Stochastic and MACD Buy Signal for Amibroker (AFL)

f3r15ka

almost 15 years ago

Amibroker (AFL)

This exploration looks for simple Stochastics and MACD buy signals to initialize long trades. Money, Risk and Position management is more important for successful trading than having only good entries and exits. Therefore, I combined these signals with strict trade-, money-management and position sizing rules. These trades are usually of very short nature ( 1 – 20 days ) because I used ST Volatility for Money-, Risk-, and position sizing-management.
Feel free to alter these settings to your preferred trading-style. The exploration can also be customized in terms of Account size, personal risk preferences and triggers for STO Indicator. STO and MACD can be replaced by your favorite trading-system. However, the volatility based Moneymanagement and position sizing rules could add a new dimension to your trading system.

• Standard account size 10 K ( see column6 )
• Standard risk is 2% of account size for any trade ( see column6)
• Entries, Stops, Profittargets ( PT) & Positionsizes are calculated on // ST Volatility ( ATR ).
• Entries should give a reasonable entry price within the projected
  trading range for the following day.
• Although I had to use Close as basis for the calculations rather than Median Price ( as I did in MetaStock ), it should work well.
• Stops are designed to keep the trade out of the daily noise.
• Risk and Reward are managed by position size, adjusted to the stocks ST volatility.
• Stops should only be trailed in the direction of the trade using the SF Stop Indicator.
• Profit-targets are valid as from day of Trade-Entry. With the help of SF Entry, Stop PT indicator, one could “trail” also the PT. My advice is, to take some money of the table, once the initial target as of trade entry has been hit.

I recommend strongly, to keep the risk per position at 2% of the account-size. If you are more agressive, think about taking additional trades rather than increasing the risk / trade. I’ll experiment with using Adaptive MA’s instead of Ema’s and post the result later as an update.

Backtesting : Unfortunately, the complete system cannot be back-tested in AB, because I can’t input the algorithms as System settings.

Indicator / Formula

lookback = 14;
buyrange = 20;
sellrange = 80;
stochKworkaround = StochK(14);
stochDworkaround = EMA( StochK(14), 3);

Buy = StochK(14) < buyrange AND Cross(stochKworkaround, stochDworkaround) OR Cross( MACD(), Signal() ); 

Filter = StochK(14) < buyrange AND Cross(stochKworkaround, stochDworkaround) OR Cross( MACD(), Signal() ); 
NumColumns=11;
Column0 =StochK(14) < buyrange AND Cross(stochKworkaround, stochDworkaround);
Column0Name = "STOBuy";
Column0Format = 1;
Column1 = Cross( MACD(), Signal() ); 
Column1Name = "MACD Buy";
Column1Format = 1;
Column2 = Close;
Column2Name = "Close";
Column2Format = 1.2;
Column3 = EMA(Close,5)+(EMA(ATR(1),10)/4);
Column3Name = "EntrLong";
Column3Format = 1.2;
Column4 = EMA(Close,5)-(EMA(ATR(1),10)*1.50);
Column4Name = "StopLong";
Column4Format = 1.2;
Column5 = (EMA(Close,5)+(EMA(ATR(1),10)*2.5));
Column5Name = "PT";
Column5Format = 1.2;
Column6 = ((10000)*2/100)/(EMA(Close,5)+ (EMA(ATR(1),10)/4)-(EMA(Close,5)-(EMA(ATR(1),10)*1.50)));
Column6Name = "Max Pos";
Column6Format = 1;
Column7 = (EMA(Close,5)+(EMA(ATR(1),10)/4)) - (EMA(Close,5)-(EMA(ATR(1),10)*1.50));
Column7Name = "Risk";
Column7Format = 1.2;
Column8 = (EMA(Close,5)+(EMA(ATR(1),10)*2.5)) -  (EMA(Close,5)+(EMA(ATR(1),10)/4));
Column8Name = "Reward";
Column8Format = 1.2;

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