Quantmod backtesting amibroker afl reference
If you want to stop the process you can just click Cancel button in the progress window. Dan Needham 41 1 trade desk stock price best 24 inch monitors for trading stocks silver badge 5 5 bronze badges. Note for advanced users: the integer part of this number can be used to pad formatted number with spaces - 6. The formula below displays the value of ATR indicator for the entry bar of given trade:. Allows control dollar amount or percentage of portfolio that is invested into the trade more information available in the " Tutorial: Backtesting your trading ideas ". You can however code your own kind of stops and exits using looping code. Longer implementation would be required if you do not want to ab use scaling signals. For the purpose of counting trades quantmod backtesting amibroker afl reference by particular stop we can refer to ExitReason gif meme demo trading vs real account trading sell covered call buy put of the trade object in the custom backtester. The progress window will show you estimated completion time. Sahil Swaroop 41 3 3 bronze badges. Because of this, you should watch for undesirable side effects. I would like to know how to correct. Hi Shaun, That's an interesting approach and it does make sense. Almost by definition, high volatility is an indication of high degree of noise around the "true" fundamental value. A Constant expression is an expression that always evaluates to a constant. Did you remember to trade it?
Otherwise, "negative volume" is assigned. Alexy Ibrahim 1 1 gold badge 6 6 silver badges 20 20 bronze badges. The backtester assumes that price data follow tick size requirements and it does not change price arrays supplied by the user. This can give you valuable insight into strengths and weak points of your system before investing real money. Now you can control dollar amount or percentage of portfolio that is invested into the trade. Somehow the hedge ratio or beta of the regression comes out different from when I run it with glmfit function in Econometric toolbox. If your intial equity is set to your buying power will be then and you will be able to enter bigger positions. Items which are strikingly hard to come by in trading. Contract intraday bidding definition how to transfer your stocks to robinhood Contract from ib. Value investing typically has low Sharpe ratio and large drawdown, but it has very high capacity. There is also a new checkbox in quantmod backtesting amibroker afl reference AA settings window: "Allow position size shrinking" - this controls how backtester handles the can you trade stocks in jail day trading tools reviews when requested position size via PositionSize variable exceeds available cash: when this flag is checked the position is entered with size shinked to available cash if it is unchecked the position is not entered.
If we know how much memory is in fact contained in our variables, then we know what we should include in our regression equation which will be the transformed version of the data that gives us only white noise for errors and not the problematic error structure which breaks classical assumptions that justify the use of ols to begin with, thereby leaving us without a need for wls and its extra nuisance parameters - the weights. Leung Ka Chun 61 1 1 bronze badge. I would like to use Tradingview UI for frontend but I am wondering if it is possible to draw these patterns programmatically via their API. Algo software architecture I have the components of a trading robot. The iif function is used to create conditional assignments. Check your settings,. How to add custom Trading Calendar in Zipline I'm using zipline and trying to add a custom calendar to the system so that I can apply it to our country's exchange. This setting controls the minimum price move of given symbol. Backtesting engine in AmiBroker allows to add custom metrics to the report, both in the summary report and in the trade list. Sometimes you have to buy in 10s or s lots. The value of zero means that the symbol has no special round lot size and will use "Default round lot size" global setting from the Automatic Analysis settings page pic. Hi all, One more comment on the use of linear regression. November 20, How to display indicator values in the backtest trade list Backtesting engine in AmiBroker allows to add custom metrics to the report, both in the summary report and in the trade list. There are a couple of important aspects worth pointing out: 1. Hi Jack, Yes, Ve and Vw are assumed to be constant matrices. Hi Ernie - quick question if you don't mind the time.
January 20, 2016
For example: strategy. Symbol Trade Date Price Ex. I have attempted to adapt the equations from example 3. In fact, I find the opposite to be true, as short time scales prevents extraneous events from disrupting the model. Loop through an API that provides a specific value and only update the Variable if the new value is higher than current assigned Value I have the following code and could use some assistance. The following formula consists of two functions. Also on the next page you suggest weighting this as a function of the traded volume. Lets start over. The code below shows how to do that using custom backtester. Som in order to back-test short trades you need to assign short and cover variables. Exploration only: defines the number of your own columns excluding predefined ticker and date columns and assign the column value to the variable. Any legal AFL expression followed by a semicolon is interpreted as a statement, known as expression statement. Therefore, I can go long or short up to but not over.
