Ultimate Algorithmic Trading System

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INTRODUCTION TO AMIBROKER’S AFL
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Speed. AmiBroker utilizes multithread processing, which means it can utilize
multicore processors and carry out subprocesses or threads simultaneously. In
other words, it is very fast.
Power. Portfolio-level backtesting is paramount when evaluating the robustness of
a trading algorithm. If an algorithm works on multiple markets, it demonstrates
a high level of robustness. Robustness and positive expectancy is all you can ask
from a trading algorithm. AmiBroker provides Exhaustive Search and Genetic
forms of parameter optimization.
Data. AmiBroker is compatible with many End Of Day(EOD) and Real-Time data
feeds. It includes a very simple to use ASCII data importer.
Broker Integration. Several brokers can be linked with the software for automated
order execution.
Integrated Development Environment. AmiBroker has two IDEs to help the user
develop complete trading algorithms and technical analysis tools. The main IDE
(AFL Editor) is a complete scripting tool and the AFL Code Wizard utilizes a
drag-and-drop development paradigm. Both IDEs utilize the AmiBroker Function
Language (AFL) as their programming/scripting language and a vast library of
strategies, functions, and indicators.
Support. Tomasz Janeczko, the founder and chief software architect of AmiBroker,
holds PhD and MSc degrees in Computer Science and Telecommunications from
Worclaw University of Technology. This developer really loves his software and
stands behind it and provides much of the tech support. There is a devout, almost
cultlike, following for AmiBroker, and many questions can be easily answered by
searching the Internet and/or joining the user groups.
If you have purchased my prior books, you know that I use TradeStation. I love
its tightly integrated components and EasyLanguage. I will discuss TradeStation in
Chapter 7. However, I felt I would be amiss if I didn’t show off a little bit of
AmiBroker. I was first introduced to the software through Howard Bandy’s excellent
book, Quantitative Trading Systems. I have included all of his books in ‘‘George’s List
of Must-Own Trading Books’’ in the appendix. The software that was described in
Bandy’s book really piqued my interest, so I contacted Dr. Janeczko for a review
copy, and he more than graciously provided his complete software suite. I fell in
love with the AFL Wizard and the speed of his backtester. Coming from a bar-by-bar
algorithm development paradigm, I was really impressed and initially confused by
Dr. Janeczko’s array processing. Array processing is extremely fast versus bar-by-bar
and in many cases is easier to learn. What is also very cool about AmiBroker is that
you can flip from array to bar processing quite easily.
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