Saturday, May 02, 2015

What is new in AMIBROKER 5.9

What's new in the latest version?

Highlights of version 5.90
In addition to completely new functionality this version focuses on speed improvements and enhancements of existing functionality. There are hundreds of new features and changes to existing functionality as compared to version 5.80, listed in detail in "Release Notes" document in AmiBroker directory. Below is just a short list of few of them:
  • Performance improvements
    • AFL Engine: custom memory allocator does not use Microsoft runtime lib for reference tracking anymore. Result - complex formulas with lots of loops and OLE (especially low-level custom backtests) run upto 3 times faster in 32 bit and 4 times faster in 64-bit
    • execution speed improved by factor > 2x for AFL functions: MACD, Signal, CCI, Sum (variable period)
  • Brand new Code Snippets window and keyboard triggers
    • added Code Snippets window - allows inserting/deleting/saving selected parts of the formula as snippets. Also implemented is convenient drag-drop of snippet to the formula edit window
    • Code snippets are available in auto complete list (type @ plus first letter of snippet key trigger), and even without auto complete activated @keytrigger is replaced by snippet text
  • Re-designed Report Explorer and improved Report Viewer (HTMLView)
    • Column layout (order and sizes) is now saved and restored between runs
    • Loading and refresh performance significantly improved (5x) using owner draw/ virtual mode
    • Multi-column sorting implemented
    • Numeric columns are now right aligned for better readability
    • visuals significantly improved (list uses modern style, grid lines, immediate column resizing, double buffering for no flicker, thousand separators, negative values are displayed in dark red, HighDPI aware, changed toolbar)
    • HTMLView - Backtest report viewer - added Edit/Copy, Edit/Select All and Edit/Copy TABLE. The last command transforms HTML tables into CSV format and copies it into clipboard so tables can be pasted easily to Excel. Also it divides Entry/Exit columns into separate Entry/exit date/price columns
  • new Bid/Ask trend indicator in Real-time quote window - a graphical indicator showing the direction of 10 most recent changes in real-time bid/ask prices The right-most box is most recent and as new bid/ask quotes arrive they are shifted to the left side.
  • User-definable HTML backtest reports
    • now it is possible to output HTML instead of graphics in report chart formulas using AFL: EnableTextOutput( 3 ) - HTML output to backtest report
    • rewritten 3. Profit Table.afl using HTML embedding features auto-scalable layout (so it enlarges when numbers are bigger), bold summary columns, negative values in red, boundary date changed to last day of year/month
  • Charting improvements
    • Left/right extended Trend lines and Rays now use user-definable Extension Factor (new field in Study properties) instead of always infinite extent. Ext. Factor equal to ZERO means INFINITE, other values 0.1 ... 26 define how far to the left/right line is extended
    • Max zoom achievable via View->Zoom Out is increased to 5 million bars, also Pref/Charting/Default zoom limit set to 5 million.
    • Line drawings now have user definable line width in pixels (new "Line width" field in Study Properties dialog). In addition to that "Thick line" box makes line twice as wide (so actual width of thick line is 2 * lineWidth instead of adding 1 pixel to width)
    • added ability to control number of decimals in chart value labes via GraphLabelDecimals variable (example, adding GraphLabelDecimals = 2; to the formula would give you value lables with 2 decimal places)
  • User Interface improvements
    • Parameter window look and feel improved. Item height is increased and slider thumb made wider for easier use on small size/high DPI screen
    • New Analysis UI refreshes faster
    • Colors, bold and italic styles are now added to Interpretation and Commentary windows
    • Filter dialog now shows number of matching symbols in real-time
    • Column setup dialog has new Mark All / Toggle All buttons
Highlights of version 5.80
In addition to completely new functionality this version focuses on incremental improvements and enhancements of existing functionality. There are hundreds of new features and changes to existing functionality as compared to version 5.70, listed in detail in "Release Notes" document in AmiBroker directory. Below is just a short list of few of them:
  • Brand-new completely rewritten AFL Formula Editor that supports the following features:
    • Improved Syntax highlighting
    • Automatic brace matching/highlighting (NEW)
    • Auto indentation (NEW)
    • Indentation markers (NEW)
    • Enhanced auto-complete in two modes (immediate (NEW) and on-demand)
    • Parameter information
    • Line numbering margin and selection margin (NEW)
    • Code folding (NEW)
    • In-line Error Reporting (NEW)
    • New tabbed user interface with ability to work in both MDI and separate floating frame mode, can be moved behind main AmiBroker screen and brought back (Window->Toggle Frame) (NEW) or kept on top (Window->Keep on top)
    • Rectangular block copy/paste/delete (Use mouse and hold down left Alt key to mark rectangular block)
    • Enhanced printing (with syntax highlighting and header/footer)
  • Code snippets - these are small pieces of re-usable AFL code. They can be inserted by right-clicking in the AFL editor window and choosing "Insert Snippet" menu. Code snippets are user-definable. 
  • New features in Low-level graphics
    • multiple Z-order layers GfxSetZOrder
    • co-ordinates can now be given in both pixels and bar-price mode GfxSetCoordsMode
    • speed improvements (upto 3x)
  • Persistent Static variables - StaticVarSet/StaticVarSetText (added 'persistent' parameter) 
  • Analysis (Backtest/Optimize) enhancements
    • new "Trade using FX cash conversion" setting
    • 64-bit SPSO/Tribes engine fixes
  • New/enhanced AFL functions
Highlights of version 5.70
In addition to completely new functionality this version focuses on incremental improvements and enhancements of existing functionality. There are 116 new features and changes to existing functionality as compared to version 5.60, listed in detail in "Release Notes" document in AmiBroker directory. Below is just a short list of few of them:
  • Analysis improvements:
    • New Multi-threaded Individual Optimization
    • New general-purpose ranking functions StaticVarGenerateRanks/StaticVarGetRankedSymbols
    • User-definable ranking columns (via AddRankColumn function)
    • Lots of internal speedups in backtesting/optimization engine
    • SPSO, Tribes optimization engines now available also in 64-bit
  • Time&Sales improvements: user-definable filtering, user-definable colors, 2 user-selectable display modes 
  • Database improvements:
    • 64-bit version supports files larger than 2GB per symbol
    • in-memory cache can hold upto 100 000 symbols (up from 20K)
    • new 64-bit DDE and ODBC plugins
  • Charting improvements:
    • Greatly improved performance QuickData technology implemented lowering CPU usage for charts
    • Edit->'Paste Special' allows to copy-paste entire chart pane with various options
    • Distance measuring when drawing trendlines (X,Y distance in the status bar)
    • X/Y constrains for drawing tools (press X and/or Y key to constrain movement in either X or Y direction when drawing)
    • ASCII importer adds support for millisecond timestamps
  • AFL improvements:

