Download Mann-Kendall Trend Detection For Amibroker (AFL)

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amibroker

Submitted by hbkwarez over 10 years ago

Submitted by MarcosEn over 13 years ago

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_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();

1. ole

about 13 years ago

This formula was posted 3 days ago by isozaki.

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Mann-Kendall Trend Detection for Amibroker (AFL)
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about 13 years ago
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