AmiBroker 5.58.0 BETA Read Me

August 26, 2012 9:52

THIS IS A BETA VERSION OF THE SOFTWARE. EXPECT BUGS !!!

Backup your data files and entire AmiBroker folder first!

INSTALLATION INSTRUCTIONS

IMPORTANT: This archive is update-only. You have to install full version 5.50 first.

Just run the installer and follow the instructions.

Then run AmiBroker. You should see "AmiBroker 5.58.0 BETA" written in the About box.

See CHANGE LOG below for detailed list of changes. Note that only changes that affect end-user directly are listed here. Internal code changes/refactoring is usually not mentioned.

CHANGE LOG

CHANGES FOR VERSION 5.58.0 (as compared to 5.57.1)

DB: Automatic setup and update of stock symbol listing, together with sectors, industries, markets and groups (Tools->Update US symbol list and categories). This is implemented using new #import command and new ASCII importer commands (see below for the details)
UI: custom tools menu - added special internal command #import that allows to import ASCII files from local disk or even from remote (web) sources. In the Tools->Customize, "Tools" page, you can now define custom tool that uses new #import command
Command: #import
Arguments: URL to download data from
Initial dir: path to format definition file
UI: custom tools menu - when an error occurs during launching of external command appropriate error message is displayed (instead of nothing like in old versions)
DB: The support for Industry Classification Benchmark (ICB) category system added (See icb.txt file for definitions)
OLE: Stock object has new property (string): ICB (read/write)
ASCII importer: support for importing sector/industry scheme and assignments by name (new SECTORNAME and INDUSTRYNAME fields in $FORMAT command)
ASCII importer: new command $CLEARSECTORS 1 to wipe existing sector / industry structure.
ASCII importer: new $SORTSECTORS command to sort existing sector/industry structure.
$SORTSECTORS 1 - sort case sensitive, without touching sector/industry == 0 (undefined sector/undefined industry)
$SORTSECTORS 2 - sort case sensitive, all defined sectors/industries
$SORTSECTORS 3 - sort case insensitive, without touching sector/industry == 0 (undefined sector/undefined industry)
$SORTSECTORS 4 - sort case insensitive, all defined sectors/industries
ASCII importer: crash could occur if required numeric arguments for some commands were missing. Fixed.
ASCII importer: added support for ICB import: ICB field added to $FORMAT command and added $ICB command

For example ICB assignments for NYSE can be imported from this site:
http://www.nyse.com/indexes/nyaindex.csv
(to import use this format def)
$FORMAT FullName, Ticker, Skip, ICB, Skip, Skip, Skip, Skip
$SKIPLINES 2
$SEPARATOR ,
$CONT 1
$GROUP 255
$AUTOADD 1
$NOQUOTES 1
ASCII importer: numeric field data may be enclosed in double quotation marks and still properly interpreted as numbers now.
AFL: SetChartOptions did not allow to overwrite miny/maxy in 5.51-5.57. Fixed.
AFL: CategoryGetSymbols, CategoryGetName, CategorySetName, CategoryAddSymbol, CategoryRemoveSymbol, CategoryFind updated to support categoryICB (new constant = 8)
AFL: added InIcb() and IcbID() functions
AFL: Added Status("lastbartimeleftrt") - it works like "lastbartimeleft" but uses the most recent RT stream update time instead of Now(). Also added Status("lastrtupdate") - time of last RT stream update
Depends on RT plugin to deliver correct DateUpdate / TimeUpdate data.
If plugin or date source sends incorrect datetimestamps or does not send DateUpdate/TimeUpdate correctly this function will not operate properly.
Note that most data sources send weird (not current) datetime stamps on weekends. Also IQFeed plugin sends DateUpdate/TimeUpdate only inside regular trading hours
UI: Interval combo box was not updated after changing preferences / intraday / custom interval settings. Fixed.
Analysis: when optimization is stopped, Optimize() returned NON-default value when Status("action")==actionPortfolio in subsequent backtest. Fixed

CHANGES FOR VERSION 5.57.1 (as compared to 5.57.0)

When real-time quotes were streaming interval combo refreshed too often making it hard to enter new interval in 5.57.0. Fixed.
Entering custom interval in the combo did not always work correctly for floating windows in 5.57.0. Fixed.

