanged
issues
ADDRESS
street address of
company
CURRENCY
specifies currency of
symbol
DIV_PAY_DATE
EX_DIV_DATE
LAST_SPLIT_DATE
LAST_SPLIT_RATIO
EPS
EPS_EST_CUR_YEAR
EPS_EST_NEXT_YEAR
EPS_EST_NEXT_QTR
FORWARD_EPS
PEG_RATIO
BOOK_VALUE (requires
SHARES_OUT to be specified
as well)
fundamental data fields.
For more info read Using
Fundamental Data
Format definition commands
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BOOK_VALUE_PER_SHARE
EBITDA
PRICE_TO_SALES (requires
CLOSE to be specified as well)
PRICE_TO_EARNINGS
(requires CLOSE to be specified
as well)
PRICE_TO_BV (requires
CLOSE to be specified as well)
FORWARD_PE (requires
CLOSE to be specified as well)
REVENUE
SHARES_SHORT
DIVIDEND
ONE_YEAR_TARGET
MARKET_CAP (requires
CLOSE to be specified as well it is used to calculate shares
outstanding)
SHARES_FLOAT
SHARES_OUT
PROFIT_MARGIN
OPERATING_MARGIN
RETURN_ON_ASSETS
RETURN_ON_EQUITY
QTRLY_REVENUE_GROWTH
GROSS_PROFIT
QTRLY_EARNINGS_GROWTH
INSIDER_HOLD_PERCENT
INSTIT_HOLD_PERCENT
SHARES_SHORT_PREV
FORWARD_DIV
OPERATING_CASH_FLOW
FREE_CASH_FLOW
BETA
Alias
Examples
$FORMAT TICKER DATE_MDY OPEN HIGH LOW
CLOSE VOLUME
$FORMAT TICKER, DATE_INT, CLOSE, VOLUME
$FORMAT SKIP, TICKER, SKIP, SKIP, DATE_INT, OPEN,
HIGH, LOW, CLOSE, TURNOVER
Command
$FULLNAME
Arguments <string>
Define full symbol name
full symbol name
Alias
Examples
$FULLNAME Apple Computer Inc.
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Command
$GICS
Arguments <number>
AmiBroker Reference Guide
Define GICS code (Global Industry
Category System)
this affects $AUTOADD 1 and
$OVERWRITE 1 modes - if this is specified
symbols are assigned to given GICS
category
Alias
Examples
Now you can import GICS symbol-code assignments using
ASCII importer.
$FORMAT command now supports GICS code
and there is $GICS command for single-symbol files.
For example if your file looks as follows:
(format is symbol, full name, gics sub industry code)
AAN,AARON'S INC,25504060
Then to import it usign AmiBroker's import wizard use the
following
$FORMAT Ticker,FullName,GICS
$OVERWRITE 1$
$SEPARATOR ,
$CONT 1
$GROUP 255
$AUTOADD 1
$NOQUOTES 1
Command
$GROUP
Arguments <number>
Define group ID
this affects $AUTOADD 1 mode - if this is
specified, newly added symbols are
assigned to group with given number.
Alias
Examples
Command
$HYBRID
Arguments <number>
Switch hybrid mode on/off
0 (off) or 1 (on). When this flag is set, you
can combine quotations from multiple files for example one file can contain only open
prices and volume and the other file can
contain high/low/close data. Useful
especially for Warsaw Stock Exchange for
combining the data from fixing and later
continuous quotations.
Alias
Examples
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Command
$INDUSTRY
Arguments <number>
AmiBroker Reference Guide
Define industry ID
this affects $AUTOADD 1 mode - if this is
specified, newly added symbols are
assigned to industry with given number.
Alias
Examples
Command
$MARKET
Arguments <number>
Define market ID
this affects $AUTOADD 1 mode - if this is
specified, newly added symbols are
assigned to market with given number.
Alias
Examples
Command
$NAME
Arguments <ticker>
Alias
$TICKER
Examples
$NAME AAPL
$TICKER MSFT
Command
$NOQUOTES
Arguments <number>
Alias
$TICKER
Examples
$NAME AAPL
$TICKER MSFT
Command
$OVERWRITE
Arguments <number>
Format definition commands
Define ticker name
ticker name (symbol) (default = file name
without path and extension)
Switch quotation data mode
0 - (default) accept only quotation data
(AmiBroker checks for non-zero prices
and valid dates)
1 - switch off quotation data checking this allows importing non-quotation data for example only ticker and full names
Switch overwrite mode on/off
0 - off, 1 - on. When overwrite mode is on
then information provided by GROUP,
MARKET, INDUSTRY, FULLNAME fields
is overwritten for existing symbols (not
only for newly added)
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Alias
Examples
$OVERWRITE 1
Command
$PRICEFACTOR
Arguments <number>
Define price factor
the factor by which price data are
multiplied (default = 1)
Alias
Examples
$PRICEFACTOR 100
Command
$RAWCLOSE2OI
Arguments <number>
Put Raw Close price to OI field
0 - off, 1- on. (off by default) - causes
that OpenInterest field gets assigned
CLOSE (raw close) field value
multiplied by 100
Alias
Examples
$RAWCLOSE2OI 1
Command
$RECALCSPLITS
Arguments <number>
Format definition commands
Recalculate splits
0 - off, 1- on. (off by default) causes
that splits are recalculated by
AmiBroker
by the algorithm that tries to construct
correct adjusted price, based on
inaccurate information provided by
Yahoo.
Note that Yahoo provides only 2
decimal digits in adj. close field
therefore the more adj. close
approaches zero due to adjustements
the error grows. The option
$RECALCSPLITS 1 is intended to
address this problem (at least partially).
It works as follows:
1. for each bar ratio
ADJCLOSE/CLOSE is calculated
2. if the ratio changes in two
consecutive bars by more than 10% it
means that
split happened that bar. True split ratio
is guessed by matching true fraction
in the format of X/Y, where X and Y =
1..9, to the change in ratios.
3. Then true split ratio is used to adjust
all past bars until new split is detected.
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Works only in conjunction with
ADJCLOSE
Alias
Examples
$RECALCSPLITS 1
Command
$RECALCVOL
Arguments <number>
Switch automatic index volume
recalculation
0 - off, 1 - on (base index only), 2 - on (all
indexes). When this is on AmiBroker
calculates volumes for indexes based on
assignments to markets and base
indexes defined in Categories window
Alias
Examples
$RECALCVOL 2
Command
$RECALCAD
Arguments <number>
Switch automatic advance/decline
composite recalculation
0 - off, 1 - on. When this is on AmiBroker
calculates numbers and volumes of issues
advancing, declining and unchanged
based on assignments to markets and
base indexes defined in Categories
window.
Alias
Examples
$RECALCVOL 2
Command
$ROUNDADJ
Arguments <decimaldigits>
Round split adjusted prices to given
number of decimaldigits
decimaldigits - causes split-adjusted
prices (see above) to be rounded to
'decimaldigits' precision. By default no
rounding is done
Works only in conjunction with
ADJCLOSE
Alias
Examples
$ROUNDADJ 2
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Command
AmiBroker Reference Guide
$SEPARATOR
Define field separator character
Arguments <separator char> the character used to separate data
fields (default = space)
Alias
Examples
$SEPARATOR ,
$SEPARATOR ;
Command
$SKIPLINES
Define how many lines to skip (ignore)
Arguments <number>
number of lines to skip (default = 0)
Alias
Examples
$SKIPLINES 1
Command
$STRICT
Arguments <onoff>
Switches on/off strict checking if Open,
High, Low prices are greater than zero
(default = 0)
Alias
Examples
$STRICT 1
Command
$TICKMODE Switches on/off tick mode
$TICKMODE is a special mode of importer that allows to import quotes that haved
It makes two assumptions:
a) input data should come in the ascending time order (i.e. OLDER records first, L
b) input data should consist of entire tick history because importer will DELETE an
Once again: Turning on
$TICKMODE 1
will DELETE ANY QUOTES that already exist in the database and then will import
You have been warned.
For example data files like this:
MOL,0,20050606,162959,16400.0000,16400.0000,16400.0000,16400.0000,2MOL
Can be imported using the following definition file:
$FORMAT Ticker, Skip, Date_YMD, Time, Open, High, Low, Close, Volume
$SKIPLINES 1
$SEPARATOR ,
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$CONT 1
$GROUP 255
$AUTOADD 1
$DEBUG 1
$TICKMODE 1
Sometimes it happens that input files have invalid timestamps (seconds > 59).
For example:
MOL,0,20050606,162970,16400.0000,16400.0000,16400.0000,16400.0000,2
Please take a closer look at first line shown in this example it has time:16:29:70 (y
So I had to add a special flag to the importer that works around such data errors.
It is called $ALLOW99SECONDS 1 and will convert all records with invalid second
So record stamped 16:29:70 will be treated as 16:29:59
Now for tick mode to work with such incorrect records you would need to add two
$TICKMODE 1
$ALLOW99SECONDS 1
Arguments <onoff>
(default = 0)
Alias
Examples
$TICKMODE 1
Command
$TIMESHIFT
Arguments <number>
Define intraday time shift used during
import
number of hours to shift date/time stamps
(can be fractional)
Alias
Examples
$TIMESHIFT 2
; will shift 2 hours forward
$TIMESHIFT -11.5
; will shift 11 and half hour backward
Command
$VOLFACTOR
Arguments <number>
Format definition commands
Define volume factor
the factor by which volume data is
multiplied (default = 1)
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Alias
Examples
$VOLFACTOR 10
Command
$WATCHLIST
Arguments <number>
Define watch list number
this affects $AUTOADD 1 and
$OVERWRITE 1 modes - if this is
specified, newly added symbols are
added to the watch list with given
number.
Alias
Examples
Command
$CLEANSECTORS Clean (wipe) existing sector/industry
structure
Arguments <number>
if this is turned on (1), existing sector/
industry structure will be deleted and
initialized with Sector 0, 1, 2, 3...63/
Industry 0...255
This command should only be used in
conjunction with SECTORNAME,
INDUSTRYNAME $FORMAT fields to
allow setting up fresh industry
structure
Alias
Examples
See example below (importing sector/industry structure)
Command
$SORTSECTORS
Arguments <number>
Sort sector/industry structure
if this is turned on (1), sector/ industry
structure will be sorted alphabetically
after importing.
This command should only be used in
conjunction with SECTORNAME,
INDUSTRYNAME $FORMAT fields to
allow setting up fresh industry structure
Alias
Examples
See example below (importing sector/industry structure)
Command
$USEONLYLOCALDB Switches "Use only local database"
option for the symbol
Arguments <number>
Format definition commands
If data is fed by database plugin,
using the ASCII importer to add any
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symbol causes these newly added
symbol to have "Use only local
database" flag turned on.
A new command:
$USEONLYLOCALDB 0
allows to turn this off (so newly
added symbols have "use only local
database" turned off)
This flag does NOT affect existing
symbols.
Alias
Examples
Notes:
• for DATE_xxx you can use ‘-‘, ‘/’ or ‘\’ as day/month/year separators. You can even omit
separators at all if only you give a date in a 6 digit (YYMMDD, MMDDYY, DDMMYY) or 8 digit format
(YYYYMMDD, MMDDYYYY, DDMMYYYY).
• AmiBroker recognizes decimal as well as true fractions in price data. True fractions must follow the
whole value after at least single space. For example you can specify: 5.33 or 5 1/3
AmiBroker is not limited to any kind of fraction, if you wish you can write even: 5 333/999
Comments
You can include comments in both format definition file and the data file(s). Each line starting with * (asterisk)
or ; (semicolon) or # (hash) is treated as a comment and ignored by the ASCII importer.
Usage examples
What may look complicated from command list will become quite clear after some examples. So I will give you
four examples of how to write format definition files. First example will show the definition for CSV (comma
separated values) quotes available from Yahoo's finances site. Second example will show definition for
Metastock ASCII file format. Third example shows definition for Omega SuperCharts ASCII file format. And
fourth example will show the definition for s-files used by DM BOS (Polish brokerage company).
Yahoo CSV
The data from Yahoo's site looks as follows:
Date,Open,High,Low,Close,Volume
1-Feb- 0,104,105,100,100.25,2839600
31-Jan- 0,101,103.875,94.50,103.75,6265000
28-Jan- 0,108.1875,110.875,100.625,101.625,3779900
Comments
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The first line gives us a hint about the meaning of the comma separated fields. First field will hold the date.
The remaining fields will hold open, high, low, close prices and volume. Importer should skip the first line and
parse all the remaining lines that hold just comma-separated data. Appropriate format definition file would look
like this:
$FORMAT Date_DMY,Open,High,Low,Close,Volume
$SKIPLINES 1
$SEPARATOR ,
$DEBUG 1
$AUTOADD 1
$BREAKONERR 1
$DEBUG switches on error logging to "import.log" file and $BREAKONERR will cause importer to stop after
the first error found. $AUTOADD ensures that new ticker will be added to the database if it is missing. Well...
you may ask: how does it know the ticker name? The answer is simple: if there is no field which defines the
ticker name, the importer takes the file name (without path and extension) as a ticker. So if you are importing
file "C:\My data\AAPL.CSV" AmiBroker will use "AAPL" as a ticker name.
Metastock ASCII
The data in Metastock ASCII format looks as follows:
<ticker>,<per>,<date>,<high>,<low>,<close>,<vol>
AAP,D,1/17/2000,5483.33,5332.01,5362.3,0
AKS,D,1/17/2000,9868.45,9638.03,9687.62,0
FET,D,1/17/2000,3741.3,3540.2,3570.81,0
First field will hold the ticker name, second - time period ("D" means daily data), third - quotation date. The
rest will hold high, low, close prices and volume. The importer should then skip the first line and parse all the
remaining lines that hold just comma-separated data. Appropriate format definition file would look like this:
$FORMAT Ticker,Skip,Date_MDY,High,Low,Close,Volume
$SKIPLINES 1
$SEPARATOR ,
$DEBUG 1
$AUTOADD 1
$BREAKONERR 1
Skip in $FORMAT defines a field which should be ignored by the importer.
Omega SuperCharts ASCII
The data in Omega SC ASCII format looks as follows:
ticker,date,open,high,low,close,vol
AAP,20000117,5333.01,5483.33,5332.01,5362.3,3433450
This format is similar to previous ones, however the date is in YYYYMMDD format without separators
between year, month and day part. AmiBroker, however, can handle such dates with ease. Appropriate format
definition file would look like this:
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$FORMAT Name,Date_Int,Open,High,Low,Close,Volume
$SEPARATOR ,
$DEBUG 1
$SKIPLINES 1
$AUTOADD 1
$BREAKONERR 1
Skip in $FORMAT defines a field which should be ignored by the importer.
DMBOS S-files
The data in this format looks as follows:
0,29-02-00,12:05,MIDWIG,1069.1,,,+1.2,336002000,
0,29-02-00,12:05,NIF,48.6,,,+0.8,1763000,
0,29-02-00,12:05,WIG20,2300.3,,,+1.1,336002000,
0,29-02-00,12:05,WIG,21536.8,,,+0.2,336002000,
0,29-02-00,12:05,WIRR,2732.8,,,+1.6,16373000,
1,29-02-00,12:05,AGORA,144.00,,,+4.7,15802000,
1,29-02-00,12:05,AGROS,40.00,nk,72,+5.0,840000,
1,29-02-00,12:05,AMERBANK,28.00,,,+3.7,22000,
1,29-02-00,12:05,AMICA,41.50,nk,99,+2.2,564000,
This format is a little bit more complicated. For us useful fields are: 2nd - date, 4th - ticker, 5th - close price,
9th - the turnover value (close * volume). The remaining fields holds other information that is not useful for us.
Appropriate format definition file would look like this:
$FORMAT Skip,Date_DMY,Skip,Name,Close,Skip,Skip,Skip,Turnover
$SEPARATOR ,
$DEBUG 1
Importing Sector/Industry structure
Let's assume we have a text file with Stock tickers, Full names, Sector name and industry name listed line by
line, as follows:
"DDD","3D Systems Corporation","Technology","Computer Software: Prepackaged Software"
"MMM","3M Company","Health Care","Medical/Dental Instruments"
"SVN","7 Days Group Holdings Limited","Consumer Services","Hotels/Resorts"
"AHC","A.H. Belo Corporation","Consumer Services","Newspapers/Magazines"
"AIR","AAR Corp.","Capital Goods","Aerospace"
"AAN","Aaron's, Inc.","Technology","Diversified Commercial Services"
"ABB","ABB Ltd","Consumer Durables","Electrical Products"
To import such file we use the following format definition:
$FORMAT Ticker, FullName,SectorName,IndustryName
$SEPARATOR ,
$AUTOADD 1
$NOQUOTES 1
$OVERWRITE 1
$CLEANSECTORS 1
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$SORTSECTORS 1
$NOQUOTES 1 tells the importer that we will be importing non-quotation data. $AUTOADD 1/$OVERWRITE
1 is required to automatically add new symbols and overwrite existing symbol information. $CLEANSECTORS
1 wipes existing stock/industry structure prior to importing and $SORTSECTORS 1 - sorts sectors/industries
after importing so they will be listed in alphabetical order in the Symbol window. $FORMAT command just
specifies the order and types of field to import
AmiBroker will read such ASCII file one-by one, then it will check whenever given sector name/industry name
already exists, if not - it will create new sector/industry. Then it will assign given symbol to specified
sector/industry.
The result will be a database with new sector/industry structure being set up and symbols assigned to proper
sectors and industries.
Described functionality is used to implement Tools->Update US symbol list and categories tool.
Default behaviour
When importing ASCII files, AmiBroker attempts to open "default.format" file (in the AmiBroker's directory) to
obtain the format definition. If such file is missing the following default format is applied:
$FORMAT DATE_USA, OPEN, HIGH, LOW, CLOSE, VOLUME
$SEPARATOR
This means that by default ASCII importer will use space character as a separator and will parse the following
fields: date, open, high, low, close, volume. The file name (without path and extension) will be used as a ticker
name. All other import parameters ($DEBUG,$AUTOADD, etc.) are set to zero.
User-definable file types and formats
Now AmiBroker can use not only default.format definition file but also other user-specified files. File types,
filters and format definition files are specified in import.types file (example is included in the update
package). Now user can prepare/modify import.types file with the description of supported ASCII formats and
filters to use. The format of import.types file is:
<Descriptive name>|<File filter>|<definition file name>
Note vertical line characters between these three fields. Example import.types file looks as follows:
Default ASCII (*.*)|*.*|default.format
Yahoo's CSV (*.csv)|*.csv|yahoo.format
Metastock ASCII (*.mst)|*.mst|metastock.format
Omega SC ASCII (*.txt)|*.txt|omega.format
S-Files (s*.*)|s*.*|sfile.format
C-Files (c*.*)|c*.*|cfile.format
Sharenet DAT (*.dat)|*.dat|dat.format
If such file exists you will see your types in the "Files of type" combo-box and when you select one appropriate filter will be used and after selecting some files and clicking OK - importer will use specified
".format" file.
Default behaviour
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In that way you can define as many text-based data formats as you like and AmiBroker will be able to
"understand" them all.
Ticker aliases
Now each ticker can have an alias assigned, so the AmiBroker's built-in importers can recognize that security
by both ticker symbol and alias names. This is useful when you are using two data sources that are using
slightly different symbol naming convention or if you want to give the symbols more intuitive name while
retaining the ability to use importers without problems.
GICS categorisation
GICS is global industry classification standard, see
http://en.wikipedia.org/wiki/Global_Industry_Classification_Standard
for more details on GICS system.
GICS codes are from 2 to 8 digits. Such as 10 for energy sector or 351010 for "Health Care Equipment &
supplies" industry.
The codes are fixed even if new classifications are added at some point in the future. It is important to
understand that these codes work in hierarchical way.
NOTE: current databases DO NOT have GICS codes assigned to symbols.
As far as I know PremiumData http://www.premiumdata.net/ is planning to release AmiBroker-compatible
database with GICS support.
AmiBroker now reads GICS.txt file from its installation folder. It contains GICS categories listed one by one in
order of GICS code in the following format
GICS;Name;Description<CRLF>
GICS is numeric code from 2 digits upto 8 digits
Name is GICS category name
Description is GICS category description
These fields must be separated by semicolon
< CRLF> means carriage return/line feed characters (means "new line" - just press ENTER/RETURN key if
you are editing with text editor)
There must be only one category per line in GICS.txt file
The default GICS.txt file is supplied already.
ICB categorisation
ICB stands for Industry Classification Benchmark
(http://en.wikipedia.org/wiki/Industry_Classification_Benchmark).
AmiBroker allows also ICB 4-level classification system, but demo database does not have symbols classified
according to that standard. You can find ICB classification codes in ICB.txt file inside AmiBroker folder.
User-definable file types and formats
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NOTE: current databases DO NOT have ICB codes assigned to symbols.
ICB classification for NYSE stocks can be imported from http://www.nyse.com/indexes/nyaindex.csv
AmiBroker now reads ICB.txt file from its installation folder. It contains ICB categories listed one by one in
order of ICB code in the following format
ICB;Name<CRLF>
ICB is numeric 4 digit code.
Name is ICB category name
These fields must be separated by semicolon
< CRLF> means carriage return/line feed characters (means "new line" - just press ENTER/RETURN key if
you are editing with text editor)
There must be only one category per line in ICB.txt file
The default ICB.txt file is supplied already.
ICB categorisation
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AmiBroker's OLE Automation Object Model
Important note about OLE automation:
OLE automation interface is provided to control AmiBroker from the OUTSIDE process (such as
windows scripting host). While it is possible to access Broker.Application and underlying objects from AFL
formulas you should be very careful NOT to touch any user interface objects (Documents, Document,
Windows, Window , Analysis object) from AFL formula because doing so, you will be likely "Sawing Off the
Branch You're Sitting On". Especially things like switching chart tabs from currently running chart formula are
totally forbidden. Changing user interface objects via OLE from AFL that is currently running within those user
interface parts is recipe for disaster. You have been warned.
AmiBroker object model hierarchy. V5.50
Index of objects
• ADQuotation • Windows • Markets
• ADQuotations • Commentary• Quotation
• Analysis(1)
• Document • Quotations
• AnalysisDoc(2) • Documents • Stock
• AnalysisDocs(2)• Market
• Stocks
• Application
• Window
(1)
- Analysis object is obsolete as of 5.50. It is left here for backward compatibility and accesses Old
Automatic Analysis window only
(2) - AnalysisDoc object and AnalysisDocs collection are new objects introduced in v5.50 and allow to
control New Analysis window
AmiBroker's OLE Automation Object Model
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ADQuotation
Properties:
♦ Date As Date
♦ AdvIssues As Long
♦ AdvVolume As Single
♦ DecIssues As Long
♦ DecVolume As Single
♦ UncIssues As Long
♦ UncVolume As Single
Description:
ADQuotation class keeps one bar of advance/decline information
ADQuotations
Methods:
♦ Function Add(ByVal Date As Variant) As Object
♦ Function Remove(ByVal Date As Variant) As Boolean
Properties:
♦ Item(ByVal Date As Variant) As Object [r/o] [default]
♦ Count As Long
Description:
ADQuotations is a collection of ADQuotation objects
Analysis
This object is obsolete. It is provided only to maintain compatibility with old code.
Analysis object always accesses OLD Automatic Analysis.
Properties:
♦ Property Filter(ByVal nType As Integer, ByVal pszCategory As String) As Long [r/w]
Methods:
♦ Sub Backtest([ByVal Type As Variant])
♦ Sub ClearFilters()
♦ Sub Edit([ByVal bForceReload As Variant])
♦ Sub Explore()
♦ Function Export(ByVal pszFileName As String) As Boolean
♦ Function LoadFormula(ByVal FileName As String) As Boolean
♦ Function LoadSettings(ByVal pszFileName As String) As Boolean
♦ Sub MoveWindow(ByVal Left As Long, ByVal Top As Long, ByVal Width As Long,
ByVal Height As Long)
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♦ Sub Optimize([ByVal Type As Variant])
♦ Function Report(ByVal pszFileName As String) As Boolean
♦ Function SaveFormula(ByVal pszFileName As String) As Boolean
♦ Function SaveSettings(ByVal pszFileName As String) As Boolean
♦ Sub Scan()
♦ Sub ShowWindow(ByVal nShowCmd As Long)
♦ Sub SortByColumn(ByVal iColumn As Long, ByVal bAscending As Integer, ByVal
bMultiMode As Integer)
Properties:
♦ RangeMode As Long
♦ RangeN As Long
♦ RangeFromDate As Date
♦ RangeToDate As Date
♦ ApplyTo As Long
Description:
Analysis object provides programmatic control of automatic analysis window
Notes:
Analysis.Backtest( Type = 2 ); - runs backtest
Type parameter can be one of the following values:
0 : portfolio backtest/optimize
1 : individual backtest/optimize
2 : old backtest/optimize
IT IS IMPORTANT TO NOTE THAT FOR BACKWARD COMPATIBILITY REASONS THE
DEFAULT BACKTESTER MODE
IS "OLD" BACKTEST. THEREFORE YOU MUST SPECIFY TYPE = 0 IF YOU WANT TO
GET PORTFOLIO BACKTEST.
Analysis.Optimize(Type = 2 ); - runs optimization
Type parameter can be one of the following values:
0 : portfolio backtest/optimize
1 : individual backtest/optimize
2 : old backtest/optimize
3 : walk-forward test (AmiBroker version 5.11.0 or higher)
Analysis.Report( FileName: String ) - saves report to the file or displays it if FileName = ""
Analysis.ApplyTo - defines apply to mode: 0 - all stocks, 1 - current stock, 2 - use filter
Analysis.RangeMode - defines range mode: 0 - all quotes, 1 - n last quotes, 2 - n last days, 3
- from-to date
Analysis.RangeN - defines N (number of bars/days to backtest)
Analysis.RangeFromDate - defines "From" date
Analysis.RangeToDate - defines "To" date
Analysis.Filter( nType: short, Category : String ) - sets/retrieves filter setting
nType argument defines type of filter 0 - include, 1 - exclude
Category argument defines filter category:
"index", "favorite", "market", "group", "sector", "index", "watchlist"
Analysis
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AnalysisDoc
AnalysisDoc is a new object introduced in version 5.50. It allows to access New Analysis
project documents (apx extension) and perform multithreaded
scans/explorations/backtests/optimizations in New Analysis window in asynchronous way.
Asynchronous means that Run() method only starts the process and returns immediatelly. To
wait for completion you must check IsBusy flag periodically (such as every second) in your
own code.
Properties:
♦ Property IsBusy As Boolean [r]
Methods:
♦ Sub Close()
♦ Function Export(ByVal pszFileName As String) As Long
♦ Function Run(ByVal Action As Long) As Long
Description:
AnalysisDoc object provides programmatic control of New Analysis document/window.
IsBusy property allows to check whenever Analysis window is busy doing analysis. You must
check this flag periodically if you want to wait for completion. Take care NOT to call this too
often as it will decrease performance. For best results check it every one second. Also you
need to check this flag if you are not sure whenever Analysis window is busy before trying to
call Export() or Run(), otherwise these calls would fail if analysis is in progress.
Close( ) method closes Analysis document/window. If there is any operation in progress it will
be terminated. To prevent premature termination, check IsBusy property.
Export( pszFileName ) method allows to export analysis result list to either .HTML or .CSV
file. Returns 1 on success (successfull export) or 0 on failure (for example if analysis window
is busy)
Run( Action ) method allows to run asynchronously scan/explorations/backtest/optimizations.
