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Moving Averages, Pivots and Signals for Amibroker (AFL)

Rating:
3 / 5 (Votes 2)
Tags:
trading system, amibroker, stop loss, pivots

Moving Averages, Pivots and Signals

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Indicator / Formula

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_SECTION_BEGIN("BAB 18 for analysis");
SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
Plot( C, "Close", ParamColor("Color", colorWhite ), styleNoTitle | ParamStyle("Style") | GetPriceStyle() );


MinBars = 200;
MinBarsOK = IIf(BarCount >= MinBars, True, False);

if (MinBarsOK) { ;


  /* **********************************

Code to automatically identify pivots

********************************** */
// -- what will be our lookback range for the hh and ll?
farback=Param("How Far back to go",200,1,50,1);
nBars = Param("Number of bars", 100, 0, 50, 1);

// -- 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<farback; 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++;
}
}
// -- Dump inventory of high pivots for debugging
/*
for (k=0; k<nHPivs; k++) {
_TRACE("High pivot no. " + k
+ " at barindex: " + aHPivIdxs[k] + ", " 
+ WriteVal(ValueWhen(BarIndex()==aHPivIdxs[k], 
DateTime(), 1), formatDateTime)
+ ", " + aHPivHighs[k]);
}
*/
// -- OK, let's plot the pivots using arrows
PlotShapes(IIf(aHPivs==1, shapeDownTriangle, shapeNone), colorCustom12, 0, High, Offset=-20);
PlotShapes(IIf(aLPivs==1, shapeUpTriangle , shapeNone), colorCustom11, 0, Low, Offset=-20);



Sell = aHPivs == 1 ;
Buy = aLPivs == 1 ;
Filter=Buy OR Sell; 
Sell=ExRem(Sell,Buy); 
Buy=ExRem(Buy,Sell);


_SECTION_END();


}



_SECTION_BEGIN("Plot Monthly,Weekly and Daily Moving average");
//Plot Monthly, Weekly and Daily Moving Average on Daily Price Chart
//Ver.1.01 revision
//3/02/02, coded by Anthony Faragasso
//e-mail: ajf1111@epix.net

MaxGraph=7;

//Input Time periods for Monthly,Weekly and Daily Moving Averages
MonthlyPds=2;//Months
WeeklyPds=2;//Weeks
DailyPds=1;//Days 
/***********************************/
//Input Price Variable ( open, high ,low, close);
Price=C;

MonthlyPrice=Price;
WeeklyPrice=Price;
DailyPrice=Price;
/**********************************/

/***Colors***/
//Set to your Preference
Color=6;//Price chart
MthAvgColor=3;//Monthly AverageLine
WklyAvgColor=4;//weekly AverageLine
DlyAvgColor=5;//Daily AverageLine
/**********************************/

Weekly=ValueWhen(DayOfWeek() > Ref( DayOfWeek(),1),WeeklyPrice);
Monthly=ValueWhen(Day() > Ref( Day(), 1 ),MonthlyPrice);

MonthlyAvg=EMA(Monthly,MonthlyPds);
WeeklyAvg=EMA(Weekly,WeeklyPds);
DailyAvg=EMA(DailyPrice,DailyPds);


x = DailyAvg;
y = WeeklyAvg;

Buy=Cross(x,y);
PlotShapes(shapeUpArrow*Buy,colorCustom11, 0, L, -5 );
Sell=Cross(y,x);
PlotShapes(shapeDownArrow*Sell,colorCustom12, 0, H, -5 );
AlertIf( Buy, "SOUND C:\\Windows\\Media\\notify.wav", "Audio alert", 2 );
AlertIf( Sell, "SOUND C:\\Windows\\Media\\chord.wav", "Audio alert", 2 );




Graph0=C;
Graph0Style=64;
Graph0Color=Color;

Graph1=WeeklyAvg;
Graph1Style=1+4;//Thick line
Graph1Color=WklyAvgColor;

Graph2=DailyAvg;
Graph2Style=1;
Graph2Color=DlyAvgColor;

Graph3=MonthlyAvg;
Graph3Style=1;
Graph3Color=MthAvgColor;



Title=Name()+"  "+"("+WriteVal(WeeklyPds,1)+")"+" Week Moving Average= "+"("+WriteVal(WeeklyAvg,1.2)+")"+" :: "+"("+WriteVal(DailyPds,1)+")"+" Period Moving Average= "+"("+WriteVal(DailyAvg,1.2)+")"+" :: "+"("+WriteVal(MonthlyPds,1)+")"+" Month Moving Average= "+"("+WriteVal(MonthlyAvg,1.2)+")";
_SECTION_END();

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