CHANGES FOR VERSION 5.57.0 (as compared to 5.56.0)

Charts/UI: now there is a new chart interval combo box that allows to either select predefined interval OR simply type ANY interval you want without the need to define it in the preferences
Supported interval codes are:
Y - yearly, Q - quarterly, M - monthly, W - weekly, D - daily, N - day/night,
h - hourly, m -minute (note lowercase m), s - second, T - tick, R - range, V.
D, h, m, s, T, R, V intervals can be preceded by a number. So if you type 15m it means 15 minute chart,
if you type 13T it means 13 tick chart, if you type 200R it means 200R (range) chart.
If you type just a number (x) without the following letter it will treat it as x-minute chart.

Note that while AmiBroker is trying to keep layout files backward compatible, attempt to load the layout that uses 'new' interval that is not present in defined set into *old* (pre-5.57) version will result in this extra interval being replaced by simply daily chart.
Tools->Auto update quotes is now native command (not a 'custom tool' as it was)
This change was caused by the fact that custom tools menu is stored in HKEY_CURRENT_USER registry key that is shared between 32-bit and 64-bit version.
That caused that if both 32-bit and 64-bit versions were installed an unmatching bitness version of AmiQuote could be launched and that in turn
caused problems because in Windows OS 64-bit automation first calls 64-bit server and only in absense of it tries 32-bit. So if both versions were installed
only one was updated properly (the last one installed) using "Auto-update" command.
Having this command native ensures that proper bitness version is launched so 32-bit and 64-bit versions of AmiBroker can be updated with appropriate corresponding versions of AmiQuote.
Default "X grid spacing" changed to 50 (from original 60) pixels
12 hour X grid spacing replaced by 6 hour

CHANGES FOR VERSION 5.56.0 (as compared to 5.55.1)

New Analysis: A new walk-forward summary report that covers all out-of-sample steps
There were significant changes to walk forward testing made to allow summary out-of-sample report.
The most important change is that each subsequent out-of-sample test uses initial equity equal to previous step ending equity.
(Previously it used constant initial equity).
This change is required for proper calculation of all statistics/metrics throughout all sections of out-of-sample test.
Summary report shows the note that built-in metrics correctly represent all out-of-sample steps
but summary custom metrics are composed using user-definable method:
1 first step value, 2 last step value, 3 sum, 4 average, 5 minimum, 6 maximum.

By default summary report shows last step value of custom metrics UNLESS user specifies different combining method in
bo.AddCustomMetrics() call. bo.AddCustomMetrics has now new optional parameter - CombineMethod

bool AddCustomMetric( string Title, variant Value, [optional] variant LongOnlyValue, [optional] variant ShortOnlyValue , [optional] variant DecPlaces = 2, [optional] variant CombineMethod = 2 )

This method adds custom metric to the backtest report, backtest "summary" and optimization result list. Title is a name of the metric to be displayed in the report, Value is the value of the metric, optional arguments LongOnlyValue, ShortOnlyValue allow to provide values for additional long/short-only columns in the backtest report. Last argument DecPlaces controls how many decimal places should be used to display the value.

Supported CombineMethod values are:
1 first step value, - summary report will show the value of custom metric from very first out-of-sample step
2 last step value (default), - summary report will show the value of custom metric from the last out-of-sample step
3 sum, - summary report will show the sum of the values of custom metric from all out of sample steps
4 average, - summary report will show the average of the values of custom metric from all out of sample steps
5 minimum, - summary report will show the smallest value of custom metric from all out of sample steps
6 maximum.- summary report will show the largest value of custom metric from all out of sample steps

