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Kenzie SR System for Amibroker (AFL)
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//------------------------------------------------------------------------------ // // Kenzie SR System - 09/2010 // Modified By Kenzie Sebastian (kenziesr@yahoo.co.id) // Shared for milis amibroker-4-bei@yahoogroups.com // //------------------------------------------------------------------------------ SetBarsRequired(200,0); GraphXSpace = 7; SetChartOptions(0,chartShowArrows|chartShowDates); //---------------Color------------------------ per1=6; per2=2; Om=MA(O,per1); hm=MA(H,per1); lm=MA(L,per1); Cm=MA(C,per1); HACLOSE=(Om+Hm+Lm+Cm)/4; HaOpen = AMA( Ref( HaClose, -1 ), 0.5 ); HaHigh = Max( Hm, Max( HaClose, HaOpen ) ); HaLow = Min( Lm, Min( HaClose, HaOpen ) ); Of=MA(Haopen,per2); Cf=MA(Haclose,per2); Lf=IIf(haOpen<haClose,MA(Halow,per2),MA(Hahigh,per2)); Hf=IIf(haOpen<haClose,MA(Hahigh,per2),MA(Halow,per2)); //Color = IIf( Cf > Of, colorGreen, colorRed ); //---------------------------------------------------- TrailStop = HHV( C - 2 * ATR(10), 15 ); ProfitTaker = EMA( H, 13 ) + 2 * ATR(10); /* ********************************** Code to automatically identify pivots ********************************** */ // -- what will be our lookback range for the hh and ll? farback=140; //How Far back to go nBars = 12; //Number of bars // -- Create 0-initialized arrays the size of barcount aHPivs = H - H; aLPivs = L - L; // -- More for future use, not necessary for basic plotting aHPivHighs = H - H; aLPivLows = L - L; aHPivIdxs = H - H; aLPivIdxs = L - L; nHPivs = 0; nLPivs = 0; lastHPIdx = 0; lastLPIdx = 0; lastHPH = 0; lastLPL = 0; curPivBarIdx = 0; // -- looking back from the current bar, how many bars // back were the hhv and llv values of the previous // n bars, etc.? aHHVBars = HHVBars(H, nBars); aLLVBars = LLVBars(L, nBars); aHHV = HHV(H, nBars); aLLV = LLV(L, nBars); // -- Would like to set this up so pivots are calculated back from // last visible bar to make it easy to "go back" and see the pivots // this code would find. However, the first instance of // _Trace output will show a value of 0 aVisBars = Status("barvisible"); nLastVisBar = LastValue(Highest(IIf(aVisBars, BarIndex(), 0))); _TRACE("Last visible bar: " + nLastVisBar); // -- Initialize value of curTrend curBar = (BarCount-1); curTrend = ""; if (aLLVBars[curBar] < aHHVBars[curBar]) { curTrend = "D"; } else { curTrend = "U"; } // -- Loop through bars. Search for // entirely array-based approach // in future version for (i=0; i<BarCount; i++) { curBar = (BarCount - 1) - i; // -- Have we identified a pivot? If trend is down... if (aLLVBars[curBar] < aHHVBars[curBar]) { // ... and had been up, this is a trend change if (curTrend == "U") { curTrend = "D"; // -- Capture pivot information curPivBarIdx = curBar - aLLVBars[curBar]; aLPivs[curPivBarIdx] = 1; aLPivLows[nLPivs] = L[curPivBarIdx]; aLPivIdxs[nLPivs] = curPivBarIdx; nLPivs++; } // -- or current trend is up } else { if (curTrend == "D") { curTrend = "U"; curPivBarIdx = curBar - aHHVBars[curBar]; aHPivs[curPivBarIdx] = 1; aHPivHighs[nHPivs] = H[curPivBarIdx]; aHPivIdxs[nHPivs] = curPivBarIdx; nHPivs++; } // -- If curTrend is up...else... } // -- loop through bars } // -- Basic attempt to add a pivot this logic may have missed // -- OK, now I want to look at last two pivots. If the most // recent low pivot is after the last high, I could // still have a high pivot that I didn't catch // -- Start at last bar curBar = (BarCount-1); candIdx = 0; candPrc = 0; lastLPIdx = aLPivIdxs[0]; lastLPL = aLPivLows[0]; lastHPIdx = aHPivIdxs[0]; lastHPH = aHPivHighs[0]; if (lastLPIdx > lastHPIdx) { // -- Bar and price info for candidate pivot candIdx = curBar - aHHVBars[curBar]; candPrc = aHHV[curBar]; if ( lastHPH < candPrc AND candIdx > lastLPIdx AND candIdx < curBar) { // -- OK, we'll add this as a pivot... aHPivs[candIdx] = 1; // ...and then rearrange elements in the // pivot information arrays for (j=0; j<nHPivs; j++) { aHPivHighs[nHPivs-j] = aHPivHighs[nHPivs- (j+1)]; aHPivIdxs[nHPivs-j] = aHPivIdxs[nHPivs-(j+1)]; } aHPivHighs[0] = candPrc ; aHPivIdxs[0] = candIdx; nHPivs++; } } else { // -- Bar and price info for candidate pivot candIdx = curBar - aLLVBars[curBar]; candPrc = aLLV[curBar]; if ( lastLPL > candPrc AND candIdx > lastHPIdx AND candIdx < curBar) { // -- OK, we'll add this as a pivot... aLPivs[candIdx] = 1; // ...and then rearrange elements in the // pivot information arrays for (j=0; j<nLPivs; j++) { aLPivLows[nLPivs-j] = aLPivLows[nLPivs-(j+1)]; aLPivIdxs[nLPivs-j] = aLPivIdxs[nLPivs-(j+1)]; } aLPivLows[0] = candPrc; aLPivIdxs[0] = candIdx; nLPivs++; } } //============== EXPLORATION ============== Buy=Cover=aLPivs==1; Sell=Short=aHPivs==1; SellPrice=ValueWhen(Sell,C,1); BuyPrice=ValueWhen(Buy,C,1); Long=Flip(Buy,Sell); Shrt=Flip(Sell,Buy ); //============== Plot price ============== n = 15; a = C > (MA(H,n)+MA(L,n))/2;// then Buy next bar at market; b = C < (MA(H,n)+MA(L,n))/2;// then Sell Short next bar at market; state=IIf(BarsSince(a)<BarsSince(b),1,0); Longs=state==1; shorts=state==0; //Chart Colorbar = IIf(Longs, colorGreen, IIf(Shorts, colorRed, colorGrey40)); Plot( C, "Close", colorbar, styleCandle = 64 | styleNoTitle ); //============== Plot Shape ============== PlotShapes( IIf(aHPivs==1, shapeDownArrow, shapeNone), colorOrange, 0, High, Offset=-12); PlotShapes( IIf(aLPivs==1, shapeUpArrow , shapeNone), colorLime, 0, Low, Offset=-12); //============== EMA(13) ============== Plot(EMA(C, 13), "", colorWhite, styleLine+styleNoRescale); //============== TRENDING ============== DTL=150; // DTL = Define Trend Long DTM=70; // DTM = Define Trend Medium