Ultimate Algorithmic Trading System

shortMav = MA(C,avgLen1);
longMav = MA(C,avgLen2);
Buy = Cross(shortMav,longMav);
Short = Cross(longMav,shortMav);
Sell = Short;
Cover = Buy;
■ Syntax
To save some typing, I copied the code from MyFirstAlgo and made the necessary
changes. This is the code for a double moving average system where you buy when
the short (fast) moving average crosses above long (slow) moving average and you
short when the fast moving average crosses below the slow moving average. The
beauty of AmiBroker’s AFL is it reads almost like English. After you check the AFL
andsendittoanAnalysis window, go back to AmiBroker. Instead of clicking on
the Backtest button, click the Optimize button. AmiBroker will now optimize
the fast length from 9 to 49 and the slow length from 19 to 99 and report the
results from each iteration. This might take a few seconds. When the optimization
has completed, click on the down arrow beside the Optimize button and select
3D Optimization chart. A chart like the one in Figure 4.13 will appear on
your screen.
This is the result of the optimization where the x-axis and y-axis are the varying
lengths of the moving averages and the z-axis is the net profit. You can also see the
water level; this represents where the profit is equal to zero. Hopefully, most of
your mountains are above this level. This 3D chart only works on a two-parameter
optimization.
You may want to play around with some of the other icons and familiarize yourself
with their functions. AmiBroker is very sophisticated, and it took me several hours
to become somewhat comfortable with the charting, reports, and applying trading
and indicator algorithms. Again, I refer you to the excellent online manual, the
AmiBroker forums, and of course, Bandy’s book.
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INTRODUCTION TO AMIBROKER’S AFL
The AmiBroker Function Language is very powerful, and, once you grasp the
array-processing paradigm, quite easy to use. In some programming languages you
have to declare variables and sometimes their types before you can use them. This
is not so for the AFL. However, when you create a variable know that it is an array
or list and not just a single memory location. Because of this, you can’t do this:
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