Action parameter can be one of the following values:
0 : Scan
1 : Exploration
2 : Portfolio Backtest
3 : Individual Backtest
4 : Portfolio Optimization
5 : Individual Optimization (supported starting from v5.69)
6 : Walk Forward Test
It is important to understand that Run method just starts the process and returns
immediatelly. It does NOT wait for completion.
To wait for completion you need to query IsBusy flag periodically (such as every one second).
Run() returns 1 on success (successfully starting process) or 0 on failure (for example if
analysis window is busy)
AnalysisDoc
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The procedure to run automated backtest involves opening previously saved Analysis project
(it includes all settings that are necessary to perform any action), call Run() and wait for
completion.
Since currently you can have multiple analysis projects running, there is an AnalysisDocs
collection that represents all open Analysis documents and allow you to open previously
saved files (that contain formula, settings and everything needed to run).
New AnalysisDoc object does not allow you to read/write settings for the purpose - you are
not supposed to manipulate UI while new Analysis window is running. Correct way of using
New Analysis window is to open existing project file and run. If you want to modify the
settings, you should write/modify existing project file. The analysis project file (.apx extension)
is human-readable self-explanatory XML-format file that can be written/edited/modified from
any language / any text editor.
The following JScript example
a) opens analysis project from C:\Analysis1.apx file
b) starts backtest (asynchronously)
c) waits for completion
d) exports results
e) closes analysis document
AB = new ActiveXObject( "Broker.Application" ); // creates AmiBroker
object
try
{
NewA = AB.AnalysisDocs.Open( "C:\\analysis1.apx" ); // opens
previously saved analysis project file
// NewA represents the instance of New Analysis document/window
if ( NewA )
{
NewA.Run( 2 ); // start backtest asynchronously
while ( NewA.IsBusy ) WScript.Sleep( 500 ); // check IsBusy
every 0.5 second
NewA.Export( "test.html" ); // export result list to HTML
file
WScript.echo( "Completed" );
NewA.Close(); // close new Analysis
}
}
catch ( err )
{
WScript.echo( "Exception: " + err.message ); // display error
that may occur
}
AnalysisDoc
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AnalysisDocs
AnalysisDocs is a new object introduced in version 5.50. It is a collection of AnalysisDoc
objects. Allows to Add new Analysis, Open existing analysis project, and iterate thru analysis
objects.
Methods:
♦ Function Add() As Object
♦ Sub Close()
♦ Function Open(ByVal FileName As String) As Object
Properties:
♦ Item(ByVal Index As Long) As Object [r/o] [default]
♦ Count As Long
♦ Application As Object
♦ Parent As Object
Description:
AnalysisDocs is a collection of AnalysisDoc objects.
Add method creates new Analysis document/window. The method returns AnalysisDoc
object.
Close method closes all open Analysis documents/windows. If any analysis project is running
it will be terminated immediatelly
Open method allows to open existing Analysis project file (.apx). The method returns
AnalysisDoc object.
Item property allows to access Index-th element of collection. The property returns
AnalysisDoc object.
Count property gives number of open analysis documents.
Both Application and Parent properties point to Broker.Application object
For example usage, see AnalysisDoc object description.
Application
Methods:
♦ Function Import(ByVal Type As Integer, ByVal FileName As String, [ByVal
DefFileName As Variant]) As Long
♦ Function LoadDatabase(ByVal Path As String) As Boolean
♦ Function LoadLayout(ByVal pszFileName As String) As Boolean
♦ Function Log(ByVal Action As Integer) As Long
♦ Sub Quit()
♦ Sub RefreshAll()
AnalysisDocs
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♦ Sub SaveDatabase()
♦ Function SaveLayout(ByVal pszFileName As String) As Boolean
Properties:
♦ ActiveDocument As Object
♦ Stocks As Object
♦ Version As String
♦ Documents As Object
♦ Markets As Object
♦ DatabasePath As String
♦ Analysis As Object
♦ Commentary As Object
♦ ActiveWindow As Object
♦ Visible As Integer
Description:
Application object is main OLE automation object for AmiBroker. You have to create it prior to
accesing any other objects. To create Application object use the following code:
JScript:
AB = new ActiveXObject("Broker.Application");
VB/VBScript:
AB = CreateObject("Broker.Application")
AFL:
AB = CreateObject("Broker.Application");
Window
Methods:
♦ Sub Activate()
♦ Sub Close()
♦ Function ExportImage(ByVal FileName As String, [ByVal Width As Variant], [ByVal
Height As Variant], [ByVal Depth As Variant]) As Boolean
♦ Function LoadTemplate(ByVal lpszFileName As String) As Boolean
♦ Function SaveTemplate(ByVal lpszFileName As String) As Boolean
♦ Function ZoomToRange(ByVal From As Variant, ByVal To As Variant) As Boolean
Properties:
♦ SelectedTab As Long
♦ Document As Object
Description:
Window object provides programmatic control over charting window.
Application
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Windows
Methods:
♦ Function Add() As Object
Properties:
♦ Item(ByVal Index As Long) As Object [r/o] [default]
♦ Count As Long
Description:
Windows is a collection of Window objects.
Commentary
Methods:
♦ Sub Apply()
♦ Sub Close()
♦ Function LoadFormula(ByVal pszFileName As String) As Boolean
♦ Function Save(ByVal pszFileName As String) As Boolean
♦ Function SaveFormula(ByVal pszFileName As String) As Boolean
Description:
Commentary object gives programmatic control over guru commentary window.
Document
Methods:
♦ Sub Activate()
♦ Sub Close()
♦ Sub ShowMessage(ByVal Text As String)
Properties:
♦ Application As Object
♦ Parent As Object
♦ Name As String
♦ ActiveWindow As Object
♦ Windows As Object
Description:
Document object represents active document (of 'chart' type). In document-view architecture
each document can have multiple windows (views) connected. Name property defines
currently selected symbol for the document.
Documents
Windows
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Methods:
♦ Function Add() As Object
♦ Sub Close()
♦ Function Open(ByVal Ticker As String) As Object
Properties:
♦ Item(ByVal Index As Long) As Object [r/o] [default]
♦ Count As Long
♦ Application As Object
♦ Parent As Object
Description:
Documents is a collection of document objects.
Market
Properties:
♦ Name As String
♦ ADQuotations As Object
Description:
Market represents market category and its related data (i.e. per-market advance/decline
information)
Markets
Properties:
♦ Item(ByVal Index As Integer) As Object [r/o] [default]
♦ Count As Integer
Description:
Markets is a collection of Market objects
Quotation
Properties:
♦ Date As Date
♦ Close As Single
♦ Open As Single
♦ High As Single
♦ Low As Single
♦ Volume As Single
♦ OpenInt As Single
Documents
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Description:
Quotation class represents one bar of price data
Quotations
Methods:
♦ Function Add(ByVal Date As Date) As Object
♦ Function Remove(ByVal Item As Variant) As Boolean
♦ Function Retrieve(ByVal Count As Long, ByRef Date As Variant, ByRef Open As
Variant, ByRef High As Variant, ByRef Low As Variant, ByRef Close As Variant,
ByRef Volume As Variant, ByRef OpenInt As Variant) As Long
Properties:
♦ Item(ByVal Item As Variant) As Object [r/o] [default]
♦ Count As Long
Description:
Quotations is a collection of Quotation objects. It represents all quotations available for given
symbol. Quotations collection is available as a property of Stock object.
Stock
Properties:
♦ Ticker As String
♦ Quotations As Object
♦ FullName As String
♦ Index As Boolean
♦ Favourite As Boolean
♦ Continuous As Boolean
♦ MarketID As Long
♦ GroupID As Long
♦ Beta As Single
♦ SharesOut As Single
♦ BookValuePerShare As Single
♦ SharesFloat As Single
♦ Address As String
♦ WebID As String
♦ Alias As String
♦ IsDirty As Boolean
♦ IndustryID As Long
♦ WatchListBits As Long
♦ DataSource As Long
♦ DataLocalMode As Long
♦ PointValue As Single
♦ MarginDeposit As Single
♦ RoundLotSize As Single
♦ TickSize As Single
♦ WatchListBits2 As Long
Quotation
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♦ Currency As String
♦ LastSplitFactor As String
♦ LastSplitDate As Date
♦ DividendPerShare As Single
♦ DividendPayDate As Date
♦ ExDividendDate As Date
♦ PEGRatio As Single
♦ ProfitMargin As Single
♦ OperatingMargin As Single
♦ OneYearTargetPrice As Single
♦ ReturnOnAssets As Single
♦ ReturnOnEquity As Single
♦ QtrlyRevenueGrowth As Single
♦ GrossProfitPerShare As Single
♦ SalesPerShare As Single
♦ EBITDAPerShare As Single
♦ QtrlyEarningsGrowth As Single
♦ InsiderHoldPercent As Single
♦ InstitutionHoldPercent As Single
♦ SharesShort As Single
♦ SharesShortPrevMonth As Single
♦ ForwardDividendPerShare As Single
♦ ForwardEPS As Single
♦ EPS As Single
♦ EPSEstCurrentYear As Single
♦ EPSEstNextYear As Single
♦ EPSEstNextQuarter As Single
♦ OperatingCashFlow As Single
♦ LeveredFreeCashFlow As Single
Description:
Stock class represents single symbol data. For historical reasons the name of the object is
Stock, but it can hold any kind of instrument (including futures, forex, etc).
Stocks
Methods:
♦ Function Add(ByVal Ticker As String) As Object
♦ Function GetTickerList(ByVal nType As Long) As String
♦ Function Remove(ByVal Item As Variant) As Boolean
Properties:
♦ Item(ByVal Item As Variant) As Object [r/o] [default]
♦ Count As Long
Description:
Stocks is a collection of Stock objects. It is available as a property of Application object.
Stock
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Notes:
Stock.WatchListBits (long) - each bit 0..31 represents assignment to one of 32 watch lists to
add a stock to nth watch list write (JScript example):
Stock.WatchListBits |= 1 << nth;
Stock.WatchListBits2 (long) - each bit 0..31 represents assignment to one of watch lists
numbered from 32..63 to add a stock to nth watch list write (JScript example):
Stock.WatchListBits2 |= 1 << ( nth - 32 );
Stock.DataSource ( 0 - default, 1 - local only )
Stock.DataLocalMode ( 0 - default, 1 - store locally, 2 - don't store locally)
Practical Examples:
Example 1: Running simple backtest
AB = new ActiveXObject( "Broker.Application" ); // creates AmiBroker object
try
{
NewA = AB.AnalysisDocs.Open( "C:\\analysis1.apx" ); // opens previously saved
analysis project file
// NewA represents the instance of New Analysis document/window
if ( NewA )
{
NewA.Run( 2 ); // start backtest asynchronously
while ( NewA.IsBusy ) WScript.Sleep( 500 ); // check IsBusy every 0.5
second
NewA.Export( "test.html" ); // export result list to HTML file
WScript.echo( "Completed" );
NewA.Close(); // close new Analysis
}
}
catch ( err )
{
WScript.echo( "Exception: " + err.message ); // display error that may occur
}
Example 2: Execute commentary
AB = new ActiveXObject("Broker.Application");
AB.Commentary.LoadFormula("C:\\Program Files\\AmiBroker\\AFL\\MACD_c.afl");
AB.Commentary.Apply();
Stocks
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AB.Commentary.Save("Test.txt");
AB.Commentary.SaveFormula("MACDTest.afl");
//AB.Commentary.Close();
Practical Examples:
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AmiQuote's OLE Automation Object Model
Index of objects
• Document
AmiQuote is SDI (single document) application therefore there is only one class - Document - creatable using
the following code:
JScript:
AB = new ActiveXObject("AmiQuote.Document");
VB/VBScript:
AB = CreateObject("AmiQuote.Document")
AFL:
AB = CreateObject("AmiQuote.Document");
Document
Methods:
♦ Function AddSymbols(ByVal pszSymbols As String) As Boolean
♦ Function Download() As Boolean
♦ Function GetSymbolsFromAmiBroker() As Boolean
♦ Function Import() As Boolean
♦ Sub MoveWindow(ByVal x As Long, ByVal y As Long, ByVal width As Long, ByVal
height As Long)
♦ Function Open(ByVal pszFileName As String) As Boolean
♦ Function RemoveAllSymbols() As Boolean
♦ Function RemoveSymbols(ByVal pszSymbols As String) As Boolean
♦ Function Save() As Boolean
♦ Function SaveAs(ByVal pszFileName As String) As Boolean
Properties:
♦ DownloadInProgress As Boolean
♦ ImportInProgress As Boolean
♦ Source As Long
♦ From As Date
♦ To As Date
♦ AutoImport As Boolean
♦ AllSessions As Boolean
♦ Interval As Long
♦ RunEvery As Long
♦ DestinationFolder As String
AmiQuote's OLE Automation Object Model
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Technical analysis guide
Introduction
Basic tools
Indicators
Introduction
Technical analysis is the examination of past price movements to forecast future price movements. Technical
analysts are sometimes referred to as chartists because they rely almost exclusively on charts for their
analysis.
Technical analysis is applicable to stocks, indices, commodities, futures, currencies or any tradable instrument
where the price is influenced by the forces of supply and demand. Price refers to any combination of the open,
high, low or close for a given security over a specific timeframe. The time frame can be based on intraday,
daily, weekly or monthly price data and last a few hours or many years. In addition, some technical analysts
include volume or open interest figures with their study of price action.
AmiBroker provides a comprehensive set of technical analysis tools that will be presented in this chapter.
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Basic tools
AmiBroker has following basic technical analysis tools:
• Price charts
• Trend lines
• Moving averages
• Fibonacci retracement
• Fibonacci time zones
• Regression channels
• Bollinger bands
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Price charts
AmiBroker can display the prices using:
• line chart
this mode is used when current symbol uses price fixing and only close price is available
• traditional bar chart
this mode is used when continuous trading is enabled, but open price is not available (or equals to
close price)
• Japanese Candlesticks
this mode is used when continuous trading is enabled with open/close/high/low data
A line chart is the simplest type of chart. One price (close) is plotted for each time period. A single line
connects each of these price points. The main strength of this chart type is simplicity.
Bar charts are one of the most popular types of charts used in technical analysis. For each trading day a
vertical line is plotted. The top of the vertical line indicates the highest price a security traded at during the
day, and the bottom represents the lowest price. The closing price is displayed by the mark on the right side of
the bar and opening prices are shown on the left side of the bar.
Developed by the Japanese in the 1600's, candlestick charts are merely bar charts that extenuate the
relationship between open, high, low and closing prices. Each candlestick represents one period of data
(day-week) and consists of an upper shadow, lower shadow and the body. The upper shadow is the highest
price that the stock traded at for the period while the lower shadow represents the lowest price. The
candlestick body is black when the close is less than the open or white when the close is greater than the
open. The top of the body is the opening price if the candle is black and the candle is referred to as a long
black candle. If the candle is white, the top of the body is the closing price and the candle is referred to as a
long white candle.
Steven Nison's articles that explain Candlestick charting appeared in the December, 1989 and April, 1990
issues of Futures Magazine. The definitive book on the subject is Japanese Candlestick Charting Techniques
also by Steve Nison.
There are many different candlestick formations. Some are considered to be minor formations while others
are major. Candlestick charts dramatically illustrate supply/demand concepts defined by classical technical
analysis theories.
Major Candlestick Chart Formations:
Gravestone Doji: A doji (open and close are the same) and the high is significantly higher than the open, high
and closing prices. This formation typically occurs at the bottom of a trend and signals a bullish reversal.
Dragon-fly Doji: A doji (open and close are the same) and the low is significantly lower than the open, high
and closing prices. This formation typically occurs at the top of a trend and signals a bearish reversal.
Abandoned Baby Doji: A doji, which occurs at the bottom of a chart formation with gaps on both sides of the
doji.
Harami Cross: This formation signals a market top. It consists of a harami, which is a long black line
candlestick which precedes and engulfs a doji with no body.
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Engulfing Pattern: A two-candle bullish formation consisting of a small long black line engulfed by the
second candle, a long white line.
Evening Star: A bearish pattern usually occurring at a top. The formation consists of three candles. The first
is a long white line followed by a star and then a long black line. The star can be either black or white.
Dark Cloud Cover: A two candle formation whereby the first candle is a long white line and the second
candle is a long black line whose body is below the center of the first candle. This is a bearish formation.
Price charts
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Trend lines
Technical analysis is built on the assumption that prices trend. Trendlines are an important tool in technical
analysis for both trend identification and confirmation. A trendline is a straight line that connects two or more
price points and then extends into the future to act as a line of support or resistance. Many of the principles
applicable to support and resistance levels can be applied to trendlines as well.
Up Trendline
An up trendline has a positive slope and is formed by connecting two of more low points. The second low
must be higher than the first for the line to have a positive slope. Up trendlines act as support and indicate that
net-demand (demand less supply) is increasing even as the price rises. A rising price combined with
increasing demand is very bullish and shows a strong determination on the part of the buyers. As long as
prices remain above the trendline, the uptrend is considered solid and intact. A break below the up trendline
indicates that net-demand has weakened and a change in trend could be imminent.
Down Trendline
A down trendline has a negative slope and is formed by connecting two or more high points. The second high
must be lower than the first for the line to have a negative slope. Down trendlines act as resistance and
indicate that net-supply (supply less demand) is increasing even as the price declines. A declining price
combined with increasing supply is very bearish and shows the strong resolve of the sellers. As long as prices
remain below the down trendline, the downtrend is considered solid and intact. A break above the down
trendline indicates that net-supply is decreasing and a change of trend could be imminent.
Scale Settings
High points and low points appear to line up better for trendlines when prices are displayed using a semi-log
scale. This is especially true when long-term trendlines are being drawn or there has been a large change in
price. AmiBroker allows to set the scale as arithmetic or logarithmic (semi-log). An arithmetic scale displays
incremental values (5,10,15,20,25,30) evenly as they move up the y-axis. A $10 movement in price will look
the same from $10 to $20 or from $100 to $110. A semi-log scale displays incremental values in percentage
terms as they move up the y-axis. A move from $10 to $20 is a 100% gain and would appear to be a much
larger than a move from $100 to $110, which is only a 10% gain.
Please remember however that straight line in the log chart is no longer straight in the linear scale, so trend
lines drawn in one scale may look strange in the other scale.
Validation
It takes two or more points to draw a trendline. The more points used to draw the trendline, the more validity
attached to the support or resistance level represented by the trendline. It can sometimes be difficult to find
more than 2 points from which to construct a trendline. Even though trendlines are an important aspect of
technical analysis, it is not always possible to draw trendlines on every price chart. Sometimes the lows or
highs just don't match up and it is best not to force the issue. The general rule in technical analysis is that it
takes two points to draw a trendline and the third point confirms the validity.
Trend lines
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Moving averages
The moving average is one of the most useful, objective and oldest analytical tools around. Some patterns
and indicators can be somewhat subjective, where analysts may disagree on if the pattern is truly forming or if
there is a deviation that is might be an illusion. The moving average is more of a cut-and-dry approach to
analyzing stock charts and predicting performance, and it is one of the few that doesn't require a genius
intelligence to interpret..
Moving average is an indicator that shows the average value of a security's price over a period of time.
To find the 50 day Simple Moving Average you would add up the closing prices (but not always more later)
from the past 50 days and divide them by 50. And because prices are constantly changing it means the
moving average will move as well.
Exponential Moving Average (EMA) - is calculated by applying a percentage of today's closing price to
yesterday's moving average value. Use an exponential moving average to place more weight on recent
prices. As expected, each new price has a greater impact on the EMA than it has on the SMA. And, each new
price changes the moving average only once, not twice.
The most commonly used moving averages are the 15, 20, 30, 45, 50, 100, and 200 day averages. Each
moving average provides a different interpretation on what the stock price will do. There really isn't just one
"right" time frame. Moving averages with different time spans each tell a different story. The shorter the time
span, the more sensitive the moving average will be to price changes. The longer the time span, the less
sensitive or the more smoothed the moving average will be. Moving averages are used to emphasize the
direction of a trend and smooth out price and volume fluctuations or "noise" that can confuse interpretation.
Different investors use moving averages for different reasons. While some use it as their primary analytic tool
others simply use the moving average as confidence builder to back their investment decisions. Here are two
other strategies that people use moving averages for:
Filters
Filtering is used to increase your confidence about an indicator. There are no set rules or things to look out for
when filtering, just whatever makes you confident enough to invest your money. For example you might want
to wait until a security crosses through its moving average and is at least 10% above the average to make
sure that it is a true crossover. Remember, setting the percentile too high could result in "missing the boat"
and buying the stock at its peak.
Another filter is to wait a day or two after the security crosses over, this can be used to make sure that the rise
in the security isn't a fluke or unsustained. Again, the downside is if you wait too long then you could end up
missing some big profits.
Crossovers
Using Crossovers isn't quite as easy as filtering. There are several different types of crossover's, but all of
them involve two or more moving averages. In a double crossover you are looking for a situation where the
shortest MA crosses through the longer one. This is almost always considered to be a buying signal since the
longer average is somewhat of a support level for the stock price.
For extra insurance you can use a triple crossover, whereby the shortest moving average must pass through
the two higher ones. This is considered to be an even stronger buying indicator.
Moving averages
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Regression channels
Linear regression may sound intimidating, but the mathematical concept is a simple one. All this technique
does is fit a straight line through a finite number of data points by minimizing the sum of the squared vertical
distance between the line and each of the points. In our context, this means that if time is represented by days
on the horizontal axis and the closing price
on those days is plotted as dots on the vertical axis (a normal closing price chart), then we try to fit a straight
line through those closing-price dots such that the total sum of the squared vertical distance between each
closing price and the line are minimized. This would then be our best-fit line.
Raff regression channel Raff Regression Channels show the range prices can be expected to deviate from a
Linear Regression trend line. Developed by Gilbert Raff, the regression channel is a line study the plots
directly on the price chart. The Regression Channel provides a precise quantitative way to define a price trend
and its boundaries. The Regression Channel is constructed by plotting two parallel, equidistant lines above
and below a Linear Regression trend line.
The distance between the channel lines to the regression line is the greatest distance that any one high or low
price is from the regression line.
Raff Regression Channels contain price movement, with the bottom channel line providing support and the
top channel line providing resistance. Prices may extend outside of the channel for a short period of time.
However, if prices remain outside the channel for a long period of time, a reversal in trend may be imminent.
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Fibonacci Retracement
Fibonacci Retracements/Extensions are displayed by first drawing a trendline between two extreme points.
After selecting Fibonacci Retracement tool from Draw toolbar, a series of up to nine horizontal lines will be
drawn at the Fibonacci levels of 0.0%, 23.6%, 38.2%, 50.0%, 61.8%, 100%, 161.8%, 261.8% and 423.6%.
After a significant move (up or down), prices will often rebound and retrace a significant portion of the original
move. As the price retraces, support and resistance levels will often occur near the Fibonacci Retracement
levels.
Fibonacci retracement/extension tool works in 4 different modes depending on the direction of trend line
drawn:
• NE - gives (old-style) retracement in up trend
• SE - gives retracement in down trend
• NW - gives extension in up trend
• SW - gives extension in down trend
A controlling trend line drawn with dotted style can be used to delete Fibonacci retracement study at once
using right mouse button menu.
Fibonacci Retracement
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Fibonacci Time Zones
The Fibonacci Time Zones study consists of vertical lines at the Fibonacci intervals of 1, 2, 3, 5, 8, 13, 21, 34,
etc. The interpretation of Fibonacci Time Zones involves looking for significant changes in price near the
vertical lines.
Fibonacci Time Zones
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Bollinger bands
Bollinger Bands are envelopes which surround the price bars on a chart. Bollinger Bands are plotted two
standard deviations away from a simple short-term moving average. This is the primary difference between
Bollinger Bands and envelopes. Envelopes are plotted a fixed percentage above and below a moving
average. Because standard deviation is a measure of volatility, the Bollinger Bands adjust themselves to the
market conditions. They widen during volatile market periods and contract during less volatile periods.
Bollinger Bands become moving standard deviation bands. Bollinger Bands are displayed with a third line.
This is the simple (short-term) moving average line. The time period for this moving average can vary. The
default for short-term moving average in AmiBroker is 15 days.
An important thing to keep in mind is that Bollinger Bands do not generate buy and sell signals alone. They
should be used with another indicator. RSI, for example, is quite good choice as a companion for Bollinger
bands. When price touches one of the bands, it could indicate one of two things. It could indicate a
continuation of the trend; or it could indicate a reaction the other way. So Bollinger Bands used by themselves
do not provide all of what technicians need to know. Then RSI, which is an excellent indicator with respect to
overbought and oversold conditions, comes with help. Generally, when price touches the upper Bollinger
Band, and RSI is below 70, we have an indication that the trend will continue. Conversely, when price touches
the lower Bollinger Band, and RSI is above 30, we have an indication that the trend should continue. If we run
into a situation where price touches the upper Bollinger Band and RSI is above 70 (possibly approaching 80)
we have an indication that the trend may reverse itself and move downward. On the other hand, if price
touches the lower Bollinger Band and RSI is below 30 (possibly approaching 20) we have an indication that
the trend may reverse itself and move upward. Avoid the trap of using several different indicators all working
off the same input data. If you're using RSI with the Bollinger Bands, don't use MACD too. They both rely on
the same inputs. You might consider using On Balance Volume, or Money Flow. RSI, On Balance Volume,
and Money Flow, rely on different inputs.
Bollinger bands
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Indicators
What is an indicator?
An indicator is a mathematical calculation that can be applied to a security's price and/or volume fields. The
result is a value that is used to anticipate future changes in prices.
AmiBroker has following indicators built-in:
• ROC
• RSI
• MACD
• CCI
• OBV
• NVI
• MFI
• Accumulation/Distribution
• TRIX
• Chaikin
• Relative Strength
• Ultimate Oscillator
• Stochastic
• TRIN (Arms Index)
• AD-Line (Advance/Decline line)
• Volume At Price histogram (Volume Profile)
• Relative Performance
Indicators
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Accumulation/Distribution
Accumulation/Distribution is a momentum indicator which takes into account changes in price and volume
together. The idea is that a change in price coupled with an increase in volume may help to confirm market
momentum in the direction of the price move.
Note the similarity of this formula to that of the stochastic; this is basically a stochastic multiplied by volume.
This means that if the security closes to its high, the volume multiplier will greater than if the security closes
nearer to its low.
If the Accumulation/Distribution indicator is moving up the buyers are driving the price move and the security
is being accumulated. A decreasing A/D value implies that the sellers are driving the market and the security
is being distributed. If divergence occurs between the Accumulation/Distribution indicator and the price of the
security a change in price direction is probable.
The Accumulation/Distribution Line formula is as follows:
Where I is yesterday's Accumulation/Distribution value.
Accumulation/Distribution
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Advance-Decline line (AD-Line)
Line measuring advances and declines that reflects market breadth. In its simplest form ADLine is a
summation over time of the net daily difference between the number of advancing issues and the number of
declining issues. AmiBroker uses slightly improved formula which takes into account also number of
unchanged issues. The exact AFL formula for AmiBroker's ADLine is:
Difference = ( AdvIssues() - DecIssues() )/ ( UncIssues() + 1 );
DiffSqrt = IIF( Difference > 0, sqrt( Difference ), - sqrt( - Difference ) );
ADLine = Cum( DiffSqrt );
This is a classical indicator which tends to give a good reading of the overall strength of the market. A break in
the A/D line usually proceeds a break in prices. Look for non-confirmation and divergence.
