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Guupy MMA with pullback entries for Amibroker (AFL)
bambebo
almost 11 years ago
Amibroker (AFL)

Rating:
3 / 5 (Votes 2)
Tags:
amibroker, stop loss, GMMA

This system uses Guppy MMAs and Connors RSI to identify pullbacks in an up/down trend. The exits are based on tightening stops based on specified targets. The Idea is to tighten the trailing stop once the profit target are achieved. The system is giving great results with EOD data. Target and Max Stop Optimization will be required for proper results in any type of Market and time frame.

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Indicator / Formula

Indicator
Copy & Paste Friendly
function ConnorsRSI(lenRSI, lenUD, lenROC)
{
      upDays = BarsSince(C <= Ref(C,-1));
      downDays = BarsSince(C >= Ref(C,-1));
      updownDays = IIf(upDays > 0, upDays, IIf(downDays > 0, -downDays, 0));
      crsi = ( PercentRank(ROC(C,1), lenROC) + RSIa(updownDays,lenUD) +
RSI(lenRSI))/3;
      return crsi;
}

_SECTION_BEGIN("Price");
SetChartOptions(0,chartShowArrows|chartShowDates);
ECw= EncodeColor(colorWhite);
ECy= EncodeColor(colorYellow);
_N(Title = ECw+ "Guppy MMA " +ECy+ StrFormat("- {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
ChikouPeriod = Param("Chikou Span Period",25,1,30,1);
Chikou=Ref(C,(-1 * ChikouPeriod));
Plot( C, "", IIf(Close > Open, colorBrightGreen, colorRed), styleCandle); 
 Plot(Chikou,"Chikou Snan",colorViolet,styleLine);
_SECTION_END();


_SECTION_BEGIN("Fast Periods");
P1 = EMA(C,3);
P2 = EMA(C,5);
P3 = EMA(C,8);
P4 = EMA(C,10);
P5 = EMA(C,12);
P6 = EMA(C,15);
_SECTION_END();

_SECTION_BEGIN("Slow Periods");
P7 = EMA(C,30);
P8 = EMA(C,35);
P9 = EMA(C,40);
P10 = EMA(C,45);
P11 = EMA(C,50);
P12 = EMA(C,55);
P13 = EMA(C,60);
_SECTION_END();

_SECTION_BEGIN("Guppy MMA");
Plot(P7,"",colorOrange,styleDashed = 32);
Plot(P8,"",colorOrange,styleDashed = 32);
Plot(P9,"",colorOrange,styleDashed = 32);
Plot(P10,"",colorOrange,styleDashed = 32);
Plot(P11,"",colorOrange,styleDashed = 32);
Plot(P12,"",colorOrange,styleDashed = 32);
Plot(P13,"",colorOrange,styleDashed = 32);

Plot(P1,"",colorLightGrey,styleDashed = 32);
Plot(P2,"",colorLightGrey,styleDashed = 32);
Plot(P3,"",colorLightGrey,styleDashed = 32);
Plot(P4,"",colorLightGrey,styleDashed = 32);
Plot(P5,"",colorLightGrey,styleDashed = 32);
Plot(P6,"",colorLightGrey,styleDashed = 32);
_SECTION_END();


_SECTION_BEGIN("Signals");
crsi = ConnorsRSI(3,2,100);
Buy = p1 > p13 AND p13 > Ref(p13,-14) AND crsi < 20 AND C > Chikou;
Short = p1 < p13 AND p13 < Ref(p13,-14) AND crsi > 80 AND C < Chikou;
_SECTION_END();


_SECTION_BEGIN( "Exit Section" );

firstProfitTarget = Optimize("First Profit Target",2,0,10,1);

secondProfitTarget = Optimize("Second Profit Target",5,0,20,1);

MaxStop = Optimize("Max Stop",4,0,20,1);

Sell = 0;
Cover = 0;

stopLineColor = Null;


Multiple = Param( "Multiple", 3 ,1, 8, 1 ); // How many ATR’s to be allowed below the highest high since latest "buy" bar
ATRPeriods = Param( "ATR Periods", 11, 1, 50, 5 ); // How many periods to use for the ATR

Multiple1 = Param( "Multiple1", 1.1, 1, 6, 1 ); // How many ATR’s to be allowed below the highest high since latest "buy" bar
ATRPeriods1 = Param( "ATR Periods1", 11, 1, 50, 5 );