Highlights of version 5.60
Highlights of version 5.50
  • New Analysis window introduced in version 5.50 brings the following improvements over old Automatic Analysis
    • multi-threaded operation = speed - new Analysis window uses all available CPUs/cores to execute formulas in many threads in parallel providing significant speed ups. For example on 4 core Intel i7 that can run upto 8 threads, it can run upto 8 times faster than old Analysis window. Exact speed up depends on complexity of the formula (the more complex it is, the more speedup is possible), amount of data processed (RAM access may be not as fast as CPU thus limiting possible speed gains).
    • non-blocking operation - you can now view, scroll and sort results of analysis while they are still generated, also as user interface thread is not used for processing for most part, charts and other GUI-driven program parts are way more responsive than with old automatic analysis
    • multiple instances - you can run more than one instance of New Analysis at a time, so you can run many scans/backtest/explorations/optimizations in parallel without waiting for one to complete
    • slicker user interface - New Analysis window can act as tabbed document, can be floated, buttons can be re-arranged for better workflow. There is way more space for the result list, extra information about execution is provided on the new "Info" tab. Also walk-forward results are now displayed within New Analysis window for less clutter.
  • Mini High-Low rank chart in Real Time quote window
  • User-definable mini bar charts in Explorations (see AddColumn function)
  • Add Rank Column feature - right-click Analysis result list and choose "Add Rank column" - it adds a column with ordinal rankings based on current sort or just row number column when list is not sorted
  • IRA account backtesting via SettlementDelay feature (see SetOption function)
  • Range bars algorithm improved significantly
  • new AFL functions: ThreadSleep, StaticVarCompareExchange
  • updated AFL functions with new functionality: AddColumn, SetOption, GetOption, CategoryGetSymbols, PopupWindow, GetFnData, ClipboardSet
  • updated OLE interface to support new Analysis window
  • updated custom backtester interface to support access to local, per-analysis EquityArray property
  • updated UI in many places
  • Owner-draw list views for 10x speed improvement when displaying millions of rows
  • many other improvements (see Release Notes for details)
Highlights of version 5.40
  • Fully Multi-threaded charting. Massively parallel AFL execution (each chart pane runs in separate thread) allows to maximize speed and utilisation of modern multi-core / multi-CPU computers. For example on 8-core Intel i7 CPU your charts will run upto 8 times faster than in version 5.30. The AFL engine has been completely rewritten from ground up to allow multiple instances of the engine running simultaneously. This enables not only multithreading but also enhances responsiveness of entire application, as even badly-written user formula used in a chart is not able to lock or slow the rest of the program. Multi-threading is ON by default. It can be turned off by unchecking "Multi-threaded charts" box in Tools->Preferences, "AFL" tab but it is strongly discouraged. Multi-threading should be ON if you want AmiBroker to operate at full speed.
  • 12 new AFL functions
    • DateTimeAdd - adds specified number of seconds/minutes/hours/days to datetime
    • HMA - Hull Moving average
    • FIR - Finite Impulse Response filter
    • PercentRank - calculate percent rank
    • Lookup - search the array for bar with specified date/time
    • FirstVisibleValue - get first visible value of the array
    • LastVisibleValue - get last visible value of the array
    • InGICS - check if given symbol belongs to specified GICS category
    • GicsID - get information about GICS category
    • PlaySound - play .WAV sound file
    • ShellExecute - execute external program / file
    • _DT - synonym of StrToDateTime
  • Quote Editor improvements and fixes: allows user to turn on/off time shift and editing timestamps down to milliseconds, fixed handling of 12 hour (AM/PM) regional setting
  • Charting improvements: better looking value labels, low-level gfx functions speeded up 4 times.
  • Charting-related changes
    • Data Window and data tooltip readout is immediate and does not require extra AFL execution (values required to display them are stored in RAM during normal chart refresh and available without need to re-run the formula). Tooltip variable is now obsolete. To display custom values in tooltips without plotting a line you can use Plot() with styleHidden flag.
    • Interpreation display does not require AFL execution
    • Inserting indicator and resetting parameters are orders of magnitude faster
    • chart zoom setting is now saved in a layout file and restored when layout is loaded
  • OLE interface improvements (new IsBusy method of Analysis object and Import method refreshes UI automatically)
  • AFL engine improvements:
    • added warnings that detect potential user mistakes - such as assignment within conditional expression or redundant calls to Plot() function
    • added extra checks for invalid parameter values for many functions and array subscript == Null - appropriate error message is displayed
    • PlotText optimized to conserve memory and reduce execution time by skipping invisible parts
  • Account manager fixes
  • improved compatibility with Windows 7 (high-DPI aware manifest, compatibility with Internet Explorer 9)
  • 64bit-specific fixes (including fixing problems with 3rd party DLLs)
  • new appearance themes and many other improvements and fixes
Highlights of version 5.30
  • changed database format to support time stamp granularity down to one microsecond (0.000001s) and more data fields
  • static array variables
  • user-definable backtest report charts (see examples in Charts window, "Report Charts" folder)
  • new Data Window (Window->Data Window)
  • new Performance Monitor tool
  • tick statistics added to Time&Sales window
  • chart blank area extension using END key (on the keyboard), to restore original setting press HOME key
  • added option to require variable declarations (SetOption("RequireDeclarations", True ));
  • persistent column state (widths/order/visibility) in the Automatic Analysis and all other list-views.
  • gradient area charts capability (see Charts - Basic Chart - Gradient Price chart)
  • new typeof() AFL operator
  • new AFL functions
  • User-definable Z-order of drawings and indicator plots
  • optional data padding for non-trading days
  • Rectangle and ellipse drawing tools are now solid by default
  • X-Y co-ordinate labels added (use View->X-Y Labels menu to display/hide).
  • Support for SSL (secure connection) and TCP/IP port selection for e-mail alerts added
  • new Symbols window with ultra quick full-text search and sorting
  • support for GICS 4-level category system
  • placing orders directly from chart (Interactive Brokers)
  • many other improvements and fixes (see Release Notes document for details)
Highlights of version 5.20
  • Smart (non-exhaustive) trading system optimization
    AmiBroker now ships with 3 non-exhaustive, evolutionary optimization algorithms:
    SPSO (Standard Particle Swarm Optimizer)
    TRIBES (Advances Particle Swarm)
    CMA-ES (Covariance Matrix Adaptation Evolutionary Strategy
  • Support for market-neutral, long-short balanced strategies via MaxOpenLong/MaxOpenShort control and separate long/short rankings in the backtester
  • Performance optimizations in chart drawing engine - charts are orders of magnitude faster when number of bars displayed is much greater than number of pixels.
  • Log window implemented - allow tracing and run-time error reporting
  • QuickAFL implemented in the Automatic Analysis - speeds up backtests, optimization and explorations by factor of 2 or more (if range is less than all quotations). (Note: in order to enable it you need to check "Use QuickAFL" box in the Automatic Analysis setttings).
  • Multiple-segment Volume-At-Price charts (via PlotVAPOverlayA function)
  • 32-bit AmiBroker is now LARGEADDRESSAWARE, i.e. can now use upto 4GB of RAM
  • Built-in Quarterly and Yearly intervals
  • Automatic summary rows in the explorations (via AddSummaryRows AFL function) 
  • Charting enhancements and improvements
    • better handling of drawing tools
    • better magnet mode
    • Fibonacci timezones now include lines 144 and 233
    • zooming via scroll bar improved
  • Range bars now use per-symbol TickSize as a unit
  • new AFL functions:
    GetChartBkColor
    CategorySetName
    PlotVAPOverlayA
    AddSummaryRows
    DaysSince1900
    OptimizerSetEngine
    OptimizerSetOption
    StrCount
  • AFL performance improvements in LinearReg, LinRegSlope, LinRegIntercept, TSF and StdErr, Day(), Month(), Year(), DaysSince1900(), DayOfWeek(), DayOfYear() functions (order of magnitude faster)
  • Improved AFL functions: queued Say() command (text-to-speech), improved StrExtract() - can now refer to items counting from the end
  • real-time data plugins updated (IB version 1.2.4, eSignal version 1.9.0), IBController updated to support latest changes in data sources

