Ultimate Algorithmic Trading System

This should look very similar to the code we originally typed in for
MySecondAlgo. The AFL Wizard can get you up and running very quickly and
can also be used as a learning tool. It automatically builds the AFL code so you can
start your design with the Wizard and have it generate the framework and then
move onto the AFL Editor and complete your coding of your algorithm there.
■ AmiBroker Loop Programming
As powerful as AmiBroker’s array programming is, there are times when you want to
program on a bar-by-bar basis. Dr. Janeczko has built this capability into his software
as well. With this feature you can program with your precious If constructs. Here
is a familiar algorithm utilizing loops:
PositionSize = MarginDeposit = 1;
mav = MA(C,20);
for( i = 0; i < BarCount; i++ ){
}
if (C[i] >= mav[i]) {
}
Buy[i] = 1;
if (C[i] <= mav[i]) {
}
Sell[i] = 1;
This is the simple price crossing moving average reversal algorithm. The mav
array is set to a 20-day simple moving average of closes. This line of code is still
utilizing array programming. A for loop is then set up so that individual elements
of the different arrays can be examined. The for loop construct in AFL is very
similar to one in the C language. The loop variables are controlled by what is inside
the parentheses.
(i= 0; i < BarCount; i++ )
Here the loop will start at zero and stop at BarCount and the loop variable i will
increment by one each time i++. The i++ is the same as i = i + 1; since we are
not processing arrays, we can now use if constructs. Notice how the comparison of
the C[i] element and the mav[i] element is enclosed in parentheses. If the close is
greater than the 20-bar moving average, then the following code is executed: Buy[i]
= 1; This sets the ith element in the Buy array to one. Also, notice how the curly
brackets {}are used in the code. The curly brackets inform the computer and the
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INTRODUCTION TO AMIBROKER’S AFL
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