AmiBroker Custom Backtester Interface
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The document outlines the Amibroker Xtreme Course, focusing on the Custom Backtester Interface (CBI) and its components: high-level reports, mid-level signals, and low-level trades. It discusses the benefits and challenges of custom backtesting, including the importance of managing risk and complexity. Additionally, it provides coding templates for implementing the CBI within Amibroker for effective portfolio backtesting and analysis.
AmiBroker Custom Backtester Interface
- 1. ABXC AmiBroker Xtreme Course Custom Backtester Interface (CBI) 1
- 2. ABXC By ThaiQuants.com AmiBroker treme Course 2
- 3. ABXC 3
- 4. ABXC 4
- 5. ABXC 5 DRAWBACKS • Improper Start & Capital • Unjustified Knowledge • Unqualified Skill • Lack of Experience • Trial and Error Approach • Underestimated Risk • Biases • No quantitative Backtest • No self assessment • …
- 7. ABXC 7 User Friendly Charting with Indicators Portfolio Backtesting Advanced Scanning
- 9. ABXC 9
- 10. ABXC 10 In order to go FAST, you must go Slow.
- 11. ABXC AmiBroker Xtreme Course Standard Backtesting 11
- 13. ABXC 13 Portfolio Metrics Trade List INPUT OUTPUT AFL Code 1. Reports 2. Signals: Score & Size & Equity 3. Trades: Entry & Exit & Stop
- 14. ABXC 14 Portfolio Metrics Trade List 3 4 2 51 BACKTESTING • Run Backtest • Mark/CleanSignals • Buy & Sell • CalculateScore & Size • Process Trades • Update Stats • Handle Stops • Scale Trades • GenerateReport 1. Reports 2. Signals: Score & Size & Equity 3. Trades: Entry & Exit & Stop
- 15. ABXC AmiBroker Xtreme Course Custom Backtester Interface (CBI) 15
- 16. ABXC 16 Portfolio Metrics Trade List 3 4 2 51 BACKTESTING • Run Backtest • Mark/CleanSignals • Buy & Sell • CalculateScore & Size • Process Trades • Update Stats • Handle Stops • Scale Trades • GenerateReport
- 17. ABXC 17 Portfolio Metrics Trade List 3 4 BACKTESTING • Run Backtest • Mark/CleanSignals • Buy & Sell • CalculateScore & Size • Process Trades • Update Stats • Handle Stops • Scale Trades • GenerateReport 51 2
- 18. ABXC What is Custom Backtester Interface? 18 CUSTOM BACKTESTING • Run Backtest • Mark/CleanSignals • Buy & Sell • CalculateScore & Size • Process Trades • Update Stats • Handle Stops • Scale Trades • Generate Report Difficult & Dangerous! Example: • Current Equity = 1,000,000 • Equity = Cash + OpenPositions Equity = 1,200,00;
- 19. ABXC What is Custom Backtester Interface? 19 CUSTOM BACKTESTING • Run Backtest • Mark/CleanSignals • Buy & Sell • CalculateScore & Size • Process Trades • Update Stats • Handle Stops • Scale Trades • Generate Report
- 20. ABXC What is Custom Backtester Interface? 20 CUSTOM BACKTESTING • Run Backtest • Mark/CleanSignals • Buy & Sell • CalculateScore & Size • Process Trades • Update Stats • Handle Stops • Scale Trades • Generate Report To properly manage and control custom backtest Backtester Object, BO
- 21. ABXC 21 5 Portfolio Metrics Trade List ++ Metrics ++ Metrics 1 2 3 4 CUSTOMBACKTESTING • Run Backtest • Mark/CleanSignals • Buy & Sell • CalculateScore & Size • Process Trades • Update Stats • Handle Stops • Scale Trades • Modify/AddReports //Codefor BO bo.Backtest(); bo.AddCustomMetric(); bo.ProcessTradeSignals(); bo.ScaleTrade();
- 22. ABXC What is Custom Backtester Interface? 22 CUSTOM BACKTESTING • Run Backtest • Mark/CleanSignals • Buy & Sell • CalculateScore & Size • Process Trades • Update Stats • Handle Stops • Scale Trades • Generate Report To properly manage and control custom backtest Backtester Object, BO
- 23. ABXC What is Custom Backtester Interface? 23 CUSTOM BACKTESTING • Run Backtest • Mark/CleanSignals • Buy & Sell • CalculateScore & Size • Process Trades • Update Stats • Handle Stops • Scale Trades • Generate Report Difficult & Dangerous!
- 24. ABXC AmiBroker Xtreme Course 3 Levels of CBI 24 Reports
- 25. ABXC 25 To go Higher, you must go Deeper.