Note that certain metrics calculation methods are complex and for example averaging them would not lead to mathematically correct representation of all out of sample test.
Summaries of all built-in metrics are mathematically correct out-of-the-box (i.e. they are *not* averages, but properly calculated metrics using method that is appropriate for given value). This contrasts with custom metrics, because they are user-definable and it is up to the user to select 'combining' method, and still it may happen that none of the available methods is appropriate.
For that reason the report includes the note that explains what user-definable method was used to combine custom metrics.
New Analysis: walk forward procedure now produces detailed reports for every out-of-sample step
Enhanced backtest report: color-coding 'good' and 'bad' values in backtest report
Some of the metrics in the backtest report are color-coded.
Blue means "neutral", Green means "good", Red means "bad"
Metrics that are not colorized are always black
This color coding is of course arbitrary and should be used as guideance only.
Treat 'red' as a warning flag and advice to check the value in detail.
As of now the following metrics are colorized:
Net Profit, Net Profit % - bad < 0, good > 0
Annual Profit %, bad < 0, neutral betwen 0 and 10, good > 10
RAR % bad < 0, good > (10 / Exposure)
Avg. Profit/Loss all trades (Expectancy $) - bad < 0, good > 0
Avg Profit/Loss % all trades (Expectancy %) - bad < 0, good > 0
Max. system % drawdown - bad: dd worse than -30%, neutral: dd between -30 and -10%, good - -10% to 0%
CAR/MaxDD, RAR/MaxDD - bad < 1, neutral between 1 and 2, good > 2
Recovery factor - bad < 1, neutral between 1 and 2, good > 2
Payoff ratio - bad < 1, neutral between 1 and 2, good > 2
Report: a note added to tooltips for Sharpe ratio and UPI metrics telling where user can change risk-free rates for those metrics
Report Explorer 1.0.2 - added alternate row background color
Removed "00:00:00" time in the "date from" in the backtest report / settings page
Param window: clicking on category that had exactly same name as parameter resulted in changing parameter value. Fixed.
Analysis: all custom metrics were treated as numbers (for example got formatted with thousand separator). Now AmiBroker custom metrics of string type are treated as strings and do not get any extra formatting for the display.
Added recommendation to activate multithreading to the performance warning tooltip when multithreading is currently turned OFF.

CHANGES FOR VERSION 5.55.1 (as compared to 5.54.0)

Random characters could appear in list view clipboard copy in 5.55.0. Fixed (5.55.1).
_SECTION_BEGIN/_SECTION_END/_PARAM_VALUES appeared twice in auto-complete listbox. Fixed.
SetOption("PortfolioReportMode", x ) changed exploration columns too. Fixed. (bmg#92)
AFL: new function GetAsyncKeyState( vkey )
GetAsyncKeyState is 100% equivalent of Windows API function of the same name.
See: http://msdn.microsoft.com/en-us/library/windows/desktop/ms646293(v=vs.85).aspx
The function queries current state of keyboard keys (at the time of the call).

vkey is virtual key code to query (see table below).
The function returns 0 if key is NOT pressed and value < 0 ( less than zero) when key is currently pressed.

Example:
Plot( C, "Close", colorRed ); vk_Shift = 16; if( GetAsyncKeyState( vk_Shift ) < 0 ) Title = "Shift is pressed";

Virtual Key codes:

vk_BackSpace = 8;
vk_Tab = 9;
vk_Return = 13;
vk_Shift = 16;
vk_Control = 17;
vk_Alt = 18;
vk_Pause = 19;
vk_CapsLock = 20;
vk_Escape = 27;
vk_Space = 32;
vk_PageUp = 33;
vk_PageDown = 34;
vk_End = 35;
vk_Home = 36;
vk_Left = 37;
vk_Up = 38;
vk_Right = 39;
vk_Down = 40;
vk_PrintScreen = 44;
vk_Insert = 45;
vk_Delete = 46;

/* NOTE: vk_0..vk_9 vk_A.. vk_Z match regular ASCII codes for digits and A-Z letters */

vk_0 = 48;
vk_1 = 49;
vk_2 = 50;
vk_3 = 51;
vk_4 = 52;
vk_5 = 53;
vk_6 = 54;
vk_7 = 55;
vk_8 = 56;
vk_9 = 57;
vk_A = 65;
vk_B = 66;
vk_C = 67;
vk_D = 68;
vk_E = 69;
vk_F = 70;
vk_G = 71;
vk_H = 72;
vk_I = 73;
vk_J = 74;
vk_K = 75;
vk_L = 76;
vk_M = 77;
vk_N = 78;
vk_O = 79;
vk_P = 80;
vk_Q = 81;
vk_R = 82;
vk_S = 83;
vk_T = 84;
vk_U = 85;
vk_V = 86;
vk_W = 87;
vk_X = 88;
vk_Y = 89;
vk_Z = 90;

