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Modified KBrain trading system ver 1.1 for Amibroker (AFL)
Rating:
5 / 5 (Votes 2)
Tags:
trading system, amibroker, exploration
KBrian modified trading system
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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 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 | //KBrain System Coded by Karthikmarar. Blog. www.stocktechnician.blogspot.com email. karthikmarar@yahoo.com//System based on the BrainTrend system in Metatrader// The Turquiose colored Dot indicates start of a Up Trend// The Magenta DOt indicates end of an Up move and beginning of a downmove// The system is a Stop and reverse system//Revision Index - V.1.1 resolves the scan issues_SECTION_BEGIN( "Heikin" );HaC = EMA( ( O + C + H + L ) / 4, 3 );HaO = AMA( Ref( HaC, -1 ), 0.8 );HaH = Max( H, Max( HaC, HaO ) );HaL = Min( L, Min( HaC, HaO ) );e1 = EMA( C, 21 );e2 = MA( C, 26 );ehh = e1 > e2 ;ell = e1 < e2 ;ri = ( e1 + e2 ) / 2;Colri = IIf( ehh, colorBlue, colorRed );SetBarFillColor( IIf( Hac > Hao, colorBlue, colorRed ) );Colcan = IIf( Hac > ri, colorBlue, colorRed );PlotOHLC( HaO, HaH, HaL, HaC, "" + Name(), colcan, styleCandle | styleNoLabel );_SECTION_END();_SECTION_BEGIN( "KBrain" );//========================Initiation================ ========bts = ParamToggle( "BrainTrend1 signal", "No|Yes" , 1 );btst = ParamToggle( "BrainTrend1 stop", "No|Yes" , 1 );btsl = ParamToggle( "BrainTrend1 stop line", "No|Yes" , 1 );period = Param( "Period", 14, 6, 20, 1 );x1 = 53;x2 = 47;d = 2.3;f = 7;s = 1.5;range = ATR( f );Range1 = ATR( f ) / d;Range2 = ( ATR( f ) * s ) / 4;range3 = ATR( 10 );R = ( ( HHV( H, period ) - C ) / ( HHV ( H, period ) - LLV ( L, period ) ) ) * -100;EMA1 = EMA( R, Period );EMA2 = EMA( EMA1, 5 );Difference = EMA1 - EMA2;ZeroLagEMA = EMA1 + Difference;value2 = abs( ZeroLagEMA );function PercentR( periods ){ return -100 * ( HHV( H, periods ) - C ) / ( HHV( H, periods ) - LLV( L, periods ) );}for ( i = 1; i < Period - 1; i++ ){ tm = 1; bstop = 1; sstop = 1; p = 1;}for ( i = period + 10; i < BarCount; i++ ){ C[0] = 0; Value2[0] = 0; p[0] = 0; Plot1[0] = 0; Plot2[0] = 0; Val1 = 0; Val2 = 0; temp[0] = 0; Value3[0] = 0; tm[0] = 0; p1[i] = 0; bt1[0] = 0; bt2[0] = 0; r[0] = 0; bt1a[0] = 0; bt2a[0] = 0; istop[0] = Val1[0]; stop[i] = Val1[0]; bstop[0] = 0; sstop[i] = 0;//==================================Indicators====== ====================== { if ( value2[i] < x2 AND abs( Close[i] - Close[i-2] ) > range1[i] ) p[i] = 1 ; else { if ( value2[i] > x1 AND abs( Close[i] - Close[i-2] ) > Range1[i] ) p[i] = 2 ; else p[i] = 0; } } if ( ( value2[i] < x2 AND p[i] == 1 ) OR ( value2[i] < x2 AND p[i] == 0 ) ) { if ( abs( Close[i] - Close[i-2] ) > Range1[i] ) { Plot1[i] = H[i]; Plot2[i] = L[i]; } else { Plot1[i] = Plot1[i-1]; Plot2[i] = Plot2[i-1]; } } else { if ( ( value2[i] > x1 AND p[i] == 2 ) OR ( value2[i] > x1 AND p[i] == 0 ) ) { Plot1[i] = L[i]; Plot2[i] = H[i]; } else { Plot1[i] = Plot1[i-1]; Plot2[i] = Plot2[i-1]; } }//==================KBrain Signal ==================================== { if ( value2[i] < x2 AND ( abs( Close[i] - Close[i-2] ) > Range1[i] ) ) { if ( p[i] == 1 OR p[i] == 0 ) Value3[i] = L[i] - range3[i]; val1[i] = Value3[i]; p[i] = 1; temp[i] = 1; } else { temp[i] = temp[i-1]; } { if ( value2[i] > x1 AND ( abs( Close[i] - Close[i-2] ) > Range1[i] ) ) { if ( p[i] == 2 OR p[i] == 0 ) Value3[i] = H[i] + range3[i]; val2[i] = Value3[i]; p[i] = 2; temp[i] = 2;; } } } { if ( temp[i] == 1 AND Plot1[i] > 0 AND tm[i] != 1 ) tm[i] = 1; if ( temp[i] == 2 AND Plot2[i] > 0 AND tm[i] != 2 ) tm[i] = 2; }//===============================stop=============== ========================= { if ( value2[i] < x2 AND ( abs( Close[i] - Close[i-2] ) > Range1[i] )AND p[i] != 2 ) { value3[i] = L[i] - range3[i]; va1[i] = Value3[i]; p1[i] = 