Download RUTVOL timing signal with BB Scoring routine For Amibroker (AFL)

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RUVOL signal was developed by Werner Gansz who was kind enough to share it with the FT-Talk community. RUTVOL is an intermediate-term signal, and in this code example it is coupled with a Bollinger Band scoring routine as a selection methodology for stocks.

The symbols currently in the code are for QP2 database to make it work for other markets or a different database the following foreign symbol references need to be changed.

!RUT is the Russell 2000
!NQ-V is Nasdaq total volume
!NQ-AV is Nasdaq advancing volume
!NQ-DV is Nasdaq declining volume

By Gary Serkhoshian – serkhoshian777 [at] yahoo.com

Submitted by ajayjain90 almost 15 years ago

Submitted by hotaro3 over 12 years ago

Submitted by pdkg_gal almost 15 years ago

Submitted by nishantndk almost 15 years ago

Submitted by rushee.g1100 over 14 years ago

Submitted by trader22 about 15 years ago

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/*RUTVOL SIGNAL LOGIC FROM .INI FILES
 
EXPLAINATION:  RUTVOL BASES THE FOLLOWING INDICATORS ON RUSSELL 2K INDEX.
                 1.  STOCHASTICS
                 2.  MACD
                 3.  RSI
 
                CALCULATIONS BASED ON THE NASDAQ TVOLQ,UVOLQ,DVOLQ AS FOLLOWS
                1.  ACCUTRACK
                2.  STOCHASTICS
 
TRANSLATED:  8/18/03
 
NOTE:   THIS IS A MODIFIED VERSION OF RUTVOL.  THIS VERSION PRODUCES MODESTLY
BETTER RETURNS WITH SAME DD AS MEASURED AGAINST $RUT.  BELOW ARE THE CHANGES
NEED TO CONVERT TO ORIGINAL RUTVOL.
 
1. RUTTR_BUYCOND has no RSI filtering in the current RUTTR.
 
2. Current version of RUTVOL does not use the volume AccuTrak in the volume buy
condition
*/
 
// STEP #1:  ESTABLISH PARAMETERS
RUT = Foreign("!RUT","C");
//STOCHASTICS
AVERAGE = 53; //Optimize("AVERAGE",53,27,80,5);
SMOOTH = 49; //Optimize("SMOOTH",49,25,74,5);
TRIGGER = 28; //Optimize("TRIGGER",28,14,42,5);
BuyVALUE = 0;
SellVALUE = 0;
 
//MACD
ShortMA = 45; //Optimize("SHORTMA",45,23,90,5);
LONGMA = 90; //Optimize("LONGMA",90,45,135,5);
SignalMA = 8;  //Optimize("SIGNALMA",8,4,12,1);
BuyLEVEL = 0;
SellLEVEL = 0;
 
//RSI
RSILEN = 14; //Optimize("RSILEN",14,7,21,1);
BuyRSI = 63;
SellRSI = 47;
ShortRSI = 37;
 
//VOLUME EMA
VOLEMA1 = 60; //Optimize("VOLEMA1",60,30,90,5);
VOLEMA2 = 120; //Optimize("VOLEMA2",120,60,180,5);
 
//VOLUME ACCUTRACK
ACCU_SHORTPERIOD = 11; //Optimize("ACCU_SHORTPERIOD",11,5,16,1);
ACCU_LONGPERIOD = 44; //Optimize("ACCU_LONGPERIOD",44,22,66,3);
 
//TOTAL VOLUME STOCH CALC
TVOL_AVG = 41;  //Optimize("TVOL AVG",41,22,66,2);
TVOL_SMOOTH = 10;  //Optimize("TVOL_SMOOTH",10,5,15,1);
TVOL_TRIGGER = 8; //Optimize("TVOL_TRIGGER",8,4,12,1);
 