I am a freshman in quantitative research. Max claims that WLS solves this problem, but my experience has been that it makes no significant difference, and you seem to agree. Code and full error In fact, many people call Ben Graham the first "quant". The number of variables used in a formula is not limited. Sahil Swaroop 41 3 3 bronze badges. Thanks for sharing! There is no explicit lookback for computing this covariance. The value of zero means that the symbol has no special round lot size and will use "Default round lot size" global setting from the Will people buy penny stock shares option assignment robinhood Analysis settings page pic. Any help on this would be much appreciated! There are 78 datapoints each day. Hot Network Questions. It contains three parameters as shown in the following example.
I searched the tradingview wiki, but i didnt understand. GraphZOrder variable allows to change the order of plotting indicator lines. Hi Ernie, I have a quick question regarding the Investmentguru intraday futures and options trading in islam Filter example you have included in your book Winning Strategies and Their Rationale, as a market making model. There are 78 datapoints each day. Please note that 3rd best 2020 stocks under $10 do i need a credit card for brokerage account of ApplyStop function the amount is sampled at the trade entry and held troughout the trade. I am creating a new column "signal", which will take the values "signal" or "none" based on some conditions. Please note that variables marked as obsolete should NOT be used in new coding. Hi Boris, I assume you are regressing A. That method can be summarized as follows: gain a detailed understanding of a stock or bond security through research, buy when the price is much lower than what it's really worth i. One way to directly apply linear regression to trading is to use it in place of moving averages. When parentheses are not used, the precedence is as follows higher precedence listed first :. Thanks, aagold. Bidyut Chakraborty 9 3 3 bronze badges. Hi Ben, Actually, I should have written Eq. The progress window will show you estimated completion time. I don't control the server, only the client. GBord, I recommend that you start with some simple system and practice using the backtester and the what is a forex robot what does multiplier mean in forex capabilities.
This is in the very least misleading from my point of view, or simply wrong. I think another commenter here alluded to this fact that the weights we choose for wls are a nuisance parameter we might want to somehow average out or avoid altogether. I think it is linear regression with MA and original data itself when set to GM 1,1. Here is a simple way to do this in R if anyone wants to fiddle around. What people usually have in mind as algorithmic or quantitative trading typically occur at a higher frequency. The default value of Account margin is For e. If I have the first day of week in Weekly Time-compression interday settings set to Friday I would like to have the price data from Monday use to place the trade. Am I missing something here? Improved experience for users with review suspensions. Therefore, it is likely that there is an error in your implementation, but without some details your code and results it is pretty difficult for anyone to help you. Symbol Trade Date Price Ex. Boris, Yes, as long as each point move represents the same dollar amount, you can run your LR on any price series. Without going into more detail or providing code for now I'm wondering if anyone else experienced the same issue in their implementation.. Try lagging the variables in the regression equation 4.
Then — we need to type-in our metric name into the Optimization Target box: The name we enter must quantmod backtesting amibroker afl reference an exact match of the metric name we how to estimate etf price targets lundin gold stock price defined in AddCustomMetric method. More details: " Tutorial: Portfolio Backtesting ". Its values are given by Eq. Am I missing something here? AFL scripting host is an advanced topic that is covered in a separate document available here and I won't discuss it in this document. The bulk download uses this call to download all EOD data for all Use Data window instead or use Plot with styleHidden if you want to add your custom values to data tooltip. Here is my code and result follow 1 From Back test 2 Explore showing detail data All you need to do is to specify the input array and averaging period, so the day exponential moving average of closing prices can be obtained by the following statement:. Use a stationary transformation differencing on any non-stationary variables 3. Christophe, I am not sure what you meant by "forced to update the measurement matrix within each iteration". Hi Erine Roughly, how much you have to spend on setting up the infrastructure co-location of HFT business, those hardware seems pretty expensive. String constants, also known as string literalsform a special category of constants used to handle fixed sequences of characters and are written as a sequence of any number of characters surrounded by double quotes: " Metatrader 4 secrets shark fin trading indicator is literally a string". The default value of Account margin is Do those values remain constant in the remaining calculations shown on page 79 where you have: Eq 3. The code is pretty straightforward mid-level custom backtest loop but it uses one trick — setting signal price to -1 tells AmiBroker to exclude given signal from further processing. It's buy crypto etoro options and considerations when selecting a quantitative proteomics strategy very helpful. See my discussion in Machine Trading, p. It gives "1" or "true" when close price crosses above ema close,
The code below shows how to do that using custom backtester. Noah Bastola 11 4 4 bronze badges. Podcast a few of our favorite haxx. If myobj variable holds the object, using dot operator we can call the methods functions of myobj object:. Variables cannot be assigned within a function call. I think it is linear regression with MA and original data itself when set to GM 1,1. Take modulus of the first operand specified by the value of the second operand; store the result in the object specified by the first operand. In equation 3. Ask Question. What is the point of focusing on HFT when using pair trading and holding them for some days seems to be so much easier? Hi Ernie, I apologize I should have asked you for details before commenting on anything. O should the trader go for other options like volatility trading or such? Getting started with contributing to open source. They are stored in composite tickers for easy retrieval from indicator level. In fact, if we follow the correct procedure for testing non-stationarity, using the acf plots, etc. Hi Boris, I assume you are regressing A. As Max Dama said in a recent excellent article on linear regression: " Som in order to back-test short trades you need to assign short and cover variables. Also, my previous post which mentioned why we would want to use generalized or weighted least squres, after seeing the specific regression equation I felt compelled to add my two cents. Hi Ernie - quick question if you don't mind the time.
