Volatility System for Amibroker (AFL)

/*

The Volatility System after Welles Wilder Jr
Book: New concepts in technical trading systems, 1978

Translation in Amibroker Formula Language (AFL)
by: Edward Pottasch, empottasch@home.nl
created: October 18, 2004

*/

SetBarsRequired(100000,100000);

// setting for use in portfolio trading
SetOption("MaxOpenPositions", 25 ); 
PositionSize = -15;
SetTradeDelays(0,0,0,0);
PositionScore = 50 - RSI(14);

// constant (any number between 2.80 and 3.10)
const = 3.0; //const = Optimize("const", const, 0.5, 5, 0.1 );

// period over which ATR is calculated
period = 7; //period = Optimize("period", period, 1, 50, 1 );

// ARC
ARC = const * ATR(period);

// SIC (significant close) + / - ARC
SAR_long = Ref(HHV(C,period) - ARC,-1);
SAR_short = Ref(LLV(C,period) + ARC,-1);

// initialize storage array
SAR_plot = 0;
Buy = Short = Sell = Cover = 0;

// initialize position
lpos = 0;
spos = 0;

//
for (i = 0; i < BarCount; i++) {

	if (lpos == 0 AND spos == 0) {

		if (C[ i ] < SAR_long[ i ]) {
	
			Short[ i ] = 1;
			ShortPrice[ i ] = C[ i ];
			spos = 1;
		
		} else if (C[ i ] > SAR_short[ i ]) {

			Buy[ i ] = 1;
			BuyPrice[ i ] = C[ i ];
			lpos = 1;

		}	
		
		SAR_plot[ i ] = Null;
	
	} else if (lpos == 1 AND spos == 0) {
	
		// update SAR for chart
		SAR_plot[ i ] = SAR_long[ i ];
		
		// check if we need to reverse
		if (C[ i ] < SAR_long[ i ]) {
	
			Sell[ i ] = 1;
			SellPrice[ i ] = C[ i ];
			lpos = 0;
			
			Short[ i ] = 1;
			ShortPrice[ i ] = C[ i ];
			spos = 1;
				
		}
	
	} else if (lpos == 0 AND spos == 1) {
	
		// update SAR for chart
		SAR_plot[ i ] = SAR_short[ i ];
		
		// check if we need to reverse
		if (C[ i ] > SAR_short[ i ]) {
	
			Cover[ i ] = 1;
			CoverPrice[ i ] = C[ i ];
			spos = 0;
			
			Buy[ i ] = 1;
			BuyPrice[ i ] = C[ i ];
			lpos = 1;
				
		}
		
	}

}


// Price chart
Plot(C,"",1,64);

// SAR (Stop and reverse points)
Plot(SAR_plot,"SAR", colorGold, styleDots | styleNoLine);

// buy, sell, short and cover symbols
PlotShapes(IIf(Buy,shapeUpArrow,0),colorWhite, layer = 0, yposition = BuyPrice, offset = 0 );
PlotShapes(IIf(Sell,shapeDownArrow,0),colorYellow, layer = 0, yposition = SellPrice, offset = 0 );
PlotShapes(IIf(Short,shapeHollowDownArrow,0),colorLightBlue, layer = 0, yposition = ShortPrice, IIf(Sell,offset = -15,offset = 0) );
PlotShapes(IIf(Cover,shapeHollowUpArrow,0),colorGold, layer = 0, yposition = CoverPrice, IIf(Buy,offset = -15,offset = 0) );