//********RUTTR CALC*********//
//STOCH CALC BEGIN
KSTOCH = 100 * (RUT - LLV(RUT,AVERAGE)) / (HHV(RUT,AVERAGE) - LLV(RUT,AVERAGE));
DSTOCH = EMA(KSTOCH,SMOOTH);
SignalLINE = EMA(DSTOCH,TRIGGER);
STOCH_HISTO = DSTOCH - SignalLINE;
 
//MACD CALC BEGIN
RUTMACD = EMA(RUT,ShortMA) - EMA(RUT,LONGMA);
MACDSignalLINE = EMA(RUTMACD, SignalMA);
MACD_HISTO = RUTMACD - MACDSIGNALLINE;
 
//RSI FILTER BEGIN
RSIFILTER_SELL = RSIa(RUT,RSILEN) < Ref(RSIa(RUT,RSILEN),-3) AND RUT <
Ref(RUT,-1) AND RSIa(RUT,RSILEN) < SellRSI;
 
RSIFILTER_BUY = RSIa(RUT,RSILEN) > BuyRSI;
 
//RUTTR SIGNAL LOGIC
 
//STEP#1:  BUY & SELL COND
RUTTR_BUYCOND = (Stoch_HISTO > 0 AND MACD_HISTO > 0) OR RSIFILTER_BUY;
RUTTR_SELLCOND = (Stoch_HISTO < 0 AND MACD_HISTO < 0)  AND RSIFILTER_SELL;
 
//STEP#2: BUY & SELL STATE
RUTTR_BUYSTATE = Flip(RUTTR_BUYCOND,RUTTR_SELLCOND);
//RUTTR_SELLSTATE = Flip(RUTTR_SELLCOND,RUTTR_BUYCOND);
RUTTR_SELLSTATE = NOT RUTTR_BUYSTATE;
 
//*********RUTVOL CALC*********//
 
TVOLQ = Foreign("!NQ-V","C");
UVOLQ = Foreign("!NQ-AV","C");
DVOLQ = Foreign("!NQ-DV","C");
 
NQVOLEMA = EMA(TVOLQ,VOLEMA1);
NQUVOLEMA = EMA(UVOLQ,VOLEMA2);
NQDVOLEMA = EMA(DVOLQ,VOLEMA2);
 
//ACCUTRACK CALC OF NQ UP/DN VOL
UPVOLCHG = (NQUVOLEMA - Ref(NQUVOLEMA,-1)) / Ref(NQUVOLEMA,-1);
DNVOLCHG = (NQDVOLEMA - Ref(NQDVOLEMA,-1)) / Ref(NQDVOLEMA,-1);
UPVOL = EMA(UPVOLCHG, ACCU_LONGPERIOD);
DNVOL = EMA(DNVOLCHG, ACCU_LONGPERIOD);
VOL_DIFF = UPVOL - DNVOL;
ACCU_UPDNVOL = EMA(VOL_DIFF,ACCU_SHORTPERIOD);
 
ACCU_UPDNVOL_BUY = Cross(ACCU_UPDNVOL, 0); 
//ACCU_UPDNVOL_SELL = Cross(0, ACCU_UPDNVOL); 
 
// NASDAQ TOTAL VOLUME STOCHASTICS CALC
NQVOL_KSTOCH = 100 * (NQVOLEMA - LLV(NQVOLEMA,TVOL_AVG)) / (HHV(NQVOLEMA,TVOL_AVG) - LLV(NQVOLEMA,TVOL_AVG));
 
NQVOL_DSTOCH = EMA(NQVOL_KSTOCH,TVOL_SMOOTH);
NQVOL_SIGNALLINE = EMA(NQVOL_DSTOCH,TVOL_TRIGGER);
 
TVOL_STOCH_BUYCOND = Cross(NQVOL_DSTOCH,20) OR Cross(NQVOL_DSTOCH,80) OR
ACCU_UPDNVOL_BUY;
TVOL_STOCH_SELLCOND = Cross(20, NQVOL_DSTOCH) OR Cross(80,NQVOL_DSTOCH);
 
