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Trend Following System for Amibroker (AFL)
Rating:
5 / 5 (Votes 1)
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This is a simple long only trend following system. Just load it into the “Automatic Analysis” window and push “Scan”, “Back test” and “Report” to view the result.
By marcus – marcusdavidsson
Indicator / Formula
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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 | SetTradeDelays(0,0,0,0);SetPositionSize(10, spsPercentOfEquity ); SetOption("AllowSameBarExit" , True );// If this option is not set true positions that are exited at the same bar remains OpenSetOption("PriceBoundChecking", False); // This option must be set false in order to exit at specified stop price and NOT bar Close//LK=Optimize("Trend", 50, 30, 60, 10 ) ;//FF=Optimize("Trend", 20, 10, 40, 10 ) ; //StopLevel=Optimize("Stop",0.1,0.05,0.5,0.05 ) ; StopLevel = 0.2;LK=50;FF=10;A1= IIf( L> Ref(HHV( Close,LK),-5), 1, 0); A2= Sum( A1, LK ) ;A3= IIf(C>0, FF, 0); Buy = Cross(A2,A3);Sell = 0;trailARRAY = Null;trailstop = 0;for( i = 1; i < BarCount; i++ ){ if( trailstop == 0 AND Buy[ i ] ) { trailstop = High[ i ] * (1-stoplevel); } else Buy[ i ] = 0; // remove excess buy signals if( trailstop > 0 ) { trailstop = Max( High[ i ] * (1-stoplevel), trailstop ); trailARRAY[ i ] = trailstop; } if( trailstop > 0 AND Low[ i ] < trailstop ) { Sell[ i ] = 1; SellPrice[ i ] = trailstop; trailstop=0; } }PlotShapes(Buy*shapeUpArrow,colorBlue,0,Low);PlotShapes(Sell*shapeDownArrow,colorRed,0,High);Plot( Close,"Price",colorBlack,styleBar);Plot( trailARRAY,"trailing stop level", colorRed ); |
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