Ultimate Algorithmic Trading System

However, this is not the case. The code inside the average function consists of a
loop and is called on each and every bar.
If you have a lot of experience with scalar programming (Java, C++, or
EasyLanguage), then picking up AFL might require a little patience, but it will
definitely be worth it. As you know, learning a new programming script/language is
best performed by working through examples. If you own AmiBroker, make sure you
go to this link and download Howard Bandy’s book: http://introductiontoamibroker
.com/book.html. This book will get you up and going very quickly. Bandy helps
explain the sophisticated database management that you get with AmiBroker. Data
is to a trading algorithm like gas is to an automobile.
■ AFL Array Programming
Here is a simple moving average crossover system in AFL:
PositionSize = MarginDeposit = 1;
avgLen = Optimize("Len",20,10,100,1);
avgLen = Param("Length",81,10,100,1);
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INTRODUCTION TO AMIBROKER’S AFL
Buy = C > MA(C,avgLen);
Short = C < MA(C,avgLen);
Sell = Short;
Cover = Buy;
For right now, ignore lines 2 and 3—the ones starting with the word avgLen. If
you are testing futures data, then don’t forget the first line must be in every trading
algorithm. This tells AmiBroker’s backtester to only trade one contract and sets
the margin deposit to one as well. The variable avgLen is the length of the moving
average indicator the algorithm will utilize. Let’s set it to 100.
Buy = C > MA(C,avgLen);
This line of code tells AmiBroker to set the BUY array to true or 1 if the close is
greater than the 100-day moving average of closes. If the test fails and the close is
not greater than the moving average, then it is set to false or 0. Since we are array
processing, this done all at one time. The BUY array is filled completely up with
either 1s or 0s. The SHORT array does just the opposite—true if the close is less than
the 100-day moving average and false if it’s not. This system simply flips back and
forth between long and short positions—it’s always in the market. If you use Buy
and Short arrays to initiate positions, then you must have values for the Sell and
Cover arrays. If you only use Buy, then you only need a value for Sell. This applies
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