Highlights of version 5.10
  • Automatic Walk-Forward testing (trading system optimization and validation technique)
  • Floating windows (TRUE multi-monitor charting capability)
    ability to "undock" (or "float") the chart window and move it to separate monitor.
    All layout code is also updated to correctly save and restore multi-monitor chart setups
    http://www.amibroker.com/video/FloatAndLink.html 
  • Symbol and Interval linking multiple charts can now be linked by symbol and/or by interval using easy-to-use color-coded links
  • AFL Code Profiler - shows code analysis with detailed per-function timing report (AFL Editor: Tools->Code Check & Profile menu)
  • Real-time quote window improvements
    • re-ordering of symbols in the RT quote using drag-and-drop
    • direct type-in symbols into RT quote window
    • ability to separate groups of symbols by inserting empty line
    • faster refresh and multi-stage background color fading on quote change
  • new/improved AFL functions
  • Improved speed of backtesting/optimization (up to 2x in some cases as compared to v5.00)
  • improved chart crosshairs - no flicker, work faster and can be switched on/off globally
  • track more foreign markets: now you can define rates for up to 20 currencies (different than base currency) for multiple currency backtesting in the preferences window.
Highlights of version 5.00
Highlights of version 4.90:
  • new Fundamental data support including
    • automatic download from free Yahoo Finance site
    • access to fundamental data from AFL level
    • new fundamental data fields in the Information window
  • new Web Research window
    • user-definable sites
    • multiple on-line research windows open simultaneously
    • flexible auto-synchronization options
  • new Account Manager
    • tracking history of all transactions
    • tracking open position unrealized profit
    • tracking account equity history
    • short and long trades, automatic handling of scaling in/out
    • unlimited number of accounts
    • per-account settings/commissions
  • new Bar Replay tool - great learning tool, featuring
    • re-playing all symbols' data at once
    • fast scrolling
    • user-definable playback speed and interval
  • added Text-To-Speech capability via Say() AFL function. Now AmiBroker can speak out loud any text, for example it can say "Buy 100 shares of AAPL at 91". This is controllable from formula level so you can make it to speak depending on market conditions, signals generated from your formula, etc.
  • added ability to fill indicator background with gradient color - via SetChartBkGradientFill AFL function.
  • new Fast Fourier Transform function
  • automatic exploration result sorting from AFL level - via SetSortColumns AFL function.
  • high-resolution performance timing added via GetPerformanceCounter, per-chart timed refreshes via RequestTimedRefresh
  • HoldMinDays / EarlyExitDays feature in the backtester
  • 'Every tick' chart refresh capability added (Professional Edition only)
  • MDI Tabs added as UI enhancement.
  • OLE interface enhancements/additions

