Monday, September 03, 2007

AmiBroker testing and Excel

Many system testers focus on optimising variables like moving averages. But it is also possible to get a better understanding of position size, risk and other trade parameters.

The following charts were generated from Amibroker optimise runs. I optimised a number of criteria, %Risk, minimum position size $, capital and maximum number of trades held - all at the same time. What results is a lot of data that I then transfered to Excel. Using Autofilters and pivot tables in Excel I can fix some parameters, as well as exclude others, and create 3D charts as shown below.

I had some fun with colours - the default ones set on my version of Excel didn't really work for me.

So in the one spreadsheet I have, amongst other things, a large number of 3D combinations to consider. I lose the ability to rotate the charts but I did customise the colours to my liking. It's a little time consuming generating pivot tables and determining what values to include / exclude, what parameters to fix and what value to fix them at but I feel I am only scratching the surface with Excel.



Cameron said...


Wow! You're really pressing ahead here. I've had my work cut out for me just learning've really laid down the gauntlet here with this Excel product. If I understand correctly it appears to help get around the hassle in AB of having to re-run optimisations (which is often time consuming) and taking screen snapshots of 3d charts to try and compare the impact of various components or variable changes to a system.

Really impressive work.


stevo said...

You understand correctly. It's not hard to set up Amibroker to run all night. The challenge is to manage and make sense of all the results that can be generated...and then come up with a system that is tradable.

I only just discovered;
SetOption( "MinPosValue", MinPosVal );

I was a little frustrated before because I couldn't easily set a minimum position value. Now that I can things are falling into place i terms of testing.

It will be interesting to see what Amibroker 5 looks like. I've heard that it might have Monte Carlo and walk forward testing.