Amibroker – Programming Adaptive Strategies in AmiBroker by Matt Radtke

Matt Radtke – Programming Adaptive Strategies in AmiBroker

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Topic Summary

Session 1

1. Defining Market Regimes
2. Market Regime Functions
3. Regime Assignment
4. Metrics

Session 2

1. Out-of-Sample Testing
2. In-Sample Optimization
3. Evaluation in Excel
4. AFL Updates

Session 3

1. Out-of-Sample (OOS) Optimization
2. Out-of-Sample (OOS) Adaptive Results
3. Compare OOS Adaptive to OOS Static
4. Compare OOS Adaptive to OOS Optimization
5. Adaptive Parameter Refresh

This course will focus on developing adaptive trading strategies using AmiBroker, leveraging the Custom Backtest (CBT) interface which was introduced in the CBT Intensive.

Prerequisites:

• Installed a data source and configured it to work with AmiBroker.
• Have basic familiarity with AFL, including the ability to create and execute back tests and optimizations with AmiBroker’s standard back test engine.
• Understand how the CBT works, including the AmiBroker object model and creating custom metrics