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CenterOfGravity for Amibroker (AFL)
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 | // CenterOfGravity.afl//// Trading system based on John Ehlers’// Center of Gravity Oscillator.// Quantitative Trading System - Dr. Howard B.Bandy// Cybernetic Analysis for Stocks and Futures,// Wiley, 2004.//SetTradeDelays(0,0,0,0);BuyPrice = C;SellPrice = C;SetBarsRequired(200, 0);function CGOscillator(Price, Length){ Result = 0; for (i=length; i< BarCount; i++) { Num = 0; Denom = 0; for (j=0; j<Length; j++) { Num = Num + (1 + j) * Price[i-j]; Denom = Denom + Price[i-j]; } if (Denom != 0) Result[i] = 100.0 * ((-Num / Denom) + (Length + 1)/2);}return Result;}Price = (H + L) / 2;CGOLength = Param("CGOLength", 13, 1, 250, 10);CGO = CGOscillator(Price, CGOLength);SmLength = Param("SmLength", 2, 1, 20, 2);CGOSmoothed = DEMA(CGO,SmLength);Buy = Cross(CGO,CGOSmoothed);HoldDays = Param("HoldDays",6,1,10,1);Sell = Cross(CGOSmoothed, CGO) OR (BarsSince(Buy) >= HoldDays);Sell = ExRem (Sell,Buy);e = Equity();shape = Buy * shapeUpArrow + Sell * shapeDownArrow;Plot( Close, "Price", colorBlack, styleCandle );PlotShapes( shape, IIf( Buy, colorGreen, colorRed ), 0, IIf( Buy, Low, High ) );GraphXSpace = 5;Plot(e,"Equity",colorRed,styleLine|styleOwnScale);Plot(CGO, "CG Oscillator", colorRed, styleLine|styleLeftAxisScale);Plot(CGOSmoothed, "CGO Smoothed", colorBlue, styleLine|styleLeftAxisScale);//Figure 10.1 Center of Gravity |