Amibroker AFL Coding - Webinar

Amibroker AFL CodingRajandran Rwww.marketcalls.in

www.marketcalls.in Customer Support : 09738383344

Disclaimer

▪ TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL AMOUNT OF RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS

▪ PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

▪ AMIBROKER IS REGISTERED TRADEMARK OF AMIBROKER.COM.

▪ WE ARE NEITHER ASSOCIATED WITH THE ABOVE TRADEMARK OWNERS NOR DO WE REPRESENT THEM IN ANY MANNER. WE ARE NOT OFFERING AMIBROKER PLATFORM FOR SALE ON OUR WEBSITE / IN OUR OFFICE.


About Me

▪ Running a Financial Start-up

▪ Author of www.marketcalls.in since Sep 2007

▪ Trading System Designer

▪ System Trader & Financial Blogger

▪ More www.marketcalls.in/about

http://www.marketcalls.in/

http://www.marketcalls.in/about


No Subjective Interpretation

▪ No Trend Lines▪ No Gann▪ No Fibonacci▪ No Elliot wave▪ No Trading Patterns▪ No Divergence▪ No News▪ No Fundamentals


Trading Analysis Software

Amibroker

Metastock

Ninjatrader

Esignal Multicharts


Free Data Providers for Amibroker

Google Finance(EOD,

Intraday)

Yahoo Finance(EOD,

Intraday, Fundamental

)

ASCII(csv, txt)

MSN Money(EOD)

Quandl(EOD)


Subscription based Data Providers

Globaldatafeeds

Neotradeanalytics

Esignal(Platform + Data feed)

DTN IQFeedInteractive

Brokers(Brokerage + Data feed )

CQG


Why Amibroker?

▪ Ease of Use▪ High Speed Execution▪ Supports Autotrading (Symphony Fintech, Interactive Brokers)▪ Custom Timeframe▪ Multi Timeframe Support▪ Backtesting Optimization Walk Forward Testing▪ Scanning and Exploration▪ Custom Indicators (AFL Programming)


Amibroker Formula Language (AFL)

▪ AFL is Vector Programming Language

▪ Write your own Custom Indicators, Scanners, Exploration and custom commentaries

▪ Write your own Trading System Rules


AFL Tokens

▪ Identifiers ▪ Constants▪ String – literals▪ Operators▪ Punctuators (Separators)


Built-in Identifiers

Identifiers Abbreviation

Open OHigh HLow LClose CVolume VOpenInt OIAvg


Comparison Operators

Symbol Meaning

< Less than > Greater than <= Less than or equal to >= Greater than or

equal to == Equal to ! Not != Not Equal to


Arithmetic and Logical Operators

Symbol Meaning

+ Addition - Subtraction * Multiplication / Division % Modulus ^ Exponentiation | & Bitwise OR Bitwise

AND

Symbol MeaningNOT Logical NOTAND Logical ANDOR Logical OR


Sample Built-in Functions

▪ RSI(14) - 14 period RSI▪ MACD() - Default MACD ▪ EMA(c,10) - 10 period EMA ▪ Ref(C, -1 ) - Previous Close Array▪ MA(C,25) - 25 period Simple MA▪ Cross(C, EMA(c10)) - Crossover Functions▪ Barindex() - returns total number of bars (similar to

Barcount)More at http://www.amibroker.com/guide/a_funref.html


Understanding Arrays


AFL Arrays Example 1

Day 1 2 3 4 5 6 7 8 9 10

1 Open 123 124 121 126 124 129 133 132 135 1372 High 124 127 125 129 125 129 135 135 137 1293 Low 120 121 119 120 121 124 130 128 131 1274 Close 123 126 124 128 125 125 131 130 132 1285 Volume 8310 3021 5325 2834 1432 5666 7847 555 6749 34566 Ref(C-1) NULL 123 126 124 128 125 125 131 130 132


Pattern Detection Functions

▪ Inside()▪ Outside()▪ GapUp()▪ GapDown()

Gives a "1" or “True” when a inside Pattern occurs.Gives "0" or “False” otherwise.


