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Alan Hull's ActVest Tradestation formula 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 60 | Find the linear regression value in Weekly// *** RANGE *** // Alan Hull's ActVest Tradestation formula converted to AmiBroker // Note this is the old version; His latest (unpublished) version has a slightly higher CC and some other slight variations. SetChartOptions(0,chartShowArrows|chartShowDates);//_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) Vol " +WriteVal( V, 1.0 ) +" {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 )) ));TimeFrameSet(inWeekly); //Use weekly data // Central Cord - Find the Highest linear regression value in 13 to 52 week range i = 52; CC = 0; while (i > 12) { LR = LinearReg(C, i); CC = Max(CC, LR); i = i-1; } //Boundary displacement // 23.6%, 38.2%, 50.0%, 61.8%, 100%, 161.8%, 261.8% and 423.6% // dodatek//MoveUP = 2.618 * CC * ATR(52)/MA(C,52); // ory//MoveDown = 2.618 * CC * ATR(52)/MA(C,52); // ory//MoveUP = 1.618 * CC * ATR(52)/EMA(C,52); //MoveDown = 1.618 * CC * ATR(52)/EMA(C,52); MoveUP = 1.618 * CC * ATR(52)/WMA(C,52); MoveDown = 1.618 * CC * ATR(52)/WMA(C,52); // Upper deviation UD = CC + MoveUp; // Lower deviation LD = CC - MoveDown; for (i = 1; i < BarCount; i++ ) { if (LD[i] < LD[i-1]) // if falling LD[i] = LD[i-1]; // then hold value if (LD[i] >= CC[i]) // if collides with descending central cord LD[i] = CC[i]; // then follow central cord } // Now plot it all Plot(C, "", colorBlack, styleCandle);Plot(UD,"\nUpper deviation",colorGreen,1); Plot(CC,"Central Cord",colorBlue,1); Plot(LD,"Lower deviation",colorRed,1); TimeFrameRestore(); |