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3 / 5 (Votes 3)

trading system, amibroker, optimize

System generuje sygnały Buy / Sell analizując MACD, EMA, Parabolic SAR,RSI oraz Wstęgę Bollingera.

Submitted by overdrunk over 14 years ago

Submitted by navin almost 13 years ago

Submitted by rghunsimath about 13 years ago

Submitted by anandnst over 12 years ago

Submitted by savage over 14 years ago

Submitted by moapereira over 13 years ago

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_SECTION_BEGIN(" MACD przebija Signal i ros'nie ");
///////Warunki Kupna////////////
////////MACD > Signal i ros'nie //////
Filter1 = MACD( 12, 26 ) > Signal( 12, 26, 9 ); /* MACD jest wie;kszy niz. Signal */
Filter2 =MACD( 12, 26 ) > Ref(MACD( 12, 26 ), -1 )*1.00; /* MACD ros'nie */
Cond1 = Filter1 AND Filter2 ;
_SECTION_END();
 
_SECTION_BEGIN("Close przebi? w góre; EMA");
///////Warunki Kupna////////////
PeriodsEMA13 = Param( "EMA Period", 13, 2, 20 );
Filter3 = EMA( Close, PeriodsEMA13 ) > Ref( EMA( Close, PeriodsEMA13 ), -1 )*1.0 ; /* EMA( Close, PeriodsEMA13 ) ros'nie */
Filter4 = Close > EMA( Close, PeriodsEMA13 ); /* Close > EMA( Close, PeriodsEMA13  ) */
PeriodsEMA13 = Param( "EMA Period", 13, 2, 20 );
Cond2 = Filter3 AND Filter4 ;
_SECTION_END();
 
_SECTION_BEGIN(" Parabolic SAR ");
 
///////Warunek Kupna////////////
////////  Optymalizacja Parabolic SAR  //////
SARfast = Optimize( "SAR Fast", 0.02, 0.01, 0.06, 0.01 );
SARslow = Optimize( "SAR Slow", 0.2, 0.1, 0.4, 0.1 );
////////  Parabolic SAR - Kupno //////
Filter5 = SAR(SARfast, SARslow) < Close; /* Parabolic SAR jest < niz. Close */
Cond3 = Filter5;
_SECTION_END();
 
_SECTION_BEGIN(" RSI przebija w góre; poziom 30 i MACD ros'nie ");
///////Warunki Kupna////////////
  
////////RSI przebija poziom 30 //////
Filter6 = Ref( RSI(), -2)  < 28 ; // przedwczoraj RSI < 28 //
Filter7 = Cross( RSI(), 30 );; // RSI przebija poziom 30 //
 
////////MACD ros'nie //////
Filter8 =MACD( 12, 26 ) > Ref(MACD( 12, 26 ), -1 )*1.03; /* MACD ros'nie */
Cond4 = Filter6 AND Filter7 AND Filter8;
_SECTION_END();
 
_SECTION_BEGIN("Close przebi?  Górna; Wste;ge; Bollingera");
///////Warunek Kupna////////////
Cond5 =  Close > BBandTop( Close, 15, 2 ) ; /* Close przebija od do?u Górna; Wste;ge; Bollingera */
 
///////     Kupno    ////////////
Buy = ( Cond1 AND Cond2 AND Cond2 ) OR Cond4 OR Cond5; ///  Kupno  ///
 
_SECTION_END();
 
_SECTION_BEGIN("Sprzedaj SAR");
 
///////Warunki Sprzedaz.y////////////
////////  Parabolic SAR - Sprzedaz. //////
Cond11 = SAR(SARfast, SARslow) > Close; /* Parabolic SAR jest > niz. Cena zamknie;cia */
_SECTION_END();
 
_SECTION_BEGIN(" 2_ Sprzedaj MACDspada ");
///////Warunki Sprzedaz.y////////////
Filter21 = Cross( Signal( 12, 26, 9 ), MACD( 12, 26 ) ); /* MACD przecia;? w dó? linie; Signal */
Filter22 = MACD( 12, 26 ) < Signal( 12, 26, 9 ); /* MACD jest mniejszy niz. Signal */
Filter23 = MACD( 12, 26 ) < Ref(MACD( 12, 26 ), -1 )*1.03; /* MACD spada */
Cond12 = Filter21 OR Filter22 AND Filter23; /* MACD jest mniejszy niz. Signal i Spada*/
_SECTION_END();
 
 _SECTION_BEGIN("3_S RSI przebija poz.70 ");
/////// Warunki Sprzedaz.y ////////////
//////// RSI przebija poziom 70 //////
Filter11 = Ref( RSI(), -2)  > 73 ; // przedwczoraj RSI > 73 //
Filter12 = Ref( RSI(), -1)  > 73 ; // wczoraj RSI > 73 //
Filter13 = Ref( RSI(), -1 ) - RSI() > 8 ; // RSI spada o 8 pkt. od przedwczoraj//
Filter14 = Cross( 70 ,  RSI()); // RSI przebija w dó? poz. 70 //
 
