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Trend detection function for Amibroker (AFL)

isozaki over 14 years ago Amibroker (AFL)

  • Rating:
    3 / 5 (Votes 5)
  • Tags:
    amibroker, trend, function

This AFL function Trend(Price,Length) checks if there is trend in given number of data bars in the array. Returns 1 for increasing trend, -1 for decreasing and 0 for none. Uses Mann-Kendall method and detects trend with 95% probability

Indicator / Formula

Copy & Paste Friendly
function Trend(Price,Length) {

	Result = 0;

	

	for (k=Length;k<BarCount;k++) {

		S = 0;

		for (i=k-Length+1;i<k;i++) {			
			for (j=k-Length;j<i-1;j++) {
				Signum = sign(Price[i]-Price[j]);
				S += Signum;
			}			
		}
		
		Variance =( Length*(Length-1.0)*(2*Length+5.0))/18.0;		
		StdDev = sqrt(Variance);

		zScore = 0;
		if (S >= 0) {
			zScore=((S-1)/StdDev);
		}else {
			zScore=(S+1)/StdDev;
		}

		Result[k] = 0; //0- no trend, -1 - decreasing trend, 1 - increasing trend

		isTrend = False;
		if ((zScore>=1.65)||(zScore<=-1.65)) { 
			isTrend=True;
		}

		if (isTrend)	{		
			if (S<0){
				Result[k] = -1;
			}else {
				Result[k] = 1;
			}
		}

	}

	return Result;
}

13 comments

3. sam21
over 14 years ago

YUP Afl is not working…though no error but nothing is displayed in Price chart

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6. wisewisely
over 14 years ago

Hey, this is good, thanks a lot
For the others complaining about the script, this is just a function, you need to add your own statement.

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7. morgen
over 14 years ago

wisewisely, be so kind, please, explain how “to add your own statement”.
With an example, please.

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8. JaNa
over 14 years ago

You complaining guys are so dumb it’s unbelievable. Learn AFL before complaining!! Jesus Christ.

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9. investor_tr
over 14 years ago 
_SECTION_BEGIN("Mann-Kendall");
Length= Param( "Period", 21, 5, 200, 1 ); 
function Trend(Price,Length) {
 Price=C;
    Result = 0;
 
     
 
    for (k=Length;k<BarCount;k++) {
 
        S = 0;
 
        for (i=k-Length+1;i<k;i++) {         
            for (j=k-Length;j<i-1;j++) {
                Signum = sign(Price[i]-Price[j]);
                S += Signum;
            }           
        }
         
        Variance =( Length*(Length-1.0)*(2*Length+5.0))/18.0;       
        StdDev = sqrt(Variance);
 
        zScore = 0;
        if (S >= 0) {
            zScore=((S-1)/StdDev);
        }else {
            zScore=(S+1)/StdDev;
        }
 
        Result[k] = 0; //0- no trend, -1 - decreasing trend, 1 - increasing trend
 
        isTrend = False;
        if ((zScore>=1.65)||(zScore<=-1.65)) { 
            isTrend=True;
        }
 
        if (isTrend)    {       
            if (S<0){
                Result[k] = -1;
            }else {
                Result[k] = 1;
            }
        }
 
    }
 
    return Result;
}
Plot(C,"",colorRed,styleCandle);
Plot(Trend(C,Length),"",colorRed,styleLine+styleThick|styleOwnScale);
_SECTION_END();
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11. isozaki
over 14 years ago

Thanks investor_tr for making this an indicator. I din’t add this 3 lines, thought it was obvious, sorry.

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