Newest algorithmic-trading questions feed. ApplyStop function is intended to cover most "popular" kinds of stops. To yobit wallet poloniex api error 422 this just enter 50 quantmod backtesting amibroker afl reference the Account margin field see pic. AmiBroker uses some reserved variable names in its formulas, for example in Auto-Analysis window you have to assign values to 2 variables named 'buy' or 'sell' to specify the conditions where "buy" and "sell" conditions occur. I have a Ph. Can you elaborate on how you use linear regression in place of moving averages? The following table shows the names of reserved variables used by Automatic Analyser. An ideal hedge fund should encompass both approaches, but etrade pro day trade tracker intervention strategies for letter reversals managers have equally excellent skills in both, not even Jim Simons. Do those values remain constant in the remaining calculations shown on page 79 where you have: Eq 3. If myobj variable holds the object, using dot operator we can call the methods functions of myobj object:. Negative numeric constants have unary minus - prefixed. Lets start. Featured on Meta. You can define it on global how much is enjin coin worth right now wells fargo declining coinbase per-symbol level. Variables cannot be assigned within a function. First you need to have objective or mechanical scottrade vs ameritrade penny stocks tastyworks maintenance excess to enter and exit the market. Hi Ernest, I japanese technical indicators option trade cost started my own blog for my personal usage, can I have your permission to add your link to my blog? One could "optimize" the window size to get the best backtest results but the problem is that tomorrow is a different day. Add the value of the second operand to the value of the first operand; store the result in the object specified by the first operand.
Equation 3. I am thinking about another approach: normalization of the currency pairs should be also achieved by deviding quotes through its related pip value per lot - calculated with ticksize and tickvalue correct? Max in his article referenced above also pointed out a more sophisticated version of linear regression, commonly called "weighted least squares regression" WLS. So you can for example add, subtract, multiply, divide two matrices if they have same dimensions with one call. Trailing stop loss not functioning properly in C - am I using lists wrong? Greatly appreciate the insights. Can you tell me how you are deriving the lot sizes from the calculated coefficients? Newer Post Older Post Home. The technique presented here was choosen because it is easy-to-use does not require changes in your core trading system code — all it needs is to plug-in the custom backtest part. Application design for container based trading development in node. The first character must be a letter.
However, we are not limited to built-in metrics. The trailing stop, as well as two other kind of stops could be enabled from user interface Quantmod backtesting amibroker afl reference analysis' Settings window or from the formula level - using ApplyStop function:. Should this be optimised by finding the lowest MSE? In this chapter we will consider very basic moving average cross over. Alex Treichler 21 3 3 bronze badges. Here is a simple way to do this in Paul romero forex teknik price action manipulation if anyone wants to fiddle. The whole process is very fast - you can how to send neo bittrex to leedger nano s circle bitcoin exchange test thousands of symbols in a matter of minutes. Initially the idea was to allow faster chart redraws through calculating AFL formula only for that part which is visible on the chart. All you need to do is to specify the input array and averaging period, so the day exponential moving average of closing prices can be obtained by the following statement:. Maximum loss stops work in a similar manner - they are executed when the low price for a given day drops below the stop level that can be given as a percentage or point increase from the buying price. Therefore, it is likely that there is an error in your implementation, but without some details your code and results it is pretty difficult for anyone to help you. What is a fast structure to organise collections in MongoDB to store trade data?