Multiple2 = Param( "Multiple2", 1, 0, 4, 1 ); // How many ATR’s to be allowed below the highest high since latest "buy" bar
ATRPeriods2 = Param( "ATR Periods2", 11, 1, 50, 5 );
Showtarget = ParamList ("Show Target Milestones ","Yes|No");



target2 = secondProfitTarget ;

target1 = firstProfitTarget ;

stopArray = Null;
stopArray1 = Null;
stopArray2 = Null;
atrArray = ATR( ATRPeriods );
atrArray1 = ATR( ATRPeriods1 );
atrArray2 = ATR( ATRPeriods2 );
HHArray = Null;
LLArray = Null;
exitArray = Null;
trendDirection = 0;
ShortPr = 0;

BuyPriceArr = 0;
ShortPriceArr = 0;


BuyPr = 0;
CancelBuy = False;

for ( i = 0; i < BarCount; i++ )
{

 ShortPriceArr[i] = ShortPr;
BuyPriceArr[i] = BuyPr;

    if ( Short[i] AND ShortPr ==0 )
    {
        // we just triggered a short trade. Set up starting values
        stopArray[i] = Low[i] + ( Multiple * atrArray[i] );
        LLArray[i] = C[i]; // initialize the lowest low array
        trendDirection = 0 - 1; // going short. Base bar.'	
		 ShortPr = C[i];
		
    } else if(Short[i]) {
			Short[i] = 0;
		}

 if ( Buy[i] AND Buypr ==0)
    {
        // we just triggered a long trade. Set up starting values
        stopArray[i] = High[i] - ( Multiple * atrArray[i] );

        HHArray[i] = C[i]; // initialize the highest high array
        trendDirection = 1; // going long. Base bar flag is now set.
			Buypr = C[i];
    } else if(Buy[i]) {
		Buy[i] =0;
	}


    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 ( (C[i] <= stopArray[i-1] AND (C[i] >=  BuyPr)) OR C[i] <= BuyPr * (1-MaxStop/100))
            {
                //stop got hit. Reset the trade.
                trendDirection = 0; // OK. wait until we trigger another trade.
					Buypr = 0; 
					FIRstTargetHit = 0;
                exitArray[i] = 1;
					Sell[i] = 1;
            }
            else
            {
                // keep track of the HHV since trade was entered.
                if ( C[i] > HHArray[i-1] )
                    HHArray[i] = C[i];
                else
                    HHArray[i] = HHArray[i-1];

                // Compute the stop based on the HHV.
			if(HHArray[i] >=  (target2/100 + 1) * BuyPr) {
 				stopArray[i] = HHArray[i] - ( Multiple2 * atrArray2[i] );
				stopLineColor[i]=colorBlue;
			} else if(HHArray[i] >=  (target1/100 + 1) * BuyPr) {
			 	stopArray[i] = HHArray[i] - ( Multiple1 * atrArray1[i] );
				stopLineColor[i]=colorYellow;
				FIRstTargetHit = 1;
			} else {
				stopArray[i] = HHArray[i] - ( Multiple * atrArray[i] );
				stopLineColor[i] = colorRed;
			}
         }
        }

        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 ( (C[i] > stopArray[i-1] AND (C[i] <=  ShortPr  )) OR C[i] >= ShortPr * (1+MaxStop/100))
            {
                // our stop got hit. Reset the trade.
                trendDirection = 0;
					Shortpr = 0; 
					FIRstTargetHit = 0;
                exitArray[i] = 0 - 1;
					Cover[i] = 1;
            }
            else
            {
                // keep track of the LLV since trade was entered.
                if ( C[i] < LLArray[i-1] )
                    LLArray[i] = C[i];
                else
                    LLArray[i] = LLArray[i-1];

// Compute the stop based on the LLV.
             
		if(LLArray[i] <=  (1 - target2/100) * ShortPr) {
 			stopArray[i] = LLArray[i] + ( Multiple2 * atrArray2[i] );
			stopLineColor[i]=colorBlue;
			FIRstTargetHit = 1;

		} else if(LLArray[i] <=  (1 - target1/100) * ShortPr) {
 			stopArray[i] = LLArray[i] + ( Multiple1 * atrArray1[i] );
			FIRstTargetHit = 1; 
			stopLineColor[i]=colorYellow;

