Download Intraday Trading System based on Ehlers Cycle and Trend Filter Theory For Amibroker (AFL)

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3 / 5 (Votes 3)

intraday, ehler, trading system, amibroker

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.

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_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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Intraday Trading System based on Ehlers Cycle and Trend Filter Theory for Amibroker (AFL)
LOVEENAJYOTHI
almost 9 years ago
Amibroker (AFL)

Indicator / Formula

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