/////// Warunki sprzedaz.y ////////////
Sell1 = ( Filter11 OR Filter12 ) AND Filter13 ; // RSI >73 spada o 8 pkt. //
Sell2 = ( Filter11 OR Filter12 ) AND Filter14 ; // RSI >73 przebija w dó? poz. 70 //
Cond13 = Sell1 OR Sell2 ; 
 
Sell = Cond11 OR Cond12 OR Cond13 ; // Sprzedaz. //
_SECTION_END();
 
_SECTION_BEGIN("Price");
 
// ColorClose = IIf( Buy, colorGreen, IIf( Sell, colorRed, colorBlue )); /* wybierz kolor */
ColorClose = IIf( Buy, colorDarkGreen, IIf( Sell, colorRed, colorBlue )); /* wybierz kolor */
 
 
SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat("{{NAME}} - {{DATE}} \n O %g, \n H %g, \n L %g, \n C %g   (%.1f%%) \n Vol " +WriteVal( V, 1.0 ) +" {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 )) ));
Plot( C, "Close", ColorClose , styleNoTitle | ParamStyle("Style") | GetPriceStyle() ); 
if( ParamToggle("Tooltip shows", "All Values|Only Prices" ) )
_SECTION_END();
 
_SECTION_BEGIN("Zmiany kursu"); // Wys'wietla zmiany kursu w kolorze
"Zmiana  = " + WriteVal( ROC( Close, 1 ) ) + " %" + "   (" + WriteVal( Close - Ref( Close, -1 ) ) + "  Z?) ";  /* Zm. dzienna */
 
// Zmiana =  WriteVal (Close - Ref( Close, -1 )) ; // Zm.od wczoraj 
ZmProc = SelectedValue( ROC( C, 1 )) ; // Zmiana procentowa od wczoraj 
 
GfxSetTextColor(IIf(ZmProc > 0, colorGreen,colorRed)); // Wybór koloru
 
// GfxTextOut("Zmiana = : " + Zmiana,0,30); // Zm.od wczoraj 
GfxTextOut("                     " + ZmProc + "  %" ,200,00) ; // Zmiana procentowa od wczoraj 
_SECTION_END();
 
_SECTION_BEGIN("EMA Kr."); // Rysuje; EMA(C,Krótka)  //
//  P = ParamField("Price field",-1);
PeriodsEMA13 = Param( "Periods  EMA ( 13 )", 13, 2, 20 );
EMArosnie = EMA( Close, PeriodsEMA13 ) > Ref( EMA( Close, PeriodsEMA13 ), -1 )*1.0 ; /* EMA ros'nie */
EMAspada = EMA( Close, PeriodsEMA13 ) < Ref( EMA( Close, PeriodsEMA13 ), -1 )*1.0 ;  /* EMA spada */
ColorEMA13 = IIf( EMArosnie, ParamColor("EMAros'nie", colorRed ), ParamColor("EMA spada", colorRed ) );
Plot( EMA( C, PeriodsEMA13 ), "\n " + _DEFAULT_NAME(), ColorEMA13, ParamStyle("Style") | styleThick ); 
_SECTION_END();
 
 
_SECTION_BEGIN("EMA S'r."); // Rysuje; EMA(C,S'rednia)  //
//  P = ParamField("Price field",-1);
PeriodsEMA55 = Param("Periods EMA ( 55 )", 55, 20, 60, 1 );
Plot( EMA( C, PeriodsEMA55 ), "\n " + _DEFAULT_NAME(), ParamColor( "Color", colorBlue ), ParamStyle("Style") | styleNoRescale | styleNoLabel); 
_SECTION_END();
 
_SECTION_BEGIN("EMA D?."); // Rysuje; EMA(C,D?uga)  //
//  P = ParamField("Price field",-1);
PeriodsEMA90 = Param("Periods EMA ( 90 )", 90, 60, 90, 1 );
Plot( EMA( C, PeriodsEMA90 ), "\n " +_DEFAULT_NAME(), ParamColor( "Color", colorBlack ), ParamStyle("Style") | styleNoRescale | styleNoLabel); 
_SECTION_END();
 
_SECTION_BEGIN("SAR");
acc = Param("Acceleration", 0.03, 0.01, 0.04, 0.01 );
accm = Param("Max. acceleration", 0.2, 0.1, 0.3, 0.1 );
ColorSAR = IIf( Buy, ParamColor("Up Color", colorGreen ), ParamColor("Down Color", colorRed ) );
Plot( SAR( acc, accm ), _DEFAULT_NAME(), ColorSAR, ParamStyle("Style", styleDots | styleNoTitle | styleNoLabel | styleNoLine, maskDefault | styleDots | styleNoLine ) );
_SECTION_END();
 
