AmiBroker Strategy Development and AutoTrading

Pre-Amble

I recently did a presentation on AmiBroker Strategy Development and AutoTrading.  You can find the recording below at the end of this post, starting at 36:08 in the video.

I can't write a blog post explaining the ENTIRE process, so instead I suggest that you watch the presentation below for more context and refer to the slide deck starting at slide 19.  This presentation was actually two (2) Sessions.  If you are interested in the first session on "A Super Easy Way to Work With Dates for Monthly Rotation Strategies in AmiBroker", you can link to that here.

However, I'd like to highlight some of the key slides, data and points below from the slides, for reference.  I've also provided links (below) to download the important files discussed in the presentation that you can use for your own starting Strategy templates and related files.

Objectives

a) Provide a decent starting strategy template for those that want to develop strategies in AmiBroker.

b) Review the Strategy Rules and Backtest Results of the CCI Correction Strategy from StockCharts.com.

c) Provide a clear path and integration case study showing how to semi and fully automate strategies using the software tools AmiBroker + Alera Portfolio Manager (APM) -- https://aleratrading.com

Background and Case Study

Doug D is a long-time friend that I met in the Technical Analysis community through the CSTA.org years ago.  He’s a Technical Analyst and has been using various TA indicators over the years. He’s now ready to take the next step and venture into Quantitative Technical Analysis. This will allow him to verify and quantify some trading ideas – also, to get some data on how well some of the indicators he uses, work.  Doug wants to learn how to use AmiBroker for these trading ideas.

Doug isn’t unique, many traders get to this stage (as did I several years ago) and need some guidance in getting started. That’s what we’ll do here today.

Doug sent me an idea that is close to one of his strategy interests, called the CCI Correction Strategy from www.stockcharts.com . This will be a good Case Study to use!  The direct link to the Strategy is...

• https://school.stockcharts.com/doku.php?id=trading_strategies:cci_correction

Strategy Summary

The CCI Correction Strategy is based on the Commodity Channel Index (CCI) indicator developed by Donald Lambert, which is a momentum oscillator that can be used to identify a new trend or warn of extreme conditions.

The Strategy…

• Uses a Weekly CCI to dictate the trading (trend) bias. When it surges above +100 it gives a long trend bias. When it plunges below -100 it gives a short trend bias, key levels noted by Lambert.

• Uses a Daily CCI to dictate a short-term pullback against the predominant trend (i.e. the trade trigger) that represents an entry opportunity.

Trading Strategy (System) Rules

1. Define the bigger trend and trading bias. CCI surge above +100 on the weekly chart denotes an Uptrend or bullish bias, which remains until surges below -100. CCI weekly surge below -100 denotes a Downtrend or bearish bias.

Note: Can also use longer time frame CCI on the daily chart instead of the weekly CCI, for example, use a 100 period CCI on the daily instead of a 20 period CCI on the weekly for trending bias.  (Easier since don’t have to use timeframe functions in AmiBroker.  Note: we did decide to use timeframe functions).

2. Wait for smaller countertrend movement. Use the daily chart to time oversold pullbacks when weekly chart dictates a bullish bias. -100 CCI reading on the Daily chart reflects a pullback within the bigger uptrend. 

3. Look for a reversal of this countertrend movement. A surge back into positive territory (i.e. CCI cross over of the zero line on the Daily chart) will be the trigger signal to enter. (This is essentially the “trade trigger”.)

Taking Profits and Stops

When developing a Strategy/System, some of the most difficult considerations that will affect profitability are when to take profits and when to cut losers!  Included is the below comment from the Strategy page…

“Also, note that the CCI correction strategy is not meant as a stand-alone system. Chartists need to consider how to implement stop-losses, when to take profits and how to tailor the strategy to their own goals and trading style. More aggressive traders could prefer a shorter look-back period to generate quicker signals, while less aggressive traders might prefer a CCI surge above +100 to generate signals on the short timeframe. Keep in mind that this article is designed as a starting point for trading system development. Use these ideas to augment your trading style, risk-reward preferences and personal judgments.”