Download Average Peak Excursion (APE) Explorarion For Amibroker (AFL)

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5 / 5 (Votes 1)

amibroker, exploration

This exploration selects stocks that tend to yield higher results by evaluating their peak price excursion over a given period of time.

Submitted by indraji2001 over 10 years ago

Submitted by nvkha over 10 years ago

Submitted by kaiji over 15 years ago

Submitted by morgen over 14 years ago

Submitted by santho_sd over 14 years ago

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N = 20;
NumBarsPerYear = 253; // approx. number of bars per year (EOD data)
PE0 = 100 * Max( H - O, O - L )/O;
// orig. formulation (as in the article
// looks into the future bars
PEN = 100 * Max( HHV( Ref( H, N ), N ) - O, O - LLV( Ref( L, N ), N ))/O;
// you may prefer to use modified formula
// that does not look into future
// (just uncomment the line below)
// PEN = 100 * Max( HHV( H, N ) - O, O - LLV( L, N ) )/O;
APE0 = MA( PE0, NumBarsPerYear );
APEN = MA( PEN, NumBarsPerYear );
Alpha = ln( APEN/APE0 ) / ln ( N );
AddColumn( APE0, "A0" );
AddColumn( Alpha, "Alpha" );
AddColumn( APEN/APE0, "APEN/APE0" );
Filter = Status("lastbarinrange");

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Average Peak Excursion (APE) Explorarion for Amibroker (AFL)
kaiji
about 15 years ago
Amibroker (AFL)

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