So, in our example, typing:. Yet another hyperparameter, to be decided not on economic grounds. First you need to have objective or mechanical rules to enter and exit the market. Add the value of the second operand to the value of the first operand; store the result in the object specified by the first operand. While the high turnover of HFT does allow a small fund to use its small capital base very efficiently, the infrastructure cost for a true HFT strategy is beyond most small funds. Maintaining a Minimum Average Profit When Buying Higher Considering the price and amount of an asset which I have purchased previously, I would like to buy more now while the price is higher. Identifiers in AFL are used to identify variables and functions. So you are right. However, I want the profit percentage of this new amount I buy Hi Erine Roughly, how much you have to spend on setting up the infrastructure co-location of HFT business, those hardware seems pretty expensive. Christophe, I am not sure what you meant by "forced to update the measurement matrix within each iteration". Note that these are not case-specific. If you want to stop the process you can just click Cancel button in the progress window. At such frequency, fundamental information becomes less important.
I am just wondering what makes the difference. If you use stop-and-reverse system always on the market simply assign sell to short and buy to cover. Probably I have no precise understanding. Please note that IIF is a function - so the result of evaluation is returned by that function and should be assigned to some variable. In fact, I find the opposite to be true, as short time scales prevents extraneous events from disrupting the model. Bidyut Chakraborty 9 3 3 bronze badges. I believe my State covariance update was not proper. I have currently set BarCount does NOT change as long as your formula continues execution, but it may change between executions when new bars are tips trading di olymp trade ethereum cfd trading, zoom factor is changed or symbol is changed. The progress window will show you estimated completion time. Identifiers are arbitrary names of any length given to functions and variables.
Maintaining a Minimum Average Profit When Buying Higher Considering the price and amount of an asset which I have purchased previously, I would like to buy more now while the price is higher. Although I think we could conjure up some cases where if the weights were too heavily weighted towards recent data, then we would run into some problems. They identify specific price fields that the formula should operate on. If entered name can not be found in the Optimization result table, then Net Profit will be used instead. Each formula in AFL contains of one or more expression statements. You can examine when the buy and sell signals occurred just by double clicking on the trade in Results pane. For that reason for example to add two matrices they must be the same size the number of rows and columns must be the same. ApplyStop function is intended to cover most "popular" kinds of stops. Hi Kat, Hardware is not expensive. If I run a Backtest with SetTradeDelays 1,1,1,1 and select a Periodicity of Weekly Amibroker will use the price from the preceeding week to place the trade. Exploration is NOT backtest. Using Python and given the following unique items, what is the optimal way to find the pair that matches the two names combined? It sounds good. What are some rules of thumb for minimising WebSocket client latency? I love your books and have both of them and am looking forward to your next book.
Apply filter. The backtester assumes that price data follow tick size requirements and it does not change price arrays supplied by the user. In this chapter we will consider very basic moving average cross over. I have found that in some cases, this equilibrium price results in better mean-reverting models: e. So, my question finally is: has someone already tried to implement a regression with an existing KF package that allows iterating over the measurements? For an asset with high intraday volatility, you might be better off using low frequency data. Identifiers in AFL are used to identify variables and functions. For each day the size of y is 79x1. It's also simple and efficient to implement, but it's not a free lunch. It contains three parameters as shown in the following example. To activate backtest mode in Exploration you have to use Equity function. Ilans 55 5 5 bronze badges. Allows control dollar amount or percentage of portfolio that is invested into the trade more information available in the " Tutorial: Backtesting your trading ideas ". I would like to use Quantmod backtesting amibroker afl reference UI for frontend but I am wondering if it is possible to draw these patterns programmatically via their API. This trade argentine peso futures top marijuanas stocks 2020 usa perform element-wise operation on each element of source matrix and given scalar value. October 23, How to exclude top ranked symbol s in rotational backtest Rotational trading is based on scoring and ranking of multiple symbols based on user-defined criteria. Error on except clause in algo trading code from ib. This step is the base of double line macd indicator can i find option over under priced on tc2000 strategy and you need to think about it yourself since the system must match your risk tolerance, portfolio how to trade futures book anglorand forex, money management techniques, and many other wealthfront funds pot penny stock 2020 factors.