See also AFL Function reference: AFL Function: adline()
Advance-Decline line (AD-Line)
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ADX / Directional Movement Index
The ADX Indicator, otherwise known as Directional Movement Index.
The ADX is a trend following system. The average directional movement index, or ADX, determines the
market trend. When used with the up and down directional indicator values, +DI and -DI, the ADX is an exact
trading system. The standard interpretation for using the ADX (blue line) is to establish a long position
whenever the +DI (green line) crosses above the -DI (red line). You reverse that position, liquidate the long
position and establish a short position, when the -DI crosses above the +DI. In addition to the crossover rules,
you must also follow the extreme point rule. When a crossover occurs, use the extreme price as the reverse
point. For a short position, use the high made during the trading interval of the crossover. Conversely, reverse
a long position using the low made during the trading interval of the crossover. You maintain the reverse point,
the high or low, as your market entry or exit price even if the +DI and the -DI remain crossed for several
trading intervals. This is supposed to keep you from getting whipsawed in the market. For some traders, the
most significant use of the ADX is the turning point concept. First, the ADX must be above both DI lines.
When the ADX turns lower, the market often reverses the current trend. The ADX serves as a warning for a
market about to change direction. The main exception to this rule is a strong bull market during a blow-off
stage. The ADX turns lower only to turn higher a few days later. According to the developer of the DMI, you
should stop using any trend following system when the ADX is below both DI lines. The market is in a choppy
sidewise range with no discernible trend. If you need further explanation, please refer to the author's original
work. The book titled New Concepts in Technical Trading Systems by J. Welles Wilder, Jr. explains this
indicator and several others.
ADX / Directional Movement Index
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CCI - Commodity Channel Index
A price momentum indicator developed by Donald R. Lambert - it measures price excursions from the mean
price as a statistical variation. The indicator works quite well with commodities, stocks and mutual funds. It
keeps trades neutral in a sideways moving market, and helps get in the market when a breakout occurs.
A description of the CCI formula is as follows:
First, Calculate each periods mean. This is the high, plus the low, plus the close, divided by 3.
Second, calculate the n period simple moving average of these means.
Third, from each periods mean price, subtract the n period simple moving average of mean prices.
Fourth, Compute the mean deviation. This is the differences between each period's mean price and the n
period simple moving average of those mean prices.
Fifth, Multiply the mean deviation by .015.
Sixth, the mean price, which we calculated in step three, is divided by .015 times the mean deviations from
step 5.
Ordinarily, CCI ranges in value from +100 to -100. The rules are to buy and go long when CCI crosses above
+100 and close the long when CCI falls back below +100. Conversely, sell short when CCI crosses below
-100 and close the short when CCI crosses back above -100.
CCI - Commodity Channel Index
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Chaikin Oscillator
Developed by Marc Chaikin back in the early 1970's when opening prices were eliminated from many
newspaper listings making it more difficult to calculate William's OBV. Chaikin substituted the average price
[(HIGH+LOW)/2] for William's opening price and created an oscillator using 10-period and 3-period
exponential moving averages of the resulting Accumulation/Distribution Line.
The basic premise of the Accumulation/Distribution Line is that the degree of buying or selling pressure can
be determined by the location of the close, relative to the high and low for the corresponding period. There is
buying pressure when a stock closes in the upper half of a period's range and there is selling pressure when a
stock closes in the lower half of the period's trading range.
Bullish Signals
There are two bullish signals that can be generated from the Chaikin Oscillator: positive divergences and
centerline crossovers. Because the Chaikin Oscillator is an indicator of an indicator, it is prudent to look for
confirmation of a positive divergence, by a bullish moving average crossover for example, before counting this
as a bullish signal.
Bearish Signals
In direct contrast to the bullish signals, there are two bearish signals that can be generated from the Chaikin
Oscillator: a negative divergence and a bearish centerline crossover. Allow a negative divergence to be
confirmed by a bearish centerline crossover, before a bullish signal is rendered.
The Chaikin Oscillator is good for adding momentum to the Accumulation/Distribution Line, but can
sometimes add a little too much momentum and be difficult to interpret. The moving averages are both
relatively short and will therefore be more sensitive to changes in the Accumulation/Distribution Line.
Sensitivity is important, but one must also be able to interpret the indicator.
Chaikin Oscillator
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MACD - Moving Average Convergence/Divergence
This indicator uses three exponential moving averages, a short or fast average, a long or slow average and an
exponential average of their difference, the last being used as a signal or trigger line. To fully understand the
basics of MACD you must first understand simple moving averages. The Moving Average
Convergence/Divergence indicator measures the intensity of public sentiment and is considered by Gerald
Appel, its developer, to be a very good indicator signaling market entry points after a sharp decline. This
indicator reveal overbought and oversold conditions and generates signals that predict trend or price
reversals. It provides a sensitive measurement of the intensity of public sentiment and can be applied to the
stock market, to individual stocks or to mutual funds. In some instances, it can provide advance warning of
reversals allowing you to buy into weakness and sell into strength.
The Moving Average Convergence/Divergence indicator (MACD) is calculated by subtracting the value of
26-day exponential moving average from a 12-day exponential moving average. A 9-day exponential moving
average (the "signal line") is automatically displayed on top of the MACD indicator line.
The basic MACD trading rule is to sell when the MACD falls below its 9-day signal line. Similarly, a buy signal
occurs when the MACD rises above its signal line.
MACD - Moving Average Convergence/Divergence
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Money Flow Index
The Money Flow Index (MFI) attempts to measure the strength of money flowing in and out of a security. It is
closely related to the Relative Strength Index (RSI). The difference between the RSI and Money Flow is that
where RSI only looks at prices, the Money Flow Index also takes volume into account.
Calculating Money Flow is a bit more difficult than the RSI.
First we need the average price for the day thenwe need the Money Flow:
Now, to calculate the money flow ratio you need to separate the money flows for a period into positive and
negative. If the price was up in a particular day this is considered to be "Positive Money Flow". If the price
closed down it is considered to be "Negative Money Flow".
It is the Money Flow Ratio which is used to calculate the Money Flow Index.
The Money Flow ranges from 0 to 100. Just like the RSI, a stock is considered overbought in the 70- 80 range
and oversold in the 20-30 range.
The shorter number of days you use, the more volatile the Money Flow is. The default is to use a 14 day
average.
The interpretation of the Money Flow Index is as follows:
• Look for divergence/failure swings between the indicator and the price action. If the price trends
higher (lower) and the MFI trends lower (higher), then a reversal may be imminent.
• Look for market tops to occur when the MFI is above a specific level (e.g., 80). Look for market
bottoms to occur when the MFI is below a specific level (e.g., 20).
Money Flow Index
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Negative Volume Index
This indicator makes a very important assumption. It assumes that the unsophisticated investor follows market
trends thus pushing up volume as they jump in on a rising security price. On the other hand, informed buying
and selling by those "in the know" occurs on quieter periods reflected by negative volume changes on days of
declining volume. This is an excellent bull market trend predictor. This index simply measures the trend of
prices during periods when the volume is declining.
The price index is only adjusted on those days during which the volume has decreased from the previous day.
If the volume did not change or was positive, the indicator remains unchanged. If the index rises, it means
simply that the price of the security has gone up on a day that the volume has dropped. A drop in the index
indicates that the price of the security has gone down while the volume declined. (The change in the index is
calculated as a percentage change in the price).
This indicator can be compared to its longer period averages to reflect the movement of smart money. If, for
example current index readings are above a six-month average, it can very well indicate an up trend for the
market or the security.
Negative Volume Index
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OBV - On Balance Volume
OBV was created by Joe Granville, the father of OBV analysis. This is a running total of volume that relates
price changes and volume and shows accumulation and distribution action.
The classic OBV is calculated by adding today’s total volume to a cumulative total when price closes higher
than yesterday’s close and subtracting today’s total volume from the cumulative when the price closes lower
than yesterday’s close. If price remains the same, then the OBV is not changed. The actual amount of the
price change is irrelevant and only the direction of change is significant for these calculations.
This indicator defines trends by showing underlying strength of price movements over time. A solid price trend
is assumed to be accompanied with a stronger volume movement in the same direction. OBV analysis
assumes that volume trends lead price trends and that OBV changes generally precede price changes. Look
for divergence or non-confirmation between price and volume movements. A stock that is trending in an
upward direction and starts to experience higher volume on days of lower closing prices usually indicates an
end to the current trend. Look for changes or breakouts in OBV trends. Sell short when the OBV makes a
downside breakout and buy long when the on OBV upside breakouts.
OBV - On Balance Volume
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Parabolic SAR (Stop-And-Reverse)
Developed by Welles Wilder, creator of RSI and DMI, the Parabolic SAR sets trailing price stops for long or
short positions. Also referred to as the stop-and-reversal indicator (SAR stands for "stop and reversal"),
Parabolic SAR is more popular for setting stops than for establishing direction or trend. Wilder recommended
establishing the trend first, and then trading with Parabolic SAR in the direction of the trend. If the trend is up,
buy when the indicator moves below the price. If the trend is down, sell when the indicator moves above the
price.
The formula is quite complex, but interpretation is relatively straightforward. The dotted lines below the price
establish the trailing stop for a long position and the lines above establish the trailing stop for a short position.
At the beginning of the move, the Parabolic SAR will provide a greater cushion between the price and the
trailing stop. As the move gets underway, the distance between the price and the indicator will shrink, thus
making for a tighter stop-loss as the price moves in a favorable direction.
There are two variables: the step and the maximum step. The higher the step is set, the more sensitive the
indicator will be to price changes. If the step is set too high, the indicator will fluctuate above and below the
price too often, making interpretation difficult. The maximum step controls the adjustment of the SAR as the
price moves. The lower the maximum step is set, the further the trailing stop will be from the price. Wilder
recommends setting the step at .02 and the maximum step at .20.
Parabolic SAR (Stop-And-Reverse)
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RS - Relative Strength (comparative)
Compares the performance trend of a stock or industry group relative to another stock, group or index. This
comparison removes the emotion from the marketplace. Many times a drop in relative strength can indicate a
coming drop in actual price of the security. Do not confuse with Wilders’s RSI.
The concept is to identify which stock or market sector is performing the best. Assuming that trends will
continue to persist for some time, it is more probable that before a stock price will drop sharply it will first loose
relative strength against other stocks. This would indicate a sell prior to such a price drop. An increase in
relative strength does not necessarily indicate that the index is heading up, but it does signal a buy alert.
RS - Relative Strength (comparative)
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RSI - Relative Strength Index
A technical indicator developed by Welles Wilder to help investors gauge the current strength of a security
price relative to its past performance. The RSI is an excellent overbought/oversold indicator that can be used
to predict trend reversal points. Do not confuse this index with relative strength in its everyday definition as
used in comparing the movement of one security, index or group against the movement of another security,
index or group. Developed by J. Welles Wilder, Jr. and first described in his book "New Concepts in Technical
Trading Systems", this is a momentum oscillator that measures the velocity of directional price movement.
It compares a security highest highs and lowest lows over a period of time. RSI is based upon the difference
between the average of the closing price on up days vs. the average closing price on the down days.
RSI=100-[100/(1+U/D)]
U = average of upward price closes (EMA of gains)
D = average of downward price closes (EMA of losses)
The ratio between up and down closing averages is in fact the makeup of the index. The time period specified
determines the volatility of the RSI. For example, a 9-day time period will be more volatile than a 21-day time
span. The author (Wilder) uses an n value of 14 days but other values may be used that better fit particular
securities. The 9-day and 25-day RSIs have also gained popularity. Because you can vary the number of time
periods in the RSI calculation, I suggest that you experiment to find the period that works best for you.
The RSI is a price-following oscillator that ranges between 0 and 100. A popular method of analyzing the RSI
is to look for a divergence in which the market index is making a new high, but the RSI is failing to surpass its
previous high. This divergence would be an indication of an impending reversal. When the RSI then turns
down and falls below its most recent trough, it is said to have completed a failure swing. The failure swing
would be considered a confirmation of an impending reversal.
In Mr. Wilder's book, he discusses five uses of the RSI in analyzing commodity charts (these apply to indices
as well):
1. Tops and Bottoms: RSI readings above 70 indicate the shares are overbought and are likely to start falling.
Readings below 30 indicate the shares are oversold and a rally can be expected. (AmiBroker automatically
draws horizontal lines at these levels). The RSI usually forms these tops and bottoms before the underlying
price chart.
2. Chart Formations: The RSI often forms chart patterns (such as head and shoulders or rising wedges) that
may or may not be visible on the price chart.
3. Failure Swings: This is where the RSI surpasses a previous high (peak) or falls below a recent low (trough).
4. Support and Resistance: The RSI shows, sometimes more clearly than the price chart, levels of support
and resistance.
5. Divergence: As discussed above, this occurs when the price makes a new high (or low) that is not
confirmed by a new RSI high (or low).
RSI - Relative Strength Index
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ROC - Price Rate Of Change
This indicator displays the rate-of-change of a security’s price. Change is displayed as a percentage rather
than as a ratio.
ROC is calculated by dividing the price change over the last n-periods by the closing price n-periods ago. This
gives you percentage that the price has changed in the last n-periods.
When the 10-day ROC line is above the central line, the price is higher today than it was 10 periods ago.
When the ROC line is below the central line, the price is lower today than it was 10 days ago. If the ROC line
is above the central line, the price is higher than it was 10 days ago. If the ROC line is below the central line
but rising, the price is still lower today than it was 10 days ago, but the range is narrowing.
The 12-day ROC is best used as a short to intermediate-term overbought/oversold indicator. The higher the
ROC, the more overbought the security; the lower the ROC, the more likely a rally. However, as with all
overbought/oversold indicators, it is best to wait for the market to begin to correct (i.e., turn up or down) before
placing your trade. A market that appears overbought may remain overbought for some time. In fact,
extremely overbought/oversold readings usually imply a continuation of the current trend.
The 12-day ROC tends to be very cyclical, oscillating back and forth in a fairly regular pattern. Often, price
changes can be anticipated by studying the previous cycles of the ROC and relating the previous cycles to the
current market.
The optimum overbought/oversold levels (e.g., +/-5) will vary depending on the security being analyzed and
overall market conditions. In strong bull markets, it is usually beneficial to use higher levels, perhaps +10 and
-5.
ROC - Price Rate Of Change
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Stochastic Slow
Stochastic is an oscillator that measures the position of a stock or security compared with its recent trading
range indicating overbought or oversold conditions.
It displays current day price at a percentage relative to the security’s trading range (high/low) over the
specified period of time.
In a Slow Stochastic, the highs and lows are averaged over a slowing period. The default is usually 3 for slow
and 1 (no slowing) for fast. The line can then be smoothed using an exponential moving average, Weighted,
or simple moving average %D. Confirming Buy/sell signals can be read at intersections of the %D with the %K
as well.
The Stochastic Oscillator always ranges between 0% and 100%. A reading of 0% shows that the security's
close was the lowest price that the security has traded during the preceding x-time periods. A reading of 100%
shows that the security's close was the highest price that the security has traded during the preceding x-time
periods. When the closing price is near the top of the recent trading range (above 80%), the security is in an
overbought condition and may signal for a possible correction. Oversold condition exists at a point below %20.
Prices close near the top of the range during uptrends and near the bottom of the range during downtrends.
Stochastic Slow
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TRIN - Arms Index
Trading Index, a technical measure of advances and declines within the market. TRIN takes into account the
number and volume of issues that advanced in price, and the number and volume of issues that declined in
price. This index measures the relative strength of volume associated with advancing stocks against the
strength of volume associated with declining stocks.
Exact AFL formula for TRIN is:
ArmsIndex = ( AdvIssues() / DecIssues() ) / ( AdvVolume() / DecVolume ) );
A TRIN value of 1 indicates that the ratio of up volume to down volume is equal to the ratio of advancing
issues to the declining issues and the market is in a neutral condition. A neutral condition simply means that
the up volume is equally distributed over the advancing issues and that the down volume is equally distributed
over declining issues for the day.
This indicator, although simple in its formulation, requires much study in its application. There are many
variations applied to the TRIN. Many analysts use a 10-day moving average of TRIN as an indicator.
AmiBroker plots two different averages for TRIN with the default averaging periods of 15 and 45. A reading of
less than 1.0 usually indicates a bullish demand while a reading greater than 1 can signify a bearish market
condition. It must be kept in mind that the indicator behavior and its reading and interpretation depends on
whether the market is in a bullish or bearish phase. The actual time duration of this market phase must also
be considered. Do not attempt to make and buy or sell decisions based on movements of this indicator by
itself.
See also AFL Function reference: AFL Function: trin()
TRIN - Arms Index
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TRIX - TRIple eXponential
TRI-ple eXponential. TRIX displays the % rate-of-change of a triple exponentially smoothed moving average
of the closing price of a security.
TRIX is calculated as a one period rate of change of the third exponential moving average pass of the closing
price.
TRIX is designed to filter out insignificant cycles - those smaller than the number of moving averages
specified. The TRIX indicator oscillates around a zero line. Trades should be placed when the indicator
changes direction.
TRIX - TRIple eXponential
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Ultimate Oscillator
Larry Williams, the designer of the Ultimate Oscillator, wanted to address the problems experienced with most
oscillators when used over different lengths of time.
Ultimate oscillator signals are the following: divergence and a breakout in the Oscillator's trend, as well as
overbought and oversold levels.
The value of other oscillators can vary greatly depending on the number of time periods used during the
calculation. So, the Ultimate Oscillator, uses weighted sums of three oscillators which represent short,
intermediate, and long term market cycles (7, 14, & 28-period), and it is plotted as a single line on a vertical
scale of 0 to 100.
The three components are based on Williams's definitions of buying and selling "pressure."
A trade should be initiated following a divergence and a breakout in the Ultimate Oscillator's trend.
Signals:
A Buy signal is generated when:
A positive or bullish divergence occurs between the Ultimate oscillator and the price.
The Ultimate falls below 30 and then rises above the previous high established during the divergence (the
actual buy signal).
A Sell Signal is offered when:
A negative or bearish divergence occurs between the Ultimate and the price.
The Ultimate rises above 70 and then falls below the previous low established during the divergence (the
actual sell signal).
Closing existing positions:
Close long positions when the Ultimate exceeds 70.
Close short positions when the Ultimate goes below 30.
As with most indicators, it is good if these signals are confirmed by other indicators before being acted upon.
Ultimate Oscillator
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VAP - Volume At Price histogram
Volume At Price histogram is also known as "Volume Profile" chart.
To turn it on simply go to Tools->Preferences and change Type of the VAP from "NONE" to "Left-side solid
area chart, behind" for example
VAP shows total volume of trading that occurred at given price level. VAP is calculated from data bars that are
currently visible.
Actual algorithm involves not ONE price but High-Low price RANGE.
AmiBroker DISTRIBUTES equally bar's volume over High-Low range to produce VAP histogram. For example
if bar's volume is 10000 and H-L range spans 3 'lines" of VAP histogram than each of 3 lines
involved gets added 10000/3 to produce statistics. This gives much more accurate results than using single
price
as some other implementations do.
To turn VAP on/off use: Tools->Preferences->Main chart
You can also add VAP to your own custom charts using PlotVAPOverlay AFL function.
VAP - Volume At Price histogram
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Relative Performance chart
Relative Performance chart compares the rate of price change of two or more tradable instruments. Plot starts
with 0% at the very first visible bar and shows percentage change of closing price since that point for every
symbol in the list. Relative perfomrance charts are great for comparing dissimimilarly priced issues (for
example stocks and indices) since it displays percentage changes, not absolute values. You can easily see
which instruments perform better than others and choose best performers for your trading.
You can adjust the list of symbols that are plotted in the Relative Performance chart by clicking with RIGHT
mouse button over the chart and choosing "Parameters" item from the context menu. In the Parameters dialog
you can enter a comma-separated list of symbols that you want to get the chart for. There is no limit on
number of symbols you can enter, but please remember to separate symbols by comma and not using spaces
unless symbol itself has them.
Relative Performance chart
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AmiBroker Formula Language (AFL)
AmiBroker is equipped with a powerful formula language allowing you to write trading system rules, define
your own indicators and custom commentaries. This chapter explains the language, gives you detailed
reference of built-in analysis functions and shows how to use AFL-tools such as automatic analyzer and
formula editor .
• Language Reference
♦ Basics (lexical elements, predefined variables)
♦ Keywords
• Function Reference
♦ Alphabetical list of all AFL functions
♦ Categorized list of AFL functions
♦ AddToComposite function - creating multiple security statistics
♦ Equity functon - analysing your trading system performance
♦ Variable-period functions
• User-defined functions and variable scope
• AFL Tools
• AFL Scripting Host
• Component Object Model support in AFL
• Common coding mistakes
• Advanced portfolio backtester interface
• Adding custom backtester metrics
• Using Low-level graphics functions
See also: Tutorial: Understanding how AFL works
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AFL Reference Manual
Introduction
AFL is a special programming language used to define and create custom indicators, scans, explorations,
back-tests and guru commentaries.
Basics
Lexical elements
This chapter describes the different categories of word-like units (tokens) recognized by the AFL language
interpreter.
Whitespace
Whitespace is the collective name given to spaces (blanks), tabs, new line characters and comments.
Whitespace can serve to indicate where tokens start and end, but beyond this function, any surplus
whitespace is discarded.
Comments
Comments are pieces of text used to annotate a program. Comments are for the programmer's use only; they
are stripped from the source code before parsing. The are two ways to delineate comments: C-like comments
and C++ like comments. A C-like comment is any sequence of characters placed after the symbol pair /*. The
comment terminates at the first occurrence of the pair */ following the initial /*. The entire sequence, including
the four comment-delimiter symbols, is replaced by one space. A C++ like comments are single-line
comments that start by using two adjacent slashes (//) in any position within the line and extend until the next
new line.
AFL does not allow nested comments.
Tokens
AFL recognizes five classes of tokens:
• identifiers
• constants
• string-literals
• operators
• punctuators (also known as separators)
Identifiers are arbitrary names of any length given to functions and variables. Identifiers can contain the letters
(a-z, A-Z), the underscore character ("_"), and the digits (0-9). The first character must be a letter.
AFL identifiers are NOT case sensitive.
Constants are tokens representing fixed numeric or character values. Numeric constants consist of decimal
integer and optionally: decimal point and decimal fraction part. Negative numeric constants have unary minus
(-) prefixed.
String constants, also known as string literals, form a special category of constants used to handle fixed
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sequences of characters and are written as a sequence of any number of characters surrounded by double
quotes:
"This is literally a string"
The null (empty) string is written "". The characters inside the double quotes can include escape sequences
("\n" - a new line escape sequence).
A Constant expression is an expression that always evaluates to a constant. They are evaluated just as
regular expressions are.
Punctuator (also known as separator) in AFL is one of the following characters:
(),;=.
Parentheses (open ( and close ) ) group expressions, isolate conditional expressions and indicate function
calls and function parameters:
d = c * ( a + b ) /* override normal precedence */
a= (b AND c) OR (d AND e) /* conditional expression */
func() /* function call no arguments */
The comma (,) separates the elements of a function argument list
The semicolon (;) is a statement terminator. Any legal AFL expression followed by a semicolon is interpreted
as a statement, known as expression statement. The expression is evaluated and its value
is discarded (except Guru Commentaries where string values are written to output window)
The dot (.) is a member access operator. It is used to call COM object methods. If myobj variable holds the
object, using dot operator we can call the methods (functions) of myobj object:
myobj.Method();
The equal sign (=) separates variable declarations from initialization lists:
x = 5;
It also indicates the default value for a parameter (see built-in function description):
macd( fast = 12; slow = 26 ) /* default values for fast and slow arguments)
Language structure
Each formula in AFL contains of one or more expression statements. Each statement MUST be terminated by
semicolon (;). In this way you are able to break long expressions into several physical lines (in order to gain
clarity) and AmiBroker will still treat it like a single statement until terminating semicolon. Examples:
x = ( y + 3 );
/* x is assigned the value of y + 3
x = y = 0;
/* Both x and y are initialized to 0 */
proc( arg1, arg2 );
/* Function call, return value discarded */
y = z = ( f( x ) + 3 ); /* A function-call expression
my_indicator =
Lexical elements
*/
*/
IIf( MACD() > 0,
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Close - MA(Close,9),
MA( Close, 9 ) - Close );
/* one statement in several lines */
Identifiers
Identifiers in AFL are used to identify variables and functions.
There are some predefined identifiers referencing built-in arrays and functions.
The most important are price array identifiers. They identify specific price fields that the formula should
operate on. The valid price array identifiers are open, high, low, close, volume, openint, average. Price
array identifiers can be abbreviated as shown in the following table. Note that these are not case-specific.
Long name Abbreviation
Comment
Open
O
High
H
Low
L
Close
C
Volume
V
OpenInt
OI
Avg
<none available> (High+Low+Close)/3 - so called "typical price"
Examples of the use of price array identifiers in formulas are shown below.
MA( Close, 10 ); IIf( H > Ref(H,-1), MA(H,20), MA(C,20) );
Operators
Comparision operators
Comparision operators are divided into two types:
• relational ( <, >, <=, >= )
• equality ( ==, != )
Symbol Meaning
<
Less than
>
Greater than
<=
Less than or equal to
>=
Greater than or equal to
==
Equal to
!=
Not equal to
These operators give true (1) or false (0) value as a result of comparison.
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Assignment operator
Symbol Meaning
=
Store the value of the second operand in the object specified by the first
operand (“simple assignment”).
The assignment operator assigns a value to a variable:
result = expression;
where result is variable identifier and expression is any numerical, array or text expression.
As the = operator behaves like other operators, expressions using it have a value in addition to assigning that
value into variable. This means that you can chain assignment operators as follows:
j = k = l = 0;
j, k, and l equal zero after the example statement is executed.
Attention: please DO NOT confuse assignment operator (=) with equality check (==)
These are two different operators and you must not use assignment (=) to check for equality.
if( Name() = "MSFT" ) // WRONG !!! - variable assignment operator used instead of equality check
{
}
if( Name() == "MSFT" ) // CORRECT - equality operator used properly
{
}
This is one of common coding mistakes listed here.
Arithmetic operators
Formulas can contain the following mathematical operators:
Symbol Meaning
+
Addition
-
Subtraction (or negative value)
*
Multiplication
/
Division
%
Modulus (or remainder) (AFL 1.7+)
^
Exponentiation (raising to a power)
|
Bit-wise "Or" (AFL 2.1+)
&
Bit-wise "And" (AFL 2.1+)
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The following formulas illustrate the use of operators in a formula:
var1 = ( H + L ) / 2;
var2 = MA(C,10)-MA(C,20) / (H + L + C);
var3 = Close + ((1.02 * High)-High);
Logical operators
Symbol Meaning
NOT
Logical "Not" - gives "True" when operand is equal to false
AND
Logical "And" - gives "True" result if BOTH operands are true at the same time
OR
Logical "Or" - gives "True" result if ANY of operands is true
If a formula requires multiple conditions, you can combine the conditions with AND and OR operators. For
example, maybe you'd like to plot a +1 when the MACD is greater than zero and the RSI is greater than 70:
Condition = MACD() > 0 AND RSI(14) > 70;
You can add as many conditions within a formula as you like.