- 26. ABXC 26 Portfolio Metrics Trade List INPUT OUTPUT AFL Code 1. Reports 2. Signals: Score & Size & Equity 3. Trades: Entry & Exit & Stop
- 27. ABXC 27 Three Levels of Custom Backtester Interface High-Level CBI: Reports Mid-Level CBI: Signals Low-Level CBI: Trades Reports
- 28. ABXC 28 Application of 3-Level CBI High-Level CBI: Reports (BT Results) • Portfolio Metrics • Trade Metrics Mid-Level CBI: Signals • Reject signals Low-Level CBI: Trades • Manage Trades and Stops Reports
- 29. ABXC Example of High-Level CBI: Reports 29 High Level CBI +Mid Level CBI
- 30. ABXC Example of Mid-Level CBI: Signals 30 Reject Signals
- 31. ABXC Example of Low-Level CBI: Trades 31 Scale out trades
- 32. ABXC 32 Application of 3-Level CBI High-Level CBI: Reports (BT Results) • Portfolio Metrics: Expectancy, SQN, Drawdown Period, … • Trade Metrics: R-Multiples Mid-Level CBI: Signals • Reject signals, or Change position size • Control risk from signals and open positions Low-Level CBI: Trades • Manage Trades: Enter, Exit, and Stop • Scale trades: Scale In & Out Reports
- 33. ABXC 33 Application of 3-Level CBI High-Level CBI: Reports Mid-Level CBI: Signals Low-Level CBI: Trades Reports
- 34. ABXC Cautions about Custom Backtester Interface •Requiring more coding skill •Harder to debug •Error prone and might be misunderstood •Time-consuming Backtesting •Complex Calculation: Risks & Scale In/Out •The more complicated the Code, the harder the Trades (Real Execution) •Difficult to Monitor: positions, stops, and portfolio 34
- 35. ABXC AmiBroker Xtreme Course AmiBroker’s 2-Phrase Backtesting 35
- 36. ABXC AmiBroker’s 2-Phrase Backtesting 36 1.1 Collect raw signals 1.2 Clean signals 1.3 Update Equity & Stats 1.4 Calculate Position Score & Size 2.1 Analyze Score & Size “Bar by Bar” 2.2 Trade Signals (Entries & Exits) 2.3 Handle Stops 2.4 Update Stats MaxOpenPositions = 2 PHRASE1PHRASE2
- 38. ABXC High-Level CBI: Reports 38 Reports//Code calculating new metrics bo.AddCustomMetric();bo.Backtest() PHRASE1PHRASE2
- 39. ABXC Mid-Level CBI: Signals 39 bo.PreProcess()bo.PostProcess() //Code Modifying Signals bo.ProcessTradeSignals(); Phase 1 1.1 Collect raw signals 1.2 Clean signals 1.3 Update Equity & Stats 1.4 Calculate Position Score & Size Phase 2 2.1 Analyze Score & Size “Bar by Bar” 2.2 Trade Signals (Entries& Exits) 2.3 Handle Stops 2.4 Update Stats PHRASE1PHRASE2
- 40. ABXC Comparison between HL & ML CBI 40 Reports //Code calculating new metrics bo.AddCustomMetric();bo.Backtest() bo.PreProcess()bo.PostProcess() //Code Modifying Signals bo.ProcessTradeSignals(); PHRASE1PHRASE2
- 41. ABXC Low-Level CBI: Trades 41 bo.PreProcess()bo.PostProcess() //Code Executing Trades! bo.EnterTrade(); bo.ExitTrade(); bo.ScaleTrade(); bo.HandleStops(); bo.UpdateStats(); PHRASE1PHRASE2
- 42. ABXC AmiBroker Xtreme Course Simplified CBI Code Templates 42
- 43. ABXC bo.Backtest(); bo.GetPerformanceStats(); bo.AddCustomMetric(); 43 bo.PreProcess(); .PosSize .PosScore bo.ProcessTradeSignals(); bo.PostProcess(); bo.PreProcess(); bo.EnterTrade(); bo.ExitTrade(); bo.HandleStops(); bo.ScaleTrade(); bo.UpdateStats(); bo.PostProcess(); bo = GetBacktesterObject(); Reports HL CBI Reports ML CBI Signals LL CBI Trades
- 44. ABXC bo.PreProcess(); .PosSize .PosScore bo.ProcessTradeSignals(); bo.PostProcess(); bo.Backtest(); bo.GetPerformanceStats(); bo.AddCustomMetric(); 44 bo.PreProcess(); bo.EnterTrade(); bo.ExitTrade(); bo.HandleStops(); bo.ScaleTrade(); bo.UpdateStats(); bo.PostProcess(); FOR-LOOPS (minimum) Reports HL CBI Reports ML CBI Signals LL CBI Trades For-loop Bar For-loop Signals For-loop Bar For-loop Signals For-loop OpenPositions
- 45. ABXC 45 Yeah! That’s pretty much about the Concepts. Now. Let’s CODE!
- 46. ABXC AmiBroker Xtreme Course High-Level CBI: Reports 46 Reports
- 47. ABXC AmiBroker Xtreme Course Mid-Level CBI: Signals 47
- 48. ABXC AmiBroker Xtreme Course Low-Level CBI: Trades 48