The technique presented here was choosen because it is easy-to-use does not require changes in your core trading system code — all it needs is to plug-in the custom backtest part. I have tested with simple Excel regression and SAS function. The formula below displays the value of ATR indicator for the entry bar of given trade:. Hi sg, For pair trading, you can arbitrarily pick any one price series as independent variable, and the other as dependent. William 1 1 gold badge 16 16 silver badges 35 35 bronze badges. To see actual position sizes please use a new report mode in AA settings window: "Trade list with prices and pos. The default backtest report shows total Net Profit figure, which includes both trading profits and interest earnings. USD, B. When you buy on margin you are simply borrowing money from your broker to buy stock. All these standard operators are performed on matrices element-wise. However, in my 3rd book Machine Trading, I have described using the Econometrics Toolbox's ssm state space model function for estimating them using maximum likelihood estimation. It has two examples on using Kalman filter for trading. What is the point of focusing on HFT when using pair trading and holding them for some days seems to be so much easier? This can give you valuable insight into strengths and weak points of your system before investing real money.
AFL Function Reference - Categorized list of functions
Hot Network Questions. It's also simple and efficient to implement, but it's not a free lunch. How do I assign dynamic key values in a dictionary in Python? Thanks Ernie for the feedback on the regression setup. TenOutOfTen 3 3 silver badges 10 10 bronze badges. Can you elaborate on how you use linear regression in place of moving averages? For e. So, my question finally is: has someone already tried to implement a regression with an existing KF package that allows iterating over the measurements? The bulk download uses this call to download all EOD data for all What are some rules of thumb for minimising WebSocket client latency? Given that it's hardly much extra work to run both models, I would suggest trying both and comparing the models using cross validated root mean squared error. Those numbers agree with glmfit.
Here is a sample that shows how to create custom metric based on per-trade statisitics. Now with version 3. The bulk download uses this call to download all EOD can i day trade us stocks while in china svxy options strategy for all In the latter case the amount parameter defines the percentage of profits that could be lost without activating the stop. If I have the first day of week in Weekly Time-compression interday settings set to Friday I would like to have the price data from Monday use to place the trade. Apply filter. Prev 1 …. So maybe they are the same in nature. The Kalman filtering approach is a really important concept. Check your settings. While the high turnover of HFT does allow a small fund to use its small capital base very efficiently, the infrastructure cost for a true HFT strategy is beyond most small funds. Algorithmic trading is a technique of trading financial assets through an algorithm which has been fully or partially automated into a computer program.
February 4, 2015
T3 is a six-pole non-linear Kalman filter I do enjoy your blog - don't get me wrong. The following formula consists of two functions. Also be aware that the mathematical underpinnings of the Kalman filter assume continuous, normally distributed variables. Ooops: Forgot to press the Reply button. Instead of trying both products as the dependent variable, try an orthogonal regression total least squares approach. AmiBroker now allows you to specify the block size on global and per-symbol level. We assume that the noise is mean-reverting. On the other hand, if the goal were prediction - whether your data, a test subset of your data, validation on another dataset, etc - then using the weights in that matter would be arbitrary and definitely not advisable. String constants, also known as string literals , form a special category of constants used to handle fixed sequences of characters and are written as a sequence of any number of characters surrounded by double quotes: " This is literally a string". I am looking to use a reinforcement algorithm for this. If you want to stop the process you can just click Cancel button in the progress window. O should the trader go for other options like volatility trading or such? I have encountered situations where the hedge ratio changes its sign as data samples rolling forward, completely nonsense and purely an artifact of LR properties and sampling errors. Did you remember to trade it? Could you give us some approximation here comparing those two ways of trading?? It adds value by not assigning regression errors to just one product, but distributes them on an orthogonal basis. When you buy on margin you are simply borrowing money from your broker to buy stock. I am a freshman in quantitative research. Hi Boris, In that case, you have to first convert all the pairs to X.
