Stock Portfolio Organizer
The ultimate porfolio management solution.
Shares, Margin, CFD's, Futures and Forex
EOD and Realtime
Dividends and Trust Distributions
And Much More ....
WiseTrader Toolbox
#1 Selling Amibroker Plugin featuring:
Advanced Adaptive Indicators
Advanced Pattern Exploration
Neural Networks
And Much More ....
Volume Breakout Trading System for Amibroker (AFL)
Rating:
3 / 5 (Votes 2)
Tags:
volume breakout, simple, banknifty, amibroker
This is a very simple strategy with no fancy indicators, however the profitability is quite impressive. This works on majority of liquid and high beta stocks that I have tested. I have back-tested it on Banknifty futures traded at NSE and the compounded annual return is around 23% for the last 11 years backtest period.
Read more about this strategy here.
Screenshots
Indicator / Formula
Copy & Paste Friendly
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 | //------------------------------------------------------//// Formula Name: Volume Breakout Trading System// Author/Uploader: Trading Tuitions// E-mail: support@tradingtuitions.com// Website: www.tradingtuitions.com//------------------------------------------------------_SECTION_BEGIN("Volume Breakout Trading System");SetChartOptions(0,chartShowArrows|chartShowDates);_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C ));//Initial ParametersSetTradeDelays( 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(120,spsShares);SetOption( "AllowPositionShrinking", False );BuyPrice=Open;SellPrice=Open;ShortPrice=Open;CoverPrice=Open;//Buy-Sell Logicrange=High-Low;VolLookback=Param("VolLookback",50,10,100,10);MALookback=Param("MALookback",20,10,100,10);Buy = Volume>=Ref(Volume,-1)*1.5 AND Close>MA(Close,MALookback) AND Volume>MA(Volume,VolLookback) ;Short =Volume>=Ref(Volume,-1)*1.5 AND Close<MA(Close,MALookback) AND Volume>MA(Volume,VolLookback);Cover = Buy; Sell=Short;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 ); printf("\nVolume : " + Volume ); StopLoss=Param("SL",3,1,10,1);Target=Param("Target",30,5,40,5);ApplyStop(Type=0,Mode=1,Amount=StopLoss);ApplyStop(Type=1,Mode=1,Amount=Target);Plot( Close, "Price", colorWhite, styleCandle );Plot(MA(Close,MALookback),"",colorYellow);/* 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(); |
1 comments
Leave Comment
Please login here to leave a comment.
Back
hi,
in which time frame, this system works best on nifty / bank nifty ?
thanks