Detailed Change Log

CHANGES FOR VERSION 5.50.2 (as compared to 5.50.1)
  • New Analysis: If current formula is open in the formula editor it is auto-saved prior to running any Analysis (as old AA did)
  • New Analysis: on Backtest/Optimization current formula is saved in @LastBacktestFormula registry key so it can be referenced by Individual Equity formula
  • New Analysis and Old AA: HoldMinBars > 0 can now be used together with AllowSameBarExit=True Settings: 'Stops' tab: N Bar stop has priority check box state was not saved. Fixed
  • New Analysis: on attempt to load analysis project file that contains formula path that does not exist or is not writable AmiBroker will create the formula in the "Formulas\Imported" folder instead of not creating it at all
  • New Analysis: WinXP-only - RMB click column descend/ascend menus were not working due to Windows XP bug. Fixed.
  • New Analysis: when formula is picked from the folder that is inside current working directory, then relative path is used and stored in project instead of absolute path previously used
  • New Analysis: SeparateLongShortRank required proper MaxLongPos and MaxShortPos definitions in order to work. Now if they are missing defaults are applied as in old AA.
  • Plugins: IQFeed: added "You can't close plugin window" on attempt to close working IQFeed window.
  • UI: Chart tree, Layout tree in "Explorer" theme
  • UI: Category list now features new icons and decreased indentation
  • UI: Owner-draw listviews now fully implement ellipsis item truncation mechanism, but using ExtTextOut only which is 6 times faster than DrawText that Windows uses
  • UI: Floating non-chart windows (account/web browser/analysis) are not closed when switching layouts.
  • Plugins: IQFeed plugin uses new faster IQFeed API, downloads less and uses way more efficient method to backfill 1/5/15-second base time intervals
CHANGES FOR VERSION 5.50.1 (as compared to 5.50.0)
  • New Analysis: Individual Backtest implemented. Note that it runs with approx same speed as old AA as Individual Backtest is single threaded for reasons explained in the User's manual http://www.amibroker.com/guide/h_multithreading.html
  • New Analysis: toolbar icons for parameters and settings changed to avoid confusion with the icon for preferences
  • UI: Symbol List uses Windows 7/Vista style
  • New Analysis: Toolbar customization is now saved
  • MRU (most recently used) file menu moved to submenu and MRU list increased to 10 items
  • Charts: fixed small alignment problem on Y axis when using fixed (nonproportional) font
  • New Analysis: backtester object now has EquityArray property that returns entire equity array (not just current value).
    Please note that values are filled during backtest and only after backtest is complete, all values are valid. If you call it in the middle, it will contain only "upto given point" data. Avoid abusing this function and it is costly in terms of RAM/CPU.e).
    You may use
    bo.EquityArray instead of Foreign("~~~Equity", "C" )
    in custom backtester code.
    It accesses local copy of equity in New Analysis (unlike Foreign that accesses global symbol)
  • New Analysis: AddToComposite with atcDeleteValues | atcEnableInPortfolio did not delete previous values. Fixed
  • New Analysis: "Interval" menu item in the auto-repeat group renamed to "AR interval" because some users interpreted it wrong (as periodicity)
  • New Analysis: OLE interface implemented

    Description in the http://www.amibroker.com/guide/objects.htmlExample
    The following JScript example
    a) opens analysis project from C:\Analysis1.apx file
    b) starts backtest (asynchronously)
    c) waits for completion
    d) exports results
    e) closes analysis document
    AB = new ActiveXObject( "Broker.Application" );

    try
    {
      NewA = AB.AnalysisDocs.Open(     "c:\\analysis1.apx" ); // opens given analysis project file

          if ( NewA )
      {
        NewA.Run(     2 ); // starts analysis (asynchronous - returns immediatelly
          // (0-scan, 1- exploration, 2- portfolio backtest, 4- optimization, 6-walk forward)

            while ( NewA.IsBusy )
           WScript.Sleep(     500 ); // wait for completion

        NewA.Export(     "test.html" ); // exporing results

        WScript.echo(     "ended" );

