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Volatility for Amibroker (AFL)
makaran2
about 12 years ago
Amibroker (AFL)

Rating:
3 / 5 (Votes 5)
Tags:
trading system, amibroker

This AFL helps you to find long and short signals or to identify trend based on the volatility.

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Indicator / Formula

Copy & Paste Friendly
//PRICE
_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();
//==================================================================================================================
//BOLLINGER BANDS
_SECTION_BEGIN("BB1");
P = ParamField("Price field",-1);
Periods = Param("Periods", 20, 1, 300, 1 );
Width = Param("Width", 1, 0, 10, 0.05 );
Color = ParamColor("Color", colorCycle );
Style = ParamStyle("Style");
Plot( BBandTop( P, Periods, Width ), "BBTop" + _PARAM_VALUES(), colorRed, Style ); 
Plot( BBandBot( P, Periods, Width ), "BBBot" + _PARAM_VALUES(), colorRed, Style ); 
_SECTION_END();
_SECTION_BEGIN("BB2");
P = ParamField("Price field",-1);
Periods = Param("Periods", 20, 2, 300, 1 );
Width = Param("Width", 2, 0, 10, 0.05 );
Color = ParamColor("Color", colorCycle );
Style = ParamStyle("Style");
Plot( BBandTop( P, Periods, Width ), "BBTop" + _PARAM_VALUES(), Color, Style ); 
Plot( BBandBot( P, Periods, Width ), "BBBot" + _PARAM_VALUES(), Color, Style ); 
_SECTION_END();
//==============================================================================================
_SECTION_BEGIN("MA20");
MA20upcol=IIf(MA(C,20)>Ref(MA(C,20),-1),colorBlue,colorAqua) ;
Plot( MA(C,20),"MA20", ma20upcol, styleDots) ; 
_SECTION_END();
//xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx
//TRENDING RIBBON
// Paste the code below to your price chart somewhere and green ribbon means both
// both MACD and ADX trending up so if the red ribbon shows up the MACD and the ADX 
// are both trending down.
_SECTION_BEGIN("trending ribbon");
uptrend=PDI()>MDI() AND MACD()>Signal();
downtrend=MDI()>PDI() AND Signal()>MACD();
Plot( 2, /* defines the height of the ribbon in percent of pane width */"ribbon",
IIf( uptrend, colorLime, IIf( downtrend, colorRed, 0 )), /* choose color */
styleOwnScale|styleArea|styleNoLabel, -0.5, 100 );
_SECTION_END();
//xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx
//FORMULE
P = ParamField("Price field",-1);
cuptop1=C>BBandTop(p,20,1) ;
bot1=BBandBot(p,20,1) ;
top2=BBandTop(p,20,2) ;
bot2=BBandBot(p,20,2) ;
stocup=StochK()>StochD() ;
MACDup=MACD()>Signal() ;
Hist=MACD()-Signal() ;
Histup=Hist>Ref(Hist,-1) ;
MFIupema5=MFI()>EMA(MFI(),5) ;
Cupo=C>O ;
top1up=BBandTop(p,20,1)>Ref(BBandTop(p,20,1),-1) ;
band=BBandTop(p,20,2)-BBandBot(p,20,2) ;
Volatbuy=band>Ref(band,-1) ;
cupbot1=C>BBandBot(p,20,1) ;
bot1up=BBandBot(p,20,1)>Ref(BBandBot(p,20,1),-1) ;
MA20up=MA(C,20)>Ref(MA(C,20),-1) ;
Vup10=V>10000 ;
CCIup0=CCI()>0 ;
//xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx
//PARAMTOGGLE
// This combines indicators into one timing Signal
//function ParamOptimize( description, default, minv, maxv, step )
//    { return Optimize(description, Param(description,default, minv, maxv, step ), minv, maxv, step ); }
tgl = ParamToggle("Result", "AND logic|Compare");
// switch test calculation and compare the results
if(tgl)
{
myBuy = volatbuy AND MA20up AND Histup AND MFIupema5 AND MACDup AND stochup ;
myShort = !volatbuy AND !Histup AND !mfiupema5 ; 
}
else
{
myBuy   = IIf( band>Ref(band,-1) AND MA(C,20)>Ref(MA(C,20),-1) AND Hist>Ref(Hist,-1) AND MFI()>EMA(MFI(),5) AND
          MACD()>Signal() AND StochK()>StochD()       ,1,0);
myShort = IIf( band<Ref(band,-1) AND Hist<Ref(Hist,-1) AND MFI()<EMA(MFI(),5)       ,1,0);
}

Buy = ExRem(myBuy, myShort);
Sell = ExRem(myShort, myBuy);

PlotShapes(IIf(Buy,shapeUpArrow,shapeNone),colorBlue,0,L,Offset=-10);
PlotShapes(IIf(Sell,shapeDownArrow,shapeNone),colorRed,0,H,Offset=-10);

6 comments

1. anandnst

Lots of Whipsaws and buy/sell signals are not impressive . Looks good in Daily and weekly timeframe (2 star from me).

2. viet

I think this is a very nice try, especially for daily timeframe. I want to explore the formula a little bit, but overall the signal generated by the tool looks fine for me. Thanks for posting and best regards!

3. morgen

I’m proud of this formula!
Thank You to “the Author”!

4. Muralikrishna

middle MA line is good

thanx

5. Divyesh

@Makaran2,
thank you…..

6. hotaro3

Thank you for you contribution of this formula. If you change buy and sell signals to cross point of price to 2 red lines, the prediction will be more accurate. for information of others I must to say that other volatility indicator that presented in this site such as ATRstudy and JimBerg formula shows better results and I recommend to use them.

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