Download FullStochastic with Filters - Buy&Sell For Amibroker (AFL)

The ultimate porfolio management solution.

Shares, Margin, CFD's, Futures and Forex

EOD and Realtime

Dividends and Trust Distributions

And Much More ....

For Portfolio Manager Click Here

#1 Selling Amibroker Plugin featuring:

Advanced Adaptive Indicators

Advanced Pattern Exploration

Neural Networks

And Much More ....

Find Out More Here

5 / 5 (Votes 1)

amibroker, optimize, trading ystem, walk forward

Full Stochastic with Filters . . . The Walk-Forward, train 2 months then apply next 2 months, over the 2011 – 2012 period performed acceptably using the IBD Top Fifty from 2/1/2013 and holding a max of 3 positions. The summary report for this out-of-sample approach showed an annualized return of over 30% with 43/75 trades profitable and a max portfolio draw-down of 9%.

The Full Stochastic approach, thanks to StockCharts library, is an attempt to “buy low and sell higher”. In this time-frame I often experience difficult performance in the August – October 2011 period with our fiscal cliff uncertainties.

It is recognized that running against a watch-list developed the end of January 2013 has a certain forward looking aspect that would be unallowable in a pure test performance. Somewhere down the road we may be able to refresh the watch-list at specified time intervals in a more honest mechanical approach.

A work in progress . . . by grace, RBuck

Submitted by jayman almost 13 years ago

Submitted by anandnst over 12 years ago

Submitted by hariom about 12 years ago

Submitted by sudesh almost 15 years ago

Submitted by jaipal7786 about 12 years ago

Submitted by RBuck about 12 years ago

Copy & Paste Friendly

100

101

102

103

104

105

106

107

108

109

110

111

112

113

114

115

116

117

118

119

120

121

122

123

124

125

126

127

128

129

130

131

132

133

134

135

136

137

138

139

140

141

142

143

144

145

146

147

148

149

150

151

152

153

154

155

156

157

//  Full Stochastic 3 Position 30 - 50 Top fifty 02/01/2013  2 months training    
 
//   Optimize over CAR 
 
//  Added Time Series Forecast 3 days out
 
//  Setup for Last Three Months on 02/04/2013
 
       
   SetCustomBacktestProc("");                   //  Set up some added metrics
   if ( Status( "action" ) == actionPortfolio )
   {
      bo = GetBacktesterObject();
      bo.Backtest();  // run default backtest procedure
      st = bo.GetPerformanceStats( 0 );  //  get stats for all trades 
 
      myMetric = st.GetValue( "CAR" ) + 3 * st.GetValue( "MaxSystemDrawdownPercent" );    
      expectancy = st.GetValue("WinnersAvgProfit")*st.GetValue("WinnersPercent")/100 + 
                st.GetValue("LosersAvgLoss")*st.GetValue("LosersPercent")/100; 
      UPI = st.GetValue("UlcerPerformanceIndex");
      UPIexp = UPI * expectancy;
  
   // Here we add custom metric to backtest report 
 
         bo.AddCustomMetric( "My metric", myMetric );
        bo.AddCustomMetric( "Ulcer Performance", UPI );   
        bo.AddCustomMetric( "Expectancy ($)", expectancy );      
        bo.AddCustomMetric( "UPIexpect", UPIexp );        
   } 
 
  OptimizerSetEngine("cmae"); 
 // OptimizerSetOption("MaxEval",7000);
   OptimizerSetOption("Runs",3); 
 
   Positions = 3;  // Optimize("Positions",1,1,5,1);
   PosQty = Positions;
   PositionSize = -100 / PosQty;
 
   //  Full Stochastic 
 
   pds = Optimize("pds",52,2,80,1);
   slw = Optimize("slw",31,1,38,1);
   slwD = Optimize("slwD",16,1,21,1);
   OB   = Optimize("OB",76,5,88,1);
   OSsub   = Optimize("OSSUB",7,5,70,1);
   OS = OB - OSsub;
   MaxFLSK = Optimize("MaxFLSK",21,2,44,1);
   
