I play around with Amibroker a little and want to go deeper with backtesting. Here I don't need the tick chart or live quote. Do you think AB Standard Edition is good enough for End of Day Database?
The cost difference is negligible ($60) and the Pro version gives you lots of multithreading and 64 bit capability. If you are using large data sets you'll want both of these. You'll spend more on data than the software - it's a bargain.
https://www.amibroker.com/guide/versions.html Theirs a comparison I found of the two. When I bought it I got the Ultimate Pack which in hindsight wasn't required lol.(AFL Wizard is pretty useless as the stuff it's capable of doing are ridiculously easy to code yourself). The benefit of the professional version to me are as jharmon mentioned, the multi threading capabilities and the use of real time data plugins for myself. From my understanding Amibroker will process each ticker with its own thread. So if your processor has 32 threads, you'll be able to process 32 tickers at once when using something like the analysis window(backtesting, optimizing, scanning, etc). The non pro has a limit of 2 threads. Their is a package to upgrade from standard to pro for 119$ as long as your at same version, but that would end up being 60$ more then just buying the professional at time of purchase. Also another question to ask someone would be what the limitations of Amiquote unless a registration key is used. I did buy the ultimate pack which it included but I'm not sure what the registration actually allows. I did some quick internet search and it looks like their is a symbol limit with unregistered Amiquote but not sure exactly. I haven't used Amiquote since I'm uisng IQFeed as a data provider. If your looking for good EOD U.S stock data and are fine with EOD downloads, I'd shoot an e-mail to Norgate Premium Data. From what I've seen they got a great plugin breaking everything into their sectors and industries. If your a subscriber they also have a Alpha test group for their Historical Constituent filter which I haven't seen anyone offer anywhere else. Examples below of how simple it is to use historical index constituents. inIndex = IsIndexConstituent(“$SPX”); // test for in SP500 inIndex = IsIndexConstituent(“$RUA”); // test for in R3000
Thanks for your insights, Metamega. BTW, how do you learn to code the AFL? Do you know a good place to learn AFL coding?
I've been slacking in the old AFL education lol. I would consider myself above novice in what I know. I manage to get by with the models and ideas I have to backtest or explore. I would think the issue with learning AFL, like any coding language is expressing ideas into a language a computer can understand. I can throw some snippets of websites I've viewed, usually I get ideas or learn something. 1. The Manual - I browse through this from time to time and learn something new each time. It's updated regularly with each new update with examples of new functions, etc. Tomasz does a pretty awesome job at documenting everything. 2.http://www.asxmarketwatch.com/2012/06/lets-learn-amibroker-how-to-make-a-watchlist/ Pretty good list of basic videos. If your completely new to AFL you'll pick some stuff out of there. 3. http://www.blueowlpress.com/123-2/introduction-to-amibroker Howard Bandy's free pdf there. 4.http://www.marketcalls.in/category/amibroker I've browsed there a few times. One of the best ways I learn is breaking down others AFL or trying to modify them. 5 and 6. My personal favorites http://www.amibroker.com/kb/toc/ The knowledge base is filled with stuff to get you going. http://www.amibroker.org/userkb/ The user's knowledge base was replaced with the Yahoo Amibroker Group(link below), really good articles here from some of the members. https://groups.yahoo.com/neo/groups/amibroker/info 7.http://amibrokerforum.proboards.com/thread/2/existing-official-3rd-party-tutorials Fxshrat has put together here a good list of existing turorials out there. I'd recommend the "Looping in AFL" pdf and "Introduction to ATC" pdf. The members area has years of Tomasz's AFL he wrote for Stocks and Commodities Trader tips. Also the yahoo group is a good place to find answers. If you have a question and an example of an AFL your trying to get to work, someone will usually chime in with some help. The posts that are titled " Code my idea for me" never get answered, but if you have something to start with someone will generally offer an idea or suggestion. As far as Amibroker I really enjoy it, it's as simple or complex as you want to make it. Some of the guys with coding experience can really make it sing. I can't see myself ever running into limitations of the software. Fxshrat post some interesting videos here in this link. If you've used Amibroker for awhile you can appreciate the work put into these AFL's. Imagination and skill allow for some interesting ideas. I think the video in reply #2 is quite unique.(quote below from the post) "I am working on a project right now that uses AB as a general purpose (non-stock) language to animate the drawing of a mechanical device and graph its performance. It shows the mechanical positions of a hydro-pneumatic cylinder with different configurations that are parameterized with the sliders in the properties window.
Again, thanks for a great post, Metamega. I have visited some sites in your post, but there are great ones that are worth checking out. Again, thanks for taking time writing such a great one.
I backtest on the Russell 3000 historical constituents - over 10000 securities - this takes a few GB of RAM. With AB Pro's 64 bit capabilities, this keeps everything in a RAM cache, making subsequent backtests very quick. I subscribe to Norgate like Metamega for those constituents.
I personally use IQfeed for realtime and historical eod and intraday. However Norgate premium data is highly recommended. What is unique about them is their beta they offer for Amibroker if your a monthly subscriber. The historical index constituent beta is something I haven't been able to find for a decent price. Say you wanted to test your strategy on the S&P index over the past 10 year, their beta for Amibroker allows you to access the historical constituents by simply adding the AFL I examples above. So as it iterates each bar, it will make sure it was part of the index at that bar. This is important for sirvivorship bias. They also have delisted stock data you can buy for a one time fee. This is also important for sirvivorship bias. As far as the reviews I've read and what I've seen, it's a pretty complete EOD data set for a reasonable cost.