Plot Functions

▪ Plot()▪ PlotOHLC()▪ PlotShapes()

Demo


Plot Arrows

/* Plot Buy and Sell Signal Arrows */PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorGreen, 0, L, Offset=-40);PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorLime, 0,L, Offset=-50);PlotShapes(IIf(Buy, shapeUpArrow, shapeNone),colorWhite, 0,L, Offset=-45);PlotShapes(IIf(Sell, shapeSquare, shapeNone),colorRed, 0, H, Offset=40);PlotShapes(IIf(Sell, shapeSquare, shapeNone),colorOrange, 0,H, Offset=50);PlotShapes(IIf(Sell, shapeDownArrow, shapeNone),colorWhite, 0,H, Offset=-45);


AFL Arrays Example 2

Day 1 2 3 4 5 6 7 8 9 10

1 Open 123 124 121 126 124 129 133 132 135 1372 BeginValue( Open ) 124 124 124 124 124 124 124 124 124 1243 EndValue( Open ) 132 132 132 132 132 132 132 132 132 1324 SelectedValue(Open ) 121 121 121 121 121 121 121 121 121 1215 LastValue( Open ) 137 137 137 137 137 137 137 137 137 1376 Close 122 126 123 128 125 125 131 130 132 128


Lowest/Highest Functions

▪ LLV()▪ HHV()▪ Lowest()▪ Highest()

▪ LLV(C,10)▪ HHV(c,10)▪ Lowest( RSI(14))▪ Highest( MFI(14) )

DEMO


Alerts (in built and 3rd Party)

▪ Sound Alert▪ Voice Alert▪ Email Alert

▪ Alertif() , say() functions

▪ Twitter Alert [tweetymail]▪ Trade Sender ▪ Push Bullet [http api]


Param Control Functions

▪ Param()▪ Paramcolor()▪ Paramstr()▪ ParamTime()▪ ParamDate()▪ ParamField()

▪ ParamTrigger()▪ ParamList()▪ ParamToggle()▪ ParamStyle()

DEMO


Built-in Trading Logic Identifiers

▪ Buy ▪ Sell▪ Short▪ Cover

DEMO


Simple Exploration

Filter =1;AddColumn(RSI(10),"RSI", 1.2);AddColumn(EMA(C,10),"EMA10",1.2);AddColumn(v,"volume",1);


Understanding different IF Functions

▪ IF▪ IIF▪ WriteIF

▪ If(buy[barcount-1] == true)▪ Color =

iif(RSI(14)>70,colorgreen,colorred)


Multitimeframe Functions

Switching Timeframe

• TimeFrameSet• TimeFrameRestor

e

Compress/Expand• TimeFrameCompr

ess• TimeFrameExpan

d

Access Diff Timeframe

• TimeFrameGetPrice


Multimeframe Getprice

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


Components of Trading System

Initial Paramete

rsTrading Logic

Position Size

Signals & Alerts

Dashboard


Simple Trading System

SetTradeDelays(1,1,1,1);SetPositionSize(100,spsShares);

par1 = param("par1",10,1,50,1);par2 = param("par2",15,1,50,1);sema = EMA(C,par1);lema = EMA(C,par2);

Buy = Cross(sema,lema);Sell = Cross(lema,sema);


Position Size & Trade Delay

▪ SetTradeDelays(1,1,1,1); // Trade Delay of 1 Bar▪ SetPositionSize( 100, spsShares ); // 100 shares

by default ▪ SetPositionSize( 10, spsPercentofEquity );

//Percentage Equity▪ SetPositionSize( 100000, spsValue ); // Fixed

Amount

http://www.amibroker.com/kb/2014/10/12/position-sizing-based-on-risk/


Equity Curve


Backtesting


Trading System Design Cycle

Analysis

Design

ImplementTesting

Evaluate


Time Based Trading Rules

▪ Timenum() Function▪ Mostly Rules for Intraday

DEMO


Foreign Functions

▪ Retrieve Data from other Symbols

DEMO


Offers to Webinar Participants

Globaldatafeeds

▪ Take Data Subscription of NSE MCX NSE FX

www.marketcalls.in/services

Contact Customer Support 09738383344 Support Timings – (9a.m – 6p.m)Mon - Fri

Tradejini ( Discount Broker )▪ Get 50% of Brokerage

Reversal upto your purchased product

▪ Rs 20 Per Order▪ Trade in NSE, BSE, MCX,

MCX-SX▪ Nest/Now Trading

Terminal


Recommended Trading Books

Beginners• Introduction to Amibroker – 2nd Edition – Howard Bandy• Amibroker User Guide

Intermediate• Quantitative Trading Systems – Howard Bandy• Modelling Trading System Performance – Howard Bandy

Experts• Mean Reversion Trading Systems – Howard Bandy• Quantitative Technical Analysis – Howard Bandy


AFL Library & Forums

▪ Amibroker Librarywww.amibroker.com/library▪ Marketcalls Librarywww.marketcalls.in/library▪ Wisestocktrader Librarywww.wisestocktrader.com

▪ Amibroker Yahoo Groups▪ Traderji Forum▪ Inditraders Forum▪ Marketcalls Community


Questions


Thank You

Amibroker AFL Coding - Webinar

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Transcript of Amibroker AFL Coding - Webinar