vk_LWin = 91;
vk_RWin = 92;
vk_Apps = 93;
/* numerical key pad */
vk_NumPad0 = 96;
vk_NumPad1 = 97;
vk_NumPad2 = 98;
vk_NumPad3 = 99;
vk_NumPad4 = 100;
vk_NumPad5 = 101;
vk_NumPad6 = 102;
vk_NumPad7 = 103;
vk_NumPad8 = 104;
vk_NumPad9 = 105;
vk_Multiply = 106;
vk_Add = 107;
vk_Subtract = 109;
vk_Decimal = 110;
vk_Divide = 111;
/* function keys */
vk_F1 = 112;
vk_F2 = 113;
vk_F3 = 114;
vk_F4 = 115;
vk_F5 = 116;
vk_F6 = 117;
vk_F7 = 118;
vk_F8 = 119;
vk_F9 = 120;
vk_F10 = 121;
vk_F11 = 122;
vk_F12 = 123;
vk_F13 = 124;
vk_F14 = 125;
vk_F15 = 126;
vk_F16 = 127;

vk_NumLock = 144;
vk_ScrollLock = 145;
vk_LShift = 160;
vk_RShift = 161;
vk_LControl = 162;
vk_RControl = 163;
vk_LAlt = 164;
vk_RAlt = 165;
vk_SemiColon = 186;
vk_Equals = 187;
vk_Comma = 188;
vk_UnderScore = 189;
vk_Period = 190;
vk_Slash = 191;
vk_BackSlash = 220;
vk_RightBrace = 221;
vk_LeftBrace = 219;
vk_Apostrophe = 222;
AFL: Status() function supports new fields "lastbarend", "lastbartimeleft", "timeshift"
Status("lastbarend") returns DateTime of the end of last bar. For example 5 -minute bar at 9:00 will have end time of 9:04:59 (works for time-based bars only)
Status("timeshift") returns database timeshift expressed in seconds
Status("lastbartimeleft") returns number of seconds to the completion of current last bar. Works for time-based bars only. Note that for proper operation this requires database timeshift to be set properly (so dates displayed on chart match your local computer time zone).
List view clipboard copy now uses regional settings decimal separator.
You can turn it off and revert to "always dot" decimal separator by creating registry key
HKEY_CURRENT_USER\TJP\Broker\Settings
DWORD value "UseLocaleForClipboard" = 0
Charting: added left- and right extend option to the rectagle drawing tool
List view date column sort was incorrect when regional settings time format was set to: H:mm:ss. Fixed.
When multithreading in charts was turned OFF, drawing tools did not work properly in 5.53-5.54. Fixed.
XYChartAddPoint does not generate error anymore when Null values are passed as X, Y co-ords. Instead it silently ignores such points (they are not plotted) and XYChartAddPoint returns FALSE (0)
AFL: new function StaticVarInfo( "varname", "field" )
StaticVarInfo( "varname", "field") - provides information about static variables
" varname" - is a variable name. It can be also a wildcard template such as "myvariable*" and then it means that AmiBroker will search for all variables beginning with
" myvariable". * character matches any string, ? matches any single character
Supported "field" values are:
" list" - returns the list of static variables
" memory" - returns memory usage in bytes (not including memory used for variable name itself)
" totalmemory" - returns memory usage in bytes (including memory used for variable name)

Example:

StaticVarSet("my_array1", Close ); StaticVarSet("my_array2", Close ); StaticVarSet("my_scalar", 12 ); StaticVarSetText("my_text", "Text123456" ); "All variables in memory: " + StaticVarInfo( "*", "list" ); " Total static var memory: " + StaticVarInfo( "*", "totalmemory"); " Only my_ variables: " + StaticVarInfo( "my_*", "list" ); " Memory 2 arrays (bytes): " + StaticVarInfo( "my_array*", "memory" ); " Memory scalar (bytes): " + StaticVarInfo( "my_scalar", "memory" ); " Memory text (bytes): " + StaticVarInfo( "my_text", "memory" );

CHANGES FOR VERSION 5.54.0 (as compared to 5.53.1)