   FSK = 100*(C-LLV(L,pds))/(HHV(H,pds) - LLV(L,pds));  //  FastStockK
   FLSK = EMA( FSK, slw);                              //  FullStochK
   FLSD = EMA( FLSK, Slwd);                            //  FullStochD
 
    WhenGoUp = FLSD < OS AND Cross(FSK,OS) AND FLSK >= Ref(FLSK,-1) AND FLSD >= Ref(FLSD,-1) OR
                             Cross(FLSD,OS) AND FSK >= Ref(FSK,-1) AND  FLSK >= Ref(FLSK,-1) AND FLSK < MaxFLSK;  
 
    WhenGoDown = IIf(BarsSince(Cross(OS,FSK)) == 1 AND FLSK < OS,1,0) OR
                 Cross(OS,FSK) AND FLSK < Ref(FLSK,-1) OR
                 FLSK < OB AND FLSK > OS AND FLSK <= Ref(FLSK,-1) OR
                 FSK > OB AND FLSK > OB AND FLSD > OB AND FSK < Ref(FSK,-1) AND FLSK < Ref(FLSK,-1) AND FLSD <= Ref(FLSD,-1) OR
                 FSK > OB AND FLSK > OB AND FLSD > OB AND Cross(OB,FLSK);   
 
   ExRem(WhenGoUP,WhenGoDOwn);
   ExRem(WhenGoDown,WhenGoUp);
   Turn = BarsSince(WhenGoUp);
   TTurn = Turn + 1 - 1;
   Tgo = TTurn;
   Five = Optimize("Five",2,2,5,1);
    UpFive = (NOT WhenGoDown) AND (TTurn > 0) AND (Tgo > Five);
 
  //  Set up Stochastic 0 to 1 with Times Series Forecast;
   NormStoch = 0;
   NormStoch =  (Close - LLV(Low,pds))/ (HHV(High,pds) - LLV(Low,pds)); //  changed
   NormStoch = IIf(NormStoch < 0.001,0.001,NormStoch);
   ForeNmSth3 = TSF(NormStoch,3);
   Enough = Optimize("Enough",1.042,1.004,1.200,0.001);
   MaxForecast = Optimize("MaxForecast",0.33,0.05,0.35,0.01);
   ForeNmSth3  = IIf(ForeNmSth3 > MaxForecast,MaxForecast,ForeNmSth3);
   PlusForecast = ForeNmSth3 > NormStoch * Enough;
 
    //   62 - 20 Percent Deviation Ranking
 
    M1 = Optimize("M1",30,5,50,1);
    M2 = Optimize("M2",44,5,80,1);
    M3 = Optimize("M3",27,2,50,1);
    D1 = Optimize("D1",34,3,50,1);
    D2 = Optimize("D2",18,2,50,1);
    D3 = Optimize("D3",11,5,50,1);
    
    Rank1 = M1 * ROC(NormStoch,D1);
    Rank2 = M2 * ROC(NormStoch,D2);
    Rank3 = M3 * StDev(Close,D3)*100/EMA(Close,D3);  //  There is a question as to whither this metric should be plus or minus
 
   PositionScore = Rank1 + Rank2 + Rank3;
 
   MFIdays = Optimize("MFIdays",3,2,23,1);
   MFIconfirm = MFI(MFIdays) > 0;
 
    BuyDay = Optimize("BuyDay",9,3,31,1);
 
  Thirty = Optimize("Thirty",41,20,60,1);
 
    Buy =  Close > Open AND PlusForecast AND UpFive AND MFIconfirm AND FLSK < Thirty AND Day() > BuyDay;  // AND TurningUp;   
      
    Held = BarsSince(Buy);
    MinHold = Optimize("MinHold",14,2,15,1);
    TestTime = Optimize("TestTime",19,MinHold,20,1);
    Perform = Optimize("Perform",2,1,25,1);  // Eliminate lazy performing positions
 
     SellP = IIf(Held > MinHold AND ROC(C,TestTime) < Perform,1,0);
 
    Fifty = Optimize("Fifty",48,40,80,1);
 