_SECTION_BEGIN("BBands");
Periods = Param("Periods", 15, 2, 100, 1 );
Width = Param("Width", 2, 0, 10, 0.05 );
Color = ParamColor("Color", colorBlack );
Style = ParamStyle("Style") | styleNoRescale | styleNoLabel | styleNoTitle;
Plot( bbt = BBandTop( Close, Periods, Width ), " " , Color, Style ); 
Plot( bbb = BBandBot( Close, Periods, Width ), " " , Color, Style ); 
PlotOHLC( bbt, bbt, bbb, bbb, "", ColorBlend( Color, colorWhite, 0.9 ), styleCloud | styleNoRescale, Null, Null, Null, -1 );
_SECTION_END();
 
_SECTION_BEGIN("Volume");
/////// S'rednia krocza;cawolumenu ///////
dni = Param(" dni (MA Volume) ", 25, 1, 50, 1 );
proc = Param(" proc (MA Volume) ", 2.5, 1.0, 5.0, 0.1);
Filter = Volume > MA( Volume, dni)* proc ; /* Wolumen > " dni " -dniowej s'redniej krocza;cej */
colVolume = IIf( Filter , ParamColor("Duz.y volumen", color = 11 ), ParamColor("Ma?y volumen", colorBlack ) );
 
Plot( Volume, _DEFAULT_NAME(), colVolume , styleNoTitle | ParamStyle( "Style", styleHistogram | styleOwnScale | styleNoLabel, maskHistogram  ), 2 );
_SECTION_END();
 
_SECTION_BEGIN("Wste;ga i strza?ki K/S");
showArrows = ParamToggle("Pokaz. strza?ki","Nie|Tak",1);
showRibbon = ParamToggle("Pokaz. wste;ge;","Nie|Tak",1);
 
//Short=Sell;
//Cover=Buy;
Buy = ExRem( Buy, Sell ); //Eliminacja powtórnych sygna?ów Buy przed nastepnym Sell
Sell = ExRem( Sell, Buy ); //Eliminacja powtórnych sygna?ów Sell przed nastepnym Buy
 
if (ShowRibbon) Plot(5, "ribbon", ColorClose, styleOwnScale|styleArea|styleNoLabel|styleNoTitle, -0.5,200); 
//Plot(6, "", IIf(PDI(7) > MDI(7) AND PDI(7) > 30,colorGreen,IIf (MDI(7) > PDI(7) AND MDI(7) > 30,colorRed,colorYellow)), styleOwnScale| styleArea|styleNoLabel,-0.5,100);
  
shape = Buy * shapeUpArrow + Sell* shapeDownArrow;
 
if (ShowArrows) PlotShapes( shape, IIf( Buy, colorGreen, colorRed ), 0, IIf( Buy, Low, High));
_SECTION_END();
 
_SECTION_BEGIN("Statystyki");
"                   " + Name() ;
"Zmiana  = " + WriteVal( ROC( Close, 1 ) ) + " %" + "   (" + WriteVal( Close - Ref( Close, -1 ) ) + "  Z?) ";  /* Zm. dzienna */
"  Close   = " + WriteVal( Close );  /* Close dzisiaj */
"     EMA  = " + WriteVal( EMA( Close, 13 ) );  /* EMA dzisiaj */
"C / EMA  = " + ((( Close ) - EMA( Close, 13 )) * 100) / EMA( Close, 13 ) + " %";  /* Close / EMA */
"          ";
 
"Tydzien' = " + WriteVal( ROC( Close, 5 ) ) + " %" + "   (" + WriteVal( Close - Ref( Close, -5 ) ) + "  Z?) ";  /* Zm. tygodniowa */
"Miesia;c = " + WriteVal( ROC( Close, 20 ) ) + " %" + "   (" + WriteVal( Close - Ref( Close, -20 ) ) + "  Z?) ";  /* Zm. miesie;czna */
"          ";
"Close    [ - tydzien' ]   = " + WriteVal( Ref( Close, -5 ) ); /* Close - tydzien' wczes'niej */  
"Close    [ - miesia;c ]   = " + WriteVal( Ref( Close, -20 ) ); /* Close Miesia;c */
_SECTION_END();
 
_SECTION_BEGIN("Price Interpretation");
movshort = ParamField("Short Time MA", 8 );
movmed = ParamField("Mid Time MA", 9 );
movlong = ParamField("Long Time MA", 10 );
btop = ParamField("BBTop", 11 );
bbot = ParamField("BBBottom", 12 );
if( Status("action") == actionCommentary )
{
width = btop - bbot;
lslop = LinRegSlope( C, 30 ) + 100;
lslo = LLV( lslop, 90 );
lshi = HHV( lslop, 90 );
lswidth = lshi - lslo;
trend = 100*( lslop - lslo )/lswidth;
 
mawidth = MA( width, 100 );
relwidth = 100*(width - mawidth)/mawidth;
 