DTS=14; // DTS = Define Trend Short TL=LinRegSlope(MA(C, DTL),2); // TL = Trend Long TM=LinRegSlope(MA(C, DTM),2); // TM = Trend Medium TS=LinRegSlope(MA(C, DTS),2); // TS = Trend Short TLL=IIf(LinRegSlope(MA(C, DTL),2) > 0,True, False); TMM=IIf(LinRegSlope(MA(C, DTM),2) > 0,True, False); TSS=IIf(LinRegSlope(MA(C, DTS),2) > 0,True, False); //============== VOLUME ============== Vlp=30; //Volume lookback period Vrg=MA(V,Vlp); St = StDev(Vrg,Vlp); Vp3 = Vrg + 3*st; Vp2 = Vrg + 2*st;; Vp1 = Vrg + 1*st;; Vn1 = Vrg -1*st; Vn2 = Vrg -2*st; //============== WILLIAM'S %R ============== WR = ((HHV(H,14) - C) /(HHV (H,14) -LLV (L,14))) *-100; //============== A/D ============== TRH = IIf(Ref(C, -1) > H, Ref(C, -1), H); TRL = IIf(Ref(C, -1) < L, Ref(C, -1), L); ad = IIf(C > Ref(C, -1), C - TRL, IIf(C < Ref(C, -1), C - TRH, 0)); WAD = Cum(ad); wu = wad > Ref(wad,-1); wd = wad < Ref(wad,-1); //============== MACD ============== MB= Cross (MACD(), Signal()); MS = Cross( Signal(), MACD()); MB = ExRem(MB, MS); MS = ExRem(MS, MB); MB1= MACD() > Signal(); MS1= MACD() < Signal(); //============== STOCH ============== StochKval = StochK(10,5); StochDval = StochD(10,5,5); StochBuy = Cross(StochK(10,5), StochD(10,5,5)); StochSell = Cross (StochD(10,5,5), StochK(10,5)); StBuy=StochK(10,5)>StochD(10,5,5); StSell=StochK(10,5)<StochD(10,5,5); //============== ADX ============== adxBuy = Cross(PDI(14), MDI(14)); adxSell = Cross(MDI(14), PDI(14)); adxBuy = ExRem(adxBuy, adxSell); adxSell = ExRem(adxSell, adxBuy); adxbuy1 = PDI(14) > MDI(14); adxsell1 = MDI(14)> PDI(14); //============== TMA ============== function ZeroLagTEMA( array, period ) { TMA1 = TEMA( array, period ); TMA2 = TEMA( TMA1, period ); Diff = TMA1 - TMA2; return TMA1 + Diff ; } haClose = ( haClose + haOpen + haHigh + haLow )/4; periodtm = 55; ZLHa = ZeroLagTEMA( haClose, periodtm ); ZLTyp = ZeroLagTEMA( Avg, periodtm ); TMBuy = Cross( ZLTyp, ZLHa ); TMSell = Cross( ZLHa, ZLTyp ); TMBuy1= ZLTyp> ZLHa ; TMSell1=ZLHa> ZLTyp ; //============== ZLW ============== R = ((HHV(H,14) - C) /(HHV (H,14) -LLV (L,14))) *-100; MaxGraph=10; PeriodZ= 10; EMA1= EMA(R,PeriodZ); EMA2= EMA(EMA1,5); Difference= EMA1 - EMA2; ZeroLagEMA= EMA1 + Difference; PR=100-abs(ZeroLagEMA); MoveAvg=MA(PR,5); ZBuy = Cross(PR,moveAvg) AND PR<30; ZSell = Cross(moveAvg,PR) AND PR>70; ZBuy1= PR>= MoveAvg AND PR>= Ref(PR,-1) ; ZSell1=(PR < MoveAvg) OR PR>= MoveAvg AND PR< Ref(PR,-1) ; //============== RS ============== p = (H+L+C)/3; r1 = (2*p)-L; s1 = (2*p)-H; r2 = p +(r1 - s1); s2 = p -(r2 - s1); R3 = P + (R2 - S2); S3 = P - (R3 - S2); //============== IBUY ============== Ibuy = Cross(RSI(14), EMA(RSI(14),9)); Isell = Cross(EMA(RSI(14),9), RSI(14)); Ibuy = ExRem(Ibuy, ISell); Isell = ExRem(ISell, Ibuy); BlRSI = RSI(14) > EMA(RSI(14),9); BrRSI = RSI(14) < EMA(RSI(14),9); //============== TITLE ============== _SECTION_BEGIN("Title"); if( Status("action") == actionIndicator ) ( Title = EncodeColor(colorGold)+ "Kenzie SR System" + EncodeColor(colorRose)+" (" + Name() + ") " + EncodeColor(colorGold)+ Interval(2) + " " + Date() +" " +" • Open "+WriteVal(O,1.0)+" • "+"Hi "+WriteVal(H,1.0)+" • "+"Lo "+WriteVal(L,1.0)+" • "+ "Close "+WriteVal(C,1.0)+" ("+WriteVal(C-Ref(C,-1),1,0)+" "+WriteVal((C-Ref(C,-1))*100/Ref(C,-1),1.1)+ "%) • Vol= "+ WriteVal(V,1.0) +" "+WriteIf(V>Vp2,EncodeColor(colorLime)+"(Very High)",WriteIf(V>Vp1,EncodeColor(colorLime)+"(High)",WriteIf(V>Vrg,EncodeColor(colorLime)+"(Above Average)", WriteIf(V<Vrg AND V>Vn1,EncodeColor(ColorRGB(255,0,128))+"(Less than Average)",WriteIf(V<Vn1,"(Low)","")))))+EncodeColor(colorGrey50)+" • " +EncodeColor(colorWhite)+"EMA(Close,13) = "+WriteVal(EMA(C,13),1.2) +"\n"+EncodeColor(colorGrey50)+"--------------------------------------" +"\n"+EncodeColor(colorGold)+ WriteIf (Buy , "Signal: Go Long - Entry Price: "+WriteVal(C,1.0)+" - Last Exit Price: "+WriteVal((SellPrice),1.0) +" ("+WriteVal((BuyPrice-SellPrice),1.0)+") - StopLoss: "+WriteVal(C*.97,1.0)+" - Reward Risk Ratio: "+WriteVal((profittaker-C)/(C-C*0.95),1.2)+" - "+EncodeColor(colorLime)+"Strong Buy!" ,"")+ WriteIf (Sell , "Signal: Go Short - Exit Price: "+WriteVal(C,1.0)+" - Profit: "+WriteVal((SellPrice-BuyPrice),1.0)+" ("+WriteVal(((SellPrice-BuyPrice)*100/BuyPrice),1.1)+"%)"+" - Profit Taking!","")+ EncodeColor(ColorRGB(111,208,255))+ WriteIf(Long AND NOT Buy, "Trade: Long - Entry Price: "+WriteVal((BuyPrice),1.0)+" - Profit: "+WriteVal((C-BuyPrice),1.0)+" ("+WriteVal(((C-BuyPrice)*100/BuyPrice),1.1)+"%)"+ " - StopLoss:"+WriteVal((BuyPrice*.97),1.0)+" - Reward Risk Ratio: "+WriteVal((profittaker-BuyPrice)/(BuyPrice-BuyPrice*0.95),1.2)+" - "+EncodeColor(colorLime)+"Let your profit runs!","")+ WriteIf(shrt AND NOT Sell, "Trade: Short - Exit Price: "+WriteVal((SellPrice),1.0)+" - Profit: "+WriteVal((SellPrice-BuyPrice),1.0)+" ("+WriteVal(((SellPrice-BuyPrice)*100/BuyPrice),1.1)+"%) - "+EncodeColor(colorLime)+"Watch for Strong Buy Signal!","") +"\n"+EncodeColor(colorGrey50)+"--------------------------------------" +"\n"+EncodeColor(colorGold)+"• Short Term: "+ WriteIf(TS>0 AND TS<0.3,EncodeColor(colorLime)+"Weak Up Trend", WriteIf(TS>=0.3 AND TS<0.6 ,EncodeColor(colorBrightGreen)+"Medium Up Trend", WriteIf(TS>=0.6,EncodeColor(colorGreen)+"Strong Up Trend", WriteIf(TS<0 AND TS>-0.3,EncodeColor(colorPink)+"Weak Down Trend", WriteIf(TS<=-0.3 AND TS>-0.6 ,EncodeColor(ColorRGB(255,0,128))+"Medium Down Trend", WriteIf(TS<=-0.6,EncodeColor(colorRed)+"Strong Down Trend",EncodeColor(colorGrey50)+"Sideways")))))) +"\n"+EncodeColor(colorGold)+"• Mid Term: "+ WriteIf(TM>0 AND TM<0.3,EncodeColor(colorLime)+"Weak Up Trend", WriteIf(TM>=0.3 AND TM<0.6 ,EncodeColor(colorBrightGreen)+"Medium Up Trend", WriteIf(TM>=0.6,EncodeColor(colorGreen)+"Strong