Transcript Using High-frequency market data for better trading

AmiBroker 4.90
new features overview
by Tomasz Janeczko, Amibroker.com
AmiBroker 4.90 key
improvements:
new Fundamental Data support
new Web Research window
new Account Manager
new Bar Replay tool
new AFL functions (Text-To-Speech, FFT
and others)
enhanced functionality in almost every
area
Fundamental data support
 new fundamental data fields in the
Information window
 automatic download from free Yahoo
Finance site
 access to fundamental data from AFL level
Fundamental data: new
fields
32 new fundamental (editable) data fields
in the Information window
5 calculated fields (most popular stats:
P/E, P/BV, P/S, P/CF, DY)
current values only (no history)
Fundamental data:
automatic download
Yahoo Fundamental - Basic data
source (free basic fundamental data, 200
symbols in one request): PS (ttm)
EPS Est Current Year, EPS Est Next Year,
EPS Est Next Quarter, PEG Ratio, Book
Value, EBITDA, Sales Revenue, Dividend
Pay date, Ex Dividend date, Dividend Per
Share, 1yr Target Price, Shares Float,
Shares Outstanding
Fundamental data:
automatic download (2)
Yahoo Fundamental - Extra data
source (extended fundamental data, 1
symbol in one request): Forward P/E, PEG
Ratio, Profit Margin, Operating Margin,
RoA, RoE, Rev. (ttm), Qtrly Rev. Growth,
Gross Profit, EBITDA, (Diluted) EPS, Qtrly
Earn. Growth, BV, Op. CF, Free CF, Beta,
Shares Out., Float, % Held by Insiders, %
Held by Institutions, Shares Short,
Forward Annual Dividend Rate, Trailing
Fundamentals: access
from AFL level
GetFnData("field")
where "field" is any of the following
fundamental data field supported.
AddColumn( Close / GetFnData( "EPS" ) ,
"Current P/E ratio" );
AddColumn( Close / GetFnData(
"EPSEstNextYear" ) , "Est. Next Year
P/E”);
Fundamentals: other data
sources
ASCII importer (new field definitions)
OLE automation interface (new properties
of Stock object)
More information:
User’s Guide:
Tutorial: Using Fundamental Data
Web Research window
 many pre-defined sites
 user-definable sites
 multiple on-line research windows open
simultaneously
 flexible auto-synchronization options
Web Research: Pre-defined
sites
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Profile
News & Commentary
Analyst opinions
Analyst estimates
SEC fillings
Insider transactions
Major holders
Competition / Industry
Web Research: Navigation
Web Research: userdefinable sites
 Tools->Customize, “Web Pages” tab
Web Research: flexible
auto-sync options
Don't sync - means that page should not be
synchronized with currently selected symbol
Sync active - means that page should be
synchronized ONLY when it is currently active
or becomes active
Sync always - means that page is
synchronized with currently selected symbol
always, no matter if it is active or not.
New Account Manager features
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tracking history of all transactions
tracking open position unrealized profit
tracking account equity history
short and long trades, automatic handling
of scaling in/out
 unlimited number of accounts
 per-account settings/commissions
AM: Creation of new
account
To create new
account use
File -> New
Account
menu or New toolbar
button
AM: Funding
Before you do any
trading, you have to fund
your account. To do so
press "FUNDING" button
on the account manager
toolbar, then select
"Deposit" as operation
type, enter the DATE when
you have funded your
account and enter the
amount.
AM: Settings
AM: Entering trades
AM: Transaction log and
position list
AM: Saving and opening
To save edits made to account use File>Save (or File->Save As to save under
new name).
To open account file, go to File->Open, in
the File dialog, select "Account (*.acx)" from
"Files of type" combo-box, and select the
account file you want to load.
You can create/open multiple accounts at
once (just use File->New->Account, File>Open many times).
Bar Replay tool
 great learning tool (you can use it to
“paper trade” or to get familiar with the
behaviour of any indicator)
 develop and debug automated trading
systems on recorded data
 re-playing all symbols' data at once
 fast scrolling
 user-definable playback speed and
interval
Bar Replay: user interface
Bar Replay: navigation
Rewind - goes to the beginning of the range
Back - goes one step Back
Stop - turns bar replay OFF (chart are not
affected by bar reply)
Pause - pauses current playback or enters
pause mode
Play - plays back bars history
Forward - goes one step Forward
End - goes to the end of selected range
New AFL functions
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Say() - text-to-speech conversion
FFT()
SetChartBkGradientFill()
SetSortColumns()
GetPerformanceCounter()
RequestTimedRefresh()
and few others...
AFL: Say()
 added Text-To-Speech capability via Say()
AFL function. Now AmiBroker can speak out
loud any text.
if( LastValue( Buy ) )
Say(”Buy signal on “ + Name() + “ at “ + Close );
This is controllable from formula level so you
can make it to speak depending on market
conditions, signals generated from your
formula, etc.
AFL:
SetChartBkGradientFill ()
 SetChartBkGradientFill( topcolor, bottomcolor,
titlebkcolor = default )
Enables background gradient color fill in
indicators.
Please note that this is independent from chart
background color (background color fills entire
pane, gradient fill is only for actual chart interior,
so axes area is not affected by gradient fill)
AFL: FFT()
FFT( array, len = 0 )
Performs FFT (Fast Fourier Transform) on
last 'len' bars of the array, if len is set to
zero, then FFT is performed on entire array.
len parameter must be even.
AFL: SetSortColumns
SetSortColumns( col1, col2, .... )
Automatically sort exploration result list.
col1, col2, ... col10 -Column numbers are
ONE-based. Positive number means sort
ASCENDING, negative number means sort
DESCENDING.
AFL: SetSortColumns
examples
// sort by 5th column in ascending order
SetSortColumns( 5 )
// sort by 3rd column in descending order
SetSortColumns( -3 )
// sort by 1st column (asc) AND
// then by 2nd column (desc)
SetSortColumns( 1, -2 );
AFL:
GetPerformanceCounter()
allows high-resolution performance timing
GetPerformanceCounter(True);
for( i = 0; i < 1000; i++ )
{
k = sin( i );
}
elapsed = GetPerformanceCounter();
"Time [ms] = "+elapsed;
Other improvements
 HoldMinDays / EarlyExitDays feature
 'Every tick' chart refresh capability added
(Professional Edition only)
 MDI Tabs added as UI enhancement.
 OLE interface enhancements/additions
 On-line knowledgebase and feedback
center
Summary
New major upgrade of AmiBroker brings some
key new features and improvements
The goal for 2007 is to provide one major
upgrade per quarter, so version 5.00 before
summer, and 5.10 autumn, 5.20 winter.
Future improvements
new formula editor
new Automatic Analysis window
design
Layout sharing
AFL code wizard
Thank You
For more information visit:
http://www.amibroker.com