Amibroker AFL Coding - Webinar

Amibroker AFL Coding
Rajandran R
www.marketcalls.in

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 REGISTEREDTRADEMARK OF AMIBROKER.COM.
▪ WE ARE NEITHER ASSOCIATED WITHTHE ABOVETRADEMARK OWNERS
NOR DOWE REPRESENT THEM IN ANY MANNER. WE ARE NOT OFFERING
AMIBROKER PLATFORM FOR SALE ON OURWEBSITE / IN OUR OFFICE.
www.marketcalls.in Customer Support : 09738383344

About Me
▪ Running a Financial Start-up
▪ Author of www.marketcalls.in since Sep 2007
▪ Trading System Designer
▪ SystemTrader & Financial Blogger
▪ More www.marketcalls.in/about

No Subjective Interpretation
▪ NoTrend Lines
▪ No Gann
▪ No Fibonacci
▪ No Elliot wave
▪ NoTrading 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 IQFeed
Interactive Brokers
(Brokerage + Data
feed )
CQG

Why Amibroker?
▪ Ease of Use
▪ High Speed Execution
▪ Supports Autotrading (Symphony Fintech, Interactive Brokers)
▪ CustomTimeframe
▪ MultiTimeframe Support
▪ Backtesting Optimization Walk ForwardTesting
▪ 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 ownTrading System Rules

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

Built-in Identifiers
Identifiers Abbreviation
Open O
High H
Low L
Close C
Volume V
OpenInt OI
Avg

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
| & BitwiseOR BitwiseAND
Symbol Meaning
NOT Logical NOT
AND LogicalAND
OR 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 123 124 121 126 124 129 133 132 135 137
2 High 124 127 125 129 125 129 135 135 137 129
3 Low 120 121 119 120 121 124 130 128 131 127
4 Close 123 126 124 128 125 125 131 130 132 128
5 Volume 8310 3021 5325 2834 1432 5666 7847 555 6749 3456
6 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 SignalArrows */
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 123 124 121 126 124 129 133 132 135 137
2 BeginValue( Open ) 124 124 124 124 124 124 124 124 124 124
3 EndValue( Open ) 132 132 132 132 132 132 132 132 132 132
4 SelectedValue(Open ) 121 121 121 121 121 121 121 121 121 121
5 LastValue( Open ) 137 137 137 137 137 137 137 137 137 137
6 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)
▪ SoundAlert
▪ 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
SwitchingTimeframe
• TimeFrameSet
• TimeFrameRestore
Compress/Expand
• TimeFrameCompress
• TimeFrameExpand
Access DiffTimeframe
• 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
Parameters
Trading
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
SupportTimings – (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/NowTradingTerminal

Recommended Trading Books
Beginners
• Introduction to Amibroker – 2nd Edition – Howard Bandy
• Amibroker User Guide
Intermediate
• QuantitativeTrading Systems – Howard Bandy
• ModellingTrading System Performance – Howard Bandy
Experts
• Mean ReversionTrading Systems – Howard Bandy
• QuantitativeTechnical Analysis – Howard Bandy

AFL Library & Forums
▪ Amibroker Library
www.amibroker.com/library
▪ Marketcalls Library
www.marketcalls.in/library
▪ Wisestocktrader Library
www.wisestocktrader.com
▪ AmibrokerYahoo Groups
▪ Traderji Forum
▪ Inditraders Forum
▪ Marketcalls Community

Questions

ThankYou

Amibroker AFL Coding - Webinar

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Amibroker AFL Coding - Webinar