Compound assignment operators
Introduced in version 5.00, the compound operatos are specifeid in the form of:
destinvar op= expr;
where destinvar is the variable, expr is the expression, and op is one of the following artithmetic operators: +,
-, *, /, %, &, |
The destinvar op= expr form behaves as:
destinvar = destinvar op expr;
This is shortcut form for common assignment statements like k = k + 2; so you can write it shorter as:
k += 2;
and it will work the same but little faster.
Full list of available assignment operators is here:
No Symbol Meaning
1
=
Store the value of the second operand in the object specified by the first
operand (“simple assignment”).
2
*=
Multiply the value of the first operand by the value of the second
operand; store the result in the object specified by the first operand.
3
/=
Divide the value of the first operand by the value of the second operand;
store the result in the object specified by the first operand.
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4
%=
Take modulus of the first operand specified by the value of the second
operand; store the result in the object specified by the first operand.
5
+=
Add the value of the second operand to the value of the first operand;
store the result in the object specified by the first operand.
6
–=
Subtract the value of the second operand from the value of the first
operand; store the result in the object specified by the first operand.
7
&=
Obtain the bitwise AND of the first and second operands; store the result
in the object specified by the first operand.
8
|=
Obtain the bitwise inclusive OR of the first and second operands; store
the result in the object specified by the first operand
typeof() operator
The typeof operator is used in the following way:
typeof (operand)
The typeof operator returns a string indicating the type of the *unevaluated* operand. operand is the string,
variable, function identifier, or object for which the type is to be returned.
When supplying identifier, it should be provided alone, without arithmetic operators, without extra arguments
and without braces.
If you want to check the type of value returned by the function, you must first assign the return value to a
variable and then use
typeof( variable ).
Possible return values are:
• "undefined" - identifier is not defined
• "number" - operand represents a number (scalar)
• "array" - operand represents an array
• "string" - operand represents a string
• "function" - operand is a built-in function identifier
• "user function" - operand is a user-defined function
• "object" - operand represents COM object
• "member" - operand represents member function or property of COM object
• "handle" - operand represents Windows handle
• "unknown" - type of operand is unknown (should not happen)typeof operator allows among other
things to detect undefined variables in the following way
if( typeof( somevar ) == "undefined" )
{
/// when somevar is undefined the code here will execute
}
The following sample COMMENTARY code shows the output of typeof() in some common situations:
x = MACD();
y = LastValue( x );
function testfun() { return 1; };
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printf(
printf(
printf(
printf(
printf(
printf(
printf(
typeof(
typeof(
typeof(
typeof(
typeof(
typeof(
typeof(
AmiBroker Formula Language (AFL)
test ) + "\n" ); // the undefined variable
1 ) + "\n"); // literal number
"checking" ) + "\n"); // literal string
x ) + "\n"); // array variable
y ) + "\n"); // scalar variable
MACD ) + "\n"); // function identifier
testfun ) + "\n" ); // user function identifier
Operator precedence and the parentheses
AFL supports parentheses in formulas.
Parentheses can be used to control the operation precedence (the order in which the operators are
calculated). AmiBroker always does operations within the innermost parentheses first. When parentheses are
not used, the precedence is as follows (higher precedence listed first):
No Symbol Meaning
1
++
Post-increment/pre-increment
(i++ works like i = i + 1)
2
--
Post-decrement/pre-decrement
(i-- works like i = i - 1 )
3
[]
Array element (subscript) operator
4
^
Exponentiation
5
-
Negation - Unary minus
6
*
Multiplication
7
/
Division
8
%
Reminder (Modulo operator)
9
+
Addition
10
-
Subtraction
11
<
Less than
12
>
Greater than
13
<=
Less than or equal to
14
>=
Greater than or equal to
15
==
Equal to
16
!=
Not equal to
17
&
Bit-wise "And" (AFL 2.1+)
18
|
Bit-wise "Or" (AFL 2.1+)
19
NOT
Logical "Not"
20
AND
Logical "And"
21
OR
Logical "Or"
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22
=
23
*=
/=
%=
+=
-=
&=
|=
AmiBroker Formula Language (AFL)
Variable assignment operator
Compound assignment
The expression
H + L / 2;
(without parenthesis) would be calculated by AmiBroker as "L / 2" plus "H", since division has a higher
precedence. This would result in a much different value than
(H + L)/2;
A few words about increment/decrement operators. There are two kinds of them: postfix and prefix.
The unary operators (++ and --) are called “prefix” increment or decrement operators when the increment or
decrement operators appear before the operand. Postfix increment and decrement has higher precedence
than prefix increment and decrement operators. When the operator appears before its operand, the operand
is incremented or decremented and its new value is the result of the expression.
i = 5;
j = ++i; // i will be incremented first and result (number 6) will be assigned to
j.
The result of the postfix increment or decrement operation is the value of the postfix-expression before the
increment or decrement operator is applied. The type of the result is the same as that of the
postfix-expression but is no longer an l-value. After the result is obtained, the value of the operand is
incremented (or decremented).
i = 5;
j = i++; // j will be assigned the value of 5 (before incrementation) and then i
will be incremented to 6.
Accessing array elements: [ ] - subscript operator
An array identifier followed by an expression in square brackets ([ ]) is a subscripted representation of an
element of an array object.
arrayidentifier [ expression ]
It represents the value of expression-th element of array.
BarCount constant gives the number of bars in array (such as Close, High, Low, Open, Volume, etc). Array
elements are numbered from 0 (zero) to BarCount-1.
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To get the first bar you can use array[ 0 ], to get the last bar of array you can use array[ BarCount - 1 ];
For example:
Close[ 5 ];
Represents the sixth element (bar) of the close array.
Close[ 0 ];
Represents the very first available bar of the close array.
High[ BarCount - 1 ];
Represents the last bar of High array.
Matrices and Matrix operators
Matrices are two-dimensional arrays of numbers.
To create a matrix use:
my_var_name = Matrix( rows, cols, initvalue);
To access matrix elements, use:
my_var_name[ row ][ col ];
where
row is a row index (0... number of rows-1)
and
col is a column index (0... number of columns-1)
Matrices and their elements support all scalar (element-wise) arithmetic and logical operations.
All these standard operators are performed on matrices element-wise. For that reason for example to add two
matrices they must be the same size (the number of rows and columns must be the same). If they are not the
same it is up to you how to perform calculation on each element via loop.
So you can for example add, subtract, multiply, divide two matrices if they have same dimensions with one
call.
x = Matrix( 5, 6, 9 ); // matrix 5 rows 6 columns, initial value 9
y = Matrix( 5, 6, 10 ); // matrix 5 rows 6 columns, initial value 10
z = y - z; // will give you matrix 5 rows and 6 columns filled with elements
holding value 1 (difference between 10 and 9).
All those operations are performed ELEMENT-WISE.
You can also apply any arithmetic and logical operation on matrix AND scalar value. This would perform
element-wise
operation on each element of source matrix and given scalar value.
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m = Matrix( 10, 10, 0 ); // m will be 10x10 matrix filled with zeros
z = m; // z is now also a matrix
for( i = 0; i < 10; i++ )
{
z[ i ][ 4 ] = i; // fill z with some other values, note that m will remain
unaffected.
}
for( i = 0; i < 10; i++ )
_TRACEF( "%g = %g, %g, %g\n", i, m[i][1], m[ i][4], z[ i][4]);
// scalar addition (element wise)
z += 3;
m += 5;
for( i = 0; i < 10; i++ )
_TRACEF( "%g = %g, %g, %g\n", i, m[i][1], m[ i][4], z[ i][4]);
There is one special operator that works only on matrices - it is matrix product. The operator for matrix
product is @ (the 'at' sign). Matrix product is the linear algebra way to multiply matrices. If you write C = A @
B, it multiplies matrix A(n,k) by matrix B(k,m) to produce matrix C(n,m) so the number of columns in matrix A
must be equal to number of rows in matrix B. For more info see:
https://en.wikipedia.org/wiki/Matrix_multiplication The precedence of matrix product @ operator is the same
as * (so it has higher precedence than addition and subtraction).
A = Matrix( 1, 3 );
B = Matrix( 3, 2 );
//
//
//
//
//
matrix
matrix
[ 2, 3
[ 5, 8
[ 7, 9
A = [ 1, 4, 6 ]
B =
]
]
]
A[ 0 ][ 0 ] = 1; A[ 0 ][ 1 ] = 4; A[ 0 ][ 2 ] = 6;
B[ 0 ][ 0 ] = 2; B[ 0 ][ 1 ] = 3;
B[ 1 ][ 0 ] = 5; B[ 1 ][ 1 ] = 8;
B[ 2 ][ 0 ] = 7; B[ 2 ][ 1 ] = 9;
X = A @ B;
_TRACEF("%g %g", X[ 0 ][ 0 ], X[ 0 ][ 1 ] );
Compound statements (Blocks)
A compound statement consists of zero or more statements enclosed in curly braces ({ }). A compound
statement can be used anywhere a statement is expected. Compound statements are commonly called
“blocks.”
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{
statement1;
....
statementN;
}
(this is 'borrowed' from C language, users of other programming languages are used to use BEGIN for { and
END for } )
if( Amount > 100 )
{
_TRACE("Amount above 100");
Balance = Balance + Amount;
}
else
Balance = Balance - Amount;
Built-in Functions
In addition to mathematical operators, AmiBroker contains over 70 built-in functions that perform mathematical
operations.
The following formula consists of a single function that gives the square roots of the closing prices:
sqrt( Close );
The following formula consists of a single function that gives a 14-period RSI indicator:
Graph0 = RSI(14);
The following formula consists of two functions. The result is the difference between the MACD indicator and
a 9-period exponential moving average of the MACD:
Graph0 = MACD() - EMA(MACD(),9);
All function calls must consist of function identifier (name) followed by a pair of parentheses.
As has been eluded to in earlier examples, a function can be "nested" within a function. The nested function
can serve as the main function's data array parameter. The following examples show functions nested within
functions:
MA( RSI(15), 10 );
MA( EMA( RSI(15), 20), 10 );
The first example calculates a 10-period simple moving average of a 15-period Relative Strength Index (RSI).
The second example calculates a 20-period exponential moving average of a 15-period RSI, and then
calculates a 10-period simple moving average of this moving average.
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Conditional function IIF()
The iif() function is used to create conditional assignments. It contains three parameters as shown in the
following example.
dynamicrsi = IIf( Close > MA(C,10), RSI(9), RSI(14) );
The above "iif" statement reads (in English) as follows: If today's close is greater than today's 10-day simple
moving average of the close, then assign a 9-day RSI to the dynamicrsi variable, otherwise, assign a 14-day
RSI. The next formula assigns “positive volume” to volresult variable if the close is greater than the median
price. Otherwise, "negative volume" is assigned.
volresult = IIf( Close > (High+Low)/2, Volume, -Volume );
If you simply want an expression to be evaluated as either true or false, it can be done without the use of the
iif() function. The following formula will result in either a 1 (true) or a 0 (false):
result = RSI(14) > 70;
The same done with iif() gives the same results, but the formula is longer.
result = IIf(RSI(14) > 70, 1, 0 );
Please note that IIF is a function - so the result of evaluation is returned by that function and should be
assigned to some variable.
IIf always evaluates both TRUE_PART and FALSE_PART, even though it returns only one of them. Because
of this, you should watch for undesirable side effects. IIF function is NOT a flow-control statement. If you
need flow control (conditional execution of some code parts) you should look for if-else conditional statement
described later in this document.
The following example shows one common error made with IIF function:
IIf( condition, result = 7, result = 9 ); // THIS IS WRONG
Correct usage is:
result = IIf( condition, 7, 9 );
/* 7 or 9 is *returned* and assigned to result variable depending on condition */
Variables
In order to shorten, simplify, enhance, and make the maintenance of complex formulas easier, you may want
to use variables. In fact using variables you can significantly improve formula calculation speed. So it is
strongly recommended to use variables and there is no limit on number of variables you can define.
A variable is an identifier that is assigned to an expression or a constant. The number of variables used in a
formula is not limited. Variables must be assigned before the variable is used in the formula. Variables cannot
be assigned within a function call.
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User-defined variable names (identifiers) cannot duplicate names already used by functions (e.g., ma, rsi, cci,
iif, etc.) or predefined array identifiers (e.g., open, high, low, close, simple, o, c, l, h, s, a).
Reserved variables
AmiBroker uses some reserved variable names in its formulas, for example in Auto-Analysis window you have
to assign values to 2 variables named 'buy' or 'sell' to specify the conditions where "buy" and "sell" conditions
occur. For example (system that buys when MACD rises above 0 line, and sells when MACD falls below 0
line)
Buy = Cross( MACD(), 0 );
Sell = Cross( 0, MACD() );
AmiBroker uses the following reserved variable names. Please note that variables marked as obsolete should
NOT be used in new coding. They are left for backward compatibility only and new formulas should use
modern functions like Plot() to plot indicators and AddColumn() to define exploration columns.
Variable
Usage
Applies to
buy
defines "buy" (enter long position) trading rule
Automatic
Analysis,
Commentary
sell
defines "sell" (close long position) trading rule
Automatic
Analysis,
Commentary
short
defines "short" (enter short position - short sell) trading rule
Automatic
Analysis
cover
defines "cover" (close short position - buy to cover) trading rule
Automatic
Analysis
buyprice
defines buying price array (this array is filled in with the default values
according to the Automatic Analyser settings)
Automatic
Analysis
sellprice
defines selling price array (this array is filled in with the default values
according to the Automatic Analyser settings)
Automatic
Analysis
shortprice
defines short selling price array (this array is filled in with the default
values according to the Automatic Analyser settings)
Automatic
Analysis
coverprice
defines buy to cover price array (this array is filled in with the default
values according to the Automatic Analyser settings)
Automatic
Analysis
title
defines title text (overrides any graphNname)
Indicators
tooltip
Obsolete in 5.40. Use Data window instead or use Plot() with
styleHidden if you want to add your custom values to data tooltip.
Indicators
graphxspace
defines percentage extra space added at the top and the bottom of the
chart
Indicators
graphzorder
GraphZOrder variable allows to change the order of plotting indicator
lines. When GraphZOrder is not defined or is zero (false) - old ordering
(last to first) is used, when GraphZOrder is 1 (true) - reverse ordering is
applied.
Indicators
exclude
If defined, a true (or 1) value of this variable excludes current symbol
Automatic
from scan/exploration/back test. They are also not considered in buy and Analysis
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hold calculations. Useful when you want to narrow your analysis to
certain set of symbols.
roundlotsize
defines round lot sizes used by backtester (see explanations below)
Automatic
Analysis (new in
4.10)
ticksize
defines tick size used to align prices generated by built-in stops (see
Automatic
explanations below) (note: it does not affect entry/exit prices specified by Analysis (new in
buyprice/sellprice/shortprice/coverprice)
4.10)
pointvalue
allows to read and modify future contract point value (see backtesting
futures)
CAVEAT: this AFL variable is by default set to 1 (one) regardless of
contents of Information window UNLESS you turn ON futures mode
(SetOption("FuturesMode", True ))
Automatic
Analysis (new in
4.10)
margindeposit
allows to read and modify future contract margin (see backtesting
futures)
Automatic
Analysis (new in
4.10)
positionsize
Allows control dollar amount or percentage of portfolio that is invested
into the trade (more information available in the "Tutorial: Backtesting
your trading ideas")
Automatic
Analysis (new in
3.9)
positionscore
Defines the score of the position. More details: "Tutorial: Portfolio
Backtesting")
Automatic
analysis
numcolumns
Exploration only: defines the number of your own columns (excluding
predefined ticker and date columns) and assign the column value to the
variable
Automatic
Analysis
filter
Exploration only: controls which symbols/quotes are accepted. If "true"
(or 1) is assigned to that variable for given symbol/quote it will be
displayed in the report.
Automatic
Analysis
So, for example, the following formula will accept all symbols with closing
prices greater than 50 :
filter = close > 50;
columnN
Exploration only: defines Nth column value. Example:
(obsolete)
columnNformat
(obsolete)
Automatic
Analysis
column0 = Close;
Exploration only: allows you to define the formatting applied to numbers.
By default all variables are displayed with 2 decimal digits, but you can
change this by assigning a different value to this variable: 1.5 gives 5
decimal digits, 1.0 gives no decimal digits. So, in our example, typing:
Automatic
Analysis
column0format = 1.4;
will give closing prices displayed with 4 decimal digits.
(Note for advanced users: the integer part of this number can be used to
pad formatted number with spaces - 6.0 will give no decimal digits but a
number space-padded upto 6 characters.)
columnNname
Exploration only: allows you to define the header name. Assigning
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(obsolete)
AmiBroker Formula Language (AFL)
column0name = "Close";
Automatic
Analysis
will change the name of the first custom column from the default "Column
0" to more appropriate "Close".
maxgraph
specifies maximum number of graphs to be drawn in custom indicator
window (default=3)
Indicators
graphN
(obsolete)
defines the formula for the graph number N (where N is a number
0,1,2,..., maxgraph-1)
Indicators
graphNname
(obsolete)
defines the name of Nth graph line. This will appear in the title of the
chart pane
Indicators
graphNcolor
(obsolete)
defines the color index of Nth graph line (color indexes are related to the
current palette - see Preferences/Color)
Indicators
(obsolete)
colorCustom1 = 0
colorCustom2 = 1
colorCustom3 = 2
colorCustom4 = 3
colorCustom5 = 4
colorCustom6 = 5
colorCustom7 = 6
colorCustom8 = 7
colorCustom9 = 8
colorCustom10 = 9
colorCustom11 = 10
colorCustom12 = 11
colorCustom13 = 12
colorCustom14 = 13
colorCustom15 = 14
colorCustom16 = 15
colorBlack = 16
colorBrown = 17
colorDarkOliveGreen = 18
colorDarkGreen = 19
colorDarkTeal = 20
colorDarkBlue = 21
colorIndigo = 22
colorDarkGrey = 23
colorDarkRed = 24
colorOrange = 25
colorDarkYellow = 26
colorGreen = 27
colorTeal = 28
colorBlue = 29
colorBlueGrey = 30
colorGrey40 = 31
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colorRed = 32
colorLightOrange = 33
colorLime = 34
colorSeaGreen = 35
colorAqua = 35
colorLightBlue = 37
colorViolet = 38
colorGrey50 = 39
colorPink = 40
colorGold = 41
colorYellow = 42
colorBrightGreen = 43
colorTurquoise = 44
colorSkyblue = 45
colorPlum = 46
colorLightGrey = 47
colorRose = 48
colorTan = 49
colorLightYellow = 50
colorPaleGreen = 51
colorPaleTurquoise = 52
colorPaleBlue = 53
colorLavender = 54
colorWhite = 55
graphNbarcolor
(obsolete)
defines the array that holds palette indexes for each bar drawn
Indicators
graphNstyle
(obsolete)
defines the style of Nth graph. Style is defined as a combination (sum) of Indicators
one or more following flags:
styleLine = 1 - normal (line) chart (default)
styleHistogram = 2 - histogram chart
styleThick =4 - fat (thick)
styleDots = 8 - include dots
styleNoLine = 16 - no line
styleLog = 32 - semi-logarithmic scale
styleCandle = 64 - candlestick chart
styleBar = 128 - traditional bar chart
styleNoDraw = 256 - no draw (perform axis scaling only)
styleStaircase = 512 - staircase (square) chart
styleSwingDots = 1024 - middle dots for staircase chart
styleNoRescale = 2048 - no rescale
styleNoLabel = 4096 - no value label
stylePointAndFigure = 8192 - point and figure
(new in 4.20):
styleArea = 16384 - area chart (extra wide histogram)
styleOwnScale = 32768 - plot is using independent scaling
styleLeftAxisScale = 65536 - plot is using left axis scale (independent
from right axis)
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Not all flag combinations make sense, for example (64+1) (candlestick +
line) will result in candlestick chart (style=64)
Note on candlestick/bar charts: these styles use indirectly O, H, L arrays
in addition to graphN. So ordinary candlestick price chart formula is
graph0=close; graph0style=64;.
But if you want to draw something else than close price you have to
assign new values to predefined O,H,L arrays.
graphNbarcolor
(obsolete)
defines the array of color indexes for the bars and candlesticks in Nth
graph ine (color indexes are related to the current palette - see
Preferences/Color)
Indicators
SEE ALSO:
• KEYWORDS
• USER-DEFINABLE PROCEDURES, LOCAL/GLOBAL SCOPE
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Keywords
The following are keywords in AmiBroker Formula Language:
Loops:
• do (part of do-while statement)
• while
• for
Conditional execution / Flow control:
• if (part of if-else statement)
• else (part of if-else statement)
• switch
• break (part of the switch statement or for/while statements)
• case (part of the switch statement)
• continue (part of for/while statements)
• default (part of switch statement)
Functions:
• function
• procedure
• return
• local (variable scope)
• global (variable scope)
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break Keyword
The break keyword is a part of switch statement and an optional part of looping for , do-while and while
statements.
The break keyword terminates the smallest enclosing do, for, switch, or while statement in which it appears.
break;
The break statement is used to exit an iteration or switch statement. It transfers control to the statement
immediately following the iteration substatement or switch statement.
The break statement terminates only the most tightly enclosing loop or switch statement. In loops, break is
used to terminate before the termination criteria evaluate to 0. In the switch statement, break is used to
terminate sections of code — normally before a case label. The following example illustrates the use of the
break statement in a for loop:
i = 0;
while ( i < 10 )
{
i++;
// break at step 5
if( i == 5 )
{
break;
}
printf("Step " + i );
}
For an example of using the break statement within the body of a switch statement, see The switch
Statement.
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case Keyword
The case keyword is an integral part of switch-case statement.
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continue Keyword
The continue keyword is an optional part of for , do-while and while statements.
It stops the current iteration of a loop, and starts a new iteration.
continue;
You can use the continue statement only inside a while, do...while, or for loop. Executing the continue
statement stops the current iteration of the loop and continues program flow with the beginning of the loop.
This has the following effects on the different types of loops:
while and do...while loops test their condition, and if true, execute the loop again. for loops execute their
increment expression, and if the test expression is true, execute the loop again.
The following example illustrates the use of the continue statement:
i = 0;
while ( i < 10 )
{
i++;
// Skip 5
if( i == 5 )
{
continue;
}
printf("Step " + i );
}
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default Keyword
The default keyword is an integral part of switch-case statement.
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do Keyword
The do keyword is a part of do-while statement.
do-while Statement
The do-while statement lets you repeat a statement or compound statement until a specified expression
becomes false.
Syntax
do statement while ( expression ) ;
The expression in a do-while statement is evaluated after the body of the loop is executed. Therefore, the
body of the loop is always executed at least once.
The expression must have numeric or boolean type. Execution proceeds as follows:
1. The statement body is executed.
2. Next, expression is evaluated. If expression is false, the do-while statement terminates and control
passes to the next statement in the program. If expression is true (nonzero), the process is repeated,
beginning with step 1.
This is an example of the do-while statement:
x=100;
do
{
y = sin( x );
x--;
} while ( x > 0 );
In this do-while statement, the two statements y = sin( x ); and x--; are executed, regardless of the
initial value of x. Then x > 0 is evaluated. If x is greater than 0, the statement body is executed again and x
> 0 is reevaluated. The statement body is executed repeatedly as long as x remains greater than 0.
Execution of the do-while statement terminates when x becomes 0 or negative. The body of the loop is
executed at least once.
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else Keyword
The else keyword is an optional part of if-else statement.
if, else Statement
if( expression )
statement1
[else
statement2]
The if keyword executes statement1 if expression is true (nonzero); if else is present and expression is false
(zero), it executes statement2. After executing statement1 or statement2, control passes to the next
statement.
Example 1
if ( i > 0 )
y = x / i;
else
{
x = i;
y = abs( x );
}
In this example, the statement y = x/i; is executed if i is greater than 0. If i is less than or equal to 0, i is
assigned to x and abs( x ) is assigned to y. Note that the statement forming the if clause ends with a
semicolon.
When nesting if statements and else clauses, use braces to group the statements and clauses into compound
statements that clarify your intent. If no braces are present, the compiler resolves ambiguities by associating
each else with the closest if that lacks an else.
Example 2
if ( i > 0 )
if ( j > i )
x = j;
else
x = i;
/* Without braces */
The else clause is associated with the inner if statement in this example. If i is less than or equal to 0, no
value is assigned to x.
Example 3
if ( i > 0 )
{
/* With braces */
if ( j > i )
x = j;
}
else
x = i;
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The braces surrounding the inner if statement in this example make the else clause part of the outer if
statement. If i is less than or equal to 0, i is assigned to x.
Common misunderstandings
"New if-else problem"
Question:
Why I get the syntax error when I write: if( H > Ref(H,-1) )
Answer:
if-else statement changes flow of execution (opposite to IIF function that evaluates all arguments and works
on arrays) and you can not really write
if ( H >Ref(H,-1) )
because it has no meaning. It would translate to " If high array is higher than high array shifted one bar" (see
tutorial below). Flow control statement (such as if-else) has to get SINGLE boolean value to make decision
which execution path should be taken. If you write H (or High) it means ARRAY (entire array).
if you write H[ i ] - it means i-th element of the array. The subscript operator [ ] allows you to access individual
array elements.
Instead you should write:
for( i = 1; i
{
if ( High[
{
x[ i ]
}
else
{
x[ i ]
}
}
< BarCount; i++ )
i ] > High[ i - 1 ] )
= High[ i ];
= Low[ i ];
this will translate to correct one "for EVERY BAR 'i' assign i-th element of high array to the i-th element of x
array if i-th element of high array is higher than the previous element, otherwise assign i-th of low array to the
i-th element of x array". The rule is: new if-else and while statements need single boolean value (not array) to
decide which execution path should be taken. If you want to use them with arrays you have to iterate through
bars using for loop (as shown above).
On the other hand this can be implemented in single line using old-style array operations and IIF function:
x = IIf( High > Ref( High, -1 ), High, Low );
This works because IIF operates on ARRAYS as described in the tutorial.
As you can see in many cases old-style AFL provides much more compact form. I always tried to explain this
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advantage of AFL but only a few realised that. New control statements should be used where it is better to
use them. As I tried to explain during last years in 80% of cases 'old-style' AFL provides the shortest formula.
Only remaining 20% of cases needed script. Those 'script-only' cases now can be coded in native AFL thanks
to new for/while/if-else statements. And this is correct usage of them - to replace script parts.
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for Statement
The for statement lets you repeat a statement or compound statement a specified number of times. The body
of a for statement is executed zero or more times until an optional condition becomes false.
Syntax
for ( init-expression ; cond-expression ; loop-expression ) statement
Execution of a for statement proceeds as follows:
1. The init-expression, is evaluated. This specifies the initialization for the loop. There is no restriction on
the type of init-expression.
2. The cond-expression, is evaluated. This expression must have arithmetic type. It is evaluated before
each iteration. Three results are possible:
• If cond-expression is true (nonzero), statement is executed; then loop-expression, if any, is
evaluated. The loop-expression is evaluated after each iteration. There is no restriction on its
type. Side effects will execute in order. The process then begins again with the evaluation of
cond-expression.
• If cond-expression is false (0), execution of the for statement terminates and control passes
to the next statement in the program.
This example illustrates the for statement:
myema[ 0 ] = Close[ 0 ];
for( i = 1; i < BarCount; i++ )
{
myema[ i ] = 0.1 * Close[ i ] + 0.9 * myema[ i - 1 ];
}
This example iterates all bars of close array to calculate exponential moving average.