   SellPoint = Optimize("SellPoint",6400,-1500,25000,10);
   Sell = ((Held > 3 AND PositionScore < SellPoint AND Ref(PositionScore,-1) > SellPoint) AND FLSK > Fifty) OR SellP OR WhenGoDown;  
      
 
     ExRem(Buy, Sell);
     ExRem(Sell,Buy);
 
    Short = 0;  
    Cover = 0;  
 
      ProfitN =  Optimize("ProfitN",199,15,390,1);
   HoldOut       = Optimize("HoldOut",2,     0,    33,     1);
   ApplyStop( 1,3,ProfitN,2,True, HoldOut );
 
    StopLoss   = Optimize("StopLoss",  7,     2,     8,     1);
    ApplyStop( 0, 1, StopLoss, 0, True, HoldOut );
 
    TrailStop  = Optimize("TrailStop",  20,     5,    25,     1);
    ApplyStop( 2, 1, TrailStop, 0, True, HoldOut );
     
 //   HoldStop   =  Optimize("HoldStop", 293,     3,    293,     1);
 //  ApplyStop( 3, 1, HoldStop, 0, True, HoldOut );
    //OldEquity = Foreign("~~~EQUITY","C");
 
   Filter = (PlusForecast > 0 AND Buy) OR (PlusForecast < 0 AND Sell);
 
    AddColumn(Close,"Close",1.2);
 
    AddColumn(Buy,"Buy",1.0);
    AddColumn(Sell,"Sell",1.0);
     
   AddColumn(Open,"Open",1.2);
   AddColumn(High,"High",1.2);
   AddColumn(Low,"Low",1.2);
   AddColumn(Close,"Close",1.2);
   AddColumn(FLSK,"FLSK",1.2);
   AddColumn(WhenGoUp,"WhenGoUp",1.0);
   AddColumn(Turn,"Turn",1.0);
   AddColumn(TTurn,"TTurn",1.0);
   AddColumn(MFIconfirm,"MFIcmf",1.0);
 
   AddColumn(WhenGoDown,"GoDown",1.0);
   AddColumn(NormStoch,"NStch",1.3);
   AddColumn(ForeNmSth3,"FStch3",1.3);
   AddColumn(PlusForecast,"PlsFre",1.3);

5 comments

1. JackTheMan18

about 12 years ago

Hello:
I applaud your attempt at a sophisticated trading system, which may produce some good results, as it appears to be based on sound trading principles.
However, (by my count) there are 30 variables in your code that can be optimized. This can very easily fall into the trap of being “curve fitted”. In general, the more variable that you have being optimized, the greater the opportunity for “curve fitting”.
Therefore, I recommend simplifying your approach and formulas, to the point of having less than 5 variables (at most!).

Report as Spam

2. RBuck

about 12 years ago

JackTheMan18

I appreciate your comment and analysis. In my enthusiasm for the plus 30% annualized return on the Walk-Forward run I should have included the plot of that run rather than the fully back-fitted 3 month run I used to validate the approach.

I’ll send a plot of the Out-Of-Sample results over 2011 – 2012 and see if it man be replace the 3 month back-fitted plot.

Pour it on ! by grace . . . RBuck

Report as Spam

3. hotaro3

about 12 years ago

no error but nothing will be drawn

Report as Spam

4. tradermind

about 12 years ago

dear RBuck can you explain me what is your routine of apply stop? i don’t understand if results is in % or in nBars? Thanks

Stock Portfolio Organizer

WiseTrader Toolbox

FullStochastic with Filters - Buy&Sell for Amibroker (AFL)
RBuck
about 12 years ago
Amibroker (AFL)

Screenshots

Similar Indicators / Formulas

Indicator / Formula

5 comments

Leave Comment

Stock Portfolio Organizer

WiseTrader Toolbox

FullStochastic with Filters - Buy&Sell for Amibroker (AFL) RBuck about 12 years ago Amibroker (AFL)

Screenshots

Similar Indicators / Formulas

Indicator / Formula

5 comments

Leave Comment

FullStochastic with Filters - Buy&Sell for Amibroker (AFL)
RBuck
about 12 years ago
Amibroker (AFL)