Amibroker

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1

Does anyone have any experience with Amibroker? I have looked at this product every now and then, but have never actually used it.

Two big shortcomings with P123 are the lack of short-selling support, and the lack of advanced money management (e.g. not having models that will allow scaling into positions). Does Amibroker handle both of these aspects adequately? Thanks in advance.

Brian

2

I have used Amibroker for years.

Oriented towards people with some programming experience. Given that - it’s one of the best combo tools (charting and backtesting) out there.

Good customer service and community.

3

Amibroker is a GREAT program.

I have also used it on and off for years. I wouldn’t say you need programming experience to us it but it would help of course.

You can program any trading system you want, including Stops and Profit Targets, Money Management, Short systems, you name it. Great charting too. The learning curve is a bit steeper than P123.

It also lacks the fundamental data though that P123 has.

Cheers,

Wern

4

Lawrence,

Thanks for the reply. I’ve heard only good things about it, so I’m seriously considering it.

Wern,

Thanks! Good point about the lack of fundamentals. I guess it’s hard to find the perfect product that satisfies all of your needs.

Brian

5

Brian:

Amibroker’s developer reminds me a lot of P123’s Marco. Both produce top notch products at prices the average part-time trader can afford. Both take the time to interact with users via discussion groups. Both are very responsive to improvements suggested by users. And both have created very helpful user communities. Like P123, Amibroker is a great program.

I used to use Amibroker a lot a few years ago when I was doing purely TA strategies. Amibroker is absolutely superb for backtesting TA ideas.

However, you can not back test strategies that use fundamental data. The limitation is not Amibroker itself, but the lack of historical fundamental data in a form that Amibroker can use.

Amibroker can assess the fundamental data provided by Q2Plus, but Q2Plus fundamental data is more or less just current numbers. You could use Amibroker with Q2Plus fundamental data to get live trade signals for fundamental strategies – but you would have to use a program like P123 to back test the ideas to know if they will work.

Since using P123’s combination of fundamental and TA data, I have been getting better results with less work than when I just used TA alone. Thus, I currently use P123 a lot more than Amibroker.

I still keep installing the Amibroker updates, but I don’t use it all that much right now.

Brian

6

Brian,

Thanks for the info. I would like to stay completely with P123, but the inability to use shorting systems is getting to be a big negative for me. So I’m looking elsewhere for something that fits the bill.

If we could just be able to manually plug actual short trades into live ports, that would at least be an improvement.

Brian

7

BJS:

I am not in a big rush to have shorting abilities in P123. When it comes, I will test out some shorting ideas, but based on my past experience and the observation of a hedge fund pro (see below), I do not expect to find a short system that meets my standards.

I like the idea of shorting to hedge my long positions but I have never been able to find a method that I could live with. My standards for shorting strategies are rather high. I do not want to give up a lot of annual profit. Ideally I want a short strategy that is as profitable as my long strategies. However, the short strategies I have seen give 1/3 to 1/5 of the profits that long strategies do. It only takes 3 or 4 years before a long only account has generated a lot of extra profit over a combo account that has both long and short positions. That extra profit could be viewed as a cushion that makes a short hedge redundant.

A partner in a hedge fund once told me that it is difficult to find a shorting method that works consistently. His observation was that shorting strategies are rather transitory: one year the market dislike stocks with high debt, the next year it is stocks with no earnings, the next year it is stocks that are over extended, the next year it is something else again.

Another problem with using short strategies as a hedge is that sometimes the market rotates in such a way that both short and long strategies may loose money at the same time. Ugly. This dislocation might only last a few days or a few weeks, but it can be very painful.

My current method of providing a hedge is to buy PUTs on the SPY or IWM. That lets the vast majority of my money go after the higher proftis of long only strategies.

Brian (o806)

8

Brian,

How much %-wise of your long positions do you hedge with PUTs, and how much does this cost you %-wise on an annual basis? Also, what kind of drawdown do you expect from this system?

I ask because developing a short system that just breakseven will significantly smooth out your equity curve and NOT reduce annual returns. I currently run 100% long with 50% Short in one of my accounts. The LONGS are considered collateral for the SHORTS at least by Interactivebrokers so there is no significant interest exepense here.

9

I am not worried by typical dips of 10% to 25% which come along every 1 to 2 years. What I worry about is a 50% overnight crash due to terrorism. I am willing to spend about 1/4% of capital per month (3%/year) for this crash insurance. That will usually get me PUTs that are 7% to 20% out of the money. Usually 1 month PUTs are the cheapest when annualized, but sometimes a 3 month or 6 month PUT is an equally cheap buy.

Back testing suggests this PUT protection is break even over several years, assuming I can get the 10% out of the money PUTs for 1/4% a month (not always possible). The one pain in this system is that occasionally PUT cost skyrocket which forces one to pay a lot more or reduce protection. It is not a perfect system.

I wonder if you are avoiding the interest expense by increasing your hidden risk. It might not happen for 3 or 5 years, but at sometime you risk a internal market rotation that will cause your longs and shorts to loose money AT THE SAME TIME. That will hurt. If the short-term loss is large enough (even just intra day), Interactive Brokers can automatically liquid some or all of your leveraged positions. In IB’s eyes your 100% long + 50% short is leveraged even if you are avoiding interest payments.

The hedge fund pro I mentioned in a previous post had a long/short system that held steady over 911. He actually made a couple 2% that September. I was never shown the details of the system, but in general terms it used a selection process that balanced the long and shorts to protect against internal market rotations. I assume, for example, this meant the portfolio had equal long and shorts when viewed from the following perspectives:

  • market cap (not long on micro caps but short on large caps)
  • industry groups (not long on tech but short on automotive)
  • price (not long on $1-$9 stocks while short on $10+ stocks)
  • etc.

Based on his experience, I do not doubt that it is possible to develop a market neutral strategy using long and shorts. But I did reach the following conclusions:

  • it would be easy to fool myself into thinking I was well hedged only to be wiped out by a never seen before market rotation - (think of the blow up of Long Term Capital developed by Nobel prize winners).
  • attempting to do it right would be a lot more work that I am willing to do.
  • over all gains would be reduced because I would have to give up my most profitable long strategies (the ones that focus on small and micro stocks and include stocks below $10). These would have be given up or at least reduced in size because they would be difficult ir not impossible to hedge by shorting without increase the risk of market rotation.