New Analysis: "Sync chart on select" did not respect linked charts and symbol lock. Fixed.
AFL: new function XYChartSetAxis( "chartname", "x-axis name", "y-axis name" )
AFL: new function XYChartAddPoint( "chartname", "text", x, y, color )
New Analysis: Implemented XY (scatter) charts in Explorations
Example:

// XY chart coding example // This formula generates 2 X-Y scatter charts that display relationship between // final trade profit and MFE and MAE Buy = Cross( MACD(), Signal()); Sell = Cross( Signal(), MACD() ); Short = False; Cover = False; Eq = Equity( 1 ); // single-security equity this evaluates stops (if you use them) and removes extra signals Entry = Buy OR Short; EqAtEntry = ValueWhen( Entry, Eq ); Profit = 100 * ( Eq - EqAtEntry ) / EqAtEntry; // percent profit // MAE and MFE below use CLOSING equity, MAE and MFE in the report use high/low price MAE = 100 * ( LowestSince( Entry, Eq ) - EqAtEntry ) / EqAtEntry; // percent MAE MFE = 100 * ( HighestSince( Entry, Eq ) - EqAtEntry ) / EqAtEntry; // percent MAE bi = BarIndex(); Len = bi - ValueWhen( Entry, bi ); EntryPrice = ValueWhen( Entry, BuyPrice ); // if you prefer MAE/MFE using high/low price // uncomment the lines below (long only Version) MAE = 100 * ( LowestSince( Entry, Low ) - EntryPrice ) / EntryPrice ; // percent MAE using low MFE = 100 * ( HighestSince( Entry, High ) - EntryPrice ) / EntryPrice ; // percent MAE using high Exit = Sell OR Cover; dt = DateTime(); Clr = ColorHSB( Status("stocknum"), 255, 255 ); for( bar = 0; bar < BarCount; bar++ ) { if( Exit[ bar ] ) { // item text consists of two parts // first part (before \t) is a item name displayed immediatelly on XY chart // second part (after \t) is a tooltip hint text that is displayed in the tooltip // when you hover on given item // here we will only use hint text HintText = "\t" + Name()+"@"+ DateTimeToStr( dt[ bar ] ); XYChartAddPoint( "Profit vs MAE", HintText, MAE[ bar ], Profit[ bar ],Clr ); XYChartAddPoint( "Profit vs MFE", HintText, MFE[ bar ], Profit[ bar ], Clr ); XYChartAddPoint( "Profit vs trade length", HintText, Len[ bar ], Profit[ bar ], Clr ); } } XYChartSetAxis( "Profit vs MAE", "[MAE]", "[Profit]" ); XYChartSetAxis( "Profit vs MFE", "[MFE]", "[Profit]" ); XYChartSetAxis( "Profit vs trade length", "[Length]", "[Profit]" ); Filter = Exit; AddColumn( Eq, "Equity" ); AddColumn( Profit, "Profit" ); AddColumn( MAE, "MAE" ); AddColumn( MFE, "MFE" ); AddColumn( Len, "trade length" );
{{INTERVAL}} gave incorrect (unstable) results in custom n-tick/n-range/n-volume charts when used with multithreading. Fixed.
Interval(2) returned incorrect (unstable) results in custom n-tick/n-range/n-volume charts when used with multithreading. Fixed.
Preferences: Currency page was not working properly. Fixed.
Status bar look matches now appearance settings (esp. visible in VS2012 style)
Parameter window now allows to select combined styles (like styleHidden) as well as their components styleNoRescale+styleNoDraw independently
User setting for minimum pixel spacing in X grid (Tools->Preferences, "Axes / Grids") - it is recommended to keep it at default value (60 pixels), for denser grid use less spacing (minimum 30 pixels), for wider grid use more x spacing (maximum 120 pixels)
Sometimes panes did not refresh to final size when chart sheets are switched (for example - one tab has only one pane second tab has two panes). Fixed.

CHANGES FOR VERSION 5.53.1 (as compared to 5.53.0)

Trend lines and other drawing tools sometimes were blinking or disappeared in 5.53.0. Fixed
Plots with styleDashed mixed with plots using other styles could cause continuous growth of rendering time in 5.52/5.53. Fixed.