For loop is extremely flexible.
loop-expression can be ANY kind of expression you wish. You can produce not only regular series like this:
for( i = 0; i < BarCount; i = i + 3 ) // increment by 3 every iteration
but you can produce exponential series too:
for( i = 1; i < BarCount; i = i * 2 ) // produces series of 1, 2, 4, 8, 16, 32,
...
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function Keyword
The function keyword begins definition of the user-function.
User-definable functions allow to encapsulate user code into easy-to-use modules that can be user in many
places without need to copy the same code over and over again.
Functions must have a definition. The function definition includes the function body — the code that executes
when the function is called.
A function definition establishes the name, and attributes (or parameters) of a function. A function definition
must precede the call to the function. The definition starts with function keyword then follows function name,
opening parenthesis then optional list of arguments and closing parenthesis. Later comes function body
enclosed in curly braces.
A function call passes execution control from the calling function to the called function. The arguments, if any,
are passed by value to the called function. Execution of a return statement in the called function returns
control and possibly a value to the calling function.
If the function does not consist of any return statement (does not return anything) then we call it a procedure.
Following is an example of function definition:
// the following function is 2nd order smoother
function IIR2( input, f0, f1, f2 )
{
result[ 0 ] = input[ 0 ];
result[ 1 ] = input[ 1 ];
for( i = 2; i < BarCount; i++ )
{
result[ i ] = f0 * input[ i ] +
f1 * result[ i - 1 ] +
f2 * result[ i - 2 ];
}
return result;
}
Plot( Close, "Price", colorBlack, styleCandle );
Plot( IIR2( Close, 0.2, 1.4, -0.6 ), "function example", colorRed );
In this code IIR2 is a user-defined function. input, f0, f1, f2 are formal parameters of the functions.
At the time of function call the values of arguments are passed in these variables. Formal parameters behave
like local variables.
Later we have result and i which are local variables. Local variables are visible inside function only. If any
other function uses the same variable name they won't interfere between each other.
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global Keyword
The global keyword declares global variable inside user-defined function. Global variable is the variable that
is visible/accessible inside the function AND outside the function (at global formula level).
Due to the fact that AFL by default does not require to declare variables the decision whenever given variable
is treated as local or global is taken depends on where it is FIRST USED.
You can however force AFL engine to require all variables to be declared using local or global keywords on
formula-by-formula basis by placing SetOption("RequireDeclarations", True ); at the top of the formula.
If given identifier appears first INSIDE function definition - then it is treated as LOCAL variable.
If given identifier appears first OUTSIDE function definition - then it is treated as GLOBAL variable.
This default behaviour can be however overriden using global and local keywords (introduced in 4.36) - see
example 2.
Example (commentary):
k = 4; // this is GLOBAL variable
function f( x )
{
z = 3; // this is LOCAL variable
return z * x * k; // 'k' here references global variable k (first used above
outside function)
}
z = 5; // this is GLOBAL variable with the same name as local variable in
function f
"The value of z before function call :" + WriteVal( z );
//
//
//
//
//
Now even if we call function
the value of our global variable z
is not affected by function call because
global variable z and local variable z are separate and
arguments are passed by value (not by reference)
"The result of f( z ) = " + WriteVal( f( z ) );
"The value of z after function call is unchanged : " + WriteVal( z );
Example 2: Using local and global keywords to override default visibility rules:
VariableA = 5; // implict global variable
function Test()
{
local VariableA;
global
Keywords
// explicit local variable with the same identifier as
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global VariableB; // explicit global variable not defined earlier
// may be used to return more than one value from the
function
VariableA = 99;
VariableB = 333;
}
VariableB = 1; // global variable
"Before function call";
"VariableA = " + VariableA;
"VariableB = " + VariableB;
Test();
"After function call";
"VariableA = " + VariableA + " (not affected by function call )";
"VariableB = " + VariableB + " (affected by the function call )"
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if Keyword
The if keyword is an required part of if-else statement.
if, else Statement
if( expression )
statement1
[else
statement2]
The if keyword executes statement1 if expression is true (nonzero); if else is present and expression is false
(zero), it executes statement2. After executing statement1 or statement2, control passes to the next
statement.
Example 1
if ( i > 0 )
y = x / i;
else
{
x = i;
y = abs( x );
}
In this example, the statement y = x/i; is executed if i is greater than 0. If i is less than or equal to 0, i is
assigned to x and abs( x ) is assigned to y. Note that the statement forming the if clause ends with a
semicolon.
When nesting if statements and else clauses, use braces to group the statements and clauses into compound
statements that clarify your intent. If no braces are present, the compiler resolves ambiguities by associating
each else with the closest if that lacks an else.
Example 2
if ( i > 0 )
if ( j > i )
x = j;
else
x = i;
/* Without braces */
The else clause is associated with the inner if statement in this example. If i is less than or equal to 0, no
value is assigned to x.
Example 3
if ( i > 0 )
{
/* With braces */
if ( j > i )
x = j;
}
else
x = i;
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The braces surrounding the inner if statement in this example make the else clause part of the outer if
statement. If i is less than or equal to 0, i is assigned to x.
Common misunderstandings
"New if-else problem"
Question:
Why I get the syntax error when I write: if( H > Ref(H,-1) )
Answer:
if-else statement changes flow of execution (opposite to IIF function that evaluates all arguments and works
on arrays) and you can not really write
if ( H >Ref(H,-1) )
because it has no meaning. It would translate to " If high array is higher than high array shifted one bar" (see
tutorial below). Flow control statement (such as if-else) has to get SINGLE boolean value to make decision
which execution path should be taken. If you write H (or High) it means ARRAY (entire array).
if you write H[ i ] - it means i-th element of the array. The subscript operator [ ] allows you to access individual
array elements.
Instead you should write:
for( i = 1; i
{
if ( High[
{
x[ i ]
}
else
{
x[ i ]
}
}
< BarCount; i++ )
i ] > High[ i - 1 ] )
= High[ i ];
= Low[ i ];
this will translate to correct one "for EVERY BAR 'i' assign i-th element of high array to the i-th element of x
array if i-th element of high array is higher than the previous element, otherwise assign i-th of low array to the
i-th element of x array". The rule is: new if-else and while statements need single boolean value (not array) to
decide which execution path should be taken. If you want to use them with arrays you have to iterate through
bars using for loop (as shown above).
On the other hand this can be implemented in single line using old-style array operations and IIF function:
x = IIf( High > Ref( High, -1 ), High, Low );
This works because IIF operates on ARRAYS as described in the tutorial.
As you can see in many cases old-style AFL provides much more compact form. I always tried to explain this
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advantage of AFL but only a few realised that. New control statements should be used where it is better to
use them. As I tried to explain during last years in 80% of cases 'old-style' AFL provides the shortest formula.
Only remaining 20% of cases needed script. Those 'script-only' cases now can be coded in native AFL thanks
to new for/while/if-else statements. And this is correct usage of them - to replace script parts.
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local Keyword
The local keyword declares local variable inside user-defined function. Local variable is the variable that is
visible/accessible only inside the function.
Due to the fact that AFL by default does not require to declare variables the decision whenever given variable
is treated as local or global is taken depends on where it is FIRST USED.
You can however force AFL engine to require all variables to be declared using local or global keywords on
formula-by-formula basis by placing SetOption("RequireDeclarations", True ); at the top of the formula.
If given identifier appears first INSIDE function definition - then it is treated as LOCAL variable.
If given identifier appears first OUTSIDE function definition - then it is treated as GLOBAL variable.
This default behaviour can be however overriden using global and local keywords (introduced in 4.36) - see
example 2.
Example (commentary):
k = 4; // this is GLOBAL variable
function f( x )
{
z = 3; // this is LOCAL variable
return z * x * k; // 'k' here references global variable k (first used above
outside function)
}
z = 5; // this is GLOBAL variable with the same name as local variable in
function f
"The value of z before function call :" + WriteVal( z );
//
//
//
//
//
Now even if we call function
the value of our global variable z
is not affected by function call because
global variable z and local variable z are separate and
arguments are passed by value (not by reference)
"The result of f( z ) = " + WriteVal( f( z ) );
"The value of z after function call is unchanged : " + WriteVal( z );
Example 2: Using local and global keywords to override default visibility rules:
VariableA = 5; // implict global variable
function Test()
{
local VariableA;
global
Keywords
// explicit local variable with the same identifier as
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global VariableB; // explicit global variable not defined earlier
// may be used to return more than one value from the
function
VariableA = 99;
VariableB = 333;
}
VariableB = 1; // global variable
"Before function call";
"VariableA = " + VariableA;
"VariableB = " + VariableB;
Test();
"After function call";
"VariableA = " + VariableA + " (not affected by function call )";
"VariableB = " + VariableB + " (affected by the function call )"
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procedure Keyword
The procedure keyword begins definition of the user-procedure.
Procedure is a function that does NOT return any value (does not have return statement).
Consult function keyword help for more details.
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return Keyword
The return keyword allows to return the value from the function.
function RiseToAPowerOf2( x )
{
return x ^ 2;
}
At the end of the function we can see 'return' statement that is used to return the result to the caller. Note that
currently return statement must be placed at the very end of the function.
Consult function keyword help for more details.
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AmiBroker Formula Language (AFL)
switch Statement
The switch and case statements help control complex conditional and branching operations. The switch
statement transfers control to a statement within its body.
Syntax:
switch ( expression )
{
case constant-expression1 : statement;
case constant-expression2 : statement;
...
case constant-expressionN : statement;
default : statement;
}
Control passes to the statement whose case constant-expression matches the value of switch ( expression ).
The switch statement can include any number of case instances, but no two case constants within the same
switch statement can have the same value. Execution of the statement body begins at the selected statement
and proceeds until the end of the body or until a break statement transfers control out of the body.
You can use the break statement to end processing of a particular case within the switch statement and to
branch to the end of the switch statement. Without break, the program continues to the next case, executing
the statements until a break or the end of the statement is reached. In some situations, this continuation may
be desirable.
The default statement is executed if no case constant-expression is equal to the value of switch ( expression
). If the default statement is omitted, and no case match is found, none of the statements in the switch body
are executed. There can be at most one default statement. The default statement, if exists, MUST come at the
end. Otherwise it may be executed before hitting conditions defined below it. A case or default label is
allowed to appear only inside a switch statement.
The type of switch expression and case constant-expression can be any. The value of each case
constant-expression must be unique within the statement body. Otherwise first-match will be used.
Example:
for( n = 0; n < 10; n++ )
{
printf("Current n = %f\n", n );
switch(n) {
case 0:
printf("The number is zero.\n");
break;
case 3:
case 5:
case 7:
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printf("n is a prime number\n");
break;
case 2: printf("n is a prime number\n");
case 4:
case 6:
case 8:
printf("n is an even number\n");
break;
case 1:
case 9:
printf("n is a perfect square\n");
break;
default:
printf("Only single-digit numbers are allowed\n");
break;
}
More information can be found here: http://en.wikipedia.org/wiki/Switch_statement
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AmiBroker 6.00 User's Guide
AmiBroker Formula Language (AFL)
while Keyword
The while keyword is al part of while (described below) and do-while statements.
while Statement
The while statement lets you repeat a statement until a specified expression becomes false.
Syntax
while ( expression ) statement
The expression must have arithmetic (numeric/boolean) type. Execution proceeds as follows:
1. The expression is evaluated.
2. If expression is initially false, the body of the while statement is never executed, and control passes
from the while statement to the next statement in the program.
If expression is true (nonzero), the body of the statement is executed and the process is repeated
beginning at step 1.
This is an example of the while statement:
i = 10;
while( i < 20 )
{
Plot( MA( Close, i ), "MA" + WriteVal( i, 0 ), colorBlack + i );
i = i + 1;
}
The example plots 10, 11, 12, 13, 14, 15, 16, 17, 18, 19 - bar moving averages.
AFL Function Reference - Alphabetical list of functions
1. #include ( Miscellaneous functions) - preprocessor include command (AFL 2.2)
2. #include_once ( Miscellaneous functions) - preprocessor include (once) command (AFL 2.70)
3. #pragma ( Miscellaneous functions) - sets AFL pre-processor option (AFL 2.4)
4. abs ( Math functions) - absolute value
5. AccDist ( Indicators) - accumulation/distribution
6. acos ( Math functions) - arccosine function
7. AddColumn (Exploration / Indicators) - add numeric exploration column (AFL 1.8)
8. AddRankColumn (Exploration / Indicators) - add ranking column(s) according to current sort set by
SetSortColumns (AFL 5.70)
9. AddRow (Exploration / Indicators) - add raw text row to exploration (AFL 4.0)
10. AddSummaryRows (Exploration / Indicators) - add summary row(s) to the exploration output (AFL
3.2)
11. AddTextColumn (Exploration / Indicators) - add text exploration column (AFL 1.8)
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12. AddToComposite ( Composites) - add value to composite ticker (AFL 2.0)
13. ADLine ( Composites) - advance/decline line (AFL 1.2)
14. AdvIssues ( Composites) - advancing issues (AFL 1.2)
15. AdvVolume ( Composites) - advancing issues volume (AFL 1.2)
16. ADX ( Indicators) - average directional movement index (AFL 1.3)
17. AlertIf ( Trading system toolbox) - trigger alerts (AFL 2.1)
18. AlmostEqual ( Math functions) - rounding error insensitive comparison (AFL 2.80)
19. AMA ( Moving averages, summation) - adaptive moving average (AFL 1.5)
20. AMA2 ( Moving averages, summation) - adaptive moving average (AFL 1.5)
21. ApplyStop ( Trading system toolbox) - apply built-in stop (AFL 1.7)
22. Asc ( String manipulation) - get ASCII code of character (AFL 2.80)
23. asin ( Math functions) - arcsine function
24. atan ( Math functions) - arc tan
25. atan2 ( Math functions) - calculates arctangent of y/x (AFL 2.90)
26. ATR ( Indicators) - average true range (AFL 1.3)
27. BarIndex ( Date/Time) - get zero-based bar number (AFL 2.3)
28. BarsSince ( Trading system toolbox) - bars since
29. BBandBot ( Indicators) - bottom bollinger band
30. BBandTop ( Indicators) - top bollinger band
31. BeginValue ( Date/Time) - Value of the array at the begin of the range (AFL 2.3)
32. CategoryAddSymbol ( Information / Categories) - adds a symbol to a category (AFL 2.5)
33. CategoryCreate ( Information / Categories) - add new category (such as watch list) (AFL 3.70)
34. CategoryFind ( Information / Categories) - search for category by name (AFL 3.0)
35. CategoryGetName ( Information / Categories) - get the name of a category (AFL 2.5)
36. CategoryGetSymbols ( Information / Categories) - retrieves comma-separated list of symbols
belonging to given category (AFL 2.5)
37. CategoryRemoveSymbol ( Information / Categories) - remove a symbol from a category (AFL 2.5)
38. CategorySetName ( Information / Categories) - set the name of category (group, market, watch list,
industry) (AFL 3.20)
39. CCI ( Indicators) - commodity channel index
40. ceil ( Math functions) - ceil value
41. Chaikin ( Indicators) - chaikin oscillator
42. ClipboardGet ( Miscellaneous functions) - retrieves current contents of Windows clipboard (AFL
2.60)
43. ClipboardSet ( Miscellaneous functions) - copies the text to the Windows clipboard (AFL 2.6)
44. ColorBlend ( Indicators) - blends (mixes) two colors (AFL 3.30)
45. ColorHSB ( Miscellaneous functions) - specify color using Hue-Saturation-Brightness (AFL 2.80)
46. ColorRGB ( Miscellaneous functions) - specify color using Red-Green-Blue components (AFL 2.80)
47. Correlation ( Statistical functions) - correlation (AFL 1.4)
48. cos ( Math functions) - cosine
49. cosh ( Math functions) - hyperbolic cosine function (AFL 2.80)
50. CreateObject ( Miscellaneous functions) - create COM object (AFL 1.8)
51. CreateStaticObject ( Miscellaneous functions) - create static COM object (AFL 1.8)
52. Cross ( Trading system toolbox) - crossover check
53. Cum ( Moving averages, summation) - cumulative sum
54. Date ( Date/Time) - date (AFL 1.1)
55. DateNum ( Date/Time) - date number (AFL 1.4)
56. DateTime ( Date/Time) - retrieves encoded date time (AFL 2.3)
57. DateTimeAdd ( Date/Time) - adds specified number of seconds/minutes/hours/days to datetime (AFL
3.40)
58. DateTimeConvert ( Date/Time) - date/time format conversion (AFL 2.90)
59. DateTimeDiff ( Date/Time) - get difference in seconds between two datetime values (AFL 3.30)
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60. DateTimeToStr ( String manipulation) - convert datetime to string (AFL 2.8)
61. Day ( Date/Time) - day of month (AFL 1.4)
62. DayOfWeek ( Date/Time) - day of week (AFL 1.4)
63. DayOfYear ( Date/Time) - get ordinal number of day in a year (AFL 2.4)
64. DaysSince1900 ( Date/Time) - get number of days since January 1st, 1900 (AFL 3.20)
65. DecIssues ( Composites) - declining issues (AFL 1.2)
66. DecVolume ( Composites) - declining issues volume (AFL 1.2)
67. DEMA ( Moving averages, summation) - double exponential moving average (AFL 2.0)
68. EMA ( Moving averages, summation) - exponential moving average
69. EnableRotationalTrading ( Trading system toolbox) - Turns on rotational-trading mode of the
backtester (AFL 2.5)
70. EnableScript ( Miscellaneous functions) - enable scripting engine
71. EnableTextOutput ( Miscellaneous functions) - allows to enable or disable text output (AFL 2.20)
72. EncodeColor (Exploration / Indicators) - encodes color for indicator title (AFL 2.2)
73. EndValue ( Date/Time) - value of the array at the end of the selected range (AFL 2.3)
74. Equity ( Trading system toolbox) - calculate single-symbol equity line (AFL 2.0)
75. Error ( Miscellaneous functions) - displays user-defined error message and stops the execution (AFL
3.7)
76. EXP ( Math functions) - exponential function
77. ExRem ( Trading system toolbox) - remove excessive signals (AFL 1.5)
78. ExRemSpan ( Trading system toolbox) - remove excessive signals spanning given number of bars
(AFL 2.0)
79. fclose (File Input/Output functions) - close a file (AFL 2.5)
80. fdelete (File Input/Output functions) - deletes a file (AFL 2.70)
81. fdir (File Input/Output functions) - list directory content (AFL 3.70)
82. feof (File Input/Output functions) - test for end-of-file (AFL 2.5)
83. FFT ( Basic price pattern detection) - performs Fast Fourier Transform (AFL 2.90)
84. fgets (File Input/Output functions) - get a string from a file (AFL 2.5)
85. fgetstatus (File Input/Output functions) - retrieves file status/properties (AFL 2.90)
86. FIR ( Moving averages, summation) - Finite Impulse Response filter (AFL 3.40)
87. FirstVisibleValue ( Indicators) - get first visible value of array (AFL 3.40)
88. Flip ( Trading system toolbox) - (AFL 1.5)
89. floor ( Math functions) - floor value
90. fmkdir (File Input/Output functions) - creates (makes) a directory (AFL 2.70)
91. fopen (File Input/Output functions) - open a file (AFL 2.5)
92. Foreign (Referencing other symbol data) - access foreign security data (AFL 1.5)
93. fputs (File Input/Output functions) - write a string to a file (AFL 2.5)
94. frac ( Math functions) - fractional part
95. frmdir (File Input/Output functions) - removes a directory (AFL 2.70)
96. FullName ( Information / Categories) - full name of the symbol (AFL 1.1)
97. GapDown ( Basic price pattern detection) - gap down
98. GapUp ( Basic price pattern detection) - gap up
99. GetAsyncKeyState ( Miscellaneous functions) - query the current state of keyboard keys (AFL 3.60)
100. GetBacktesterObject ( Trading system toolbox) - get the access to backtester object (AFL 2.60)
101. GetBaseIndex (Referencing other symbol data) - retrieves symbol of relative strength base index
(AFL 2.1)
102. GetCategorySymbols ( Information / Categories) - retrieves comma-separated list of symbols
belonging to given category (AFL 2.4)
103. GetChartBkColor ( Indicators) - get the RGB color value of chart background (AFL 3.20)
104. GetChartID (Exploration / Indicators) - get current chart ID (AFL 2.3)
105. GetCursorMouseButtons ( Indicators) - get current state of mouse buttons (AFL 2.80)
106. GetCursorXPosition ( Indicators) - get current X position of mouse pointer (AFL 2.80)
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107. GetCursorYPosition ( Indicators) - get current Y position of mouse pointer (AFL 2.80)
108. GetDatabaseName ( Information / Categories) - retrieves folder name of current database (AFL 2.3)
109. GetExtraData ( Miscellaneous functions) - get extra data from external data source (AFL 1.9)
110. GetFnData ( Information / Categories) - get fundamental data (AFL 2.90)
111. GetFormulaPath ( Miscellaneous functions) - get file path of current formula (AFL 3.90)
112. GetOption ( Trading system toolbox) - gets the value of option in automatic analysis settings (AFL
2.60)
113. GetPerformanceCounter ( Miscellaneous functions) - retrieves the current value of the
high-resolution performance counter (AFL 2.90)
114. GetPlaybackDateTime ( Date/Time) - get bar replay position date/time (AFL 3.0)
115. GetPriceStyle (Exploration / Indicators) - get current price chart style (AFL 2.70)
116. GetRTData ( Miscellaneous functions) - retrieves the real-time data fields (AFL 2.60)
117. GetRTDataForeign ( Miscellaneous functions) - retrieves the real-time data fields (for specified
symbol) (AFL 2.80)
118. GetScriptObject ( Miscellaneous functions) - get access to script COM object (AFL 1.8)
119. GetTradingInterface ( Trading system toolbox) - retrieves OLE automation object to automatic
trading interfac (AFL 2.70)
120. GfxArc (Low-level graphics) - draw an arc (AFL 3.0)
121. GfxChord (Low-level graphics) - draw a chord (AFL 3.0)
122. GfxCircle (Low-level graphics) - draw a circle (AFL 3.0)
123. GfxDrawText (Low-level graphics) - draw a text (clipped to rectangle) (AFL 3.0)
124. GfxEllipse (Low-level graphics) - draw an ellipse (AFL 3.0)
125. GfxGetTextWidth (Low-level graphics) - get pixel width of text (AFL 2.80)
126. GfxGradientRect (Low-level graphics) - draw a rectangle with gradient fill (AFL 3.0)
127. GfxLineTo (Low-level graphics) - draw a line to specified point (AFL 3.0)
128. GfxMoveTo (Low-level graphics) - move graphic cursor to new position (AFL 3.0)
129. GfxPie (Low-level graphics) - draw a pie (AFL 3.0)
130. GfxPolygon (Low-level graphics) - draw a polygon (AFL 3.0)
131. GfxPolyline (Low-level graphics) - draw a polyline (AFL 3.0)
132. GfxRectangle (Low-level graphics) - draw a rectangle (AFL 3.0)
133. GfxRoundRect (Low-level graphics) - draw a rectangle with rounded corners (AFL 3.0)
134. GfxSelectFont (Low-level graphics) - create / select graphic font (AFL 3.0)
135. GfxSelectHatchBrush (Low-level graphics) - select hatch style brush (AFL 4.0)
136. GfxSelectPen (Low-level graphics) - create / select graphic pen (AFL 3.0)
137. GfxSelectSolidBrush (Low-level graphics) - create / select graphic brush (AFL 3.0)
138. GfxSetBkColor (Low-level graphics) - set graphic background color (AFL 3.0)
139. GfxSetBkMode (Low-level graphics) - set graphic background mode (AFL 3.0)
140. GfxSetCoordsMode (Low-level graphics) - set low-level graphics co-ordinate mode (AFL 2.80)
141. GfxSetOverlayMode (Low-level graphics) - set low-level graphic overlay mode (AFL 3.0)
142. GfxSetPixel (Low-level graphics) - set pixel at specified position to specified color (AFL 3.0)
143. GfxSetTextAlign (Low-level graphics) - set text alignment (AFL 3.0)
144. GfxSetTextColor (Low-level graphics) - set graphic text color (AFL 3.0)
145. GfxSetZOrder (Low-level graphics) - set current low-level graphic Z-order layer (AFL 2.80)
146. GfxTextOut (Low-level graphics) - writes text at the specified location (AFL 3.0)
147. GicsID ( Information / Categories) - get GICS category information (AFL 3.40)
148. GroupID ( Information / Categories) - get group ID/name (AFL 1.8)
149. HHV ( Lowest/Highest) - highest high value
150. HHVBars ( Lowest/Highest) - bars since highest high
151. Highest ( Lowest/Highest) - highest value
152. HighestBars ( Lowest/Highest) - bars since highest value
153. HighestSince ( Lowest/Highest) - highest value since condition met (AFL 1.4)
154. HighestSinceBars ( Lowest/Highest) - bars since highest value since condition met (AFL 1.4)
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155. HighestVisibleValue ( Indicators) - get the highest value within visible chart area (AFL 3.30)
