OpenQuant + AmiBroker: my recipe for building robust Automated Trading Systems
- Thread starter dareminator
- Start date
No you can't. But if you're a programmer conversion is not difficult.
I am surprised you say this.
I am a programmer. And I know that for a big complicated program, it is a nightmare to convert it to another language. You need to test everything again, to make sure you did not create any bugs in the translation. Very boring too, since most of the creativity is gone.
Well I'm a programmer and I can already see it's not going to be difficult...
Boring & tedious. Yes. But who said life was supposed to be interesting all the time...?
Boring & tedious. Yes. But who said life was supposed to be interesting all the time...?
I have played with the Amibroker demo's and considered buying it at one stage. The deciding factor for me was the almost complete lack of example trading scripts that are available. I am not talking about 'profitable' strategies available-for-free, more example 'templates', code you can examine, adapt and generates ideas from - these 'freebies' seem to be very hard to find with Amibroker. Metatader is but a pale imitation of what a 'good' trading platform should be - crap pricedata which can't be swapped out for 3'rd-party stuff, no code debugging features, basically a means for supporting brokers to steal small traders money - but it does have thousands of trading scripts freely available (99.999% of which are unprofitable..) Another example is WealthLab, again hundreds, if not thousands of example trading strategies freely available. Whereas Amibroker comes complete with a whopping 2 example strategies...
No, the code doesn't transfer over.
When moving a strategy from AmiBroker to OpenQuant, I recode it, as both the language and the paradigm are different.
AmiBroker is a fast array processor. You handle big arrays for backtesting ideas. The code runs in sequence from beginning to end. OpenQuant is an event machine. You write handlers for what happens in real life (a bar arrives, an order is partially filled, the connection is dropped, etc).
The computational aspect (entry / exit signals) does move over fairly easily. AmiBroker syntax is modeled after C, and OpenQuant uses C#. But it is still a porting effort.
For my case (now that I climbed the learning curve on OpenQuant and built a reusable code base), the porting/debugging aspect is about one week out of the many months it takes for me to go from an idea to unattended live trading. So I take the hit because I find it more natural and faster to work with AmiBroker on the front end of the development cycle, and OpenQuant on the deployment side.
OK, this makes sense.
Let me ask something else for Amibroker.
What if I want to include in my calculations some external (non market) data. I could make a series of numbers myself and include this in the strategy. Like relative financial health of a company, astrological data, big disasters etc. Is this possible?
While I agree it doesn't come out of the box with a huge number of strategies, there is a huge number on the Yahoo Groups site. I haven't had any issue finding an example of something I wanted to program.
Also, frankly, the syntax is so easy that I've found it easy to go to Wealth-lab and Neoticker and Metatrader and translate those system in a matter of minutes.
You should check out:
http://www.amibroker.com/kb/
http://www.amibroker.org/userkb/
and
http://finance.groups.yahoo.com/group/amibroker/
All are very useful.
Also, frankly, the syntax is so easy that I've found it easy to go to Wealth-lab and Neoticker and Metatrader and translate those system in a matter of minutes.
You should check out:
http://www.amibroker.com/kb/
http://www.amibroker.org/userkb/
and
http://finance.groups.yahoo.com/group/amibroker/
All are very useful.