Another thing to compare is support for automated Walk Forward Analysis (read Robert Pardo). AmiBroker's backtester supports it. Most others don't.
That brings up the next point; AmiBroker's backtest has support for non exhaustive optimization (e.g. CMA-ES, particle swarm optimization, etc.). This means that you are able to have a search space of far more parameter combinations than would be possible using exhaustive search (since exhaustive search would take far too long to ever complete). Mike --- In [email protected], "Mike" <sfclimb...@...> wrote: > > A few comments in-line, others may have more detailed replies... > > --- In [email protected], "caternore" <caternore@> wrote: > > > > Hello Amibroker Community. I am thinking about purchasing Amibroker. > > I have a few questions I would like to ask the community before I decided > > whether or not I should purchase Amibroker . I know that most of my > > question have been ask before or that they have been explain on the > > amibroker website. But because of my past experience with other programs > > such as Metastock. I decided to ask these question anyway to insure I > > understand the capabilities of Amibroker. > > > > 1) How Does Amibroker back testing capabilities compare to other back > > testing software such as Tradingbloxs and Traderstudio? Pro or Cons? > > When evaluating backtesters, the biggest differentiators that I came accross > were: > > A) Full portfolio support > B) Ability to reference foreign symbol > C) Processing speed > > Specifically, most backtesters only work upon a single symbol. They generally > do not allow for the dynamics of investing among a pool of symbols, including > all the money management that might preclude taking a position in symbol ZZZ > due to positions having already been taken in XXX and YYY. Of those that have > some kind of portfolio support, some have artificial limitations as to how > many symbols you can have in a portfolio. Amibroker supports full portfolio > backtesting and allows as many symbols as you have data for. > > Referencing foreign symbols is another area that very few backtesters > support. For example; when evaluting symbol ZZZ, very few backtesters will > allow you to at that time make a comparisson against YYY. In other words very > few products would let you have a rule to only buy ZZZ if the volume for YYY > was greater than some value. > > Amibroker is by far the fastest backtester that I evaluated. Backtests that > would have to run over night using other products (and eventually fail due to > out of memory errors), would take under 30 minutes in Amibroker. I never did > find another one that could do portfolio backtesting with foreign symbol > reference across 8000 symbols using end of day data. Most were written in C# > or C++ and relied on looping which ate up all the memory for many symbols > over a long duration of data. > > > 2) Is Amibroker capable of testing every aspect of the exact trading > > system outlined by the Original Turtles System to include Turtle Money > > Management, Correlated Market Risk Limits ,N-based Unit Sizing ,N-based > > Multiunit Position Additions ,Simultaneous Blends of System One and System > > Two , and The "Last Trade is Loser" rule? > > I haven't coded those particular scenarios. But, I would be surprised if > there was something in there that you could not do. However, it might take > some fairly advanced coding skills, which is the main complaint that people > have against Amibroker. > > > > > 3) I have a system that trades equities on an end of day time frame. > > Basically It finds the direction of the market (s...@p 500, Dow 30, > > Nasdaq, NYSE.), then find sectors and subsectors that are moving into the > > same direction of the market. Then chooses the top rank stock in these > > same subsectors. My system includes various money management and > > position sizing algorithms. Could I back test a system such as this on > > data back to the 1950? > > It can be done. But, it would require some advanced coding skills and would > suffer performance issues compared to simpler strategies. Any time you want > to rank anything, you will pay a performance penalty. This is true regardless > of what product you use. > > > > > 4) Speaking of data what data providers does the community at a whole > > recommend for end of day trading. I am looking for the cleanest, and > > longest ( as in years) Data. I am also look for data that is already > > setup in sectors and subsectors (or industries and sub industries) as far > > back as the data goes? (Not sure if Amibroker does this automatically) > > I've personally used Worden Brothers TeleChart 2007 and Norgate Premium Data. > Both have worked well. Both have sectors and subsectors. Both offer a long > history of historical data (Premium Data goes back to 1950 for a one time > fee). AmiBroker does not do the sector assignment for you. > > > 5) In Amibroker is it possible to have these various metrics defined by > > various time frames. > > AmiBroker does have multi time frame support. > > > 6) Can Amibroker chart for visual inspection, the various custom and non > > custom back testing metrics on various user define time frame during > > anytime in the back test? > > I'm not clear on what you are asking for here. The answer will really depend > on what it is that you want. Anything that you cause to be generated during a > backtest can be seen on a chart. But, it would be up to you to persist the > value and to write the chart code that would display the persisted value. > > > 7) In Amibroker when I do a back test is it possible to view, compare and > > chart any market, Sector, Industries or individual stock on various user > > define time frame during anytime in the back test? > > Again, not clear on what you mean by "during any time in the back test". You > can do all those things by running backtests on the different market, sector, > etc. and compare the end results to each other. > > > 8) Does Amibroker have a trade by trade report? > > Yes. > > > 9) I am not a programmer, but I have come to the conclusion that my lack of > > programming skill has become a problem in developing, test, and deployment > > of my trading systems . What Book would you recommend to learn C and C++. > > You will have a hard time with any backtester product without programming > skills. AmiBroker uses its own language called Amibroker Formula Language > (AFL). You will not need C or C++ in AmiBroker. In rare cases you might want > to write your own windows Dynamic Link Library (.DLL) in C or C++ to plugin > to AmiBroker in order to extend its behavior. But, otherwise you would > generally do the bulk of your coding in AFL with possibly some JScript or > VBScript if you find the need. > > The two books published on AFL are published by a member of this forum and > can be found here: > > http://blueowlpress.com/ > > "Quantitative Trading Systems" is the more advanced of the two and will be > the more useful for anyone looking to write code. > > Mike > > > > > > Thank You > > ACE > > >
