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Backtest Framework for Amibroker (AFL)
Rating:
3 / 5 (Votes 3)
Tags:
trading system, amibroker, exploration
This is a backtesting framework with a nice moving average crossover example.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 | _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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