AmiBroker always does operations within the innermost parentheses. This single AmiBroker feature is can save lots of money for you. The issue I'm having, and I'm not sure where it is in my code I'm coding in Mathematica is that my Intercept term in Beta is staying very low when it shouldn't be. With regard to noise -- for a mean-reversion trader, more noise means more profit opportunities! Firstly what look-back does the var calculation assume and secondly shouldn't Q t be a function of the measurement variable y t not the hidden variable m t? Yes, I implement all my strategies in Matlab. This chapter describes the different categories of word-like units tokens recognized by the AFL language interpreter. The best gpu to mine ravencoin how to make money on cryptocurrency exchange empty string is written "". More details: " Tutorial: Portfolio Backtesting ". Backtesting engine in AmiBroker allows to add custom metrics to the report, both in the summary report and in the trade list. Hi Issy, I am not exactly sure what you mean by "divergence is done on the swing, and not the raw data points". Hi Earnie, I have read the Free stochastic oscillator cross alert chen international trading co signal mountain tn 37377 Filter as Markt Making Model on pages 82 and 83 of your book, but I am not sure the kalman equations have been adapted correctly. AFL does not allow nested comments. Again, one faces the problem of deciding what kind of weights and decay rate to be applied. Ernie, Thank you so much for your reply. Hi, 2 questions: Do you have a copy of the article on Linear regression by Max Dama I can't find it. Error on except clause in algo trading quantmod backtesting amibroker afl reference from ib.
To simulate this just enter 50 in the Account margin field see pic. The number of variables used in vix futures spread trading hedging futures trades formula is not limited. Please note that we are using the same cross function but the opposite order of arguments. Couldn't understand the role of vars in the code [duplicate] So in the code, I am sharing multiple stocks data has been downloaded through a user-defined function and user defined function stores the data in CSV format then the code we have to calculate some Here is a simple way to do this in R if anyone wants to fiddle. I am now using Python 3. AFL scripting host is an advanced topic that is covered in a separate document available here and I won't discuss it in this document. As you can see in the picture above, new settings for profit target stops are available in the system test settings window. This step is the base how to trade intraday stock dividends options strategies your strategy and you need to think about it yourself since the system must match your risk tolerance, portfolio size, money management techniques, and many other individual factors. Marcos 4, 4 4 quantmod backtesting amibroker afl reference badges 33 33 silver badges 60 60 bronze badges. I didn't develop the indicator, so I only have access to the. I'm sure there are many ways to give bitcoin as a gift coinbase goldman sachs trading bitcoin this but I was wondering what sort of results you would expect? One thing worth mentioning is the fact that since scaling-in signals do publicly traded real estate brokerage nest algo trading software store position score this example formula does not support ranking of signals according to user-defined scores. Comments are pieces of text used to annotate a program. Note that these are not case-specific. A Constant expression is an expression that always evaluates to a constant. Here is a sample that shows how coinbase account reference code bitmex seizing us fund create custom metric based on per-trade statisitics. These arrays have the following names: buyprice, sellprice, shortprice and coverprice.
If we know how much memory is in fact contained in our variables, then we know what we should include in our regression equation which will be the transformed version of the data that gives us only white noise for errors and not the problematic error structure which breaks classical assumptions that justify the use of ols to begin with, thereby leaving us without a need for wls and its extra nuisance parameters - the weights. One of the most useful things that you can do in the analysis window is to back-test your trading strategy on historical data. Hi Ernest: I am pretty new in this quant world, I have been reading your posts and I have a question if you don't mind Hi, Did you try grey model? I'm just recently getting into computational finance and I'm enjoying your blog along with all the comments. Using the time series plots and autocorrelation function plots etc. The MA period grows linearly until the next volatility event. By default stops are executed at price that you define as sell price array for long trades or cover price array for short trades. Make sure you have typed in the formula that contains at least buy and sell trading rules as shown above. The code is pretty straightforward mid-level custom backtest loop but it uses one trick — setting signal price to -1 tells AmiBroker to exclude given signal from further processing. The prolonged way I am hoping to avoid is by creating routines to parse a feed with calendar info like I will be looking out for cross over and also price cross them either from up or down.
Introduction
RAW values as they appear in arrays. The noise we don't like is the type that does not mean-revert: for e. Phil 3 2 2 bronze badges. GBord, I recommend that you start with some simple system and practice using the backtester and the exploration capabilities. Constants are tokens representing fixed numeric or character values. I think the implementation of the T3 Kalman filter is too complicated and ad-hoc. There are some predefined identifiers referencing built-in arrays and functions. After the result is obtained, the value of the operand is incremented or decremented. Sorry for the off topic.. The code performs backtest, then iterates through the list of trades and stores each symbol profit in separate variables. The reason I ask such a fundamental question is that my background is very technical and mathematical, much like yours. Almost by definition, high volatility is an indication of high degree of noise around the "true" fundamental value. AFL is a special programming language used to define and create custom indicators, scans, explorations, back-tests and guru commentaries. Use a stationary transformation differencing on any non-stationary variables 3. There are 2 variables generated per symbol, one holding profit for long trades and one for short trades.