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LarryJR System for Amibroker (AFL)
Rating:
2 / 5 (Votes 3)
Tags:
trading system, amibroker
Here Is LarryJR System
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// TerryH - afl@rivelle.com 3/9/2012 // Move AvgPrice computation before the loop so it's only done ONCE in an array. // Replace SetBarsRequired with only computing visible bars...back to the start of the oldest time period even if it's "off screen". // These 2 changes make it run in 1/12th the time. No doubt database dependent on how much time is saved.// VWAP code that also plots 3 standard deviations. // I think more savings is possible, but will take a harder look to find. // NOTE: the code is SLOOOOWWWW...can someone help speed it up? // I tried my best, but can't really do much with the two for-loops... // // LarryJR - ljr500@hotmail.com SetBarsRequired(-2,-2); _TRACE( "!CLEAR!" ); //For trouble-shooting //PlotOHLC( O, H, L, C, "Price", colorDefault, styleCandle ); _SECTION_BEGIN("Price"); SetChartOptions(0,chartShowArrows|chartShowDates); _N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) )); Plot( C, "Close", ParamColor("Color", colorBlack ), styleNoTitle | ParamStyle("Style") | GetPriceStyle() ); _SECTION_END(); //Just do this once as an array. Saves 40% the compute time from ~ 1 second to ~ .6 seconds AvgPrice = ( O + H + L + C ) / 4; // Store true/false based on a new calendar day... // Added Weekly, Monthly breaks. // Also for futures, need to add break at new trading Day, which is NOT midnight. period = ParamList( "What period?", "Daily|Weekly|Monthly", 0 ); switch ( period ) { case "Daily": newPeriod = Day() != Ref( Day(), -1 ); break; case "Weekly": newPeriod = DayOfWeek() == 0 AND Ref( DayOfWeek(), -1 ) != 0; break; case "Monthly": newPeriod = Month() != Ref( Month(), -1 ); break; } //--Setup----------- bi = BarIndex(); // Just shorthand StartBar = StrToNum("2"); //1st bar == 0. Set to 1 so Ref(xxx, -1) doesn't give an error EndBar = BarCount -1; ExtraBarsRequired = 0; //CalcRangeAll = ParamToggle( "Calc ALL or VISIBLE?", "VISIBLE|ALL", 0 ); //Option to compute all bars in case of Backtesting or Explore if you add this kind of code. if ( Status( "action" ) < 3 ) // Limit to visible range unless we're doing Backtest, Explore, Scan, Optimize. // In other words, for viewing/commentary we only compute what we can see. // Saves add'l 85% the compute time from ~ .6 second to ~ .09 seconds. { //This code finds only the VISIBLE chart area, which may or may not be the most recent day. This let's me look at any day for evaulation purposes. FirstVisibleBar = FirstVisibleValue( bi ); _TRACE( "1st Visible: " + FirstVisibleBar ); LastVisibleBar = LastVisibleValue( bi ); //Testing shows this returns BarIndex (0 based) values. So, if you want to use in a loop the last value IS the last bar. VisibleBars = LastVisibleBar - FirstVisibleBar; //Used in trouble-shooting. _TRACE( "1st Visible: " + FirstVisibleBar + " Last Visible: " + LastVisibleBar + " #bars: " + VisibleBars ); StartBar = FirstVisibleBar; //We get variable results when there are not 2 periods of data available so we won't show them at all. EndBar = LastVisibleBar; flag = StrToNum( "0" ); //Force a numeric value for ( k = FirstVisibleBar; k > 0; k-- ) { if ( newPeriod[k] ) { flag++; if ( flag == 2 ) //Need to lookback 2 periods if possible { StartBar = k; //Set starting location k = 0; //End the loop } } } if ( flag < 2 ) //We have less than 2 periods of history to the left, so we must start displaying no sooner than the 1st newPeriod that is on-screen { for ( k = 1; k < EndBar; k++ ) { if ( newPeriod[k] ) { StartBar = k; k = EndBar; } } } } _TRACE("1st Required: " + StartBar + " Last Required: " + EndBar + " Extra Bars: " + ExtraBarsRequired + " Bar in Database: " + BarCount ); // Initialize loop variables SumPriceVolume = 0; totVolume = 0; VWAP = 0; stddev = 0; newPeriodindex = EndBar; //Move way out until we find a "real one" Variance = 0; //Initialize the plotted variables for early data we cannot compute without getting variable results. VWAP = C[1]; stddev_1_pos = stddev_1_neg = stddev_2_pos = stddev_2_neg = stddev_3_pos = stddev_3_neg = C[1]; // we must use a loop here because we need to save the vwap for each bar to calc the variance later for ( i = startBar; i <= EndBar; i++ ) { // only want to reset our values at the start of a new period if ( newPeriod[i] ) { SumPriceVolume = 0; totVolume = 0; newPeriodindex = i; // this is the index at the start of a new period Variance = 0; } // Sum of Volume*price for each bar sumPriceVolume += AvgPrice[i] * ( Volume[i] ); // running total of volume each bar totVolume += ( Volume[i] ); if ( totVolume[i] > 0 ) { VWAP[i] = Sumpricevolume / totVolume ; VWAPtemp = VWAP[i]; } // now the hard part...calculate the variance... // a separate calc from the start of each day - note it requires the vwap from above // also note, we calculate starting at the first bar in the new day to today to the curent bar Variance = 0; for ( j = newPeriodindex; j < i; j++ ) { Variance += ( Volume[j] / totVolume ) * ( Avgprice[j] - VWAPtemp ) * ( Avgprice[j] - VWAPtemp ); } sqrtVariance = sqrt( Variance ); stddev_1_pos[i] = VWAPtemp + sqrtVariance; stddev_1_neg[i] = VWAPtemp - sqrtVariance; stddev_2_pos[i] = VWAPtemp + sqrtVariance * 2; stddev_2_neg[i] = VWAPtemp - sqrtVariance * 2; stddev_3_pos[i] = VWAPtemp + sqrtVariance * 3; stddev_3_neg[i] = VWAPtemp - sqrtVariance * 3; } //Prior period VWAP centerline PPC = ValueWhen( newPeriod == True, Ref(VWAP, -1), 1); Plot ( PPC, "PPC", colorBlue, styleDots|styleNoLine|styleNoRescale ); Plot ( VWAP, "VWAP", colorBlue, styleLine ); Plot ( stddev_1_pos, "VWAP_std+1", ColorRGB( 128, 0, 0 ), styleDashed ); Plot ( stddev_1_neg, "VWAP_std-1", ColorRGB( 0, 128, 0 ), styleDashed ); Plot ( stddev_2_pos, "VWAP_std+2", colorRed, styleDashed | styleThick ); Plot ( stddev_2_neg, "VWAP_std-2", colorGreen, styleDashed | styleThick ); Plot ( stddev_3_pos, "VWAP_std+3", colorDarkRed, styleDots | styleThick ); Plot ( stddev_3_neg, "VWAP_std-3", colorDarkGreen, styleDots | styleThick ); _SECTION_BEGIN("VAP"); segments = IIf( Interval() < inDaily, Day(), Month() ); segments = segments != Ref( segments , -1 ); PlotVAPOverlayA( segments , Param("Lines", 300, 100, 1000, 1 ), Param("Width", 80, 1, 100, 1 ), ParamColor("Color", ColorRGB(255,245,200) ), ParamToggle("Side", "Left|Right" ) | 2 * ParamToggle("Style", "Fill|Lines", 0) | 4*ParamToggle("Z-order", "On top|Behind", 1 ) ); Plot(segments, "", colorLightGrey, styleHistogram | styleOwnScale ); _SECTION_END();
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