2; r[i] = Va1[i]; bstop[i] = Va1[i]; bt2[i] = bt2[i-1]; } if ( value2[i] > x1 AND ( abs( Close[i] - Close[i-2] ) > Range1[i] )AND p[i] != 1 ) { Value3[i] = H[i] + range3[i]; va2[i] = Value3[i]; p1[i] = 1; r[i] = Va2[i]; sstop[i] = Value3[i]; bt1[i] = bt1[i-1]; } } if ( val1[i] == 0 AND val2[i] == 0 AND p[i] == 0 ) { bstop[i] = bstop[i-1]; sstop[i] = sstop[i-1]; } if ( bstop[i] < bstop[i-1] AND tm[i] == 1 AND tm[i-1] == 1 ) bstop[i] = bstop[i-1]; if ( sstop[i] > sstop[i-1] AND tm[i] == 2 AND tm[i-1] == 2 ) sstop[i] = sstop[i-1];}//=============================SYSTEM=============== =======================Mycolor = IIf( p == 1, colorLime, IIf( p == 2, colorRed, colorBlue ) );PlotShapes( shapeCircle* ( bts AND tm == 1 AND Ref( tm, -1 ) == 2 ), colorTurquoise, 0, bstop, 0 );PlotShapes( shapeCircle* ( bts AND tm == 2 AND Ref( tm, -1 ) == 1 ), colorCustom12, 0, sstop, 0 );PlotShapes( IIf( btst AND p == 1, shapeSmallCircle, Null ), colorTurquoise, 0, bstop, 0 );Plot( IIf( btsl AND tm == 1, bstop, Null ), "", colorPaleBlue, 1 );PlotShapes( IIf( btst AND p == 2, shapeSmallCircle, Null ), colorCustom12, 0, sstop, 0 );Plot( IIf( btsl AND tm == 2, sstop, Null ), "", colorLightYellow, 1 );Buy = Cover = ( bts AND tm == 1 AND Ref( tm, -1 ) == 2 );Sell = Short = ( bts AND tm == 2 AND Ref( tm, -1 ) == 1 );SellPrice = ValueWhen( Sell, C, 1 );BuyPrice = ValueWhen( Buy, C, 1 );Long = Flip( Buy, Sell );Shrt = Flip( Sell, Buy );_SECTION_END();//=================TITLE============================ ================================================== ==================_SECTION_BEGIN( "Title" );if ( Status( "action" ) == actionIndicator ) ( Title = EncodeColor( colorWhite ) + "KBrain V 1.1. " + " - " + Name() + " - " + EncodeColor( colorRed ) + Interval( 2 ) + EncodeColor( colorWhite ) + " - " + Date() + " - " + "\n" + EncodeColor( colorYellow ) + "Op-" + O + " " + "Hi-" + H + " " + "Lo-" + L + " " + "Cl-" + C + " " + "Vol= " + WriteVal( V ) + "\n" + EncodeColor( colorLime ) + WriteIf ( Buy , " GO LONG / Reverse Signal at " + C + " ", "" ) + WriteIf ( Sell , " EXIT LONG / Reverse Signal at " + C + " ", "" ) + "\n" + EncodeColor( colorWhite ) + WriteIf( Sell , "Total Profit/Loss for the Last Trade Rs." + ( C - BuyPrice ) + "", "" ) + WriteIf( Buy , "Total Profit/Loss for the Last trade Rs." + ( SellPrice - C ) + "", "" ) + WriteIf( Long AND NOT Buy, "Trade : Long - Entry price Rs." + ( BuyPrice ), "" ) + WriteIf( shrt AND NOT Sell, "Trade : Short - Entry price Rs." + ( SellPrice ), "" ) + "\n" + WriteIf( Long AND NOT Buy, "Current Profit/Loss Rs." + ( C - BuyPrice ) + "", "" ) + WriteIf( shrt AND NOT Sell, "Current Profit/Loss Rs." + ( SellPrice - C ) + "", "" ) );_SECTION_END();BuyPrice = ValueWhen( Buy, C );SellPrice = ValueWhen( Sell, C );Filter = ( Buy OR Sell );;AddColumn( IIf( Buy, BuyPrice, Null ), " Buy ", 6.2, 1, colorGreen );AddColumn( IIf( Sell, SellPrice, Null ), " sell ", 6.2, 1, colorOrange ); |
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just like with the NMA system if you want to do some backtesting and define both buy and short you also have to define the shortprice, like:
SellPrice = ValueWhen( Sell, C, 1 );ShortPrice=SellPrice;
BuyPrice = ValueWhen( Buy, C, 1 );CoverPrice=BuyPrice;
these type of systems just don’t work because of all the profit will be eaten up in directionless/whipsaw periods. You need at least wait for a pullback within the trend in my opinion.
Backtesting this system is not recommended because the code references future data.
Excellent modification done for Kbrain. Now with this, chart shows clear trend.
Thanks for sharing
does this really look into future?
I can confirm that this does not look to the future.
Whipsaws can be avoided by using Linear regression channel with the system…I am trying to do that and pretty good results