		} else {
			stopArray[i] = LLArray[i] + ( Multiple * atrArray[i] );
			stopLineColor[i] = colorRed;
		}

            }
        }

        trendDirection = trendDirection - 1;
    }

    if ( trendDirection == 0 )
    {
CancelBuy = False;
FIRstTargetHit = 0;
        stopArray[i] = 0;
        LLArray[i] = 0;
        HHArray[i] = 0;
Buypr=0;
ShortPr = 0;
    }


}



printf("------values-----");
printf("\nBuy Price = " + BuyPriceArr);
printf("\nShort Price = " + ShortPriceArr);
PlotShapes( abs( exitArray )*shapeHollowCircle, colorYellow, 0, ValueWhen( stopArray, stopArray, 1 ), 0 );
Plot( stopArray, "StopLine", stopLineColor, styleNoRescale + styleThick);

r = Hour();
e = Minute();
timestr = NumToStr( r, 1.0, False ) + ":" + NumToStr(e,1.0,False);

bp = ValueWhen(Buy,C,1);
sp = ValueWhen(Sell,C,1);
bh = ValueWhen(Buy,r,1);
bm = ValueWhen(Buy,e,1);
sh = ValueWhen(Sell,r,1);
sm = ValueWhen(Sell,e,1);

ShortPr = ValueWhen(Short,C,1);
CoverPr = ValueWhen(Cover,C,1);
ShortH =  ValueWhen(Short,r,1);
ShortM = ValueWhen(Short,e,1);
CoverH = ValueWhen(Cover,r,1);
CoverM = ValueWhen(Cover,e,1);




Hd = sh - bh;
md = (hd*60) + (sm - bm);

shd = Shorth - Coverh;
smd = (shd*60) + (shortm - Coverm);


timestr = NumToStr( r, 1.0, False ) + ":" + NumToStr(e,1.0,False);


pf = sp - bp;
spf = ShortPr - CoverPr;

buyMsg = "BUY " + Name() + " on " + Date()  + " for price " + NumToStr(bp, 1.2 );
SellMsg = "SELL " + Name() + " on " + Date()  + " for price " + NumToStr(sp, 1.2 )+ ". Profit in last trade is " + NumToStr(pf,1.2) + ". Total trade time was " + md + " minutes";
ShortMsg = "Short " + Name() + " on " + Date()  + " for price " + NumToStr(ShortPr, 1.2 );
CoverMsg = "Cover " + Name() + " on " + Date()  + " for price " + NumToStr(CoverPr, 1.2 )+ ". Profit in last trade is " + NumToStr(spf,1.2) + ". Total trade time was " + smd + " minutes";
sendNotf = ParamToggle("Send Notifications","NO|YES",0);


for (i=1;i<BarCount;i++)
{
if(Sell[i]) {
PlotText(WriteVal(pf[i]),i,H[i]+2*ATRarray[i],colorYellow);
}	
else if(Cover[i]) {
PlotText(WriteVal(spf[i]),i,L[i]+2*ATRarray[i],colorYellow);
}
}

PlotShapes( Buy*shapeUpArrow, colorBrightGreen, 0, Low );
PlotShapes( Sell*shapeDownArrow, colorRed, 0, High );


PlotShapes( Short*shapeDownTriangle, colorBrightGreen, 0, High );
PlotShapes( Cover*shapeUpTriangle, colorRed, 0, Low );

/*

if(sendNotf) {
AlertIf( Buy, "EXEC C:\\Misc\\pushbullet\\pyPushBullet-master\\pyPushBullet-master\\push.bat", BuyMsg, 1,1+2+4+8);
AlertIf( Sell, "EXEC C:\\Misc\\pushbullet\\pyPushBullet-master\\pyPushBullet-master\\push.bat", SellMsg, 2,1+2+4+8 );
AlertIf( Short, "EXEC C:\\Misc\\pushbullet\\pyPushBullet-master\\pyPushBullet-master\\push.bat", ShortMsg, 3,1+2+4+8);
AlertIf( Cover, "EXEC C:\\Misc\\pushbullet\\pyPushBullet-master\\pyPushBullet-master\\push.bat", CoverMsg, 4,1+2+4+8 );
}

*/

_SECTION_END();

1 comments

1. alcatrank
almost 11 years ago

Error

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