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Volatility Band Long Only Reversal Trading System for Amibroker (AFL)
Rating:
5 / 5 (Votes 1)
Tags:
trading system, amibroker, volatility
Here is a volatility based long only reversal trading system inspired from Sylvain Vervoort’s Volatilty Band. Created by Rajandran.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 | //Strategy Coded by Rajandran R - Author of Marketcalls//Date : 12 - Oct - 2013_SECTION_BEGIN("Volatility Band Long Only Reversal Trading System");average = Param("Band average", 8, 1 );Volperiod = Param("VolPeriod", 13, 1 );devfactor = Param("Devfactor", 3.55, 0, 10, 0.01 );Lowbandadjust = Param("Low band adj.", 0.9, 0, 5, 0.01 );Typical = ( High + Low + Close )/3;AdjTyp = IIf( Typical > Ref( Typical, -1 ), Typical - Ref( Low, -1 ), Ref( Typical, -1 ) - Low );Deviation = Sum( AdjTyp , VolPeriod )/ VolPeriod * devfactor;DevHigh = EMA( deviation, average );DevLow = EMA( deviation, average ) * Lowbandadjust;Medianaverage = EMA( Typical, average );up = EMA( Medianaverage, average ) + DevHigh;down = EMA( Medianaverage, average ) - DevLow;Plot( C, "VolatilityBand Reversal System" + _PARAM_VALUES() + " Price", colorDefault, styleCandle );Plot( EMA( Medianaverage, average ) + DevHigh, "Upper", colorViolet );Plot( EMA( Medianaverage, average ) - DevLow, "Lower", colorViolet );Plot( MA( Medianaverage, average ), "Median", colorBlue );Buy = Ref(C,-2) < Ref(down,-2) AND Ref(C,-1)>Ref(down,-1) AND C>Ref(C,-1);Sell = 0;Sell = Ref(C,-2) > Ref(up,-2) AND Ref(C,-1)<Ref(up,-1) AND C<Ref(C,-1);PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorGreen, 0, L, Offset=-40);PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorLime, 0,L, Offset=-50); PlotShapes(IIf(Buy, shapeUpArrow, shapeNone),colorWhite, 0,L, Offset=-45); PlotShapes(IIf(Sell, shapeSquare, shapeNone),colorRed, 0, H, Offset=40);PlotShapes(IIf(Sell, shapeSquare, shapeNone),colorOrange, 0,H, Offset=50); PlotShapes(IIf(Sell, shapeDownArrow, shapeNone),colorWhite, 0,H, Offset=-45);_SECTION_END();////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////_SECTION_BEGIN("MACD Plotter ver 3");/********************************************************** /MACD Cross***********************************************************/StartBar=SelectedValue(BarIndex());FinishBar = EndValue( BarIndex() );i = Startbar;EWODAILY = EMA(C,45) - EMA(C,90);SIG = EMA(EWODAILY,9);GfxSelectFont("Tahoma", 11, 700 ); todayEWODAILY = EWODAILY ; onedaybackEWODAILY =Ref(EWODAILY ,-1);twodaybackEWODAILY = Ref(EWODAILY ,-2) ;if( (todayEWODAILY [i] > onedaybackEWODAILY [i]) AND (onedaybackEWODAILY [i] <= twodaybackEWODAILY [i])){GfxSetTextColor(ColorRGB(186,236,94)); GfxTextOut("New Trend Up",400,1);}if( (todayEWODAILY [i] < onedaybackEWODAILY [i]) AND (onedaybackEWODAILY [i] >= twodaybackEWODAILY [i]) ){GfxSetTextColor(colorRed); GfxTextOut("New Trend Dn",400,1);}if((todayEWODAILY [i] > onedaybackEWODAILY [i]) AND (onedaybackEWODAILY [i] >= twodaybackEWODAILY [i])){GfxSetTextColor(ColorRGB(221,248,112)); GfxTextOut("Trend Up",400,1);}if( (todayEWODAILY [i]< onedaybackEWODAILY [i]) AND (onedaybackEWODAILY [i] <= twodaybackEWODAILY [i]) ){GfxSetTextColor(ColorRGB(248,113,113)); GfxTextOut("Trend Dn",400,1);}EWODAILY_ZEROCRUP = Cross(EWODAILY ,0);EWODAILY_ZEROCRDN = Cross(0,EWODAILY );if(EWODAILY_ZEROCRUP[I]){GfxSetTextColor(ColorRGB(221,248,112)); GfxTextOut("Zero Cross Up",550,1);}if(EWODAILY_ZEROCRDN[I]){GfxSetTextColor(ColorRGB(248,113,113)); GfxTextOut("Zero Cross Dn",550,1);}Plot(SIG ,"",colorBlack,styleLine);mycolor=IIf(EWODAILY <0 ,ColorRGB(300,100,50),IIf(EWODAILY >0 ,ColorRGB(25,150,150),colorGreen));Plot(EWODAILY , "EWODAILY ", mycolor, styleHistogram | styleThick| styleNoLabel, styleOwnScale); /**************************************************** CHART TITLES****************************************************/ /**************************************************** CHART TITLES****************************************************/GfxSetTextAlign( TA_left = 0);GfxSelectFont("Tahoma", 11, 700 ); GfxSetTextColor(ColorRGB(209,191,255)); GfxTextOut("etasindia.com - EWO ",07, 0); GfxSetTextAlign( TA_LEFT = 0 );GfxSelectFont("Tahoma", 11, 700 ); GfxSetTextColor(ColorRGB(255,180,61)); GfxTextOut(Name()+ " " + Date(),07,20); Title ="\n"; _SECTION_END(); |
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It seems that the formula references FUTURE quotes.
If you backtest this system you may receive outstanding results
that CAN NOT be reproduced in real trading.