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2 / 5 (Votes 5)

trading system, amibroker, bands

Submitted by kaiji over 15 years ago

Submitted by morgen almost 15 years ago

Submitted by jachyuen over 13 years ago

Submitted by anandnst over 12 years ago

Submitted by JPMamgain almost 13 years ago

Indicator

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/*
Formula Name: Turtle trading system
Collector/Uploader: www.stockbangladesh.com
E-mail: amibroker@stockbangladesh.com
Origin: Turtle trading experimemnt Chandelier exit based on Chuck Lebeau's work
Keywords: Trend trading
Level: Basic
Flags: System
*/
//=============================SETUP================ ======================
 
pds = 20;
MAFAST = EMA( Close, 20 );
MASLOW = EMA( Close, 40 );
 
DonchianUpper = HHV( Ref( H, -1 ), pds ); // Highest high value of highs in last 20 periods
DonchianLower = LLV( Ref( L, -1 ), pds ); // Lowest low value of low in last 20 periods
DonchianMiddle = ( DonchianUpper + DonchianLower ) / 2;
 
UpTrend = C > ( LLV( L, 20 ) + 2 * ATR( 10 ) ) AND EMA( Close, 20 ) > EMA( Close, 40 );
DnTrend = C < ( HHV( H, 20 ) - 2 * ATR( 10 ) ) AND EMA( Close, 20 ) < EMA( Close, 40 );
Color = IIf( UpTrend, colorBlue, IIf( DnTrend, colorOrange, colorCustom11 ) );
 
// Plots a 20 period Donchian channel
Plot( C, "Price", Color, styleBar | styleThick );
Plot( DonchianUpper, "Donchian U", ParamColor( "DU Color", colorBlue ), ParamStyle( "DU Style", styleLine ) );
Plot( DonchianMiddle, "Donchian M", ParamColor( "DM Color", colorBrightGreen ), ParamStyle( "DM Style", styleNoLine ) );
Plot( DonchianLower, "Donchian L", ParamColor( "DL Color", colorRed ), ParamStyle( "DL Style", styleLine ) );
 
Title = WriteVal( DonchianUpper, 1.2 ) + WriteVal( DonchianLower, 1.2 ) + WriteVal( DonchianMiddle, 1.2 );
//=============================TRIGGERS AND ENTRIES=======================
Buy = High > Ref( HHV( High, 20 ), -1 ) AND MAFAST > MASLOW; // Enters long trade
 
Short = Low < Ref( LLV( Low, 20 ), -1 ) AND MAFAST < MASLOW; // Enters short trade
 
 
 
//=============================EXITS================ ======================
_SECTION_BEGIN( "Chandelier Exit" );
 
SetBarsRequired( 50, 50 );
 
Multiple = Optimize( "Multiple", 8, 0.5, 50, 0.1 ); // How many ATR's to be allowed below the highest high since latest "buy" bar
ATRPeriods = Optimize( "ATR Periods", 1, 1,50, 1 ); // How many periods to use for the ATR
 
stopArray = Null;
atrArray = ATR( ATRPeriods );
HHArray = Null;
LLArray = Null;
exitArray = Null;
trendDirection = 0;
 
for ( i = 0; i < BarCount; i++ )
{
if ( Short[i] )
{
// we just triggered a short trade. Set up starting values
stopArray[i] = Low[i] + ( Multiple * atrArray[i] );
LLArray[i] = Low[i]; // initialize the lowest low array
trendDirection = 0 - 1; // going short. Base bar.
}
 
if ( Buy[i] )
{
// we just triggered a long trade. Set up starting values
stopArray[i] = High[i] - ( Multiple * atrArray[i] );
HHArray[i] = High[i]; // initialize the highest high array
trendDirection = 1; // going long. Base bar flag is now set.
}
 
exitArray[i] = 0;
 
if ( trendDirection > 0 )
{
// keep track of the highest high, highest close, highest low, etc..
if ( trendDirection > 1 )
{
// We are in the trade (2nd day or later)
if ( Low[i] < stopArray[i-1] )
{
//stop got hit. Reset the trade.
trendDirection = 0; // OK. wait until we trigger another trade.
exitArray[i] = 1;
}
else
{
// keep track of the HHV since trade was entered.
if ( High[i] > HHArray[i-1] )
HHArray[i] = High[i];
else
HHArray[i] = HHArray[i-1];
 
// Compute the stop based on the HHV.
stopArray[i] = HHArray[i] - ( Multiple * atrArray[i] );
}
}
 
trendDirection = trendDirection + 1;
}
 
if ( trendDirection < 0 )
{
// keep track of the lowest low, lowest close, lowest high, etc..
if ( trendDirection < 0 - 1 )
{
// We are in the trade (2nd day or later)
if ( High[i] > stopArray[i-1] )
{
// our stop got hit. Reset the trade.
trendDirection = 0;
exitArray[i] = 0 - 1;
}
else
{
// keep track of the LLV since trade was entered.
if ( Low[i] < LLArray[i-1] )
LLArray[i] = Low[i];
else
LLArray[i] = LLArray[i-1];
 
// Compute the stop based on the LLV.
stopArray[i] = LLArray[i] + ( Multiple * atrArray[i] );
}
}
 
trendDirection = trendDirection - 1;
}
 
if ( trendDirection == 0 )
{
stopArray[i] = 0;
LLArray[i] = 0;
HHArray[i] = 0;
}
}
 
Sell = Cover = exitarray;
 
Buy = ExRem( Buy, Sell );
Sell = ExRem( Sell, Buy );
Short = ExRem( Short, Cover );
Cover = ExRem( Cover, Short );
 
PlotShapes( Buy*shapeUpArrow, colorBrightGreen, 0, Low );
PlotShapes( Short*shapeDownArrow, colorRed, 0, High );
PlotShapes( abs( exitArray )*shapeHollowCircle, colorYellow, 0, ValueWhen( stopArray, stopArray, 1 ), 0 );
Plot( stopArray, "Chand", ParamColor( "Chand Color:", colorYellow ), ParamStyle( "Chand Style", styleDashed ) );
 
_N( Title = EncodeColor( colorYellow ) + StrFormat( "{{NAME}} - {{INTERVAL}} - {{DATE}}--Turtle_System_Rev_A \n OP= %g Hi= %g Lo= %g CL= %g (%.1f%%) \n Vol= " + WriteVal( V, 1.0 ) + "\n" + " {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ) );//=cnb
 
//_N(Title = "LLArray: " + LLArray + ", HHArray:" + HHArray +", stopArray"+stopArray);
 
//PlotShapes(shapeCircle * Sell, colorRed);
//PlotShapes(shapeCircle * Cover, colorGreen);
_SECTION_END();
 
 
// Plots a 20 period Donchian channel
 
pds=20;
DonchianUpper =HHV(Ref(H,-1),pds);
DonchianLower = LLV(Ref(L,-1),pds);
DonchianMiddle = (DonchianUpper+DonchianLower)/2;
 
 
Plot(DonchianUpper,"DU",colorBlue,styleDashed);
Plot(DonchianMiddle,"DM",colorBlue,styleHidden);
Plot(DonchianLower,"DL",colorBlue,styleDashed);

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WiseTrader Toolbox

Turtle trading system for Amibroker (AFL)
clerobson
over 12 years ago
Amibroker (AFL)

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