I've spent a good amount of time with Amibroker, and it's a powerful tool once you get the hang of it. Here are some thoughts based on your questions:
Data Sources: For reliable historical data, consider platforms like Norgate Data, which integrates well with Amibroker. They offer up-to-date and accurate data, though it comes at a cost. Other options might include Yahoo Finance or Quandl for more budget-friendly alternatives.
Backtest Settings: Ensure you configure your backtest settings to reflect realistic trading conditions. This includes setting up appropriate slippage, commissions, and choosing the right timeframe. Also, use a realistic time window that reflects the market conditions you're aiming to trade.
Common Pitfalls: One of the biggest mistakes is not accounting for survivorship bias, which can lead to overly optimistic results. Also, avoiding skipping the step of in-sample and out-of-sample testing to validate your strategy is crucial.
Optimization Tips: To avoid overfitting, use walk-forward optimization techniques. This involves dividing your data into training and testing segments and iteratively refining your strategy, ensuring it holds up in unseen data.
Integration with Other Tools: Many users integrate Amibroker with Excel for custom analytics and reporting. Some advanced users also link it with trading platforms like Interactive Brokers for automated trade executions. APIs can be helpful here for data syncing and execution.
Overall, take the time to experiment with different setups and stay updated with the latest Amibroker forums and user groups, as they're invaluable for shared experiences and insights.