156. HMA ( Moving averages, summation) - Hull Moving Average (AFL 3.40)
157. Hold ( Trading system toolbox) - hold the alert signal
158. Hour ( Date/Time) - get current bar's hour (AFL 2.0)
159. IcbID ( Information / Categories) - get ICB category information (AFL 3.60)
160. IIf ( Trading system toolbox) - immediate IF function
161. IIR ( Moving averages, summation) - infinite impulse response filter (AFL 4.0)
162. IndustryID ( Information / Categories) - get industry ID / name (AFL 1.8)
163. InGICS ( Information / Categories) - test GICS membership (AFL 3.40)
164. InICB ( Information / Categories) - test ICB membership (AFL 3.60)
165. Inside ( Basic price pattern detection) - inside day
166. Int ( Math functions) - integer part
167. Interval ( Date/Time) - get bar interval (in seconds) (AFL 2.1)
168. InWatchList ( Information / Categories) - watch list membership test (by ordinal number)
169. InWatchListName ( Information / Categories) - watch list membership test (by name) (AFL 3.0)
170. IsContinuous ( Information / Categories) - checks 'continuous quotations' flag state (AFL 2.60)
171. IsEmpty ( Miscellaneous functions) - empty value check (AFL 1.5)
172. IsFavorite ( Information / Categories) - check if current symbol belongs to favorites (AFL 2.5)
173. IsFinite ( Miscellaneous functions) - check if value is not infinite (AFL 2.3)
174. IsIndex ( Information / Categories) - check if current symbol is an index (AFL 2.5)
175. IsNan ( Miscellaneous functions) - checks for NaN (not a number) (AFL 2.3)
176. IsNull ( Miscellaneous functions) - check for Null (empty) value (AFL 2.3)
177. IsTrue ( Miscellaneous functions) - true value (non-empty and non-zero) check (AFL 1.5)
178. LastValue ( Trading system toolbox) - last value of the array
179. LastVisibleValue ( Indicators) - get last visible value of array (AFL 3.40)
180. LineArray (Exploration / Indicators) - generate trend-line array (AFL 2.5)
181. LinearReg ( Statistical functions) - linear regression end-point (AFL 2.2)
182. LinRegIntercept ( Statistical functions) - (AFL 2.2)
183. LinRegSlope ( Statistical functions) - linear regression slope (AFL 1.4)
184. LLV ( Lowest/Highest) - lowest low value
185. LLVBars ( Lowest/Highest) - bars since lowest low
186. log ( Math functions) - natural logarithm
187. log10 ( Math functions) - decimal logarithm
188. Lookup ( Date/Time) - search the array for bar with specified date/time (AFL 3.40)
189. Lowest ( Lowest/Highest) - lowest value
190. LowestBars ( Lowest/Highest) - bars since lowest
191. LowestSince ( Lowest/Highest) - lowest value since condition met (AFL 1.4)
192. LowestSinceBars ( Lowest/Highest) - barssince lowest value since condition met (AFL 1.4)
193. LowestVisibleValue ( Indicators) - get the lowest value within visible chart area (AFL 3.30)
194. MA ( Moving averages, summation) - simple moving average
195. MACD ( Indicators) - moving average convergence/divergence
196. MarketID ( Information / Categories) - market ID / name (AFL 1.8)
197. Matrix (Matrix functions) - create a new matrix (AFL 4.0)
198. Max ( Math functions) - maximum value of two numbers / arrays
199. MDI ( Indicators) - minus directional movement indicator (-DI) (AFL 1.3)
200. Median ( Statistical functions) - calculate median (middle element) (AFL 2.5)
201. MFI ( Indicators) - money flow index
202. MicroSec ( Date/Time) - get bar's microsecond part of the timestamp
203. MilliSec ( Date/Time) - get bar's millisecond part of the timestamp
204. Min ( Math functions) - minimum value of two numbers / arrays
205. Minute ( Date/Time) - get current bar's minute (AFL 2.0)
206. Month ( Date/Time) - month (AFL 1.4)
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207. mtRandom ( Statistical functions) - Mersene Twister random number generator (AFL 3.0)
208. mtRandomA ( Statistical functions) - Mersene Twister random number generator (array version) (AFL
3.0)
209. MxGetSize (Matrix functions) - get size of the matrix (AFL 4.0)
210. MxIdentity (Matrix functions) - create an identity matrix (AFL 4.0)
211. MxTranspose (Matrix functions) - creates transpose of an input matrix (AFL 4.0)
212. Name ( Information / Categories) - ticker symbol (AFL 1.1)
213. NoteGet ( Miscellaneous functions) - retrieves the text of the note (AFL 2.6)
214. NoteSet ( Miscellaneous functions) - sets text of the note (AFL 2.6)
215. Now ( Date/Time) - gets current system date/time (AFL 2.3)
216. NullCount ( Miscellaneous functions) - count consecutive Null values (AFL 3.90)
217. NumToStr ( String manipulation) - convert number to string (AFL 2.5)
218. NVI ( Indicators) - negative volume index
219. Nz ( Miscellaneous functions) - Null (Null/Nan/Infinity) to zero (AFL 2.3)
220. OBV ( Indicators) - on balance volume
221. Optimize ( Trading system toolbox) - define optimization variable (AFL 1.7)
222. OptimizerSetEngine ( Trading system toolbox) - select external optimization engine (AFL 3.20)
223. OptimizerSetOption ( Trading system toolbox) - set the value of external optimizer engine parameter
(AFL 3.20)
224. OscP ( Indicators) - price oscillator
225. OscV ( Indicators) - volume oscillator
226. Outside ( Basic price pattern detection) - outside bar
227. Param (Exploration / Indicators) - add user user-definable numeric parameter (AFL 2.3)
228. ParamColor (Exploration / Indicators) - add user user-definable color parameter (AFL 2.3)
229. ParamDate (Exploration / Indicators) - add user user-definable date parameter (AFL 2.60)
230. ParamField (Exploration / Indicators) - creates price field parameter (AFL 2.70)
231. ParamList (Exploration / Indicators) - creates the parameter that consist of the list of choices (AFL
2.70)
232. ParamStr (Exploration / Indicators) - add user user-definable string parameter (AFL 2.3)
233. ParamStyle (Exploration / Indicators) - select styles applied to the plot (AFL 2.70)
234. ParamTime (Exploration / Indicators) - add user user-definable time parameter (AFL 2.60)
235. ParamToggle (Exploration / Indicators) - create Yes/No parameter (AFL 2.70)
236. ParamTrigger (Exploration / Indicators) - creates a trigger (button) in the parameter dialog (AFL 2.70)
237. PDI ( Indicators) - plus directional movement indicator (AFL 1.3)
238. Peak ( Basic price pattern detection) - peak (AFL 1.1)
239. PeakBars ( Basic price pattern detection) - bars since peak (AFL 1.1)
240. Percentile ( Statistical functions) - calculate percentile (AFL 2.5)
241. PercentRank ( Indicators) - calculate percent rank (AFL 3.40)
242. PlaySound ( Miscellaneous functions) - play back specified .WAV file (AFL 3.40)
243. Plot (Exploration / Indicators) - plot indicator graph (AFL 1.8)
244. PlotForeign (Referencing other symbol data) - plot foreign security data (AFL 2.2)
245. PlotGrid (Exploration / Indicators) - Plot horizontal grid line (AFL 2.3)
246. PlotOHLC (Exploration / Indicators) - plot custom OHLC chart (AFL 2.2)
247. PlotShapes (Exploration / Indicators) - plots arrows and other shapes (AFL 2.3)
248. PlotText ( Indicators) - write text on the chart (AFL 2.80)
249. PlotTextSetFont ( Basic price pattern detection) - write text on the chart with user-defined font (AFL
2.80)
250. PlotVAPOverlay (Exploration / Indicators) - plot Volume-At-Price overlay chart (AFL 2.4)
251. PlotVAPOverlayA ( Indicators) - plot multiple-segment Volume-At-Price chart (AFL 3.20)
252. PopupWindow ( Miscellaneous functions) - display pop-up window (AFL 3.0)
253. Prec ( Math functions) - adjust number of decimal points of floating point number
254. Prefs ( Miscellaneous functions) - retrieve preferences settings (AFL 1.4)
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255. printf ( String manipulation) - Print formatted output to the output window. (AFL 2.5)
256. PVI ( Indicators) - positive volume index
257. Random ( Statistical functions) - random number (AFL 1.9)
258. Ref ( Trading system toolbox) - reference past/future values of the array
259. RelStrength (Referencing other symbol data) - comparative relative strength (AFL 1.3)
260. RequestTimedRefresh ( Indicators) - forces periodical refresh of indicator pane (AFL 2.90)
261. RestorePriceArrays (Referencing other symbol data) - restore price arrays to original symbol (AFL
2.5)
262. Reverse ( Miscellaneous functions) - reverse the order of the elements in the array (AFL 3.90)
263. RMI ( Indicators) - Relative Momentum Index (AFL 2.1)
264. ROC ( Indicators) - percentage rate of change
265. Round ( Math functions) - round number to nearest integer
266. RSI ( Indicators) - relative strength index
267. RWI ( Indicators) - random walk index
268. RWIHi ( Indicators) - random walk index of highs
269. RWILo ( Indicators) - random walk index of lows
270. SAR ( Indicators) - parabolic stop-and-reverse (AFL 1.3)
271. Say ( Miscellaneous functions) - speaks provided text (AFL 2.90)
272. Second ( Date/Time) - get current bar's second (AFL 2.0)
273. SectorID ( Information / Categories) - get sector ID / name (AFL 1.8)
274. SelectedValue (Exploration / Indicators) - retrieves value of the array at currently selected date/time
point (AFL 2.1)
275. SendEmail ( Miscellaneous functions) - send an e-mail message (AFL 3.90)
276. SetBacktestMode ( Trading system toolbox) - Sets working mode of the backtester (AFL 3.0)
277. SetBarFillColor ( Indicators) - set bar/candlestick/cloud chart fill color (AFL 3.1)
278. SetBarsRequired ( Miscellaneous functions) - set number of previous and future bars needed for
script/DLL to properly execute (AFL 2.1)
279. SetChartBkColor ( Indicators) - set background color of a chart (AFL 2.80)
280. SetChartBkGradientFill ( Indicators) - enables background gradient color fill in indicators (AFL 2.90)
281. SetChartOptions (Exploration / Indicators) - set/clear/overwrite defaults for chart pane options (AFL
2.70)
282. SetCustomBacktestProc ( Trading system toolbox) - define custom backtest procedure formula file
(AFL 2.70)
283. SetForeign (Referencing other symbol data) - replace current price arrays with those of foreign
security (AFL 2.5)
284. SetFormulaName ( Trading system toolbox) - set the name of the formula (AFL 2.5)
285. SetGradientFill ( Indicators) - set the colors of a gradient fill plot (AFL 3.60)
286. SetOption ( Trading system toolbox) - sets options in automatic analysis settings (AFL 2.3)
287. SetPositionSize ( Trading system toolbox) - set trade size (AFL 2.70)
288. SetSortColumns (Exploration / Indicators) - sets the columns which will be used for sorting in AA
window (AFL 2.90)
289. SetStopPrecedence ( Trading system toolbox) - set precedence of built-in stops (AFL 4.0)
290. SetTradeDelays ( Trading system toolbox) - allows to control trade delays applied by the backtester
(AFL 2.1)
291. ShellExecute ( Basic price pattern detection) - execute a file (AFL 3.40)
292. sign ( Math functions) - returns the sign of the number/array (AFL 2.50)
293. Signal ( Indicators) - macd signal line
294. sin ( Math functions) - sine function
295. sinh ( Math functions) - hyperbolic sine function (AFL 2.80)
296. Sort ( Miscellaneous functions) - performs a quick sort of the array (AFL 3.90)
297. SparseCompress ( Miscellaneous functions) - compress sparse array (AFL 4.0)
298. SparseExpand ( Miscellaneous functions) - expand compressed array to sparse array (AFL 4.0)
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AmiBroker Formula Language (AFL)
299. sqrt ( Math functions) - square root
300. StaticVarCompareExchange ( Miscellaneous functions) - atomic interlocked static variable
compare-exchange operation (AFL 3.50)
301. StaticVarCount ( Miscellaneous functions) - get the total number of static variables in memory (AFL
3.30)
302. StaticVarGenerateRanks ( Miscellaneous functions) - generate ranking of multiple symbols and
store it to static variables (AFL 3.70)
303. StaticVarGet ( Miscellaneous functions) - gets the value of static variable (AFL 2.60)
304. StaticVarGetRankedSymbols ( Miscellaneous functions) - retrieve a list of ranked symbols from
static variables (AFL 3.70)
305. StaticVarGetText ( Miscellaneous functions) - gets the value of static variable as string (AFL 2.60)
306. StaticVarInfo ( Miscellaneous functions) - get the information about static variable(s) (AFL 3.60)
307. StaticVarRemove ( Miscellaneous functions) - remove static variable (AFL 2.80)
308. StaticVarSet ( Miscellaneous functions) - sets the value of static variable (AFL 2.60)
309. StaticVarSetText ( Miscellaneous functions) - Sets the value of static string variable. (AFL 2.60)
310. Status ( Miscellaneous functions) - get run-time AFL status information (AFL 1.65)
311. StdErr ( Statistical functions) - standard error (AFL 1.4)
312. StDev ( Statistical functions) - standard deviation (AFL 1.4)
313. StochD ( Indicators) - stochastic slow %D
314. StochK ( Indicators) - stochastic slow %K
315. StrCount ( String manipulation) - count the occurrences of substring within a string (AFL 3.20)
316. StrExtract ( String manipulation) - extracts given item (substring) from comma-separated string (AFL
2.4)
317. StrFind ( String manipulation) - find substring in a string (AFL 2.5)
318. StrFormat ( String manipulation) - Write formatted output to the string (AFL 2.5)
319. StrLeft ( String manipulation) - extracts the leftmost part (AFL 2.0)
320. StrLen ( String manipulation) - string length (AFL 1.5)
321. StrMatch ( String manipulation) - string pattern/wildcard matching (AFL 4.0)
322. StrMid ( String manipulation) - extracts part of the string (AFL 2.0)
323. StrReplace ( String manipulation) - string replace (AFL 2.90)
324. StrRight ( String manipulation) - extracts the rightmost part of the string (AFL 2.0)
325. StrSort ( String manipulation) - sort comma-separated item list (AFL 3.90)
326. StrToDateTime ( String manipulation) - convert string to datetime (AFL 2.80)
327. StrToLower ( String manipulation) - convert to lowercase (AFL 2.80)
328. StrToNum ( String manipulation) - convert string to number (AFL 2.5)
329. StrToUpper ( String manipulation) - convert to uppercase (AFL 2.80)
330. StrTrim ( String manipulation) - trim whitespaces from the string (AFL 3.90)
331. Study ( Miscellaneous functions) - reference hand-drawn study (AFL 1.5)
332. Sum ( Moving averages, summation) - sum data over specified number of bars
333. tan ( Math functions) - tangent function (AFL 1.0)
334. tanh ( Math functions) - hyperbolic tangent function (AFL 2.80)
335. TEMA ( Moving averages, summation) - triple exponential moving average (AFL 2.0)
336. ThreadSleep ( Miscellaneous functions) - suspend thread for specified number of milliseconds (AFL
3.50)
337. TimeFrameCompress (Time Frame functions) - compress single array to given time frame (AFL 2.5)
338. TimeFrameExpand (Time Frame functions) - expand time frame compressed array (AFL 2.5)
339. TimeFrameGetPrice (Time Frame functions) - retrieve O, H, L, C, V values from other time frame
(AFL 2.5)
340. TimeFrameMode (Time Frame functions) - switch time frame compression mode (AFL 2.80)
341. TimeFrameRestore (Time Frame functions) - restores price arrays to original time frame (AFL 2.5)
342. TimeFrameSet (Time Frame functions) - switch price arrays to a different time frame (AFL 2.5)
343. TimeNum ( Date/Time) - get current bar time (AFL 2.0)
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AmiBroker Formula Language (AFL)
344. Trin ( Composites) - traders (Arms) index (AFL 1.2)
345. TRIX ( Indicators) - triple exponential smoothed price
346. Trough ( Basic price pattern detection) - trough (AFL 1.1)
347. TroughBars ( Basic price pattern detection) - bars since trough (AFL 1.1)
348. TSF ( Statistical functions) - time series forecast (AFL 2.2)
349. Ultimate ( Indicators) - ultimate oscillator
350. UncIssues ( Composites) - unchanged issues (AFL 1.2)
351. UncVolume ( Composites) - unchaged issues volume (AFL 1.2)
352. ValueWhen ( Trading system toolbox) - get value of the array when condition met (AFL 1.1)
353. VarGet ( Miscellaneous functions) - gets the value of dynamic variable (AFL 2.60)
354. VarGetText ( Miscellaneous functions) - gets the text value of dynamic variable (AFL 2.80)
355. VarSet ( Miscellaneous functions) - sets the value of dynamic variable (AFL 2.60)
356. VarSetText ( Miscellaneous functions) - sets dynamic variable of string type (AFL 2.80)
357. Version ( Miscellaneous functions) - get version info (AFL 1.9)
358. Wilders ( Moving averages, summation) - Wilder's smoothing (AFL 1.4)
359. WMA ( Moving averages, summation) - weighted moving average (AFL 2.0)
360. WriteIf (Exploration / Indicators) - commentary conditional text output
361. WriteVal (Exploration / Indicators) - converts number to string
362. XYChartAddPoint (Exploration / Indicators) - add point to exploration scatter (XY) chart (AFL 3.60)
363. XYChartSetAxis (Exploration / Indicators) - set the names of X and Y axes in exploration scatter
charts (AFL 3.60)
364. Year ( Date/Time) - year (AFL 1.4)
365. ZIG ( Basic price pattern detection) - zig-zag indicator (AFL 1.1)
366. _DEFAULT_NAME (Exploration / Indicators) - retrive default name of the plot (AFL 2.70)
367. _DT ( Date/Time) - convert string to datetime (AFL 3.40)
368. _N (Exploration / Indicators) - no text output (AFL 2.1)
369. _PARAM_VALUES (Exploration / Indicators) - retrieve param values string (AFL 2.70)
370. _SECTION_BEGIN (Exploration / Indicators) - section begin marker (AFL 2.70)
371. _SECTION_END (Exploration / Indicators) - section end marker (AFL 2.70)
372. _SECTION_NAME (Exploration / Indicators) - retrieve current section name (AFL 2.70)
373. _TRACE ( Miscellaneous functions) - print text to system debug viewer (AFL 2.4)
374. _TRACEF ( Miscellaneous functions) - print formatted text to system debug viewer (AFL 4.0)
AFL Function Reference - Categorized list of functions
Basic price pattern detection
• FFT - performs Fast Fourier Transform (AFL 2.90)
• GapDown - gap down
• GapUp - gap up
• Inside - inside day
• Outside - outside bar
• Peak - peak (AFL 1.1)
• PeakBars - bars since peak (AFL 1.1)
• PlotTextSetFont - write text on the chart with user-defined font (AFL 2.80)
• ShellExecute - execute a file (AFL 3.40)
• Trough - trough (AFL 1.1)
• TroughBars - bars since trough (AFL 1.1)
• ZIG - zig-zag indicator (AFL 1.1)
Composites
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AmiBroker Formula Language (AFL)
• AddToComposite - add value to composite ticker (AFL 2.0)
• ADLine - advance/decline line (AFL 1.2)
• AdvIssues - advancing issues (AFL 1.2)
• AdvVolume - advancing issues volume (AFL 1.2)
• DecIssues - declining issues (AFL 1.2)
• DecVolume - declining issues volume (AFL 1.2)
• Trin - traders (Arms) index (AFL 1.2)
• UncIssues - unchanged issues (AFL 1.2)
• UncVolume - unchaged issues volume (AFL 1.2)
Date/Time
• BarIndex - get zero-based bar number (AFL 2.3)
• BeginValue - Value of the array at the begin of the range (AFL 2.3)
• Date - date (AFL 1.1)
• DateNum - date number (AFL 1.4)
• DateTime - retrieves encoded date time (AFL 2.3)
• DateTimeAdd - adds specified number of seconds/minutes/hours/days to datetime (AFL 3.40)
• DateTimeConvert - date/time format conversion (AFL 2.90)
• DateTimeDiff - get difference in seconds between two datetime values (AFL 3.30)
• Day - day of month (AFL 1.4)
• DayOfWeek - day of week (AFL 1.4)
• DayOfYear - get ordinal number of day in a year (AFL 2.4)
• DaysSince1900 - get number of days since January 1st, 1900 (AFL 3.20)
• EndValue - value of the array at the end of the selected range (AFL 2.3)
• GetPlaybackDateTime - get bar replay position date/time (AFL 3.0)
• Hour - get current bar's hour (AFL 2.0)
• Interval - get bar interval (in seconds) (AFL 2.1)
• Lookup - search the array for bar with specified date/time (AFL 3.40)
• MicroSec - get bar's microsecond part of the timestamp
• MilliSec - get bar's millisecond part of the timestamp
• Minute - get current bar's minute (AFL 2.0)
• Month - month (AFL 1.4)
• Now - gets current system date/time (AFL 2.3)
• Second - get current bar's second (AFL 2.0)
• TimeNum - get current bar time (AFL 2.0)
• Year - year (AFL 1.4)
• _DT - convert string to datetime (AFL 3.40)
Indicators
• AccDist - accumulation/distribution
• ADX - average directional movement index (AFL 1.3)
• ATR - average true range (AFL 1.3)
• BBandBot - bottom bollinger band
• BBandTop - top bollinger band
• CCI - commodity channel index
• Chaikin - chaikin oscillator
• ColorBlend - blends (mixes) two colors (AFL 3.30)
• FirstVisibleValue - get first visible value of array (AFL 3.40)
• GetChartBkColor - get the RGB color value of chart background (AFL 3.20)
• GetCursorMouseButtons - get current state of mouse buttons (AFL 2.80)
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AmiBroker Formula Language (AFL)
• GetCursorXPosition - get current X position of mouse pointer (AFL 2.80)
• GetCursorYPosition - get current Y position of mouse pointer (AFL 2.80)
• HighestVisibleValue - get the highest value within visible chart area (AFL 3.30)
• LastVisibleValue - get last visible value of array (AFL 3.40)
• LowestVisibleValue - get the lowest value within visible chart area (AFL 3.30)
• MACD - moving average convergence/divergence
• MDI - minus directional movement indicator (-DI) (AFL 1.3)
• MFI - money flow index
• NVI - negative volume index
• OBV - on balance volume
• OscP - price oscillator
• OscV - volume oscillator
• PDI - plus directional movement indicator (AFL 1.3)
• PercentRank - calculate percent rank (AFL 3.40)
• PlotText - write text on the chart (AFL 2.80)
• PlotVAPOverlayA - plot multiple-segment Volume-At-Price chart (AFL 3.20)
• PVI - positive volume index
• RequestTimedRefresh - forces periodical refresh of indicator pane (AFL 2.90)
• RMI - Relative Momentum Index (AFL 2.1)
• ROC - percentage rate of change
• RSI - relative strength index
• RWI - random walk index
• RWIHi - random walk index of highs
• RWILo - random walk index of lows
• SAR - parabolic stop-and-reverse (AFL 1.3)
• SetBarFillColor - set bar/candlestick/cloud chart fill color (AFL 3.1)
• SetChartBkColor - set background color of a chart (AFL 2.80)
• SetChartBkGradientFill - enables background gradient color fill in indicators (AFL 2.90)
• SetGradientFill - set the colors of a gradient fill plot (AFL 3.60)
• Signal - macd signal line
• StochD - stochastic slow %D
• StochK - stochastic slow %K
• TRIX - triple exponential smoothed price
• Ultimate - ultimate oscillator
Information / Categories
• CategoryAddSymbol - adds a symbol to a category (AFL 2.5)
• CategoryCreate - add new category (such as watch list) (AFL 3.70)
• CategoryFind - search for category by name (AFL 3.0)
• CategoryGetName - get the name of a category (AFL 2.5)
• CategoryGetSymbols - retrieves comma-separated list of symbols belonging to given category (AFL
2.5)
• CategoryRemoveSymbol - remove a symbol from a category (AFL 2.5)
• CategorySetName - set the name of category (group, market, watch list, industry) (AFL 3.20)
• FullName - full name of the symbol (AFL 1.1)
• GetCategorySymbols - retrieves comma-separated list of symbols belonging to given category (AFL
2.4)
• GetDatabaseName - retrieves folder name of current database (AFL 2.3)
• GetFnData - get fundamental data (AFL 2.90)
• GicsID - get GICS category information (AFL 3.40)
• GroupID - get group ID/name (AFL 1.8)
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AmiBroker Formula Language (AFL)
• IcbID - get ICB category information (AFL 3.60)
• IndustryID - get industry ID / name (AFL 1.8)
• InGICS - test GICS membership (AFL 3.40)
• InICB - test ICB membership (AFL 3.60)
• InWatchList - watch list membership test (by ordinal number)
• InWatchListName - watch list membership test (by name) (AFL 3.0)
• IsContinuous - checks 'continuous quotations' flag state (AFL 2.60)
• IsFavorite - check if current symbol belongs to favorites (AFL 2.5)
• IsIndex - check if current symbol is an index (AFL 2.5)
• MarketID - market ID / name (AFL 1.8)
• Name - ticker symbol (AFL 1.1)
• SectorID - get sector ID / name (AFL 1.8)
Lowest/Highest
• HHV - highest high value
• HHVBars - bars since highest high
• Highest - highest value
• HighestBars - bars since highest value
• HighestSince - highest value since condition met (AFL 1.4)
• HighestSinceBars - bars since highest value since condition met (AFL 1.4)
• LLV - lowest low value
• LLVBars - bars since lowest low
• Lowest - lowest value
• LowestBars - bars since lowest
• LowestSince - lowest value since condition met (AFL 1.4)
• LowestSinceBars - barssince lowest value since condition met (AFL 1.4)
Math functions
• abs - absolute value
• acos - arccosine function
• AlmostEqual - rounding error insensitive comparison (AFL 2.80)
• asin - arcsine function
• atan - arc tan
• atan2 - calculates arctangent of y/x (AFL 2.90)
• ceil - ceil value
• cos - cosine
• cosh - hyperbolic cosine function (AFL 2.80)
• EXP - exponential function
• floor - floor value
• frac - fractional part
• Int - integer part
• log - natural logarithm
• log10 - decimal logarithm
• Max - maximum value of two numbers / arrays
• Min - minimum value of two numbers / arrays
• Prec - adjust number of decimal points of floating point number
• Round - round number to nearest integer
• sign - returns the sign of the number/array (AFL 2.50)
• sin - sine function
• sinh - hyperbolic sine function (AFL 2.80)
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AmiBroker Formula Language (AFL)
• sqrt - square root
• tan - tangent function (AFL 1.0)
• tanh - hyperbolic tangent function (AFL 2.80)
Miscellaneous functions
• #include - preprocessor include command (AFL 2.2)
• #include_once - preprocessor include (once) command (AFL 2.70)
• #pragma - sets AFL pre-processor option (AFL 2.4)
• ClipboardGet - retrieves current contents of Windows clipboard (AFL 2.60)
• ClipboardSet - copies the text to the Windows clipboard (AFL 2.6)
• ColorHSB - specify color using Hue-Saturation-Brightness (AFL 2.80)
• ColorRGB - specify color using Red-Green-Blue components (AFL 2.80)
• CreateObject - create COM object (AFL 1.8)
• CreateStaticObject - create static COM object (AFL 1.8)
• EnableScript - enable scripting engine
• EnableTextOutput - allows to enable or disable text output (AFL 2.20)
• Error - displays user-defined error message and stops the execution (AFL 3.7)
• GetAsyncKeyState - query the current state of keyboard keys (AFL 3.60)
• GetExtraData - get extra data from external data source (AFL 1.9)
• GetFormulaPath - get file path of current formula (AFL 3.90)
• GetPerformanceCounter - retrieves the current value of the high-resolution performance counter
(AFL 2.90)
• GetRTData - retrieves the real-time data fields (AFL 2.60)
• GetRTDataForeign - retrieves the real-time data fields (for specified symbol) (AFL 2.80)
• GetScriptObject - get access to script COM object (AFL 1.8)
• IsEmpty - empty value check (AFL 1.5)
• IsFinite - check if value is not infinite (AFL 2.3)
• IsNan - checks for NaN (not a number) (AFL 2.3)
• IsNull - check for Null (empty) value (AFL 2.3)
• IsTrue - true value (non-empty and non-zero) check (AFL 1.5)
• NoteGet - retrieves the text of the note (AFL 2.6)
• NoteSet - sets text of the note (AFL 2.6)
• NullCount - count consecutive Null values (AFL 3.90)