_N( tname = Name()+"("+FullName()+")" );
 
printf("Price and moving averages:\n");
printf( tname + " has closed " + WriteIf( C > movshort, "above" , "below" ) + " its Short time moving average. ");
 
printf("\nShort time moving average is currently " + WriteIf( movshort > movmed, "above", "below") + " mid-time, AND " + WriteIf( movshort > movlong, "above", "below" ) + " long time moving averages.");
 
printf("\nThe relationship between price and moving averages is: "+
WriteIf( C > movshort AND movshort > movmed, "bullish",
WriteIf( C < movshort AND movshort < movmed, "bearish", "neutral" ) ) + " in short-term, and "+
WriteIf( movshort > movmed AND movmed > movlong , "bullish",
WriteIf( movshort < movmed AND movmed < movlong, "bearish", "neutral" ) ) + " in mid-long term. ");
 
printf("\n\nBollinger Bands:\n");
printf(tname+ " has closed " + 
WriteIf( C < bbot, "below the lower band by " +
WriteVal( 100 *( bbot-C )/ width, 1.1 ) + "%%. " +
WriteIf( trend < 30, " This combined with the steep downtrend can suggest that the downward trend in prices has a good chance of continuing.  However, a short-term pull-back inside the bands is likely.",
WriteIf( trend > 30 AND trend < 70, "Although prices have broken the lower band and a downside breakout is possible, the most likely scenario for "+tname+" is to continue within current trading range.", "" ) ), "" ) +
 
WriteIf( C > btop, "above the upper band by " +
WriteVal( 100 *( C- btop )/ width, 1.1 ) + "%%. " +
WriteIf( trend > 70, " This combined with the steep uptrend suggests that the upward trend in prices has a good chance of continuing.  However, a short-term pull-back inside the bands is likely.",
WriteIf( trend > 30 AND trend < 70, "Although prices have broken the upper band and a upside breakout is possible, the most likely scenario for "+tname+" is to continue within current trading range.", "" ) ), "" ) +
 
WriteIf( C < btop AND ( ( btop - C ) / width ) < 0.5, 
"below upper band by " +
WriteVal( 100 *( btop - C )/ width, 1.1 ) + "%%. ", 
WriteIf( C < btop AND C > bbot , "above bottom band by " +
WriteVal( 100 *( C - bbot )/ width, 1.1 ) + "%%. ", "" ) ));
 
printf("\n"+
WriteIf( ( trend > 30 AND trend < 70 AND ( C > btop OR C < bbot ) ) AND abs(relwidth) > 40,
         "This picture becomes somewhat unclear due to the fact that Bollinger Bands are  currently",
         "Bollinger Bands are " )+    
WriteVal( abs( relwidth ), 1.1 ) + "%% " +
WriteIf( relwidth > 0, "wider" , "narrower" ) +
" than normal.");
 
printf("\n");
 
printf(
WriteIf( abs( relwidth ) < 40, "The current width of the bands (alone) does not suggest anything conclusive about the future volatility or movement of prices.","")+
WriteIf( relwidth < -40, "The narrow width of the bands suggests low volatility as compared to " + tname + "'s normal range.  Therefore, the probability of volatility increasing with a sharp price move has increased for the near-term. "+
"The bands have been in this narrow range for " + WriteVal(BarsSince(Cross(-40,relwidth)),1.0) + " bars. The probability of a significant price move increases the longer the bands remain in this narrow range." ,"")+
WriteIf( relwidth > 40, "The large width of the bands suggest high volatility as compared to " + tname + "'s normal range.  Therefore, the probability of volatility decreasing and prices entering (or remaining in) a trading range has increased for the near-term. "+
"The bands have been in this wide range for  " + WriteVal(BarsSince(Cross(relwidth,40)),1.0) + " bars.The probability of prices consolidating into a less volatile trading range increases the longer the bands remain in this wide range." ,""));
 
printf("\n\nThis commentary is not a recommendation to buy or sell. Use at your own risk.");
}
_SECTION_END();

2 comments

1. target1cr

almost 14 years ago

Thanks i will test and let u know the results.

Report as Spam

2. ROAHIT160

over 13 years ago

it is the exact copy of guppy trend

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Detekcja Buy / Sell for Amibroker (AFL)
leszcz
almost 14 years ago
Amibroker (AFL)

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Detekcja Buy / Sell for Amibroker (AFL) leszcz almost 14 years ago Amibroker (AFL)

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Detekcja Buy / Sell for Amibroker (AFL)
leszcz
almost 14 years ago
Amibroker (AFL)