Up Trend", WriteIf(TM<0 AND TM>-0.3,EncodeColor(colorPink)+"Weak Down Trend", WriteIf(TM<=-0.3 AND TM>-0.6 ,EncodeColor(ColorRGB(255,0,128))+"Medium Down Trend", WriteIf(TM<=-0.6,EncodeColor(colorRed)+"Strong Down Trend",EncodeColor(colorGrey50)+"Sideways")))))) +"\n"+EncodeColor(colorGold)+"• Long Term: "+ WriteIf(TL>0 AND TL<0.3,EncodeColor(colorLime)+"Weak Up Trend", WriteIf(TL>=0.3 AND TL<0.6 ,EncodeColor(colorBrightGreen)+"Medium Up Trend", WriteIf(TL>=0.6,EncodeColor(colorGreen)+"Strong Up Trend", WriteIf(TL<0 AND TL>-0.3,EncodeColor(colorPink)+"Weak Down Trend", WriteIf(TL<=-0.3 AND TL>-0.6 ,EncodeColor(ColorRGB(255,0,128))+"Medium Down Trend", WriteIf(TL<=-0.6,EncodeColor(colorRed)+"Strong Down Trend",EncodeColor(colorGrey50)+"Sideways")))))) +"\n"+EncodeColor(colorGrey50)+"--------------------------------------" +"\n"+EncodeColor(47)+"• AccDist(): " + WriteIf(wu,EncodeColor(colorBrightGreen)+"Accumulation",WriteIf(wd,EncodeColor(colorRed)+"Distribution","Neutral")) +"\n"+ EncodeColor(47) +"• RSI(14): " +WriteIf(RSI(14)>30 AND RSI(14)<70,EncodeColor(colorBrightGreen),WriteIf(RSI(14)<30 ,EncodeColor(07),EncodeColor(colorRed))) + WriteVal(RSI(14),format=1.1) +WriteIf(RSI(14)>30 AND RSI(14)<70," Range"+EncodeColor(colorBrightGreen),WriteIf(RSI(14)<30 ," OverSold"+EncodeColor(07)," OverBought"+EncodeColor(colorRed))) +"\n"+ EncodeColor(47) +"• CCI(14): " +WriteIf(CCI(14)>-100 AND CCI(14)<100,EncodeColor(colorBrightGreen),WriteIf(CCI(14)<-100 ,EncodeColor(07),EncodeColor(colorRed))) + WriteVal(CCI(14),format=1.1) +WriteIf(CCI(14)>-100 AND CCI(14)<100," Range"+EncodeColor(colorBrightGreen),WriteIf(CCI(14)<-100 ," OverSold"+EncodeColor(07)," OverBought"+EncodeColor(colorRed))) +"\n"+ EncodeColor(47) +"• ROC(C,14): " +WriteIf(ROC(C,14)>-10 AND ROC(C,14)<10,EncodeColor(colorBrightGreen),WriteIf(ROC(C,14)<-10 ,EncodeColor(07),EncodeColor(colorRed))) + WriteVal(ROC(C,14),format=1.1) +WriteIf(ROC(C,14)>-10 AND ROC(C,14)<10," Range"+EncodeColor(colorBrightGreen),WriteIf(ROC(C,14)<-10 ," OverSold"+EncodeColor(07)," OverBought"+EncodeColor(colorRed))) +"\n"+ EncodeColor(47) +"• Wm%R(14): " +WriteIf(WR>-80 AND WR<-20,EncodeColor(colorBrightGreen),WriteIf(WR<-80 ,EncodeColor(07),EncodeColor(colorRed))) + WriteVal(WR,format=1.1) +WriteIf(WR>-80 AND WR<-20," Range"+EncodeColor(colorBrightGreen),WriteIf(WR<-80 ," OverSold"+EncodeColor(07)," OverBought"+EncodeColor(colorRed))) +"\n"+EncodeColor(colorGrey50)+"--------------------------------------" +"\n"+EncodeColor(colorGold)+"• Signal(IBuy): " + WriteIf(Ibuy,EncodeColor(colorBrightGreen)+"BuyWarning",WriteIf(Isell,EncodeColor(colorRed)+"SellWarning",WriteIf(BlRSI,EncodeColor(colorBrightGreen)+"BullishZone",WriteIf(BrRSI,EncodeColor(colorRed)+"BearishZone","Neutral")))) +"\n"+EncodeColor(colorGold)+"• Signal(TMA): " + WriteIf(TMBuy,EncodeColor(colorBrightGreen)+"Buy",WriteIf(TMSell,EncodeColor(colorRed)+"Sell",WriteIf(TMBuy1,EncodeColor(colorBrightGreen)+"Bullish",WriteIf(TMSell1,EncodeColor(colorRed)+"Bearish","Neutral")))) +"\n"+EncodeColor(colorGold)+"• Signal(MACD): " + WriteIf(MB,EncodeColor(colorBrightGreen)+"Buy",WriteIf(MS,EncodeColor(colorRed)+"Sell",WriteIf(MB1,EncodeColor(colorBrightGreen)+"Bullish",WriteIf(MS1,EncodeColor(colorRed)+"Bearish","Neutral")))) +"\n"+EncodeColor(colorGold)+"• Signal(Stoch): " + WriteIf(StochBuy,EncodeColor(colorBrightGreen)+"Buy",WriteIf(StochSell,EncodeColor(colorRed)+"Sell",WriteIf(StBuy,EncodeColor(colorBrightGreen)+"Bullish",WriteIf(StSell,EncodeColor(colorRed)+"Bearish","Neutral")))) +"\n"+EncodeColor(colorGold)+"• Signal(ADX): " + WriteIf(adxBuy,EncodeColor(colorBrightGreen)+"Buy",WriteIf(adxSell,EncodeColor(colorRed)+"Sell",WriteIf(adxBuy1,EncodeColor(colorBrightGreen)+"Bullish",WriteIf(adxSell1,EncodeColor(colorRed)+"Bearish","Neutral")))) +"\n"+EncodeColor(colorGrey50)+"--------------------------------------" +"\n"+ EncodeColor(47) +"• TrStop: " +EncodeColor(colorLime)+ WriteVal(TrailStop,format=1.0) + EncodeColor(47) +" TrgPrice: " + EncodeColor(colorLime)+WriteVal(Profittaker,format=1.0) +"\n"+ EncodeColor(47) +"• R1: " +EncodeColor(colorOrange)+ WriteVal(r1,format=1.0) + EncodeColor(47) +" R2: " + EncodeColor(colorOrange)+WriteVal(r2,format=1.0) + EncodeColor(47) +" R3: " + EncodeColor(colorOrange)+WriteVal(r3,format=1.0) +"\n"+ EncodeColor(47) +"• S1: " +EncodeColor(colorOrange)+ WriteVal(s1,format=1.0) + EncodeColor(47) +" S2: " + EncodeColor(colorOrange)+WriteVal(s2,format=1.0) + EncodeColor(47) +" S3: " + EncodeColor(colorOrange)+WriteVal(s3,format=1.0) +"\n"+EncodeColor(colorGrey50)+"--------------------------------------" ); //============== BACKGROUND NAME ============== pxwidth = Status("pxwidth"); pxheight = Status("pxheight"); GfxSetOverlayMode(1); GfxSetBkMode(0); // transparent GfxSelectFont("Amienne", Status("pxheight")/15); GfxSetTextColor( colorGrey40 ); //GfxTextOut( "Kenzie Sebastian", Status("pxwidth")/5.3, Status("pxheight")/5 ); //============================ ////BACKGROUND COLOR//////////////////////////////////////////////////////// //SetChartBkColor(ColorRGB(255,200,255)); //SetChartBkGradientFill( colorPlum, colorPlum); ///////////////////////////////////////////////////////////////////////////////////// _SECTION_END(); _SECTION_BEGIN("Keltner Bands"); P = ParamField("Price field",-1); Periods = Param("Periods", 15, 2, 300, 1 ); Width = Param("Width", 2, 0, 10, 0.05 ); Color = ParamColor("Color", colorCycle ); Style = ParamStyle("Style"); CenterLine = MA( P, Periods ); KTop = CenterLine + Width * ATR( Periods ); KBot = CenterLine - Width * ATR( Periods ); Plot( KTop, "KBTop" + _PARAM_VALUES(), Color, Style ); Plot( KBot, "KBBot" + _PARAM_VALUES(), Color, Style ); _SECTION_END();