AmiBroker Parity Test

Steps

1. 1Open AmiBroker with your Norgate data subscription active.
2. 2Create a new formula (Analysis → Formula Editor) and paste the AFL code on the right.
3. 3In Analysis → Settings, set Periodicity to Daily.
4. 4Set the backtest date range: From 2020-01-01 To 2021-06-30.
5. 5Set the watchlist/database to the SP500 Norgate database (historical constituents). Make sure UseHistorical is on in the AFL — it is set in the code.
6. 6Verify in Analysis → Settings: Commission = $0, backtestRegularRaw mode (set in code).
7. 7Click Backtest and wait for it to complete.
8. 8In the Results pane, switch to the Trades tab. Right-click → Export → save as ami_trades.csv. Required columns: Symbol, Entry Date, Entry Price, Exit Date, Exit Price.
9. 9Send back: ami_trades.csv. We will run the diff script and compare it to the engine fills.

// ============================================================
// PARITY AFL: Nick Final Code v1.1 → api-v2 engine match
// Backtest 600: SP500 historical constituents, $SPX (Norgate)
// 2020-01-01 → 2021-06-30 | $100k | 4 positions | 25% each
// Commission: 0 | Slippage: 0 | Round lots
//
// delays=1  → signal bar = T-1 (matches engine's ranking_date)
// no Ref(-1) → indicators computed at signal bar = correct T-1 data
// BuyPrice=O → entry at next-bar open = engine's Open[T]
// ApplyStop(2,True) → exit at Close[T+2] = engine's max_hold_days=2
// ============================================================

SetBacktestMode( backtestRegularRaw );
SetTradeDelays( 1, 1, 1, 1 );

SetOption( "InitialEquity",               100000 );
SetOption( "MaxOpenPositions",            4 );
SetOption( "CommissionMode",              3 );
SetOption( "CommissionAmount",            0.00 );
SetOption( "AllowSameBarExit",            False );
SetOption( "PriceBoundChecking",          False );
SetOption( "UsePrevBarEquityForPosSizing", True );

SetPositionSize( 25, spsPercentOfEquity );
RoundLotSize = 1;

BuyPrice  = O;
SellPrice = O;

// ── Universe: point-in-time SP500 constituents via Norgate ───
#include_once "Formulas\Norgate Data\Norgate Data Functions.afl"
inindex = NorgateIndexConstituentTimeSeries( "$SPX" );

Buy = Sell = Short = Cover = 0;

// ── Ranking: ROC(60) at signal bar (= T-1 data) ─────────────
// No Ref(-1) here. With delays=1, the signal bar IS T-1.
// Adding Ref(-1) would compute at T-2, one bar staler than our engine.
PositionScore = ROC( Close, 60 );

// ── Entry filters (T-1 data — signal bar) ────────────────────
priceReq     = Close > 5;
BuyCondition = RSI( 2 ) <= 10
               AND Close < MA( Close, 20 )
               AND priceReq
               AND inindex;

Buy = ExRem( BuyCondition, Sell );

// ── Time exit: Close[T+2] matches max_hold_days=2 ────────────
// ApplyStop with ExitAtStop=True exits at close of bar E+2
// where E is the execution bar (= T). N=2 → Close[T+2]. ✓
// Do NOT use the original loop — it exits at Open[T+3].
ApplyStop( stopTypeNBar, stopModeBars, 2, True );