Ultimate Algorithmic Trading System

before a single line of code is typed. We have just skimmed the surface of the
capabilities of AmiBroker. It is a very powerful and easy-to-use tool. I learned AFL
while writing this book, and used it for most of the testing in Chapters 2 and 3.
Once you get your futures data into a database and create different portfolios,
testing across the entire portfolio is as simple as clicking on a single button. The
optimization capabilities of AmiBroker are simply mindblowing. You can use a
genetic optimizer to optimize not only a single market but an entire portfolio—just
like I did in Chapter 3. The best way to learn AFL is through examples. Also the
online community is absolutely terrific! I found answers to all my questions online
and I didn’t have to search very far.
Here are some of the codes for the various systems I tested in Chapters 2 and 3:
Code Samples
// Chapter 2 Double Moving Average Cross Over
// with Dollar Stop
Filter = 1;
PositionSize = MarginDeposit = 1;
sl = Param("ShortLen",9,9,100);
il = Param("InterLen",19,19,200);
mmStop = Param("StopDollars",3000,3000,6000);
OptimizerSetEngine("cmae");
Buy = MA(C,sl) > MA(C,il) ;
Short = MA(C,sl)< MA(C,il);
Sell = short;
Cover = buy;
ApplyStop(stopTypeLoss,stopModePoint,mmStop/PointValue,1);
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INTRODUCTION TO AMIBROKER’S AFL
// Chapter 2 Bollinger Band Algorithm
PositionSize = MarginDeposit = 1;
len = Optimize("Len",60,10,80,2);
width = Optimize("Width",2,0.25,3,.25);
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