The last 6 months

Trade entry and exit are from the last set of orange arrows on each chart.

Spreadsheets & Amibroker

 The chart above shows system performance without a profit target versus the chart below that has a profit target.

I haven't posted for a while. I find myself becoming quite secretive about trading methods and system performance!

But I have decided that I am happy to share some stuff about what can be achieved with Amibroker and some spreadsheets. The series of charts above were generated using a dummy variable in Amibroker to produce a range of outcomes from the Explorer. I have mentioned this elsewhere in this blog.

I use a template spreadsheet and just copy the data from Amibroker straight into the spreadsheet and up pop the charts above. These charts were produced using Open Office, not the best spreadsheet software on the market but certainly the cheapest - free. It is quite capable for basic tasks like the one above.

These charts are created using frequency distributions. The intervals for the distributions are automatically generated.

A profit target between 200% and 400% for the long term system (ave hold time of 290 days) shown above works quite well. Not a lot is gained by setting a higher target, and drawdown is slightly worse.

Cheap netbook & Amibroker

I loaded Amibroker onto a small 10" Kogan Agora Pro laptop to see how it would go. I had no problems installing and running Amibroker on the netbook - not all that surprising except it's running a version of Ubuntu linux called gOS. It just installed using Wine without any hassles.

It's not all trouble free, help and the editor seem to have some bugs, but as a small cheap travel computer to monitor a system it would work quite well.

The laptop itself is running surprising well - 2gb ram & 160gb hard drive for $439 plus postage is not bad. The wireless is not as powerful as my Dell but works ok. Considering that you can pay twice that for an iPhone it's quite impressive. Whilst it won't make a phone call it does come with Skype ready to go and a webcam built in - I'd like to see Amibroker run on an iPhone!

The screenshot is of one of my current trades, FXL. It's a very nice trade so far, although it's not over yet.

stevo

Yearly % profit charts in Amibroker

This is something for system testers.

There is a really nice bit of code at the AmiBroker Knowledge Base



The chart above was produced in Amibroker. The Knowldege Base explains a bit about it.

Anyone that has been reading this blog might realise that I was successful at the auction I went to a couple of weeks ago - see the weekender picture below.

stevo

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.

regards
stevo