        NewA.Close();     // closing analysis window
     }
    }
    catch ( exc )
    {
      WScript.echo(     "Exception: " + exc.message );
    }
  • Charts: more tweaks for Y axis algorithm for readability. Now in Tools->Preferences, "Charting" the user may select different grid stepping: Instead of default 1, 2, 5, 10 grid stepping, user may select to use 2.5 step instead of 2 (Use 2.5 step in Y axis)
  • GetFnData() supports new field "Alias" - return Alias field without need to use OLE
  • GetOption supports new fields: ApplyTo and Filter*, eliminates the need to use OLE for that purpose
    New fields:
    -"ApplyTo" - returns Analysis "Apply To" setting 0 - all symbols, 1 - current symbol, 2 - filter
    - "FilterIncludeIndex", "FilterIncludeFavorite", "FilterIncludeMarket", "FilterIncludeGroup", "FilterIncludeSector", "FilterIncludeIndustry", "FilterIncludeWatchlist" - return "Include" filter settings -1 - means NOT selected (not included), >= 0 index of included category
    - "FilterExcludeIndex", "FilterExcludeFavorite", "FilterExcludeMarket", "FilterExcludeGroup", "FilterExcludeSector", "FilterExcludeIndustry", "FilterExcludeWatchlist" - return "Exclude" filter settings -1 - means NOT selected (not excluded), >= 0 index of excluded category
  • Fix for FPU inaccurracies in range bars implemented
CHANGES FOR VERSION 5.50.0 (as compared to 5.49.2)
  • New Analysis: "Save" creates now a Analysis project (.apx) file that includes all settings and formula needed in single file. The file itself is in human readable XML format. When such file is loaded on somebodys' else computer it will recreate original formula if one is not present. It will warn if there is a name conflict and let you decide to keep existing formula or overwrite.
  • UI: File open dialog now has "All supported files" option in the "Files of type"
  • UI: PopupWindow is now resizable (see size gripper in the lower-right corner)
  • AFL: PopupWindow function has additional parameters to control width/height and flag that controls whenever popup window captures input focus
    PopupWindow( "bodytext","captiontext", timeout = 5, left = -1, top = -1, width = -1, height = -1, captureFocus = True );width = width in pixels, -1 - use default width
    height = height in pixels, -1 - use default height
    captureFocus - decides whenever popup window captures input focus or not
    Example: popup window that does not change input focus:
    PopupWindow("test", "caption", 30, -1, -1, -1, -1, False);
  • New Analysis: ApplyStops applied in non-regular modes are passed to 2nd phase properly now.
  • New Analysis: "Show current trade arrows" fixed.
  • New Analysis: View->Filtering menu options were not available when New Analysis was active. Fixed.
  • New Analysis: Standard Edition has a limit of max 2 threads per Analysis window instance.
  • UI: Log window clicking on error displayed AFL Editor and marked Line+1, Col+1 char position instead of proper place. Fixed
  • New Analysis: Errors are now displayed in a modern message bar instead of dialog box
  • UI: holding down Ctrl and Q keys simultaneously while AmiBroker is starting resets all menus/command bars to defaults
  • New Analysis: scroll bar properly works when "Walk forward" tab is active
  • New Analysis: Walk forward tab content can be now copied using Edit->Copy / Ctrl+C
  • New Analysis: when "wait for backfill" was turned on and external data source was very slow to repond (like IQFeed during backfill) subsequent calls to Status('stocknum') could give non-unique numbers. Fixed.
  • New Analysis: Copy to clipboard includes headers now
  • New Analysis: Column customization/state persistence implemented
  • Charts: New Y axis grid algorithm for clearer display on condensed charts
  • AFL: CategoryGetSymbols supports new categoryAll (all symbols in the database) and new Mode parameter
    CategoryGetSymbols( category, number, mode = 0 );Mode parameter decides what field is retrived:
    0 (default value) - ticker symbol
    1 - full name
    Example: to get all symbols existing in the database simply call
    CategoryGetSymbols( categoryAll, 0 );
    to get full names of all symbols use:
    CategoryGetSymbols( categoryAll, 0, 1 );
  • AFL: Added Warning 503. Using OLE / CreateObject / CreateStaticObject is not multi-threading friendly. See Users' Guide ""Efficient use of multithreading"" for more details.
  • AFL: Added ThreadSleep( milliseconds ) function. It suspends current thread for specified number of milliseconds (maximum is 100 ms). Works only from NON-UI threads. When called from UI thread the function does NOTHING and returns immediatelly. Please do NOT abuse this function. Using it may negatively impact performance.
  • AFL: Added StaticVarCompareExchange function. Provides atomic interlocked compare/exchange functionality

    Parameters
    " varname"
    Specifies the name of the destination static variable. Static variable if exists must be scalar numeric type. If static variable is not initialized, the function assumes that it has value of zero.
    exchange
    Specifies the exchange value. Scalar numeric.
    Comperand
    Specifies the value to compare to the destination static variable. Scalar numeric.
    Return Values
    The return value is the initial value of the destination static variable. If variable did not exist, it returns zero.The StaticVarCompareExchange function performs an atomic comparison of the "varname" static variable value with the Comperand value. If the static variable value is equal to the Comperand value, the Exchange value is stored in the static variable. Otherwise, no operation is performed.
    The function StaticVarCompareExchange provides a simple mechanism for synchronizing access to static variables that are shared by multiple threads. The following examples show how to implement semaphore and critical section in AFL using StaticVarCompareExchange function:
    // EXAMPLE 1 : Simple semaphore (no waiting) if( StaticVarCompareExchange( "semaphore", 1, 0 ) == 0 ) // obtain semaphore
    {
           // protected section here
           // Here you have exclusive access (no other threads that check for semaphore will enter simultaneously)   
           /////////////////////////
           StaticVarSet("semaphore", 0 ); // reset semaphore
    }     else
    {
          _TRACE("Can not obtain semaphore");
    }
    /////////////// // EXAMPLE 2 HOW TO IMPLEMENT CRITICAL SECTION IN AFL ///////////////
    function _TryEnterCS( secname )
    {
          global _cursec;
      _cursec=     "";

          // try obtaining semaphore for 1000 ms
          for( i = 0; i < 1000; i++ )
           if( StaticVarCompareExchange( secname, 1, 0 ) == 0 )
       {
           _cursec = secname;
              break;
       }
           else ThreadSleep( 1 ); //sleep one millisecond

