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Intraday Open High Low System for Amibroker (AFL)

Rating:
3 / 5 (Votes 2)
Tags:
intraday, trading system, amibroker

In this strategy, positions are taken when Open=High or Open=Low for a given security in Intraday Timeframe. Check out the strategy details and download backtest report here.

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Indicator / Formula

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//------------------------------------------------------
//
//  Formula Name:    Intraday Open High Low Trading System
//  Author/Uploader: Trading Tuitions
//  E-mail:          support@tradingtuitions.com
//  Website:         www.tradingtuitions.com
//------------------------------------------------------

_SECTION_BEGIN("Intraday Open High Low Trading System"); 

SetTradeDelays( 1, 1, 1, 1 );
SetOption( "InitialEquity", 200000);
SetOption("FuturesMode" ,True);
SetOption("MinShares",1);
SetOption("CommissionMode",2);
SetOption("CommissionAmount",100);
SetOption("AccountMargin",10);
SetOption("RefreshWhenCompleted",True);
SetPositionSize(50,spsPercentOfEquity);
SetOption( "AllowPositionShrinking", True );
SetOption("MaxOpenPositions",10);
BuyPrice=Open;
SellPrice=Open;
ShortPrice=Open;
CoverPrice=Open;

SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C ));
Plot( Close, "Price", colorWhite, styleCandle );

NewDay = (Day()!= Ref(Day(), -1)) OR BarIndex() == 0;  
 
Plot(NewDay,"",colorlightGrey,styleHistogram|styleDots|styleNoLabel|styleOwnScale);

FirstTradeTime=094500;
SquareOffTime = 151500;

DayOpen=TimeFrameGetPrice("O",inDaily);
DayHigh = HighestSince(NewDay,H,1);  
DayLow = LowestSince(NewDay,L,1);  

printf("\nDayOpen : " + DayOpen );  
printf("\nDayHigh : " + DayHigh );  
printf("\nDayLow : " + DayLow );  

Buy = (round(DayOpen)==round(DayLow)) AND High>=(sqrt(DayOpen)+0.0833)^2 AND (TimeNum()  >= FirstTradeTime) AND TimeNum()<SquareOffTime;  
Short = (round(DayOpen)==round(DayHigh)) AND Low<=(sqrt(DayOpen)-0.0833)^2 AND (TimeNum()  >= FirstTradeTime) AND TimeNum()<SquareOffTime; 

Sell = TimeNum() >= SquareOffTime;
Cover = TimeNum() >= SquareOffTime; 

Buy=ExRem(Buy,Sell);
Sell=ExRem(Sell,Buy);

Short=ExRem(Short,Cover);
Cover=ExRem(Cover,Short);

printf("\nBuy : " + Buy );  
printf("\nSell : " + Sell );  
printf("\nShort : " + Short );  
printf("\nCover : " + Cover ); 

StopLoss=0.5;
ApplyStop(Type=0,Mode=1,Amount=StopLoss);

Target=2.5;
ApplyStop(Type=1,Mode=1,Amount=Target);

/* Plot Buy and Sell Signal Arrows */
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(Cover, shapeSquare, shapeNone),colorGreen, 0, L, Offset=-40);
PlotShapes(IIf(Cover, shapeSquare, shapeNone),colorLime, 0,L, Offset=-50);
PlotShapes(IIf(Cover, 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);
PlotShapes(IIf(Short, shapeSquare, shapeNone),colorRed, 0, H, Offset=40);
PlotShapes(IIf(Short, shapeSquare, shapeNone),colorOrange, 0,H, Offset=50);
PlotShapes(IIf(Short, shapeDownArrow, shapeNone),colorWhite, 0,H, Offset=-45);

_SECTION_END();

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