TVOL_STOCH_BUYSTATE = Flip(TVOL_STOCH_BUYCOND,TVOL_STOCH_SELLCOND);
 
//*********RUTVOL SIGNAL LOGIC*********//
//CONDITIONS
RUTVOL_BUYCOND = TVOL_STOCH_BUYSTATE AND RUTTR_BUYSTATE;
RUTVOL_SELLCOND = NOT TVOL_STOCH_BUYSTATE OR NOT RUTTR_BUYSTATE;
 
//STATES
RUTVOL_BUYSTATE = Flip(RUTVOL_BUYCOND,RUTVOL_SELLCOND);
 
//SIGNALS
Buy = RUTVOL_BUYSTATE;
Sell = NOT RUTVOL_BUYSTATE;
 
//EXREM SIGNALS
Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);
 
ApplyStop(stopTypeLoss,stopModePercent,Optimize("MaxLoss",10,1,20,1),True,True);
 
 
//--------------------------------------------------  PORTFOLIO TRADING CODE BEGINS  ------------------------------------------------------------------
 
//Set Trade Delays and Initial Equity
SetOption("InitialEquity", 100000);
SetTradeDelays(1,1,1,1);
RoundLotSize = 100;
 
//Position Size Info
SetOption("MinShares",100);
MaxPos = Optimize("Max Positions",5,1,15,1);
SetOption("MaxOpenPositions",MaxPos);
PositionSize = -100/MaxPos;
 
//Scoring Routine Begins
 
BBandWid = 2;
UBBand   = BBandTop(Close, 21, BBandWid);
LBBand   = BBandBot(Close, 21, BBandWid);
PositionScore   = 100 - 100 * (Close - LBBand) / (UBBand - LBBand);//0 when C == Upper Band, 100 when C == Lower Band
 
//********EXPLORE CODE*********//
Filter = 1;//Status("LastBarInRange");
RUTVOLSIG = IIf(RUTVOL_BUYSTATE == 1,1,0);
AddToComposite(RUTVOLSIG,"~RUTVOL","X",atcFlagDefaults | atcFlagEnableInExplore);
AddColumn(RUTVOLSIG,"RUTVOL STATE",8.0);
AddColumn(RUTTR_BUYSTATE,"RUTTR",8.0, IIf(RUTTR_BUYSTATE == 1,colorGreen,colorDefault), colorDefault);
AddColumn(TVOL_STOCH_BUYSTATE,"VOLUME",8.0,IIf(TVOL_STOCH_BUYSTATE == 1,colorGreen,colorDefault), colorDefault);
AddColumn(Buy,"RUTVOL BUY",8.0,colorDefault,IIf(Buy == 1,colorGreen,colorDefault));
AddColumn(Sell,"RUTVOL SELL",8.0,colorDefault,IIf(Sell == 1,colorYellow,colorDefault));
 
//*********INDICATOR CODE*********//
Title = "RUTVOL:   " + EncodeColor(colorBrightGreen) + "GREEN = BUY   " + EncodeColor(colorYellow) + "YELLOW = CASH";
Plot(0,"",colorLightGrey,styleNoLine+styleNoLabel);
PlotShapes(IIf(Buy ==1, shapeUpArrow,shapeNone),colorBrightGreen,0,0,10);
PlotShapes(IIf(Sell ==1, shapeHollowUpArrow,shapeNone),colorYellow,0,0,10);

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RUTVOL timing signal with BB Scoring routine for Amibroker (AFL)
kaiji
about 15 years ago
Amibroker (AFL)

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Stock Portfolio Organizer

WiseTrader Toolbox

RUTVOL timing signal with BB Scoring routine for Amibroker (AFL) kaiji about 15 years ago Amibroker (AFL)

Similar Indicators / Formulas

Indicator / Formula

0 comments

Leave Comment

RUTVOL timing signal with BB Scoring routine for Amibroker (AFL)
kaiji
about 15 years ago
Amibroker (AFL)