          return _cursec != "";
    }
    // call it ONLY when _TryEnterCS returned TRUE ! function _LeaveCS()
    {   
           global _cursec;
           if( _cursec != "" )
        {
              StaticVarSet( _cursec, 0 );
           _cursec =     "";
        }
    }
    function TimeConsumingWork()
    {
           // WARNING: the Percentile is CPU hungry as it involves lots of sorting, the loop below may take > 1 second to complete
           for( i = 0; i< 10; i++ ) Percentile( C, 100, 10 );
    }
    //_TRACE("Without CS Begin " + GetChartID() ); //TimeConsumingWork(); // some time consuming calculation //_TRACE("Without CS End" + GetChartID() );
    // Example usage (critical section) if( _TryEnterCS( "mysemaphore" ) )
    {
          // you are inside critical section now
           _TRACE("Begin CS " + GetChartID() );
       TimeConsumingWork();     // some time consuming calculation
           _TRACE("End CS " + GetChartID() );
       _LeaveCS();
    }     else
    {
           _TRACE("Unable to enter CS");
    }
CHANGES FOR VERSION 5.49.2 (as compared to 5.49.1)
  • New Analysis: added Optimize->3D Optimization chart menu
  • New Analysis: buttons for Portfolio Equity/Individual Equity charts added
  • New Analysis: Info Bar added (that duplicates some of the info that normally appears on the Info Tab). It can be turned on using Settings->Info Bar
  • New Analysis: Report generation is now OFF by default when running optimization/walk forward as in old AA. This gives about 0.9 sec gain per step.
  • New Analysis: Single-symbol optimization made faster by caching already compressed quote array on subsequent steps
  • New Analysis: the check for Status("StockNum") was sensitive to blanks between parenthesis, function name and string parameter. Now it is made insensitive to blanks.
  • New Analysis: when "Range" was "n last bars" or "n last days", Status("rangefromdate") gave date of preceding bar. Fixed.
  • UI: "Performance" tooltip title was not always updated on time. Fixed.
  • UI: "Wait for plugin" window displays progress bar with "marquee" style instead of circle of dots
CHANGES FOR VERSION 5.49.1 (as compared to 5.49.0)
  • New Analysis: Testing on unaligned data sometimes took longer than expected because of the work necessary to bring signals in order. Now a smart method avoids most of the memory transfers and can give 10x speedup on backtesting very long unaligned intraday data.
  • New Analysis: "Backtest started", "Exploration started" text in the info tab appeared twice per run (instead of once). Fixed
  • New Analysis: Backtest report did not include formula code. Fixed.
  • New Analysis: Fixed crash that could occur when running analysis with Range set to "N recent bars" and N was exceeding number of quotes.
  • New Analysis: Float/Normal/Close popup menu RMB menu was active everywhere in floating window instead of only caption area. Fixed.
  • New Analysis: Implement single-thread start when Status("StockNum") is detected in the code. Other threads are started when first symbol processing is completed.
  • New Analysis: Send to Analysis did not update formula combo box properly in certain scenarios: when formula X was selected, then formula Y, then formula X again. Fixed.
  • Old AA: status bar displays true timing for fair comparisons between old AA and new Analysis. Watching progress bar numbers was misleading as it closed before all processing was truly complete, so it looked like old AA completed sooner than it really did
  • UI: menu item for Old Automatic Analysis restored as apparently some users got lost. Also attempt to run old Automatic analysis displays an information about new Analysis window
CHANGES FOR VERSION 5.49.0 (as compared to 5.48.0)
  • New Analysis: when floating pane is made normal from/to dates were reset to today. Fixed.
  • New Analysis: when Apply To: Filter is defined so NO symbol matches the criteria, appropriate message is displayed when trying to run Analysis and action is terminated instead of displaying progress bar forever
  • New Analysis: when analysis window is "floating" double click/show arrows/sync affects active MDI chart just like old AA did, as opposed to last one (when analysis is not floating)
  • New Analysis: Optimization parameter setup stage uses now not more than 100 bars. This reduces setup time.
  • New Analysis: implemented import / export, File menu now has Import HTML and Export HTML/CSV commands
  • New Analysis: Implemented "Wait for backfill" option. This slows down analysis sequence so AmiBroker waits for external RT data source to deliver backfill data
    When "wait for backfill" option is turned on, AmiBroker checks if data for given symbol are complete, if not, it sends request to external source to backfill the data and waits 1 second.
    After one second, it checks again, it data are complete, if not, it waits another 1 second, and so on. Once data are complete given symbol is used for formula execution.
  • New Analysis: Custom backtester uses "last backtest settings" when calling GetStatus() instead of old AA settings
  • New Analysis: auto-repeat interval edit field did not allow to enter values if moved to main toolbar via customization. Fixed.
  • Formula Editor Analysis toolbar button now operates on New Analysis window
  • Default for timestamping of intraday compression changed to "Show START time of interval"
  • Charts: AFL error message color is now definable in Tools->Preferences, "Color" tab
  • Charts: Tooltips automatically display also OHL prices (in addition to close) when Plot style is set to candlestick, bar or when PlotOHLC was used
  • UI: Adjusted item Y offset for owner drawn listviews for consitent look with old layout of system listviews in Windows XP and earlier OSes
  • UI: Account, Analysis and Web research windows don't use client edge/border anymore - gives slicker / less crowded look
  • UI: when focus is switched to floating document window, the application menu is switched to proper context
  • UI: When File->Close was used on floating pane, document was closed but docking pane was not. Fixed.
  • UI: The toolbar button and menu option to launch old Automatic Analysis window are now hidden (can be brought back by using Tools->Customize), old AA can also be launched from new Analysis via Analysis->Old Analysis menu
  • UI: New menu options and toolbar button to launch new analysis window
  • UI: Moved all menu items controlling visibility of docking windows to "Window" menu
  • UI: floating state of windows can now be turned on/off using right-click menu over tab / floating window caption
  • UI: File->Save (when currently selected window is a chart) command now saves Chart template. To save database use "Save database" instead.
  • UI: Defaults for data window are changed, so extra OHL display is turned off by default as currently PlotOHLC displays all 4 prices in the tooltip and data window already
  • UI: Data window scroll bars are hidden and do not flicker when updating
  • UI: "Save All" toolbar button removed, "Save database" button added to replace it
  • Web Research: turned on "silent" mode - should prevent error message boxes displayed by IE engine.
  • QuoteEngine: Range bars algorithm improved significantly
  • Quote array uses 20480 bytes (512 quotes) allocation chunk size (exactly 5x4KB page) for better alignment with Windows virtual memory pages
CHANGES FOR VERSION 5.48.0 (as compared to 5.47.0)
  • New Analysis: custom metrics columns were invisible in backtest/optimizations. Fixed. (#91031)
  • New Analysis: backtest did not display proper column names when Report mode was different than trade list. Fixed. Also added support for changing report mode via SetOption().
  • New Analysis: Auto-repeat Scan/Explore implemented (aka. "Run every" in old AA) (use drop down menu next to "Settings" button)
  • New Analysis: Showing arrows by double click implemented
  • New Analysis: Sync chart on select option implemented (use drop down menu next to "Settings" button)
  • Fixed window activation issue after RMB click in chart window when non-chart floating windows are active
  • New Analysis: Cancelling walk-forward did not restore date range and settings and didn't reset internal step counter. Fixed.
  • New Analysis: Formula path disappeared when window was made floating. Fixed.
  • New Analysis: in 5.47 non-exhaustive optimizers sometimes stopped after first step in walk-forward. Fixed.
  • Charting: scroll bar zoom function remains active even at extreme zoom in levels
  • New Analysis: Fixed problem with opt steps warning dialog appearing sometimes in the out-of-sample tests in walk forward sequence
  • New Analysis: Signal heaps are separated now, allowing to run concurrent backtest/optimizations in many analysis windows
  • New Analysis: removed unnecessary refreshes of symbol list during optimizations that caused slowdowns when user had large database
  • New Analysis: The size of control fields is properly adjusted with regards to DPI
  • New Analysis: Status("StockNum") was always zero in 5.47 and earlier. Now it is set properly.
    Caveat: be careful when you run codes that use Status("StockNum")==0 for special processing in multithreading mode.
    Other threads with "StockNum" = 1, 2, 3,... will run simultaneously! If you store static variables in step 0 these variables may be empty if you access them from other parallel running threads.
  • Fixed Error 53 message that was giving an error when proper \" (quotation mark espace sequence) was used
CHANGES FOR VERSION 5.47.0 (as compared to 5.46.0)
  • New Analysis: last used ApplyTo/Range/From/to dates/filters and other settings are saved when Analysis window is closed
  • Fix to "slow response" problems some users reported when switching symbols
  • Fibonacci retracement- modifying Z-order affected only control trendline, not all lines as it should. Fixed.
  • New Analysis: implemented Walk-Forward testing (use drop arrow next to Optimization button)
  • AFL engine: new error 53: incorrect \ espace sequence. Error is issued when user forgets that single slash must be written as \\
  • Default title for new analysis window is "AnalysisX" (instead of "Unnamed") where X is consecutive number 1, 2..
  • attempt to use Say() on computer without sound card or without driver installed does not result in throwing exception/crash report, but it is rather silently ignored
CHANGES FOR VERSION 5.46.0 (as compared to 5.45.0)
  • New Analysis: Exhaustive multi-threaded optimization implemented
  • New Analysis: Smart (non-exhaustive) multi-threaded optimization implemented in a way compatible with existing optimizer plugins

