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#1 Selling Amibroker Plugin featuring:
Intraday Trading System based on Ehlers Cycle and Trend Filter Theory for Amibroker (AFL)
Based on Ehler’s “Cycle n Trend Filter Theory”, I hve made an IntraDay Trading System AFL Primarily for NIFTY & BANKNIFTY (5 Mnt TF):
1. It works on MCX Market too, But u need to change the Entry & Exit Time settings.
2. Works better in 5 Mnt TF.
3. The heart of the AFL is not mine in Entirety, I hve Tuned n Tweaked n Added n Modded to make it an IntraDay Trading System.
4. Plz Note that it Does Not Plot Price, So its a good idea to plot a “Basic Price afl” in a Lower Pane to have a Clear Perspective.—> will upload Image tomorrow during live Market.
5. My Historical DataBase is limited and the BackTest Results on my limited DB is very Heartening (NIFTY & BANKNIFTY), and so plz BackTest it Extensively on a Larger DB and gimme FeedBack and I will add features like TSL etc based on your FeedBack.
Indicator / Formula
_SECTION_BEGIN("PrctclModeDComp---TF=5Mnt");
TN=TimeNum();
EntryTime=TN>=103001 && TN<=150000;
ExitTime=TN>=151900;
PI = 3.1415926;
SetBarsRequired( sbrAll,0 );
function MulTwinLevel( Feed, N, c0, c1, b0, b1, b2, a1, a2 )
{
Extract = Feed; // initialize for N first bars
for( i = Max( N, 2 ); i < BarCount; i++ )
{
Extract[ i ] = c0[ i ] * ( b0 * Feed[ i ] +
b1 * Feed[ i - 1 ] +
b2 * Feed[ i - 2 ] ) +
a1 * Extract[ i - 1 ] +
a2 * Extract[ i - 2 ] -
c1 * Feed[ i - N ];
}
return Extract;
}
function ExtractFilter( Feed, Period, delta )
{
N = 0;
an = 2 * PI / Period;
c0 = b0 = 1;
c1 = b1 = b2 = a1 = a2 = gamma1 = 0;
beta1 = cos( 2 * PI / Period );
gamma1 = 1 / cos( 4 * PI * delta / Period );
alpha = gamma1 - sqrt( gamma1 ^ 2 - 1 );
a1 = beta1 * ( 1 + alpha );
a2 = - alpha;
c0 = ( 1 - alpha ) / 2;
b2 = -1;
return MulTwinLevel( Feed, N, c0, c1, b0, b1, b2, a1, a2 );
}
Period =Optimize("Period", 10, 10, 900, 10 );
Delta =Optimize("Delta", 0.15, 0.05, 1, 0.05 );
Cycle = ExtractFilter( (H+L)/2, Period, Delta );
Trend = MA( Cycle, 2 * Period );
CycleMean=(HHV(Cycle,300)+LLV(Cycle,300))/2;
Plot( CycleMean, "CycleMean", colorRed );
Plot( Trend, "Trend", colorBlue );
Buy1=Trend>CycleMean && C>WMA(C,Period) && StochD(14)<23;
Short1=Trend<-CycleMean && C<WMA(C,Period) && StochD(14)>77;
Buy=Ref(Buy1,-1) && EntryTime;
Short=Ref(Short1,-1) && EntryTime;
Sell=Short1 OR ExitTime ;
Cover=Buy1 OR ExitTime;
Buy=ExRem(Buy,Sell);
Sell=ExRem(Sell,Buy);
Short=ExRem(Short,Cover);
Cover=ExRem(Cover,Short);
BuyPrice=O;
ShortPrice=O;
SellPrice=C;
CoverPrice=C;
PlotShapes(IIf(Buy,shapeUpArrow,shapeNone),colorGreen,0,BuyPrice);
PlotShapes(IIf(Sell,shapedownArrow,shapeNone),colorRed,0,sellPrice);
PlotShapes(IIf(Short,shapedownArrow,shapeNone),colorYellow,0,shortPrice);
PlotShapes(IIf(Cover,shapeUpArrow,shapeNone),colorTurquoise,0,coverPrice);
_SECTION_END();
Title = EncodeColor(colorPink)+ Name() + " - " + EncodeColor(colorRed)+ Interval(2) + EncodeColor(colorWhite) +
" - " + Date() +" - "+"\n" +EncodeColor(colorYellow) +"Op-"+O+" "+"Hi-"+H+" "+"Lo-"+L+" "+
"Cl-"+C+" "+ "Vol= "+ WriteVal(V)+"\n";
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