CHANGES FOR VERSION 5.53.0 (as compared to 5.52.0)

Triangle drawing tool now supports filled interiors
Vertical selector line was flicerking with RT update when more than one chart window was open. Fixed
SetChartGradientFill renamed to SetGradientFill
SetGradientFill now has 2 more arguments: baseline and baselinecolor. Allows reverse gradient chart (such as underwater equity) and 3 color gradients top->baseline->bottom
Added 2-year and 5-year x grid spacing
Gradient chart sometimes disappeared when null values were in the data set and chart was zoomed out to the maximum. Fixed.
GUI: Preferences dialog adjustments (moved "bold" checkbox in color page, removed obsolete "show vertical line" boxes in charting page, moved candlestick outline color settings from charting to color page )
styleClipMinMax interferred with styleGradient in 5.52.0. Fixed (both styles can now be used independently as well as combined together)

CHANGES FOR VERSION 5.52.0 (as compared to 5.51.2)

Chart themes implemented, featuring new look, new grid settings, new background gradient fills, predefined themes for more details see: http://www.amibroker.com/guide/h_themes.html
Charts: X-axis algorithm rewritten (now it is clearer and prevents overcrowded/unreadable X labels)
Charts: added native gradient area charts. Gradient chart is obtained using styleGradient. Upper gradient color is specified by color parameter in Plot() function, bottom gradient color is either background color or can be defined using SetChartGradientFill function. styleGradient can be combined with styleLine

Example
SetChartGradientFill( colorLightOrange, colorPaleGreen ); Plot( C, "Close", ColorBlend( colorPaleGreen, colorBlack ), styleGradient | styleLine, Null, Null, 0, -1 );
Charts: Plot/PlotForeign/PlotOHLC now adds extra parameter "width" that controls the width of the line. Positive values specify PIXEL width, negative values specify width in percent of current bar width. So for example -20 will give you dynamic width that is 20% of bar width. Example:
Plot( C, "Close", colorBlack, styleBar, Null, Null, 0, 1, -20 /* line width as percent of bar */ );
Eliminated build-up of rendering times caused by growing of MFC temporary GDI object maps in non-UI threads. Now rendering engine uses direct WINAPI calls without MFC
View->Filtering menu was disabled in 5.51.x. Fixed
Data window was not working in 5.51.x. Fixed
" Show middle lines" = "NO" causes date axis to be moved down outside visible area. Fixed.
Selector line was not working correctly in 5.51. Fixed.
Bold dotted trendline did not work in 5.51 BETA. Fixed
AFL: LinearReg/LinRegSlope/LinRegIntercept/TSF/StdError display proper error message when user passes negative (wrong) parameter
Study tooltip information now includes also number of bars between start and end of the trendline
New Analysis: saving last column layout works better
Account manager: Edit->Undo menu was missing. Fixed.
GetFnData() now supports retrieving "Address" field too
On Win98 and above drawing engine uses DC_PEN/DC_BRUSH for speed
Optimize() reduced possibility of IEEE floating point accumulation errors with steps < 1 (such as 0.01)
PlotShapes() does not plot multiple times in same x/y pos anymore - it results in faster rendering when shapes overlap (large zoom outs)

CHANGES FOR VERSION 5.51.2 (as compared to 5.51.1)

PlotShapes() rendering was slower in 5.51 than in 5.50. Fixed.
Interpretation was blank with new rendering engine. Fixed.
Charts: Quick AFL was disabled in new rendering engine causing slowdowns with > 100K bars. Fixed

CHANGES FOR VERSION 5.51.1 (as compared to 5.51.0)

fix for low-level Gfx* functions causing crash when multithreaded GDI was enabled

CHANGES FOR VERSION 5.51.0 (as compared to 5.50.5)

Charts: Multithreaded GDI implemented for super-smooth UI response and preventing GDI-intensive charts from detoriating entire UI responsiveness
Maximum rendering time limit increased to 1000ms (1sec) when multithreaded charts + GDI are enabled (allowing 2 times more complex plots without Warning 901)
64-bit only: eSignal plugin - first BETA version of 64-bit eSignal plugin (3.0.0)

HOW TO REPORT BUGS

If you experience any problem with this beta version please send detailed description of the problem (especially the steps needed to reproduce it) to support at amibroker.com