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Extreme Keltner using ATR for Amibroker (AFL)

Rating:
2 / 5 (Votes 5)
Tags:
trading system, amibroker, bands

This is a keltner band violation system using the classic atr volatility modification.

The system buys on the cross of open from below the extreme band and closes the open the day after.

Drawdown needs to be addressed by optimizing the exit.

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Indicator / Formula

Copy & Paste Friendly
_SECTION_BEGIN("Extreme Keltner using ATR");
//SetChartOptions(2,chartShowArrows|chartShowDates);
//SetBarFillColor( IIf( Close > Open, colorDarkGreen, colorRed ) );

//SetTradeDelays(1,1,0,0);
//BuyPrice = C;
//SellPrice = C;

Mid = MA( (H+L+C)/3, 15); //The 10-Day Moving Average
Hi = Mid + 4*ATR(15); //Upper Keltner Band
Lo = Mid - 4*ATR(15); //Lower Keltner Band


Buy = Cross(Open, Lo); //Buy Trigger on day the stock Opens above lower Keltner
BuyPrice = Open; //Price

Sell = Ref( Buy, -1 ); //Sell following day at open
SellPrice = Open;


//Plot stuff

Plot(Mid,"Mid",colorBlue,styleLine);
Plot(Hi,"Hi",colorGreen,styleLine);
Plot(Lo,"lo",colorGreen,styleLine);
Plot(C,"C",colorBlack,styleCandle);

// plotting prices at the correct level
Plot(C,"Close",colorBlack,styleBar);
PlotShapes( IIf(Buy, shapeSmallCircle, shapeNone),colorGreen, 0, BuyPrice, 0 );
PlotShapes( IIf( Sell, shapeSmallCircle, shapeNone),colorRed, 0 ,SellPrice, 0 );
FirstVisibleBar = Status( "FirstVisibleBar" );
Lastvisiblebar = Status("LastVisibleBar");
for( b = Firstvisiblebar; b <= Lastvisiblebar AND b < BarCount; b++)
{
if( Buy[b] ) PlotText("\n Buy\n "+NumToStr(BuyPrice[b],1.2),b,BuyPrice[b]-1,colorBlack);
else if( Sell[b] ) PlotText("\n Sell\n "+NumToStr(SellPrice[b],1.2),b,SellPrice[b]-1, IIf(SellPrice[b]>BuyPrice[b-1], colorGreen, colorRed));
}

_SECTION_END();

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