    Note however that due to the fact that most non-exhaustive optimization plugins are not re-entrant, AmiBroker prevents from running more than one non-exhaustive multi-threaded optimization at a time. You can however, run many exhaustive optimizations in parallel, as they don't require external plugins.
  • Slight modification to the way how compressed bar charts are drawn (so bars with H==L are better visible)
CHANGES FOR VERSION 5.45.0 (as compared to 5.44.1)
  • 64-bit version compiled with new version of C runtime (Microsoft security update)
  • Fixed date/time column sorting in virtual list views when regional date format was different than yyyy-MM-dd
  • AFL: ClipboardSet() returns True (1) when clipboard has been successfully set. Sometimes clipboard is locked by another applications and then write can fail (ClipboardSet() will return zero/False then)
  • New Analysis: Changed alignment of Date/Time column to left in backtest result list.
  • Most AFL engine setup moved to worker threads. Result - smaller UI thread load in MT charts (better scalability) and much faster (upto 2x) explorations/scans in New Analysis window
  • New Analysis: added "Info" tab that provides some summary information about analysis (number of rows, timings, backtest summary) - contents can be copied using Ctrl+C / Edit->Copy

    NOTE:
    End users should only look at "Completed in... sec" line that shows actual run time of the analysis (scan/exploration/backtest).The times shown in "timings" row are for Amibroker.com internal use. In development/testing they help us tweak the performance of various parts of analysis engine. The detailed timings do not sum up to actual run time. No further infomation is available at the moment. The "timings" row is subject to change/removal in the future versions.
    If you have problems/questions with the performance of new Analysis window please copy (Ctrl+C) the contents of Info tab and send to support.
  • New Analysis: first-phase backtest signal processing and ranking moved to non-UI threads, enabling better parallelism, results in better backtest performance (upto 2x in with trivial codes)
CHANGES FOR VERSION 5.44.0 (as compared to 5.43.1)
  • New Analysis: fixed AddToComposite()
  • New Analysis: Interval() function was working incorrectly in new analysis window. Fixed.
  • New Analysis: Backtest ~~~EQUITY symbol did not have "use only local database" set in 5.43.1. Fixed.
  • New Analysis: Backtest performance improved by removing some unnecessary list view refreshes (now it should never be slower than old AA even with simplest formulas)
CHANGES FOR VERSION 5.43.1 (as compared to 5.43.0)
  • When range different than "All quotes" was selected, backtest in new Analysis window could produce incorrect results in 5.43.0. Fixed.
CHANGES FOR VERSION 5.43.0 (as compared to 5.42.0)
  • New Analysis Window: multi-threaded Backtest feature implemented (experimental)

