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Backtesting and Research: MultiCharts or AmiBroker
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Backtesting and Research: MultiCharts or AmiBroker

  #11 (permalink)
Trading Apprentice
Asheville, North Carolina
 
Futures Experience: Advanced
Platform: AmiBroker, Dynamic Trader, Metastock, FreeStockCharts, TradingView
Favorite Futures: stocks, options
 
Posts: 24 since Sep 2010
Thanks: 1 given, 15 received


Big Mike View Post
I'd like to see more participation from Amibroker users here on the forum. Can you post some screen shots illustrating why it is easier, simpler and faster? I've never used it, so would like to see them and see how they do things.

Mike

I've used AmiBroker for about 10 years (as I recall) and in my view AmiBroker's strength lies in backtesting and ease of programming (see full description at website) even the most complex algorithms. In that regard, it beats everything that I have worked with from Metastock to Tradestation and does so significantly faster and at a very competitive price. However, relative to other programs I rate its graphics and graphic tools average or even a bit lower and do not rely on AmiBroker for all graphic needs. Mechanical system traders, I believe, find that AmiBroker more than meets their needs. However, traders who rely more on graphics might find some "holes" that need to be plugged with other programs.

As for illustrating these points I don't know how in this format but might be able to address specific questions. The best way learn about the program is by giving it a spin with a fully functional 30 day trial, as well as look in on the users Yahoo group which is open to all and is populated by many former Metastock, Tradestation, NT, etc. users.

I should mention that even though AmiBroker is a "one man shop" support is superior to anything that I have experienced with other programs (in part due to an active Yahoo group), bugs are fixed "instantly" and new features are introduced at an amazing speed.


Last edited by colion; October 30th, 2011 at 10:41 AM.
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  #12 (permalink)
Trading Apprentice
New Delhi, India
 
Futures Experience: Intermediate
Platform: Amibroker
Favorite Futures: Stocks
 
Posts: 14 since Aug 2010
Thanks: 5 given, 6 received

You can code a MA crossover system for backtesting with just 2 lines of code:

buy= cross ( ma(c, 10), ma(c, 20));
sell= cross ( ma(c, 20), ma(c, 10));

So simple for a person with minimal experience in programming!

But what I really like is its speed. I play around with lots of backtesting and optimization and Amibroker takes half the time to backtest/explore than anything else out there. I talked to a guy who is a professional for programming for hedge funds in Matlab/R/C++ and even he was pleasantly surprised by Amibroker's speed.

This is even more important for stock traders who analyze and test a lot of tickers. Amibroker can easily handle analyzing 500 symbols in real-time; Ninjatrader's market analyzer crashes when I go just beyond 40 symbols, anyways it is painfully slow.


Last edited by lurker; October 30th, 2011 at 10:58 AM.
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  #13 (permalink)
Trading Apprentice
Seattle, WA
 
Futures Experience: Advanced
Platform: Amibroker, ToS
Favorite Futures: Index Futures
 
Posts: 2 since Sep 2011
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I'm a big fan of AmiBroker. It blows Ninja away in speed, and is a fairly mature piece of software. I find the scripting language (AFL) to be pretty easy, and I'm a non-coder so that was important to me. That being said, if you are an experienced coder you can do some amazing things.

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  #14 (permalink)
 Vendor: www.tradewithme.me 
Bangalore India
 
Futures Experience: Intermediate
Platform: Amibroker MQ4
Broker/Data: Geojit, Zerodha
Favorite Futures: Index Futures
 
Posts: 14 since May 2011
Thanks: 2 given, 9 received

For sure.. I havent seen anything that provides the flexibility of Amibroker.

To give a simple example, I use Point and Figure charts using Bulls Eye Broker and wanted to track the trades generated through Point and Figure method. With a simple script that takes user input online, I could plot the real trades that I was doing online and mix them with custom stop loss rules and then track the profitability of the trade in Amibroker on time series charts. Now thats a good way to look at point and figure charts!

And yes, you can really do a lot of innovative fun stuff.


Last edited by Abnash; February 19th, 2012 at 05:57 AM.
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  #15 (permalink)
Go Bears!
Bay Area, CA - US
 
Futures Experience: Beginner
Platform: TOS, TS & MC
Broker/Data: TDA & TS
Favorite Futures: Stock, Options and now Futures (ES)
 
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Posts: 514 since Dec 2010
Thanks: 227 given, 134 received

I've been a user of MCDT for about a year, and while I've been quite pleased with it, I'm glad that I stumbled across AmiBroker; thanks to this forum.

