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oz trail short v5b 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 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 | _SECTION_BEGIN ( "Oz Trail Stop Short" ); // E.M.Pottasch, Feb 2014 // based on http://www.tradernexus.com/advancedstop/advancedstop.html _N (PersistentPath= "C:\\Program Files\\AmiBroker64\\PersistentVariables\\" ); // **** You need to create a directory to store the persistent variable **** selectDate= ParamDate ( "Start date" , "08/01/2013" ,0); per1= Param ( "Length ATR" ,20,1,150,1); //ATR length fac1= Param ( "ATR Multiple (Initial)" ,1,0.1,10,0.1); //Initial ATR multiple, first bar fac2= Param ( "ATR Multiple (Trail)" ,2,0.1,10,0.1); //Trail ATR multiple tog1= ParamToggle ( "Trail value" , "Close|High&Low" ,1); //trail calculated with respect to the High or the Close price tog2= ParamToggle ( "Display Exit Levels" , "No|Yes" ,1); // nlev= Param ( "Number of target Levels" ,2,0,12,1); levMultiple= Param ( "Target Level Multiple" ,2,0,12,1); entryPrice= Param ( "Entry Price Trade" ,0,0,150000,0.01); //entry price, use 0 for Close price trg1= ParamTrigger ( "Save Changes" , "Click Here" ); //press to save changes every time you change parameter settings trg2= ParamTrigger ( "Remove Persistent Variable" , "Click Here" ); //remove persistant trail for active symbol idx1=idx2=0;bi= BarIndex (); if (entryPrice==0) { ttt= IIf ( DateNum ()>=selectDate,1,0); ttt=ttt- Ref (ttt,-1); entryPrice= LastValue ( ValueWhen (ttt, C )); } function conDate(nDate) { string= StrFormat ( "%0.9g" ,nDate); aa= StrLeft (string,3);mm= StrMid (string,3,2);dd= StrRight (string,2); aa1= StrToNum (aa)+1900; // ONLY CORRECT AFTER 2000 result= mm + "/" + dd + "/" + NumToStr (aa1,1, False ); return result; } function PersistentArraySet(VarName,infoArray) { fh= fopen ( PersistentPath+VarName+ ".pva" , "w" ); if (fh) { cnt=0; while (! IsEmpty (infoArray[cnt])) { String= NumToStr (infoArray[cnt])+ "\n" ; fputs ( String,fh); cnt=cnt+1; } fclose (fh); } } function PersistentArrayGet(VarName) { infoArray=0; fh = fopen ( PersistentPath+VarName+ ".pva" , "r" ); if (fh) { cnt=0; while (! feof (fh)) { infoArray[cnt]= StrToNum ( fgets ( fh )); cnt=cnt+1; } fclose (fh); } return infoArray; } function PersistentVarRemove(VarName) { Fn=PersistentPath+VarName+ ".pva" ; fh= fdelete (Fn) ; } infoArraySHORT= Null ; infoArraySHORT[0]=selectdate; infoArraySHORT[1]=per1; infoArraySHORT[2]=fac1; infoArraySHORT[3]=fac2; infoArraySHORT[4]=tog1; infoArraySHORT[5]= LastValue (entryPrice); infoArraySHORT[6]=nlev; infoArraySHORT[7]=levMultiple; infoSHORT=PersistentArrayGet( "SHORT" + Name ()); lvspSHORT= LastValue ( Cum (infoSHORT)); if (trg1)PersistentArraySet( "SHORT" + Name (),infoArraySHORT); if (trg2)PersistentVarRemove( "SHORT" + Name ()); procedure displayTargetLevels(trailArray,entryPriceArr,idx1,idx2,unitStop,nlevArr,levMultipleArr) { validWindow= Flip (idx1==bi,idx2==bi); for (i=1;i<=nlevArr;i++) { ll= IIf (trailArray,entryPriceArr-unitStop*i*levMultipleArr, Null ); if ( LastValue ( Cum (ll))>0) { sig= Cross (ll, L ) AND validWindow;sig= ExRem (sig,idx2==bi); Plot (ll, "" , ColorRGB (60,60,60), styleLine , Null , Null ,0,-1,1); PlotText ( "" +ll[idx1], BarCount ,ll[idx1], ColorRGB (100,100,100)); PlotShapes ( IIf (sig, shapeSmallCircle , shapeNone ), colorLightBlue ,0, Min ( O ,ll),0); PlotShapes ( IIf (sig, shapeUpArrow , shapeNone ), colorLightBlue ,0, L ,-15); } } // entry signal PlotShapes ( IIf (idx1==bi, shapeSmallCircle , shapeNone ), colorOrange ,0,EntryPriceArr,0); PlotShapes ( IIf (idx1==bi, shapeDownArrow , shapeNone ), colorRed ,0, H ,-15); // exit signal PlotShapes ( IIf (idx2==bi, shapeSmallCircle , shapeNone ), colorLightBlue ,0, C ,0); PlotShapes ( IIf (idx2==bi, shapeUpArrow , shapeNone ), colorGreen ,0, L ,-15); // entry level th= IIf (trailArray,entryPriceArr, Null ); //+unitStop; Plot (th, "" , ColorRGB (0,0,160), styleLine , Null , Null ,0,-1,1); PlotText ( "Entry " +th[idx1], BarCount ,th[idx1], ColorRGB (0,0,200)); // background color trade Plot (validWindow, "" , ColorRGB (10,10,10), styleArea | styleOwnScale | styleNoLabel ,0,1,0,-5); } function vstopShort_func(ATRBear,fac1,fac2,tog1,per,idx1,entryPrice) { trailArray= Null ; if (tog1) { hh= H ; ll= L ; } else { hh= C ; ll= C ; } trailArray[idx1]=entryPrice+fac1*ATRBear[idx1]; // calculate trail if ((idx1+1)< BarCount AND idx1>0) { cnt=0; for (i=idx1+1;i< BarCount ;i++) { prev=trailArray[i-1];cnt=i; if ( C [i]<=prev AND C [i-1]<=prev) //short continuation { trailArray[i]= Min (prev,ll[i]+fac2*ATRBear[i]); } else if ( C [i]>prev AND C [i-1]<=prev) //long trigger { idx2=i; break ; } } for (i=cnt;i< BarCount ;i++) { trailArray[i]=trailArray[i-1]; } } return trailArray; } selectDateArr=infoSHORT[0]; per1Arr=infoSHORT[1]; fac1Arr=infoSHORT[2]; fac2Arr=infoSHORT[3]; tog1Arr=infoSHORT[4]; entryPriceArr=infoSHORT[5]; nlevArr=infoSHORT[6]; levMultipleArr=infoSHORT[7]; if (lvspSHORT>0) { tt= IIf ( DateNum ()>=selectDateArr,1,0); tt=tt- Ref (tt,-1);idx1= LastValue ( ValueWhen (tt,bi)); ATRBear= ATR (per1Arr); trailArray=vstopShort_func(ATRBear,fac1Arr,fac2Arr,tog1Arr,per1Arr,idx1,entryPriceArr);trailArray= IIf (trailArray==0, Null ,trailArray); } else { trailArray= Null ; } GraphXSpace =5; SetChartBkColor ( colorBlack ); SetChartOptions (0, chartShowDates ); SetBarFillColor ( IIf ( C > O , ColorRGB (0,75,0), IIf ( C <= O , ColorRGB (75,0,0), colorLightGrey ))); Plot ( C , "\nPrice" , IIf ( C > O , ColorRGB (0,255,0), IIf ( C <= O , ColorRGB (255,0,0), colorLightGrey )),64, Null , Null ,0,0,1); Plot (trailArray, "\ntrailShort" , ColorRGB (255,5,0), styleStaircase , Null , Null ,0,0,1); if (lvspSHORT>0) { if (tog1Arr==0)trailRef= "Close" ; else trailRef= "High" ; unitStop=(trailArray[idx1]-entryPriceArr); barsInTrade=0; if (idx1>0 AND idx2==0) { barsInTrade= BarsSince (idx1==bi)+1; } else if (idx1>0 AND idx2>0) { barsIntrade=(idx2-idx1)+1; } Title= EncodeColor ( colorRed ) + "POSITION SHORT\n" + EncodeColor ( colorWhite ) + "Entry Date: " + conDate(selectDateArr) + "\n" + "ATR Period: " + per1Arr + "\n" + "ATR Multiple (Initial): " + fac1Arr + "\n" + "ATR Multiple (Trail): " + fac2Arr + "\n" + "Trail reference: " + trailRef + "\n" + "Entry Price: " + entryPriceArr + "\n" + "Number of Levels: " + nlevArr + "\n" + "Multiple of Unitstop: " + levMultiple + "\n" + EncodeColor ( colorYellow ) + "UnitStop: " + unitStop + "\n" + "Bars in Trade: " + barsInTrade; if (tog2 AND nlevArr>0 AND levMultipleArr>0) { displayTargetLevels(trailArray,entryPriceArr,idx1,idx2,unitStop,nlevArr,levMultipleArr); } } _SECTION_END (); |