Mastering Amibroker: Step-by-Step Backtesting Tutorial

We will write our first lines of AFL code and see how to work with files.

Let's write our first backtest just to demonstrate the basic principles and logic.

How to set Profit taker, Stoploss and other backtest configuration

Get familiar with the backtest report - the ultimate tool which tells you how your trading system performs.

Let's code our own custom indicator - Outside bar !

Now let's backtest our indicator in trading simulation!

Let's look at official Amibroker online documentation. It is a resource of vast pool of information and you can find almost anything regarding Amibroker there.

Coding assistants, coding wizards. Just a short preview of these tools, we will not use them fully in this course, but if you find them useful, you can incorporate them in your work.

New custom indicator, which will calculate the highest high of the last x bars. Modifying this easy indicator you can get dozens of other similar indicators on your own.

Another custom indicator, this time a breakout. We define a highest high of a period and then we are waiting for a close, which is higher than this high. In that moment, we are getting a breakout. Very simple piece of code.

Now let's backtest a simple trading system based on the Breakout indicator. This demonstrates the principles of backtesting in a complex way.

Another custom indicator - swing and its breakout. This evolves from the Highest high indicator, as now we need to define a swing formation.

So far we were backtesting a single stock. Now let's backtest a group of stocks - a portfolio backtest.

Import data for free from yahoo.com using an easy Python script, which you can download and run. And modify if you wish - for example add stock symbols you are interested in.

You can use free version as long as you wish, but you will have to import data every time you log into the application. This course can be finished with free version only, no problem, even though full version is recommendable.

Let's see how to read the backtest report and analysis. After we run a backtest and get results, it is good to validate those results - are they true or are they distorted? The least you can do is to take one backtested trade and validate whether it happened according to our rules.

Exrem function, as its name suggests, is removing excessive signals in our backtest. We usually want to react only to the first occurence of the signal and not for the others, as we would be in a position already from the first signal. We will see how to construct the Exrem function in the code. It is nothing difficult, it is just one simple statement.

Other important features which we can set or modify in our backtest. The goal is to shape the backtest in such a way, that is corresponds with trading reality.

A lesson on how to actually trade our constructed trading system in the reality. For this we learn a function called Filter, which tells us which waiting or market orders we are supposed to set for the following trading day.

An improved version of the 'Buy breakout of swing' trading method with the code fully explained and also provided in the resources of this lecture.

The principle and detailed explanation of how Buy limit and strategy based on Buy limit work. We will look at it at a a chart itself and go candle by candle.

So far we have been using Settings to set initial equity, profit target, stop loss etc. Now we will look at how to externalize these settings into the code itself, to make these settings more universal and reusable with every strategy we backtest.

Let the Optimizer run dozens of backtests with various values of your parameters. Excellent tool for fine-tuning your backtest and finding the best values of your variables.