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.

At the completion of this course, you will be able to:

• Define your own Market Regimes
• Consider how trade setup, entry, and exit are assigned to a regime
• Summarize metrics by regime
• Modify your AFL to use adaptive (regime-specific) parameters
• Compare the adaptive strategy performance to a baseline