I just started a free trial, pumping EOD Yahoo! NYSE and NASDAQ data for now, and was really impressed with the back-testing. I'm impressed with the speed, the ease of doing so, and the results, meaning that I validated the results, which takes time, but I find important. In Prodigio from TDA, validation often provided mixed results, making me realize that I could not depend upon Prodigio's back-testing results to draw conclusions. I admit that this was from a year ago, so maybe it has improved... With MCDT of course I don't have this option, but hear it does very well.

I wish there was more of a AmiBroker presence here. It seems that there is a vibrant Yahoo! Groups though that I'll need to check-out, but I prefer a forum setting, like this one...

Would anyone here know if these two are possible / doable with AmiBroker:

1. To have as a lower indicator (like where MACD or RSI would reside) a historical depiction of the daily put / call ratio for the instrument, and / or the mkt as a whole.

2. Similarly, to see a visual of the number of daily mkt new highs / lows...

If anyone has such information being displayed on AmiBroker, please do share. I'd be curious as to the data source needed to pull this off too.

Thanks much.


Last edited by TonyB; February 24th, 2012 at 04:48 AM.
 
  #16 (permalink)
 Vendor: www.tradewithme.me 
Bangalore India
 
Futures Experience: Intermediate
Platform: Amibroker MQ4
Broker/Data: Geojit, Zerodha
Favorite Futures: Index Futures
 
Posts: 14 since May 2011
Thanks: 2 given, 9 received


TonyB View Post
I've been a user of MCDT for about a year, and while I've been quite pleased with it, I'm glad that I stumbled across AmiBroker; thanks to this forum.

I just started a free trial, pumping EOD Yahoo! NYSE and NASDAQ data for now, and was really impressed with the back-testing. I'm impressed with the speed, the ease of doing so, and the results, meaning that I validated the results, which takes time, but I find important. In Prodigio from TDA, validation often provided mixed results, making me realize that I could not depend upon Prodigio's back-testing results to draw conclusions. I admit that this was from a year ago, so maybe it has improved... With MCDT of course I don't have this option, but hear it does very well.

I wish there was more of a AmiBroker presence here. It seems that there is a vibrant Yahoo! Groups though that I'll need to check-out, but I prefer a forum setting, like this one...

Would anyone here know if these two are possible / doable with AmiBroker:

1. To have as a lower indicator (like where MACD or RSI would reside) a historical depiction of the daily put / call ratio for the instrument, and / or the mkt as a whole.

2. Similarly, to see a visual of the number of daily mkt new highs / lows...

If anyone has such information being displayed on AmiBroker, please do share. I'd be curious as to the data source needed to pull this off too.

Thanks much.


If the data stream provides the put and call volumes one can easily construct such an indicator. You needto ensure that your data stream provides the open interest for the puts and calls of the specific instrument. You can then consolidate the OI's of the puts and calls and plot the PCR as you want. All available as part of the standard features of Amibroker, where you can construct a composite symbol or index based on two watchlists that contains the puts and calls symbols.

Point 2 - If you want to simply plot the new highs and lows intraday, or for the market, again thats easily possible.

If you provide some detail of the latter, I can demo that to you as a script.

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  #17 (permalink)
Go Bears!
Bay Area, CA - US
 
Futures Experience: Beginner
Platform: TOS, TS & MC
Broker/Data: TDA & TS
Favorite Futures: Stock, Options and now Futures (ES)
 
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Posts: 514 since Dec 2010
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Abnash View Post
If the data stream provides the put and call volumes one can easily construct such an indicator. You needto ensure that your data stream provides the open interest for the puts and calls of the specific instrument. You can then consolidate the OI's of the puts and calls and plot the PCR as you want. All available as part of the standard features of Amibroker, where you can construct a composite symbol or index based on two watchlists that contains the puts and calls symbols.

Point 2 - If you want to simply plot the new highs and lows intraday, or for the market, again thats easily possible.

If you provide some detail of the latter, I can demo that to you as a script.

Abnash, thanks for the information and offer to assist. Sounds like Yahoo! data will not get the job done with respect to my put / call indicator request. I have TDA / TOS as well as OEC equity data, so maybe I can figure something-out...

Ok, new highs / lows... First, this can be either 52 week, or all-time highs / lows. EOD is what I seek. So, after the market close, how many NASDAQ or NYSE stocks are at 52 week highs and lows. As of now, for the Naz, it's 56 and 6 respectively. For the NYSE, 86 are at new highs, 0 new lows. The number of new highs has been declining, as I understand it...

I'm sure there must be better examples, but there's a chart within here, with a neat 10 day ROC:

http://www.tradersnarrative.com/another-way-to-look-at-new-52-week-highs-3865.html

Hope that makes sense. Hey, if creating a scripts proves to be time-consuming, please, don't bother. That was not my aim, to inconvenience anyone. I just want to know if AmiBroker can do do this and the put / call chart indicator as that will influence my decision if I decide to purchase. Equally important, the data needed to pull this off... If the likes of Yahoo! or Google data can do this, that would be great!

I'm guessing that OEC equity data, or that of TDA / TOS would do the trick, but there is no existing relationship with AmiBroker...

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  #18 (permalink)
Membership Revoked
London England
 
Futures Experience: Advanced
Platform: Amibroker
Favorite Futures: Forex, Futures
 
Posts: 16 since Feb 2012
Thanks: 4 given, 6 received


TonyB View Post
Abnash, thanks for the information and offer to assist. Sounds like Yahoo! data will not get the job done with respect to my put / call indicator request. I have TDA / TOS as well as OEC equity data, so maybe I can figure something-out...

Ok, new highs / lows... First, this can be either 52 week, or all-time highs / lows. EOD is what I seek. So, after the market close, how many NASDAQ or NYSE stocks are at 52 week highs and lows. As of now, for the Naz, it's 56 and 6 respectively. For the NYSE, 86 are at new highs, 0 new lows. The number of new highs has been declining, as I understand it...

I'm sure there must be better examples, but there's a chart within here, with a neat 10 day ROC:

h t t p : / / w w w.tradersnarrative.com/another-way-to-look-at-new-52-week-highs-3865.h t m l

Hope that makes sense. Hey, if creating a scripts proves to be time-consuming, please, don't bother. That was not my aim, to inconvenience anyone. I just want to know if AmiBroker can do do this and the put / call chart indicator as that will influence my decision if I decide to purchase. Equally important, the data needed to pull this off... If the likes of Yahoo! or Google data can do this, that would be great!

I'm guessing that OEC equity data, or that of TDA / TOS would do the trick, but there is no existing relationship with AmiBroker...

Yes it can be done. It has already been done. Such AFLs can be found in the library of Amibroker.

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  #19 (permalink)
Go Bears!
Bay Area, CA - US
 
Futures Experience: Beginner
Platform: TOS, TS & MC
Broker/Data: TDA & TS
Favorite Futures: Stock, Options and now Futures (ES)
 
TonyB's Avatar
 
Posts: 514 since Dec 2010
Thanks: 227 given, 134 received


ArshT View Post
Yes it can be done. It has already been done. Such AFLs can be found in the library of Amibroker.

Thank you. Great to know. I'll have to dig through that library, if I have access to it at this stage (using trial version of AB).

Would data provided by Yahoo! or Google (free sources) be adequate? I know Yahoo! keeps track of new highs and lows, for example, but don't know if that is part of the data they provide for such purposes...

 
  #20 (permalink)
Membership Revoked
London England
 
Futures Experience: Advanced
Platform: Amibroker
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Big Mike View Post
I have not used AmiBroker so can't speak to that.

But, I have used NinjaTrader and MultiCharts, and by far, 100%, x10, AAA+, MultiCharts is superior in every way when it comes to backtesting.

Amibroker is 90% faster than MC. I don't know whether I did anything wrong (I don't think I did) but even importing historical data is slow in MC. It took MC 2 minutes to import a simple 120MB 1 minute historical data file! It took Amibroker 14 seconds importing the very same file. Then I did a simple backtest using a very simple system and it took MC 29 seconds testing on 5 minutes timeframe and MC even got stuck and did not fulfill the whole process. I don't know why. It took AB 3.5 seconds to do the same and full job. Doing the same on 1 minute time frame it took AB 15.8 seconds while MC has crashed doing the same. So AB on 1 minute time frame was around 50% faster than MC doing it on 5 minute timeframe and stopping at 75% of the job.

So overall and taking importing of data and backtest into account it took MC 149 seconds not doing the whole job and it took AB 17.5 seconds doing the full job. (149 - 17.5)/149 = "88%" faster in this test. Also Amibroker's backtester is superior to MC's in terms of complexity, well and in terms of reliability.

Does MC provide 64-bit version now and portfolio level backtesting? No matter what AB has been providing it for years.


Last edited by ArshT; February 25th, 2012 at 05:42 PM.
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