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Backtest Framework for Amibroker (AFL)
.OMAR.
about 9 years ago
Amibroker (AFL)

Rating:
3 / 5 (Votes 2)
Tags:
trading system, amibroker, exploration

This is a backtesting framework with a nice moving average crossover example.

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Indicator / Formula

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_SECTION_BEGIN("Framework_Template");
/////////////////////////////////////////////////////////////////////
///////////////Start - Backtest Framework Parameters/////////////////
/////////////////////////////////////////////////////////////////////

//Init
	SetBarsRequired(10000,10000); 

// Backtest settings
	//	Set AA options: 
	//	Set Apply to = [Use Filter] Market = ASX, Exclude Indexes
	//	Set Range = 1/1/1997 to 1/1/2007

// Trading Style Parameters
	//	Set AA options: 
	//	Set Positions = Long
	//	Set Periodicity = Daily

// Locked Comparison Parameters
	SetOption("InitialEquity", 100000 );
	SetOption("CommissionMode", 2 );
 	SetOption("CommissionAmount", 30.00 );
	BuyPrice = High;
	SellPrice = Low;
	ShortPrice = Low;
	CoverPrice = High;
	
// Minimum method parameters
	SetTradeDelays(1,1,1,1);

// Trading method parameters
	SetOption("FuturesMode", False ); 
	SetOption("AllowSameBarExit", False ); 
	SetOption("AllowPositionShrinking", False );
	SetOption("ReverseSignalForcesExit", True );
	SetOption("PriceBoundChecking", True );
	SetOption("UsePrevBarEquityForPosSizing", False );
	
	RoundLotSize = 1;
	PositionSize = 5000;

// Portfolio Settings
	SetOption("MaxOpenPositions", 10 ); 
	//	Set AA options: 
	//	Set Limit trade size as % of entry bar volume = 10
	//	Set Disable trade size limit when bar Volume is zero = False

/////////////////////////////////////////////////////////////////////
///////////////End - Backtest Framework Parameters///////////////////
/////////////////////////////////////////////////////////////////////

/////////////////////////////////////////////////////////////////////
///////////////Start - Trading method code///////////////////////////
/////////////////////////////////////////////////////////////////////
//
// System: EMaCross
//
/////////////////////////////////////////////////////////////////////

// Optimize Parameters 
	Short_EMA_Var = Optimize("Short_EMA_Variable",6,1,10,1);
	Long_EMA_Var = Optimize("Long_EMA_Variable",73,30,100,1);

// Stock Selection
	//Buy only if PositionSize is 10% or less than 3 months average turnover.
	Turnover_Filter = (MA((Volume * C),60)*.10) > PositionSize; 

	//Set the order for which stock trades when get mulitple signals in one bar in backtesting
	PositionScore = 100-RSI(); // prefer stocks that have low RSI;

// Signal
	Long_EMA = EMA( Close, Long_EMA_Var);
	Short_EMA = EMA( Close, Short_EMA_Var);

	Buy  = Cross( Short_EMA, Long_EMA ) AND Turnover_Filter; 
	Sell = Cross( Long_EMA, Short_EMA );

// Cleanup signal
	Buy = ExRem(Buy,Sell);
	Sell = ExRem(Sell,Buy);
	

// Plot Price & Volume
	SetChartOptions(0,chartShowArrows|chartShowDates);
	_N(Title = "EMACrossT " + Date() + " Open "+O+" Hi "+H+" Low "+L+" Close "+C+" Volume "+WriteVal(V,1) + "\nBase Index:" + GetBaseIndex() );

	Color = IIf(O > C, colorBlack, colorYellow);
	Plot( Close, "Price", color, styleCandle);
 
	BarColor = 
		IIf( V > Ref(V,-1),  colorLightBlue , /* up volume */ 
		IIf( V < Ref(V,-1),  colorDarkBlue, /* down volume */
                     colorGreen /*otherwise*/ ));
	Plot( Volume, "Turnover", BarColor, styleHistogram | styleThick | styleOwnScale);

// Plot Raw signals
	Plot( Short_EMA, "Short_EMA", colorBlue, styleLine);
	Plot( Long_EMA, "Long_EMA", colorRed, styleLine);
	shape = Buy * shapeSmallCircle + Sell * shapeSmallCircle;
	PlotShapes( shape, IIf( Buy, colorLime , colorRed ),0);

// Display details for live trade explore 
	Filter = (Buy OR Sell);
	AddTextColumn(WriteIf(Buy,"Buy","Sell"),"Buy/Sell");
	AddColumn(PositionScore,"Position");

/////////////////////////////////////////////////////////////////////
///////////////End - Trading method code/////////////////////////////
/////////////////////////////////////////////////////////////////////
_SECTION_END();

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