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Adaptive Price Zone (APZ) for Amibroker (AFL)
Rating:
2 / 5 (Votes 5)
Tags:
trading system, amibroker
In “Trading With An Adaptive Price Zone,” author Lee Leibfarth presents a trading technique that uses adaptive bands based on the double-smoothed exponential moving average and the classic ADX indicator.
Implementing the adaptive price zone technique using AmiBroker Formula Language is easy and straightforward. Listing 1 shows ready-to-use code. The formula is for both the indicator and the trading system.
Screenshot shows a daily price chart of the S&P 500 continuous contract with adaptive price zone bands and trade entry/exit arrows (upper pane) and the ADX indicator (lower pane).
Screenshots
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Indicator / Formula
Copy & Paste Friendly
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 | // Adaptive Price Zone Indicator & system////////////////////////////////function DblSmoothEMA( price, Length ){ period = IIf( Length < 0, 1, sqrt( Length ) ); smooth = 2 / ( period + 1 ); return AMA( AMA( price, smooth ), smooth );}price = ParamField("Price");period = Param("period", 20, 2, 100 );BandPct = Param("width[%]", 1.4, 0.1, 4, 0.1 );DsEMA = DblSmoothEMA( price, period );RangeDsEMA = DblSmoothEMA( H - L, period );UpBand = BandPct * RangeDsEMA + DsEMA;DnBand = DsEMA - BandPct * RangeDsEMA ;Plot( C, "Price", colorBlack, styleBar );Plot( UpBand , "UpBand", colorLightGrey );Plot( DnBand , "DownBand", colorLightGrey );// you may uncomment lines below to get 'cloud' chart// if you are using version 4.80 or higher// PlotOHLC( UpBand, UpBand, DnBand, DnBand, "Band",// ColorRGB( 245,245,255), styleCloud );SetTradeDelays( 1, 1, 1, 1 );ADXThshold = 30;ADXValue = ADX( 14 );Buy = ADXValue <= ADXThshold AND Low <= DnBand;Short = ADXValue <= ADXThshold AND High >= UpBand;Sell = Cover = ADXValue > ADXThshold;if( Status("action") == actionIndicator ){ Equity(2); PlotShapes( Buy * shapeUpArrow, colorGreen, 0, DnBand, -24 ); PlotShapes( Sell * shapeDownArrow, colorRed, 0, UpBand, -24 ); PlotShapes( Short * shapeHollowDownArrow, colorRed, 0, UpBand, -24 ); PlotShapes( Cover * shapeHollowUpArrow, colorGreen, 0, DnBand, -24 );} |
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Dear Andrew or friends
why the chart not show? no arrow, no bollinger, just price… could you please help me??
thanks
ss