AmiBroker for Options backtesting?

travi

Well-Known Member
#21
I am working on daily chart and interested to calculate and visualize Current w.r.t. Historical PCR.
The work around that I have found is to calculate PCR from NSE Bhavcopy CSVs using R and then import that as a Symbol into AB using ASCII import. But since @trash is claiming:

I was simply wondering how he did that solely using AFL!
Data is required in one form or another.

If its in the local DB then run everything via AFL, else either import it or need to source it via ODBC or CSV file etc.
 

prabhsingh

Well-Known Member
#22
It is not free code.

But that being said. There is no need to iterate through CSV file (or using MySQL). That would be ridiculous.
AmiBroker database can handle any symbol.
There are many ways where you can directly dump the data into Relational database.Benefit with such data is that you can create your own User interface having any sort of customized data.For e.g,Implied Volatility Vis a Vis Historical Volatility and ranked then through Implied Volatility ranking or percentile.
 

prabhsingh

Well-Known Member
#23
I am working on daily chart and interested to calculate and visualize Current w.r.t. Historical PCR.
The work around that I have found is to calculate PCR from NSE Bhavcopy CSVs using R and then import that as a Symbol into AB using ASCII import. But since @trash is claiming:

I was simply wondering how he did that solely using AFL!
I have already got CSV files dumped into database and PCR value calculated from that data is already done.But not sure how are you going to use this information for taking positions.
 

trash

Well-Known Member
#24
There are many ways where you can directly dump the data into Relational database.Benefit with such data is that you can create your own User interface having any sort of customized data.For e.g,Implied Volatility Vis a Vis Historical Volatility and ranked then through Implied Volatility ranking or percentile.

Using CSV or SQL is slow!
Obviously you have no clue of advantage of AB database.
Besides this forum section is AmiBroker forum section.
 

TracerBullet

Well-Known Member
#27
I am talking about processing thousands and thousands if not millions of records of time series data.
Just read csv once and store it in a faster format - same as AB if csv is the source of data. I just save the data structures itself and its seems to be faster than AB for my needs, maybe because it does not have to be as flexible.
Anyway, this is not that relevant to the original question ...
 
#28
But not sure how are you going to use this information for taking positions.
PCR is just to begin with ;)
Just read csv once and store it in a faster format - same as AB if csv is the source of data. I just save the data structures itself and its seems to be faster than AB for my needs, maybe because it does not have to be as flexible.
Anyway, this is not that relevant to the original question ...
For instance NSE option symbols shows up like MARUTI18NOV6800PE with a syntax <SYMBOL><yy><MMM><strike><OptionType>. Can you now loop these bunch of symbols using Foreign for each bar in AFL in order to fetch its quotes? That would be inefficient and unworthy. So best bet would be do something externally and then feed it to AB. All happy! But for our loquacious pantomath @trash Sun rises and sets with AmiBroker. Eh!
Yes, AmiBroker can be used. In fact I've created Options auto trader and backtester in AmiBroker (for someone else for US market. So don't ask me about Indian one).
Obviously you have no clue of advantage of AB database.
Now please come up with a portrait of your computer screen such that we all get lured for your services and express our wonder at your creativity. But do not share anything factual to help novice beginners. Great MBA skills! Great way to advertise! :D
 
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NJ23

Well-Known Member
#29
Okay, so, we can use AB for options backtesting. Can anyone tell me the symbol set ups that need to be done? Like we do for futures? Tick Size, Margin requirements and Point value? Is there a quicker way to set all of these up like via a csv import? If yes, how?

Thanks.
 

prabhsingh

Well-Known Member
#30
Just read csv once and store it in a faster format - same as AB if csv is the source of data. I just save the data structures itself and its seems to be faster than AB for my needs, maybe because it does not have to be as flexible.
Anyway, this is not that relevant to the original question ...
Where do you save data structure.Are you using Pandas for dataframe?
 

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