• Nz - Null (Null/Nan/Infinity) to zero (AFL 2.3)
• PlaySound - play back specified .WAV file (AFL 3.40)
• PopupWindow - display pop-up window (AFL 3.0)
• Prefs - retrieve preferences settings (AFL 1.4)
• Reverse - reverse the order of the elements in the array (AFL 3.90)
• Say - speaks provided text (AFL 2.90)
• SendEmail - send an e-mail message (AFL 3.90)
• SetBarsRequired - set number of previous and future bars needed for script/DLL to properly execute
(AFL 2.1)
• Sort - performs a quick sort of the array (AFL 3.90)
• SparseCompress - compress sparse array (AFL 4.0)
• SparseExpand - expand compressed array to sparse array (AFL 4.0)
• StaticVarCompareExchange - atomic interlocked static variable compare-exchange operation (AFL
3.50)
• StaticVarCount - get the total number of static variables in memory (AFL 3.30)
• StaticVarGenerateRanks - generate ranking of multiple symbols and store it to static variables (AFL
3.70)
• StaticVarGet - gets the value of static variable (AFL 2.60)
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AmiBroker Formula Language (AFL)
• StaticVarGetRankedSymbols - retrieve a list of ranked symbols from static variables (AFL 3.70)
• StaticVarGetText - gets the value of static variable as string (AFL 2.60)
• StaticVarInfo - get the information about static variable(s) (AFL 3.60)
• StaticVarRemove - remove static variable (AFL 2.80)
• StaticVarSet - sets the value of static variable (AFL 2.60)
• StaticVarSetText - Sets the value of static string variable. (AFL 2.60)
• Status - get run-time AFL status information (AFL 1.65)
• Study - reference hand-drawn study (AFL 1.5)
• ThreadSleep - suspend thread for specified number of milliseconds (AFL 3.50)
• VarGet - gets the value of dynamic variable (AFL 2.60)
• VarGetText - gets the text value of dynamic variable (AFL 2.80)
• VarSet - sets the value of dynamic variable (AFL 2.60)
• VarSetText - sets dynamic variable of string type (AFL 2.80)
• Version - get version info (AFL 1.9)
• _TRACE - print text to system debug viewer (AFL 2.4)
• _TRACEF - print formatted text to system debug viewer (AFL 4.0)
Moving averages, summation
• AMA - adaptive moving average (AFL 1.5)
• AMA2 - adaptive moving average (AFL 1.5)
• Cum - cumulative sum
• DEMA - double exponential moving average (AFL 2.0)
• EMA - exponential moving average
• FIR - Finite Impulse Response filter (AFL 3.40)
• HMA - Hull Moving Average (AFL 3.40)
• IIR - infinite impulse response filter (AFL 4.0)
• MA - simple moving average
• Sum - sum data over specified number of bars
• TEMA - triple exponential moving average (AFL 2.0)
• Wilders - Wilder's smoothing (AFL 1.4)
• WMA - weighted moving average (AFL 2.0)
Statistical functions
• Correlation - correlation (AFL 1.4)
• LinearReg - linear regression end-point (AFL 2.2)
• LinRegIntercept - (AFL 2.2)
• LinRegSlope - linear regression slope (AFL 1.4)
• Median - calculate median (middle element) (AFL 2.5)
• mtRandom - Mersene Twister random number generator (AFL 3.0)
• mtRandomA - Mersene Twister random number generator (array version) (AFL 3.0)
• Percentile - calculate percentile (AFL 2.5)
• Random - random number (AFL 1.9)
• StdErr - standard error (AFL 1.4)
• StDev - standard deviation (AFL 1.4)
• TSF - time series forecast (AFL 2.2)
String manipulation
• Asc - get ASCII code of character (AFL 2.80)
• DateTimeToStr - convert datetime to string (AFL 2.8)
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AmiBroker Formula Language (AFL)
• NumToStr - convert number to string (AFL 2.5)
• printf - Print formatted output to the output window. (AFL 2.5)
• StrCount - count the occurrences of substring within a string (AFL 3.20)
• StrExtract - extracts given item (substring) from comma-separated string (AFL 2.4)
• StrFind - find substring in a string (AFL 2.5)
• StrFormat - Write formatted output to the string (AFL 2.5)
• StrLeft - extracts the leftmost part (AFL 2.0)
• StrLen - string length (AFL 1.5)
• StrMatch - string pattern/wildcard matching (AFL 4.0)
• StrMid - extracts part of the string (AFL 2.0)
• StrReplace - string replace (AFL 2.90)
• StrRight - extracts the rightmost part of the string (AFL 2.0)
• StrSort - sort comma-separated item list (AFL 3.90)
• StrToDateTime - convert string to datetime (AFL 2.80)
• StrToLower - convert to lowercase (AFL 2.80)
• StrToNum - convert string to number (AFL 2.5)
• StrToUpper - convert to uppercase (AFL 2.80)
• StrTrim - trim whitespaces from the string (AFL 3.90)
Trading system toolbox
• AlertIf - trigger alerts (AFL 2.1)
• ApplyStop - apply built-in stop (AFL 1.7)
• BarsSince - bars since
• Cross - crossover check
• EnableRotationalTrading - Turns on rotational-trading mode of the backtester (AFL 2.5)
• Equity - calculate single-symbol equity line (AFL 2.0)
• ExRem - remove excessive signals (AFL 1.5)
• ExRemSpan - remove excessive signals spanning given number of bars (AFL 2.0)
• Flip - (AFL 1.5)
• GetBacktesterObject - get the access to backtester object (AFL 2.60)
• GetOption - gets the value of option in automatic analysis settings (AFL 2.60)
• GetTradingInterface - retrieves OLE automation object to automatic trading interfac (AFL 2.70)
• Hold - hold the alert signal
• IIf - immediate IF function
• LastValue - last value of the array
• Optimize - define optimization variable (AFL 1.7)
• OptimizerSetEngine - select external optimization engine (AFL 3.20)
• OptimizerSetOption - set the value of external optimizer engine parameter (AFL 3.20)
• Ref - reference past/future values of the array
• SetBacktestMode - Sets working mode of the backtester (AFL 3.0)
• SetCustomBacktestProc - define custom backtest procedure formula file (AFL 2.70)
• SetFormulaName - set the name of the formula (AFL 2.5)
• SetOption - sets options in automatic analysis settings (AFL 2.3)
• SetPositionSize - set trade size (AFL 2.70)
• SetStopPrecedence - set precedence of built-in stops (AFL 4.0)
• SetTradeDelays - allows to control trade delays applied by the backtester (AFL 2.1)
• ValueWhen - get value of the array when condition met (AFL 1.1)
Exploration / Indicators
• AddColumn - add numeric exploration column (AFL 1.8)
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AmiBroker Formula Language (AFL)
• AddRankColumn - add ranking column(s) according to current sort set by SetSortColumns (AFL
5.70)
• AddRow - add raw text row to exploration (AFL 4.0)
• AddSummaryRows - add summary row(s) to the exploration output (AFL 3.2)
• AddTextColumn - add text exploration column (AFL 1.8)
• EncodeColor - encodes color for indicator title (AFL 2.2)
• GetChartID - get current chart ID (AFL 2.3)
• GetPriceStyle - get current price chart style (AFL 2.70)
• LineArray - generate trend-line array (AFL 2.5)
• Param - add user user-definable numeric parameter (AFL 2.3)
• ParamColor - add user user-definable color parameter (AFL 2.3)
• ParamDate - add user user-definable date parameter (AFL 2.60)
• ParamField - creates price field parameter (AFL 2.70)
• ParamList - creates the parameter that consist of the list of choices (AFL 2.70)
• ParamStr - add user user-definable string parameter (AFL 2.3)
• ParamStyle - select styles applied to the plot (AFL 2.70)
• ParamTime - add user user-definable time parameter (AFL 2.60)
• ParamToggle - create Yes/No parameter (AFL 2.70)
• ParamTrigger - creates a trigger (button) in the parameter dialog (AFL 2.70)
• Plot - plot indicator graph (AFL 1.8)
• PlotGrid - Plot horizontal grid line (AFL 2.3)
• PlotOHLC - plot custom OHLC chart (AFL 2.2)
• PlotShapes - plots arrows and other shapes (AFL 2.3)
• PlotVAPOverlay - plot Volume-At-Price overlay chart (AFL 2.4)
• SelectedValue - retrieves value of the array at currently selected date/time point (AFL 2.1)
• SetChartOptions - set/clear/overwrite defaults for chart pane options (AFL 2.70)
• SetSortColumns - sets the columns which will be used for sorting in AA window (AFL 2.90)
• WriteIf - commentary conditional text output
• WriteVal - converts number to string
• XYChartAddPoint - add point to exploration scatter (XY) chart (AFL 3.60)
• XYChartSetAxis - set the names of X and Y axes in exploration scatter charts (AFL 3.60)
• _DEFAULT_NAME - retrive default name of the plot (AFL 2.70)
• _N - no text output (AFL 2.1)
• _PARAM_VALUES - retrieve param values string (AFL 2.70)
• _SECTION_BEGIN - section begin marker (AFL 2.70)
• _SECTION_END - section end marker (AFL 2.70)
• _SECTION_NAME - retrieve current section name (AFL 2.70)
File Input/Output functions
• fclose - close a file (AFL 2.5)
• fdelete - deletes a file (AFL 2.70)
• fdir - list directory content (AFL 3.70)
• feof - test for end-of-file (AFL 2.5)
• fgets - get a string from a file (AFL 2.5)
• fgetstatus - retrieves file status/properties (AFL 2.90)
• fmkdir - creates (makes) a directory (AFL 2.70)
• fopen - open a file (AFL 2.5)
• fputs - write a string to a file (AFL 2.5)
• frmdir - removes a directory (AFL 2.70)
Low-level graphics
AFL Function Reference - Categorized list of functions
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AmiBroker Formula Language (AFL)
• GfxArc - draw an arc (AFL 3.0)
• GfxChord - draw a chord (AFL 3.0)
• GfxCircle - draw a circle (AFL 3.0)
• GfxDrawText - draw a text (clipped to rectangle) (AFL 3.0)
• GfxEllipse - draw an ellipse (AFL 3.0)
• GfxGetTextWidth - get pixel width of text (AFL 2.80)
• GfxGradientRect - draw a rectangle with gradient fill (AFL 3.0)
• GfxLineTo - draw a line to specified point (AFL 3.0)
• GfxMoveTo - move graphic cursor to new position (AFL 3.0)
• GfxPie - draw a pie (AFL 3.0)
• GfxPolygon - draw a polygon (AFL 3.0)
• GfxPolyline - draw a polyline (AFL 3.0)
• GfxRectangle - draw a rectangle (AFL 3.0)
• GfxRoundRect - draw a rectangle with rounded corners (AFL 3.0)
• GfxSelectFont - create / select graphic font (AFL 3.0)
• GfxSelectHatchBrush - select hatch style brush (AFL 4.0)
• GfxSelectPen - create / select graphic pen (AFL 3.0)
• GfxSelectSolidBrush - create / select graphic brush (AFL 3.0)
• GfxSetBkColor - set graphic background color (AFL 3.0)
• GfxSetBkMode - set graphic background mode (AFL 3.0)
• GfxSetCoordsMode - set low-level graphics co-ordinate mode (AFL 2.80)
• GfxSetOverlayMode - set low-level graphic overlay mode (AFL 3.0)
• GfxSetPixel - set pixel at specified position to specified color (AFL 3.0)
• GfxSetTextAlign - set text alignment (AFL 3.0)
• GfxSetTextColor - set graphic text color (AFL 3.0)
• GfxSetZOrder - set current low-level graphic Z-order layer (AFL 2.80)
• GfxTextOut - writes text at the specified location (AFL 3.0)
Matrix functions
• Matrix - create a new matrix (AFL 4.0)
• MxGetSize - get size of the matrix (AFL 4.0)
• MxIdentity - create an identity matrix (AFL 4.0)
• MxTranspose - creates transpose of an input matrix (AFL 4.0)
Referencing other symbol data
• Foreign - access foreign security data (AFL 1.5)
• GetBaseIndex - retrieves symbol of relative strength base index (AFL 2.1)
• PlotForeign - plot foreign security data (AFL 2.2)
• RelStrength - comparative relative strength (AFL 1.3)
• RestorePriceArrays - restore price arrays to original symbol (AFL 2.5)
• SetForeign - replace current price arrays with those of foreign security (AFL 2.5)
Time Frame functions
• TimeFrameCompress - compress single array to given time frame (AFL 2.5)
• TimeFrameExpand - expand time frame compressed array (AFL 2.5)
• TimeFrameGetPrice - retrieve O, H, L, C, V values from other time frame (AFL 2.5)
• TimeFrameMode - switch time frame compression mode (AFL 2.80)
• TimeFrameRestore - restores price arrays to original time frame (AFL 2.5)
• TimeFrameSet - switch price arrays to a different time frame (AFL 2.5)
AFL Function Reference - Categorized list of functions
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AmiBroker 6.00 User's Guide
AmiBroker Formula Language (AFL)
#include
- preprocessor include command
Miscellaneous functions
(AFL 2.2)
SYNTAX
#include
RETURNS
nothing
FUNCTION
Includes external AFL files into your formula. Note 1: include statement need SINGLE
backslashes in the path (this is quite the opposite to normal AFL sting
parsing)
Note 2: using #include command may slow down formula execution even
considering the fact that AmiBroker tries to include only once and cache pre-processed text
Note 3: that currently no error message is given if #include fails and this code
is experimental.
Note 4: nesting #include commands is now supported (version 5.10 and above)
Note 5: by default files #included are cached by the AmiBroker. To turn off caching use
#pragma nocache
before any #include statements. #include now accepts new way of specifying file names to
include:
#include <filename.afl>
(note < > braces instead of " " ) if you specify the file name this way AmiBroker will look for
the file in "standard include path" that is definable using new prefs setting in
Tools->Preferences->AFL It makes much shorter to write includes and you can move include
folder now without changing all AFL codes using #includes.
For example if you have set standard include path to "C:\AFL\MyIncludes" and write in your
formula:
#include <common.afl>
AmiBroker will look for C:\AFL\MyIncludes\common.afl file
Also now #include reports file(s) not found in regular error message box.
EXAMPLE
#include "C:\Program Files\AmiBroker\AFL\common.afl"
SEE ALSO
#pragma() function
References:
The #include function is used in the following formulas in AFL on-line library:
More information:
Updated on-line reference
#include - preprocessor include command
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AmiBroker Formula Language (AFL)
#include_once
- preprocessor include (once) command
Miscellaneous functions
(AFL 2.70)
SYNTAX
#include ''formula file path''
RETURNS
nothing
FUNCTION
Includes external AFL files into your formula. Similar to #include but #include_once performs
inclusion only once per formula. So if single formula has multiple #include_once commands
for the same file (for example because of drag-and-drop overlay) it prevents syntax errors
that could occur due to repeated definitions of functions in included file. More information can
be found in #include command docs.
EXAMPLE
#include_once ''myfile.afl''
SEE ALSO
#include() function
References:
The #include_once function is used in the following formulas in AFL on-line library:
More information:
Updated on-line reference
#include_once - preprocessor include (once) command
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AmiBroker 6.00 User's Guide
AmiBroker Formula Language (AFL)
#pragma
- sets AFL pre-processor option
Miscellaneous functions
(AFL 2.4)
SYNTAX
#pragma optionname
RETURNS
NOTHING
FUNCTION
Sets various AFL pre-processor options. Pre-processor is a part of AFL engine that
processes formulas BEFORE they are executed. Currently the only task of pre-processor is
to include external files via #include command.
#pragma allows to change pre-processor behaviour.
Currently the only option available via #pragma is nocache
#pragma nocache
causes that #included files are not cached so they are re-read with every execution
#pragma nocache
must be placed before any #include commands. Note: between '#pragma' and 'nocache'
there must be exactly SINGLE space
Note 2: disabling caching may slow down execution of the formula (especially in
indicators) !!!
EXAMPLE
#pragma nocache
#include "myfile.afl"
SEE ALSO
#include() function
References:
The #pragma function is used in the following formulas in AFL on-line library:
More information:
Updated on-line reference
#pragma - sets AFL pre-processor option
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AmiBroker 6.00 User's Guide
AmiBroker Formula Language (AFL)
abs
- absolute value
Math functions
SYNTAX
abs( NUMBER )
abs( ARRAY )
RETURNS
NUMBER
ARRAY
FUNCTION
Calculates the absolute value of the NUMBER or ARRAY.
EXAMPLE
The formula "abs( -15 )" will return +15; the formula "abs( 15)" also returns +15.
SEE ALSO
References:
The abs function is used in the following formulas in AFL on-line library:
• Absolute Breadth Index
• Adaptave Zones O/B & O/S Oscillator
• Adaptive Laguerre Filter, from John Ehlers
• ADXbuy
• Against all odds
• Analytic RSI formula
• Another FIb Level
• Application of Ehler filter
• AR_Prediction.afl
• Auto Trade Step by Step
• Auto Trader Basic Flow
• Auto-Optimization Framework
• AutoTrader Basic Flow - updated April 15, 2009
• AutoTrader Basic Flow - updated Nov 18, 2008
• Better Bollinger Bands
• Bullish Percent Index 2 files combined
• Candle Identification
• Candle Pattern Function
• Candle Stick Analysis
• CandleStick Comentary--Help needed
• Candlestick Commentary
• Candlestick Commentary Modified
• Candlestick Commentary-modified
• CandleStochastics
• CCT Kaleidoscope
• Chandelier Exit
• com-out
• Coppock Trade Signal on Price Chart
• Coppock Trade Signal v1.1
• Cybernertic Hilbert Sine Wave
• Demand Index
• Double top detection
• Dynamtic Momentum Index
• Ed Seykota's TSP: EMA Crossover System
abs - absolute value
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AmiBroker 6.00 User's Guide
AmiBroker Formula Language (AFL)
• Elder Triple Screen Trading System
• Future Plotting of Time and Price
• Future Plotting of Time and Price
• Gann Swing Charts in 3 modes with text
• Harmonic Patterns
• Head & Shoulders Pattern
• Heatmap V1
• Hilbert Sine Wave
• Hilbert Sine Wave Support & Resistance
• Hilbert Sine Wave with Hull Moving Average
• Hilbert Study
• Hurst Constant
• John Ehler
• Kiss and Touch with the Modified True Range
• MA Difference 20 Period
• MACD commentary
• MACD indicator display
• Market Breadth Chart-In-Chart
• Market Direction
• MDYtoXLSerialDays and XLSerialDaysToDateNum
• Modified Head & Shoulder Pattern
• MultiCycle 1.0
• Multiple Ribbon Demo
• Multiple sinus noised
• Nonlinear Ehlers Filter
• nth ( 1 - 8 ) Order Polynomial Fit
• Option Calls, Puts and days till third friday.
• Parametric Chande Trendscore
• Pattern Recognition Exploration
• prakash
• Range Expansion Index
• Raw ADX
• Rebalancing Backtest avoiding leverage
• RSI of Weekly Price Array
• SectorRSI
• Sine Wave Indicator
• TD REI
• The Mean RSIt
• The Mean RSIt (variations)
• tomy_frenchy
• Triangle exploration using P&F Chart
• Trigonometric Fit - TrigFit with AR for cos / sin
• Tushar Chande's Projected Range
• TWS auto-export Executions-file parser
• ValueChart
• Vertical Horizontal Filter
• Vertical Horizontal Filter (VHF)
• Vic Huebner
• Visi-Trade
• Volatility Quality Index
• Woodie's CCI Panel Basic
• Woodie's CCI Panel Full Stats
abs - absolute value
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AmiBroker 6.00 User's Guide
AmiBroker Formula Language (AFL)
• ZLEMA ATR Long Only Trading System
More information:
Updated on-line reference
abs- absolute value
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AmiBroker 6.00 User's Guide
AmiBroker Formula Language (AFL)
AccDist
- accumulation/distribution
SYNTAX
AccDist()
RETURNS
ARRAY
FUNCTION
Calculates the Accumulation/ Distribution indicator.
Indicators
EXAMPLE
SEE ALSO
References:
The AccDist function is used in the following formulas in AFL on-line library:
• accum/dist mov avg crossover SAR
• Bollinger band normalization
More information:
Updated on-line reference
AccDist - accumulation/distribution
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AmiBroker 6.00 User's Guide
AmiBroker Formula Language (AFL)
acos
- arccosine function
Math functions
SYNTAX
acos( x )
RETURNS
NUMBER, ARRAY
FUNCTION
Returns the arccosine of NUMBER or ARRAY. The acos function returns the arccosize of x
in the range 0 to pi radians. If x is less than -1 or greater than 1, acos returns an indefinite.
EXAMPLE
SEE ALSO
COS() function
References:
The acos function is used in the following formulas in AFL on-line library:
• Woodie's CCI Panel Basic
• Woodie's CCI Panel Full Stats
• Woodie's Price Panel With Woodie's Pivots
More information:
Updated on-line reference
acos - arccosine function
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AmiBroker 6.00 User's Guide
AddColumn
- add numeric exploration column
AmiBroker Formula Language (AFL)
Exploration / Indicators
(AFL 1.8)
SYNTAX
AddColumn( array, name, format = 1.2, textColor = colorDefault, bkgndColor =
colorDefault, width = -1, barchart = Null )
RETURNS
NOTHING
FUNCTION
Adds a new column to the exploration result list. The column shows array values and has a
caption of name. The values are formatted using format specification.
By default all variables are displayed with 2 decimal digits, but you can change this by
assigning a different value to this variable: 1.5 gives 5 decimal digits, 1.0 gives no decimal
digits. (Note for advanced users: the integer part of this number can be used to pad
formatted number with spaces - 6.0 will give no decimal digits but a number space-padded
upto 6 characters.)
Next two parameters allow to modify text and background color.
special format constants:
• formatDateTime - produces date time formated according to your system settings
AddColumn( DateTime(), "Date / Time", formatDateTime );
• formatChar - allows outputting single ASCII character codes:
Example (produces signal file accepted by various other programs):
Buy=Cross(MACD(),Signal());
Sell=Cross(Signal(), MACD());
Filter=Buy OR Sell;
SetOption("NoDefaultColumns", True );
AddColumn( DateTime(), "Date", formatDateTime );
AddColumn( IIf( Buy, 66, 83 ), "Signal", formatChar );
• width parameter allows to control pixel width of the column
• 'barchart' parameter accepts values from 0...100 represening percentage width of
bar chart displayed in a cell the in-cell bar chart is drawn with bkcolor (background
color).
EXAMPLE
1. Simple column showing close price
addcolumn( Close, "Close price", 1.4 );
2. Colorful output
Filter =1;
AddColumn( Close, "Close", 1.2 );
AddColumn( MACD(), "MACD", 1.4 , IIf( MACD() > 0, colorGreen,
colorRed ) );
AddTextColumn( FullName(), "Full name", 77 , colorDefault, IIf(
Close < 10, colorLightBlue, colorDefault ) );
3. Barchart example Filter=1;
AddColumn( Close, "Close" );
AddColumn - add numeric exploration column
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AmiBroker Formula Language (AFL)
rank = PercentRank( Close, 100 );
Color = ColorHSB( rank * 64/100, 255, 255 );
AddColumn( rank, "100-day percent rank", 1.2, colorDefault, Color,
-1, rank );
SEE ALSO
ADDTEXTCOLUMN() function
References:
The AddColumn function is used in the following formulas in AFL on-line library:
• Advanced MA system
• ADXbuy
• AFL Example
• AFL Example - Enhanced
• Alert Output As Quick Rewiev
• Appel's ROC or The Triple Momentum Timing Model
• Aroon Indicators
• Auto-Optimization Framework
• AutoTrade using an Exploration
• Average Dollar Price Volatility Exploration
• Black Scholes Option Pricing
• Bottom Fisher Exploration
• Bull Fear / Bear Fear
• Bullish Percent Index 2 files combined
• Calculate composites for tickers in list files
• CAMSLIM Cup and Handle Pattern AFL
• Commodity Selection Index (CSI)
• Count Tickers in Watchlist
• CVR--severe filter
• Ed Seykota's TSP: EMA Crossover System
• Ed Seykota's TSP: Support and Resistance
• ekeko price chart
• Elder Impulse Indicator V2
• End Of Year Trading
• Follow the Leader
• Gordon Rose
• half-automated Trading System
• IBD relative strength database Viewer
• ICHIMOKU SIGNAL TRADER
• Intraday Average Volume
• Intraday Fibonacii Trend Break System
• Intraday Trend Break System
• JEEVAN'S SRI CHAKRA
• Market Facilitation Index VS Volume
• mitalpradip
• Monthly bar chart
• MS Darvas Box with Exploration
• NRx Exploration
• nth ( 1 - 8 ) Order Polynomial Fit
• Ord Volume
• Pattern_-_Rectangle_Base_Breakout_on_High_Vol 2
AddColumn- add numeric exploration column
567
AmiBroker 6.00 User's Guide
AmiBroker Formula Language (AFL)
• Position Sizer vers2, stocks and CFDs
• Price Persistency
• Ranking and sorting stocks
• Relative Strength
• Robert Antony
• RSI Double-Bottom
• RSI Trendlines and Wedges
• RUTVOL timing signal with BB Scoring routine
• Sainath Sidgiddi
• SAR-ForNextBarStop
• SectorRSI
• Simple Candle Exploration
• STD_STK Multi
• StochD_StochK Single.afl
• Stops Implementation in AFS
• Strength and Weakness
• TAZ Trading Method Exploration
• testing multiple system simulataneously
• Three Day Balance Point
• Trend Detection
• Trend exploration with multiple timeframes
• Trend Exploration: Count Number of New Highs
• Trend Exploration: Slope Moving Average
• Triangle exploration using P&F Chart
• Triangular Moving Average new
• Using From and To dates from Auto Analysis in Code
• Volume - compared with Moving Avg (100%)
• Weekly chart
• Weighted Index
• William's Alligator System II
More information:
Updated on-line reference
AddColumn- add numeric exploration column
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AmiBroker 6.00 User's Guide
AmiBroker Formula Language (AFL)
AddRankColumn
- add ranking column(s) according to current sort set by
SetSortColumns
Exploration /
Indicators
(AFL 5.70)
SYNTAX
AddRankColumn()
RETURNS
NOTHING
FUNCTION
The function adds ranking column(s) according to current sort set by SetSortColumns to
exploration result list.
EXAMPLE
Filter = 1;
AddColumn( Close, "Close" );
AddColumn( Volume, "BI" );
AddSummaryRows( 31 + 32, 1.5 );
AddRankColumn(); // without prior sorting AddRankColumn just adds
line number
SetSortColumns( -4 );
AddRankColumn(); // rank according to 4th column (descending)
SetSortColumns( -3 );
AddRankColumn(); // rank according to 3rd column (ascending)
SEE ALSO
SetSortColumns() function
References:
The AddRankColumn function is used in the following formulas in AFL on-line library:
More information:
Updated on-line reference
AddRankColumn - add ranking column(s) according to current sort set by SetSortColumns
569
AmiBroker 6.00 User's Guide
AmiBroker Formula Language (AFL)
AddRow
- add raw text row to exploration
Exploration / Indicators
(AFL 4.0)
SYNTAX
AddRow(''text'')
RETURNS
NOTHING
FUNCTION
The function adds a raw text row to the exploration (allows outputing things without
respecting Filter and without being limited to number of bars). This function is preliminary and
its parameters are subject to change.
EXAMPLE
SetOption("NoDefaultColumns", True );
Filter = 1;
AddColumn( Close, "Column1" );
AddColumn( Null, "Column2" );
for( i = 0; i < 10; i++ )
{
AddRow( StrFormat( "row %g second column", i ) );
}
SEE ALSO
AddColumn() function , AddTextColumn() function
References:
The AddRow function is used in the following formulas in AFL on-line library:
More information:
Updated on-line reference
AddRow - add raw text row to exploration
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AmiBroker 6.00 User's Guide
AmiBroker Formula Language (AFL)
AddSummaryRows
- add summary row(s) to the exploration output
Exploration / Indicators
(AFL 3.2)
SYNTAX
AddSummaryRows( flags, format = 0, onlycols = 0, ...)
RETURNS
NOTHING
FUNCTION
AddSummaryRows automatically adds "summary" row(s) to the exploration output.
Parameters:
The flags parameter can be combination of the following:
• 1 - add TOTAL row
• 2 - add AVERAGE row
• 4 - add MIN row
• 8 - add MAX row
• 16 - add COUNT row
• 32 - add STANDARD DEVIATION row (new in 5.70)
format - defines the numeric formating in WriteVal style so 1.2 for example means 2 decimal
digits.