    Note that only first phase of backtest is multithreaded (each symbol in separate thread). 2nd phase (custom backtest) is executed in main thread as there is only one symbol to work on (i.e. equity) and it needs to talk with OLE which is single threaded and GUI.
  • Load/Unload buttons removed from Plugins dialog. This was developer-only feature and it was abused by ordinary people who were unloading plugins that were actually in -use (such as data plugins when being connected to given data source)
  • ListViews: the last line (partially shown) in RT quote window was not easily selectable. Fixed
  • New Analysis window: Implemented Parameters dialog
  • AFL: GetCursorMouseButtons() sometimes missed clicks when multithreading was on and formula took ages to execute. Now it is now 100% reliable.
  • Auto-selection of proper layer based on selected viewing interval
    NOTE: This feature can be turned off by click with RIGHT mouse button over layers window and UNCHECKING "Auto-select layer"
  • IRA accounts support - implemented Settlement delay in backtester, via SetOption("SettlementDelay", x )

    "SettlementDelay" option describes the number of days (not bars) it takes for sale proceeds to settle and be available for opening new positions.
    SetOption("SettlementDelay", 3 ); // this will cause that proceeds from sale are only available for trading on 3rd day after sale
    For detailed tracking
    " Detailed log" report option now shows available and unsettled funds for T+1, T+2 and so onNote: when using this option it is recommended to use backtestRegularRaw instead of backtestRegular, otherwise some trades may not be entered
    because funds are not settled immediately and you need to be able to enter not on first but subsequent buy signals and that is exactly what backtestRegularRaw offers.
    Note2: old backtester (Equity() function) ignores settlement delay
  • Zoom in/out toolbar buttons zoom in finer steps (+/-10%)
  • Analysis ListView, RMB menu new option: "Add Rank column" - adds a column with ordinal rankings based on current sort or just row number column when list is not sorted
  • New feature: Adding new chart/research/account/analysis via (+) tab
  • New Analysis window: Implemented SetSortColumns
  • New Analysis window: Implemented AddSummaryRows
CHANGES FOR VERSION 5.42.0 (as compared to 5.41.0)
  • Implemented right click menu in new Analysis windows (Add symbols to watchlist/Show arrows functionality)
  • Zoom in/out toolbar buttons now have auto-repeat feature
  • In 5.41.0 Ctrl+C from list view copied text without tabs (column separators). Fixed
  • In 5.41.0 did not refresh progress dialog optimization status list. Fixed. (owner draw list view initial size is retrieved in PreSubclass now)
  • In 5.41.0 did not display Time&Sales in reverse order (newest on top). Fixed.
CHANGES FOR VERSION 5.41.0 (as compared to 5.40.3)
  • New Analysis window (File->New->Analysis) - featuring multithreaded Scan and Exploration
    Performance note:
    to fully benefit from multithreading it is best to use AmiBroker local NATIVE database (not external)
    as it is the only database that can deliver data quickly enough.Tests show that on AmiBroker native databases scans and explorations are 100% scalable to multiple cores
    - i.e. for example would run upto 8 times faster on 8 CPU/core machine.

    IMPORTANT: This window is work-in-progress. Multithreaded Backtest and Optimization features will be added later.
  • AFL: AddColumn - added mini bar charts to explorations
    Exploration now features ability to create mini bar charts in individual cells.AddColumn has new parameter 'barchart'
    AddColumn( ARRAY, "Caption", format = 1.2, fgcolor = colorDefault, bkcolor = colorDefault, width = -1, barchart = null )
    'barchart' parameter accepts values from 0...100 represening percentage width of bar chart displayed in a cell
    the in-cell bar chart is drawn with bkcolor (background color).
    Example usage:
    Filter=1;
    AddColumn( Close, "Close" );
    rank = PercentRank( Close, 100 );
    Color = ColorHSB( rank * 64/100, 255, 255 );
    AddColumn( rank, "100-day percent rank", 1.2, colorDefault, Color, -1, rank );
    Note that although this example uses same value for numeric display and chart bar width, it does NOT need
    to be the same, i.e. numerical value of the cell is independent from bar chart.
  • Totally rewritten listview with very efficient owner draw code speeds up list view scrolling/resizing/repainting more than 10 times. Native system ListView control is terribly slow on Windows XP/Vista/7 (surprisingly it was many times faster in Win9x!)
  • AFL: Percentile() does a param check for range > 0 now
  • Mini-chart in RT Quote window - Mini chart shows where LAST price is within LOW-HIGH range.
  • Errors and warnings are now displayed in red color in the indicator pane
  • During actual GDI chart rendering AmiBroker measures time and if it exceeds 500ms timeout it stops rendering with Warning 901.
    This check is required because GDI rendering occurs in GUI thread and if GUI thread does not process messages for half second Windows will think that application is "not responding".
    This prevents making application stuck with some overly complex, possibly incorrect formulas that call hundreds of Plot()s
  • Warning 502: Calling Plot()/PlotOHLC over 500 times is displayed in indicator in runtime to prevent abuse
  • All list views, pressing Ctrl and NumPad'+' automatically adjusts column widths to content
  • if data are missing in the in-memory cache, Foreign() calls from non-GUI threads use synchronous retrieval method for reliability.
    This provides reliable results in AA but may slow down the multi-threaded operations if cache size is too small and user uses more Foreign() calls than in-memory cache size.
    IMPORTANT:
    For optimum performance in-memory cache setting (Tools->Preferences->Data) should be GREATER than number of Foreign() calls in any single formula used.
    Values lower than that cause lots of disk activity and serialization of all Foreign calls that means that additional threads must wait for data retrieval to complete.
  • Old and new Analysis window: outputting millions of rows to listview is much faster now
  • All list views - Ctrl+A (Select All) made much faster

CHANGES FOR EARLIER VERSIONS ARE DOCUMENTED IN RELEASE NOTES DOCUMENT THAT YOU CAN FIND IN AMIBROKER INSTALLATION FOLDER.

Print this post

Yours Tipss_Bse_Nse at 9:35:00 AM

No comments:

Post a Comment

Subscribe to: Post Comments (Atom)