If default value of zero is used (or parameter not specified) the default formatting of
"maximum precision" is used - upto 15 digits are printed
onlycols - defines for which columns you want to display summary row values. Note that if
you do not specify any columns - ALL will be printed.
If you are using onlycols, you can define upto 10 columns, columns, like in SetSortColumns
are numbered starting from 1. For example:
AddSummaryRows( 1, 1.2, 3, 5, 7, 9 );
Display sum for columns: 3, 5, 7, and 9.
Generally you should call this funciton only once, using combination of flags desired. But it is
possible to call AddSummaryRows multiple times and the result will be "accumulation" (i.e.
bitwise OR) in case of "flag" parameter. format and onlycols are always overwritten by last
call.
EXAMPLE
Filter=1;
AddColumn(V, "Volume" );
AddSummaryRows( 31, 1.2 );
// add Total, Average, Min, Max, and Count rows (1+2+4+8+16)=31 with two decimal places summary rows are added at the top of the
list
SEE ALSO
AddColumn() function , AddTextColumn() function
References:
The AddSummaryRows function is used in the following formulas in AFL on-line library:
AddSummaryRows - add summary row(s) to the exploration output
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AmiBroker 6.00 User's Guide
AmiBroker Formula Language (AFL)
More information:
Updated on-line reference
AddSummaryRows- add summary row(s) to the exploration output
572
AmiBroker 6.00 User's Guide
AmiBroker Formula Language (AFL)
AddTextColumn
- add text exploration column
Exploration / Indicators
(AFL 1.8)
SYNTAX
AddTextColumn( string, name, format = 1.2, textColor = colorDefault, bkgndColor =
colorDefault, width = -1 )
RETURNS
NOTHING
FUNCTION
Adds a new text column to the exploration result list. The column shows text and has a
caption of name.
Next two parameters allow to modify text and background color.
Width parameter allows to control pixel width of the column
EXAMPLE
addtextcolumn( GroupID( 1 ), "The name of the group");
SEE ALSO
ADDCOLUMN() function
Comments:
Tomasz
Janeczko
Please note that AddTextColumn takes single string as a parameter, so you can only
display text that does NOT vary on bar-by-bar basis.
2005-08-10
06:35:35
References:
The AddTextColumn function is used in the following formulas in AFL on-line library:
• AFL Example
• AFL Example - Enhanced
• Alert Output As Quick Rewiev
• AutoTrade using an Exploration
• Average Dollar Price Volatility Exploration
• Bottom Fisher Exploration
• Dave Landry PullBack Scan
• Elder Impulse Indicator V2
• Elder Triple Screen Trading System
• IBD relative strength database ranker
• ICHIMOKU SIGNAL TRADER
• Intraday Fibonacii Trend Break System
• Intraday Trend Break System
• Market Facilitation Index VS Volume
• MS Darvas Box with Exploration
• NRx Exploration
• Relative Strength
• Scan New High and New Low
• Stress with SuperSmoother
• Trend exploration with multiple timeframes
• Trend Exploration: Count Number of New Highs
• Trend Exploration: Slope Moving Average
• Triangular Moving Average new
• William's Alligator System II
AddTextColumn - add text exploration column
573
AmiBroker 6.00 User's Guide
AmiBroker Formula Language (AFL)
• WLBuildProcess
More information:
Updated on-line reference
AddTextColumn- add text exploration column
574
AmiBroker 6.00 User's Guide
AmiBroker Formula Language (AFL)
AddToComposite
- add value to composite ticker
Composites
(AFL 2.0)
SYNTAX
AddToComposite( array, ''ticker'', ''field'', flags = atcFlagDefaults )
RETURNS
NOTHING
FUNCTION
Allows you to create composite indicators with ease. More info...
Parameters:
array - the array of values to be added to "field" in "ticker" composite symbol
"ticker" - the ticker of composite symbol. It is advised to use ~comp (tilde at the beginning)
newly added composites are assigned to group 253 by default and
have "use only local database" feature switched on for proper operation with external
sources possible field codes: "C" - close , "O" - open, "H" - high, "L" - low, "V" - volume, "I" open interest, "1" - Aux1 field, "2" - Aux2 field, "X" - updates all OHLC fields at once
flags - contains the sum of following values
• atcFlagDeleteValues = 1 - deletes all previous data from composite symbol at the
beginning of scan (recommended)
• atcFlagCompositeGroup = 2 - put composite ticker into group 253 and EXCLUDE all
other tickers from group 253 (avoids adding composite to composite)
• atcFlagTimeStamp = 4 - put last scan date/time stamp into FullName field
• atcFlagEnableInBacktest = 8 - allow running AddToComposite in
backtest/optimization mode
• atcFlagEnableInExplore = 16 - allow running AddToComposite in exploration mode
• atcFlagResetValues = 32 - reset values at the beginning of scan (not required if you
use atcFlagDeleteValues)
• atcFlagDefaults = 7
(this is a composition of atcFlagResetValues | atcFlagCompositeGroup |
atcFlagTimeStamp flags)
• atcFlagEnableInPortfolio = 64 - allow running AddToComposite in custom portfolio
backtester phase
• atcFlagEnableInIndicator = 128 - allow running AddToComposite in indicator mode
AddToComposite function also detects the context in which it is run
(it works ONLY in scan mode, unless atcFlagEnableInBacktest or atcFlagEnableInExplore
flags are specified) and does NOT affect composite ticker when run in Indicator or
Commentary mode, so it is now allowed to join scan and indicator into single formula.
EXAMPLE
AddToComposite( MACD() > 0, "~BullMACD", "V");
Graph0 = Foreign("~BullMACD", "V");
// Now you can use the same formula in scan AND indicator
SEE ALSO
References:
The AddToComposite function is used in the following formulas in AFL on-line library:
• 30 Week Hi Indicator - Calculate
• 52 Week New High-New Low Index
AddToComposite - add value to composite ticker
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AmiBroker 6.00 User's Guide
AmiBroker Formula Language (AFL)
• Bad Tick Trim on 5 sec database
• Bullish Percent Index 2 files combined
• Bullish Percent Index 2004
• Calculate composites for tickers in list files
• Compare Sectors against Tickers
• Detailed Equity Curve
• Heatmap V1
• Improved NH-NH scan / indicator
• Index of 30 Wk Highs Vs Lows
• Market Direction
• Overbought issues, Oversold issues
• RUTVOL timing signal with BB Scoring routine
• SectorRSI
• Stochastic Divergences, PDI, NDI
• Stochastic OSI & OBI
• The Mean RSIt
• The Mean RSIt (variations)
• The Relative Slope Pivots
• Trending or Trading ?
• Weighted Index
• WLBuildProcess
More information:
Updated on-line reference
AddToComposite- add value to composite ticker
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ADLine
- advance/decline line
SYNTAX
ADLine()
RETURNS
ARRAY
FUNCTION
Calculates Advance/Decline line indicator
EXAMPLE
adline()
Composites
(AFL 1.2)
SEE ALSO
References:
The ADLine function is used in the following formulas in AFL on-line library:
More information:
Updated on-line reference
ADLine - advance/decline line
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AmiBroker Formula Language (AFL)
AdvIssues
- advancing issues
Composites
(AFL 1.2)
SYNTAX
AdvIssues()
RETURNS
ARRAY
FUNCTION
Returns the number of advancing issues for a given market (the one that currently analysed
stock belongs to)
EXAMPLE
advissues()
SEE ALSO
References:
The AdvIssues function is used in the following formulas in AFL on-line library:
• Absolute Breadth Index
• Breadth Thrust
• McClellan Oscillator
• McClellan Summation Index
More information:
Updated on-line reference
AdvIssues - advancing issues
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AmiBroker Formula Language (AFL)
AdvVolume
- advancing issues volume
Composites
(AFL 1.2)
SYNTAX
AdvVolume()
RETURNS
ARRAY
FUNCTION
Returns the volume of advancing issues for a given market (the one that currently analysed
stock belongs to)
EXAMPLE
advvolume()
SEE ALSO
References:
The AdvVolume function is used in the following formulas in AFL on-line library:
More information:
Updated on-line reference
AdvVolume - advancing issues volume
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ADX
- average directional movement index
SYNTAX
adx( period = 14 )
RETURNS
ARRAY
FUNCTION
Calculates Average Directional Index indicator
EXAMPLE
adx(), adx(20)
Indicators
(AFL 1.3)
SEE ALSO
References:
The ADX function is used in the following formulas in AFL on-line library:
• Advanced MA system
• ADX Indicator - Colored
• ADXR
• babaloo chapora
• Bollinger band normalization
• Bull Fear / Bear Fear
• Dave Landry Pullbacks
• DMI Spread Index
• ekeko price chart
• Gordon Rose
• Heatmap V1
• ICHIMOKU SIGNAL TRADER
• Index and ETF trading
• Mndahoo ADX
• Multiple Ribbon Demo
• Perceptron
• swing chart
• TAZ Trading Method Exploration
• TrendingRibbonArrowsADX
More information:
Updated on-line reference
ADX - average directional movement index
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AmiBroker 6.00 User's Guide
AmiBroker Formula Language (AFL)
AlertIf
- trigger alerts
Trading system toolbox
(AFL 2.1)
SYNTAX
AlertIf( BOOLEAN_EXPRESSION, command, text, type = 0, flags = 1+2+4+8, lookback
= 1 );
RETURNS
nothing
FUNCTION
Triggers alert action if BOOLEAN_EXPRESSION is true.
1. BOOLEAN_EXPRESSION is the expression that if evaluates to True (non zero value)
triggers the alert. If it evaluates to False (zero value) no alert is triggered. Please note that
only lookback most recent bars are considered.
2. The command string defines the action taken when alert is triggered. If it is empty the alert
text is simply displayed in the Alert output window (View->Alert Output). Other supported
values of command string are:
SOUND the-path-to-the-WAV-file
EMAIL
EXEC the-path-to-the-file-or-URL
SOUND command plays the WAV file once.
EMAIL command sends the e-mail to the account defined in the settings
(Tools->Preferences->E-mail). The format of the e-mail is as follows: Subject: Alert
type_name (type) Ticker on Date/Time
Body: text
EXEC command launches external application or file or URL specified after EXEC command.
are attached after file name and text is attached at the end
3. Text defines the text that will be printed in the output window or sent via e-mail or added
as argument to the application specified by EXEC command
4. Type defines type of the alert. Pre-defined types are 0 - default, 1 - buy, 2 - sell, 3 - short,
4- cover. YOu may specify higher values and they will get name "other"
5. Flags control behaviour of AlertIF function. This field is a combination (sum) of the
following values:
( 1 - display text in the output window, 2 - make a beep (via computer speaker), 4 - don't
display repeated alerts having the same type, 8 - don't display repeated alerts having the
same date/time) By default all these options are turned ON.
6. lookback parameter controls how many recent bars are checked
EXAMPLE
Buy = Cross( MACD(), Signal() );
Sell = Cross( Signal(), MACD() );
Short = Sell;
Cover = Buy;
AlertIF( Buy, "EMAIL", "A sample alert on "+FullName(), 1 );
AlertIF( Sell, "SOUND C:\\Windows\\Media\\Ding.wav", "Audio alert",
2 );
AlertIF( Short, "EXEC Calc.exe", "Launching external application", 3
AlertIf - trigger alerts
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);
AlertIF( Cover, "", "Simple text alert", 4 );
Note EXEC command uses ShellExecute function and allows not only EXE files but URLs
too.
SEE ALSO
References:
The AlertIf function is used in the following formulas in AFL on-line library:
• AFL Example - Enhanced
• Alert Output As Quick Rewiev
• Basket Trading System T101
• CCI(20) Divergence Indicator
• Intraday Fibonacii Trend Break System
• Intraday Trend Break System
• JEEVAN'S SRI CHAKRA
• RI - Auto Trading System
• Stock price AlertIf
• Trading ATR 10-1
More information:
Updated on-line reference
AlertIf- trigger alerts
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AmiBroker Formula Language (AFL)
AlmostEqual
- rounding error insensitive comparison
Math functions
(AFL 2.80)
SYNTAX
AlmostEqual( x, y, ulps = 5 )
RETURNS
NUMBER
ARRAY
FUNCTION
This is a helper function for comparing floating point numbers. It returns True if x and y are
equal or almost equal upto defined accurracy (ulps). It is recommended to use this function
instead of equality check (==) as it leads to more reliable comparisons and less headache
caused by IEEE floating pointacurracy issues.
Parameters:
• x, y - the numbers or arrays to be compared,
• ulps stands for "units in last place" and represents maximum relative error of the
comparison. Since 32 bit IEEE floating point numbers have accurracy of 7 significant
digits, 1 unit in last place(ulp) represents relative error of 0.00001 %. The default
value of ulps parameter is 5 which gives roughtly 0.00005% "comparison sensitivity".
Thanks to Bruce Dawson for his fast routine.
EXAMPLE
if( 1/3 == 0.3333333 )
{
printf("32-bit Floating point IEEE exact equality\n");
}
if( AlmostEqual( 1/3, 0.3333333 ) )
{
printf("Numbers are almost equal\n");
}
SEE ALSO
References:
The AlmostEqual function is used in the following formulas in AFL on-line library:
More information:
Updated on-line reference
AlmostEqual - rounding error insensitive comparison
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AmiBroker Formula Language (AFL)
AMA
- adaptive moving average
Moving averages, summation
(AFL 1.5)
SYNTAX
ama( ARRAY, SMOOTHINGFACTOR )
RETURNS
ARRAY
FUNCTION
calculates adaptive moving average - simliar to EMA() but smoothing factor could be
time-variant (array).
EXAMPLE
The example of volatility-weighted adaptive moving average formula: graph0 = ema( close,
15 );
fast = 2/(2+1);
slow = 2/(30+1);
dir=abs(close-ref(close,-10));
vol=sum(abs(close-ref(close,-1)),10);
ER=dir/vol;
sc =( ER*(fast-slow)+slow)^2; graph0 = ama( close, sc );
SEE ALSO
Comments:
Tomasz Janeczko
output = AMA( input, factor )
2006-04-26 20:13:15
is equivalent to the following looping code:
for( i = 1; i < BarCount; i++ )
{
output[ i ] = factor[ i ] * input[ i ] + ( 1 - factor[ i ] ) * output[ i - 1 ];
}
References:
The AMA function is used in the following formulas in AFL on-line library:
• Application of Ehler filter
• Auto-Optimization Framework
• Automatic Linear Trend Channel
• Automatic Linear Trend Channel 2
• automatic trendlines using fractal patterns
• Better Bollinger Bands
• Bman's HaDiffCO
• candlestick chart for Volume/RSI/OBV
• CCI 14 DrBobStyle
• CCI 50 DrBob Style
• com-out
• Heatmap V1
• Heikin Ashi Candles
• Heikin-Ashi(Koma-Ashi) with Moving Average
• Heinkin-Ashi
• Hilbert Study
• IFT of RSI - Multiple TimeFrames
AMA - adaptive moving average
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• INTRADAY HEIKIN ASHI new
• Intraday Volume EMA
• Pivots for Intraday Forex Charts
• shailu lunia
• Vikram's Floor Pivot Intraday System
• Woodie's CCI Panel Full Stats
• Woodie's Heikin-Ashi Panel
• ZLEMA ATR Long Only Trading System
More information:
Updated on-line reference
AMA- adaptive moving average
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AmiBroker Formula Language (AFL)
AMA2
- adaptive moving average
Moving averages, summation
(AFL 1.5)
SYNTAX
ama2( ARRAY, SMOOTHINGFACTOR, FEEDBACKFACTOR )
RETURNS
ARRAY
FUNCTION
calculates adaptive moving average - simliar to EMA() but smoothing factor could be
time-variant (array).
AMA2 has a separate control of feedbackfactor which is normally
(1-SMOOTHINGGFACTOR). Internally this function works like this: today_ama =
SMOOTHINGFACTOR * array + FEEDBACKFACTOR * yesterday_ama
EXAMPLE
The example of volatility-weighted adaptive moving average formula: graph0 = ema( close,
15 );
fast = 2/(2+1);
slow = 2/(30+1);
dir=abs(close-ref(close,-10));
vol=sum(abs(close-ref(close,-1)),10);
ER=dir/vol;
sc =( ER*(fast-slow)+slow)^2; graph0 = ama2( close, sc, 1-sc);
SEE ALSO
References:
The AMA2 function is used in the following formulas in AFL on-line library:
• Candle Stick Analysis
• Cycle Period
• Intraday Volume EMA
• mitalpradip
More information:
Updated on-line reference
AMA2 - adaptive moving average
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AmiBroker 6.00 User's Guide
AmiBroker Formula Language (AFL)
ApplyStop
- apply built-in stop
Trading system toolbox
(AFL 1.7)
SYNTAX
ApplyStop( type, mode, amount, exitatstop, volatile = False, ReEntryDelay = 0,
ValidFrom = 0, ValidTo = -1 )
RETURNS
Nothing
FUNCTION
controls built-in stops from the formula level (allows optimization of stops)
Parameters:
type =
0 = stopTypeLoss - maximum loss stop,
1 = stopTypeProfit - profit target stop,
2 = stopTypeTrailing - trailing stop,
3 = stopTypeNBar - N-bar stop
mode =
0 - disable stop (stopModeDisable),
1 - amount in percent (stopModePercent), or number of bars for N-bar stop (stopModeBars),
2 - amount in points (stopModePoint);
3 - amount in percent of profit (risk)
amount =
percent/point loss/profit trigger/risk amount.
This could be a number (static stop level) or an array (dynamic stop level)
ExitAtStop
ExitAtStop = 0 - means check stops using only trade price and exit at regular trade price(1)
(if you are trading on close it means that only close price will be checked for exits and exit
will be done at close price)
ExitAtStop = 1 - check High-Low prices and exit intraday on price equal to stop level on the
same bar when stop was triggered
ExitAtStop = 2 - check High-Low prices but exit NEXT BAR on regular trade price.
volatile decides if amount (or distance) (3rd parameter) is sampled at the trade entry and remains
fixed during the trade (Volatile = FALSE - old behaviour) or if can vary during the trade
(Volatile = TRUE) (allows single line Chandelier exit implementation)(2)
ReEntryDelay how many bars to wait till entering the same stock is allowed.
ValidFrom defines first bar since entry when stop can generate an exit. 0 means from the very
beginning
ApplyStop - apply built-in stop
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ValidTo defines last bar since entry when stop can generate an exit. -1 means "infinite". By default
stops are valid all the time (0/-1).
ValidFrom/ValidTo can be used to create stops that get actived/deactivated in different times.
This setting is independent for each stop type. It also works in conjunction with
SetOption("HoldMinBars", x ). HoldMinBars affects BOTH regular exits and stops, preventing
ALL kind of exits during defined period. ValidFrom/ValidTo works on each stop separately
and does not affect regular exits.
Note on using stops:
Scenario 1:
you trade on next bar OPEN and want to exit intraday on stop price
Correct settings:
ActivateStopsImmediately turned ON
ExitAtStop = 1
Trade delays set to one
Trade price set to open
Scenario 2:
you trade on today's close and want to exit intraday on stop price
Correct settings:
ActivateStopsImmediately turned OFF
ExitAtStop = 1
Trade delays set to zero
Trade price set to close
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
Correct settings:
ExitAtStop = 2 (NEW)
Trade delays set to one
Trade price set to open
• a) (if you want to have stops executed AFTER regular signals, so cash from stopped
out positions is NOT available to enter trades the same day)
ActivateStopsImmediately turned ON
• b) (if you want to have stops executed BEFORE regular signals, so cash from
stopped out positions IS available to enter new trades the same day)
ActivateStopsImmediately turned OFF
Scenario 4:
you trade on today's close and want to exit only when today's close price hits the stop level
Correct settings:
ApplyStop - apply built-in stop
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ActivateStopsImmediately turned OFF
ExitAtStop = 0
Trade delays set to zero
Trade price set to close
LIMITATIONS:
• (1) ExitAtStop = 0 uses SellPrice/CoverPrice variables in backtestRegular mode only,
in other modes it uses trade prices from the Settings dialog (not overridable via
SellPrice/CoverPrice)
• (2) Volatile stops (Volatile=True) work only in backtestRegular mode
EXAMPLE
/* max loss stop optimization */
ApplyStop(stopTypeLoss,
stopModePercent,
Optimize( "max. loss stop level", 10, 2, 30, 1 ),
True );
/* single-line implementation of Chandelier exit */
ApplyStop(stopTypeTrailing, stopModePoint, 3*ATR(14), True, True );
/* N-bar stop */
ApplyStop( stopTypeNBar, stopModeBars, 5 );
SEE ALSO
Comments:
Herman van den Bergen
[email protected]
2003-02-23 09:53:51
If you are trading at the Close with zero delays be sure to unmark "Activate Stops
Immediately" in Settings.
Corey Saxe
[email protected]
2003-03-01 23:33:13
For visual conformation of ApplyStop function, add the following lines below your
ApplyStop formula in Indicator Builder:
Equity(1); // THIS EVALUATES STOPS
Plot(Sell==4,"ApplyStop Sell",colorRed,1|styleOwnScale);
Plot(Cover==4,"ApplyStop Cover",colorGreen,1|styleOwnScale);
Tomasz Janeczko
tj --at-- amibroker.com
2004-08-28 03:14:12
If two or more different stops are triggered on the VERY SAME bar then they are
evaluated in this fixed order:
Fixed Ruin stop (loosing 99.96% of the starting capital)
Max. loss stop
Profit target stop
Trailing stop
N-bar stop
Graham Kavanagh
[email protected]
from equity comments
ApplyStop- apply built-in stop
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AmiBroker 6.00 User's Guide
2004-09-30 21:55:42
AmiBroker Formula Language (AFL)
Depending on kind of the stop various values
are written back to sell/cover array to enable you to distinguish if given signal was
generated by regular rule or by stop.
1 - regular exit
2 - max. loss
3 - profit target
4 - trailing
5 - n-bar stop
6 - ruin stop
Tomasz Janeczko
tj --at-- amibroker.com
2005-03-01 17:10:39
ExitAtStop has a new meaning for N-BAR stop type.
If ExitAtStop = 0 then N-bar stop has the lowest priority (so if for example profit
target stop is hit on the same bar then profit target is evaluated first)
If ExitAtStop = 1 then N-bar stop has highest priority and it is evaluated before all
other stops.
The same effect is obtained by checking "Has priority" box in AA Settings window.
Tomasz Janeczko
ApplyStop function is designed to be used to simulate
tj-/nospam/@amibroker.com stop orders placed at the exchange or simulated by the brokerage
2006-01-13 11:41:32
Please read this how such stops operate:
http://www.interactivebrokers.com/en/trading/orders/stop.php?ib_entity=uk
http://www.interactivebrokers.com/en/trading/orders/trailingStops.php?ib_entity=uk
References:
The ApplyStop function is used in the following formulas in AFL on-line library:
• ATR Study
• AutoTrade using an Exploration
• danningham penetration
• Ed Seykota's TSP: EMA Crossover System
• Follow the Leader
• Index and ETF trading
• RUTVOL timing signal with BB Scoring routine
• SectorRSI
• The D_oscillator
• The Three Day Reversal
• Trend Continuation Factor
• Vivek Jain
More information:
Updated on-line reference
ApplyStop- apply built-in stop
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AmiBroker 6.00 User's Guide
AmiBroker Formula Language (AFL)
Asc
- get ASCII code of character
String manipulation
(AFL 2.80)
SYNTAX
Asc( string, pos = 0 )
RETURNS
NUMBER
FUNCTION
Returns the ANSI character code corresponding to the first letter in a string (if position is not
specified) or code of character at specified position. If you don't specify position (pos
argument) then first character is used. Negative values of pos reference characters counting
from the end of string.
Useful for creation of exploration that displays single letters for signals instead of numbers.
EXAMPLE
Buy = Cross(MACD(),Signal());
Sell = Cross(Signal(),MACD());
Filter = Buy OR Sell;
AddColumn( IIf( Buy, Asc("B"), Asc("S")), "Signal", formatChar );
SEE ALSO
AddColumn() function
References:
The Asc function is used in the following formulas in AFL on-line library:
• AFL_Glossary_1
• AutoTrade using an Exploration
• Ed Seykota's TSP: Support and Resistance
More information:
Updated on-line reference
Asc - get ASCII code of character
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asin
- arcsine function
Math functions
SYNTAX
asin( x )
RETURNS
NUMBER, ARRAY
FUNCTION
Returns the arcsine of NUMBER or ARRAY. The asin function returns the arcsine of x in the
range -pi/2 to pi/2 radians. If x is less than -1 or greater than 1, asin returns an indefinite
EXAMPLE
SEE ALSO
SIN() function
References:
The asin function is used in the following formulas in AFL on-line library:
More information:
Updated on-line reference
asin - arcsine function
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Math functions
atan
- arc tan
SYNTAX
atan( NUMBER ),
atan( ARRAY )
RETURNS
NUMBER
ARRAY
FUNCTION
Returns the arc tangent of NUMBER or ARRAY. The value is returned in radians
EXAMPLE
The formula "atan( 1.00 )" returns PI/4
SEE ALSO
References:
The atan function is used in the following formulas in AFL on-line library:
• Andrews Pitchfork
• Andrews PitchforkV3.3
• AR_Prediction.afl
• Cybernertic Hilbert Sine Wave
• DMI Spread Index
• Dominant Cycle Phase
• Gabriel Linear Regression Angle Indicator
• Heatmap V1
• Hilbert Sine Wave
• Hilbert Sine Wave Support & Resistance
• Hilbert Sine Wave with Hull Moving Average
• Hilbert Study
• John Ehler
• Moving Average "Crash" Test
• Multiple sinus noised
• Schiff Lines
• Signal to Noise
• Sine Wave Indicator
• Smoothed Adaptive Momentum
• Three Pole Butterworth
• Trigonometric Fit - TrigFit with AR for cos / sin
• Woodie's CCI Panel Basic
• Woodie's CCI Panel Full Stats
• Woodie's Price Panel With Woodie's Pivots
More information:
Updated on-line reference
atan - arc tan
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AmiBroker 6.00 User's Guide
AmiBroker Formula Language (AFL)
atan2
- calculates arctangent of y/x
Math functions
(AFL 2.90)
SYNTAX
atan2( y, x )
RETURNS
NUMBER or ARRAY
FUNCTION
atan2 returns the arctangent of y/x. If x is 0, atan2 returns 0. If both parameters of atan2 are
0, the function returns 0. atan2 returns a value in the range -PI to +PI radians, using the
signs of both parameters to determine the quadrant of the return value.
EXAMPLE
ffc = FFT(data,Len);
for( i = 0; i < Len - 1; i = i + 2 )
{
amp[ i ] = amp[ i + 1 ] = sqrt(ffc[ i ]^ 2 + ffc[ i + 1 ]^2);
phase[ i ] = phase[ i + 1 ] = atan2( ffc[ i + 1], ffc[ i ] );
}
SEE ALSO
atan() function
References:
The atan2 function is used in the following formulas in AFL on-line library:
More information:
Updated on-line reference
atan2 - calculates arctangent of y/x
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Indicators
(AFL 1.3)
ATR
- average true range
SYNTAX
atr( period )
RETURNS
ARRAY
FUNCTION
Calculates Average True Range indicator
EXAMPLE
atr(7)
SEE ALSO
Comments:
Bob Jagow
[email protected]
2003-02-06