ATR/Turtle Trading System for Amibroker (AFL)
kaiji about 16 years ago Amibroker (AFL)
This trading system was kindly provided by three_percent at amibroker yahoo groups and credit goes to him
It’ a trend channel finder that computes a tight channel by way of ATR. The lower the ATR, the tighter the channel. It checks for a trend that keeps on going up. Notice the half the ATR period checks. Also, it gets out if the ATR gets too big or it makes 25% for the trade. I’m just trying to find ways to improve the performance percentage wise.
Indicator / Formula
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// ATR/Turtle Script by Andrew Senft
//
// Backtester Options
SetOption("AllowSameBarExit", False);
SetOption("MaxOpenPositions", 4);
PositionSize = - 25;
// Optimization numbers
ATRPeriod = Optimize("ATRPeriod", 15, 10, 50, 5);
BuyThreshold = Optimize("BuyThreshold", .3, .1, .50, .05);
BuySlope = Optimize("BuySlope", 1.08, 1.05, 1.10, .01);
SellThreshold = Optimize("SellThreshold", .15, .1, .50, .05);
ProfitPercent = Optimize("ProfitPercent", 25, 25, 35, 5);
// Buy/Sell signals and prices
Buy = Ref(ATR(ATRPeriod), - 1) < BuyThreshold AND
Ref(Close, - 1) > Ref(Close, - 1 * ATRPeriod / 2) AND
Ref(Close, - 1 * ATRPeriod / 2) > Ref(Close, - 1 * ATRPeriod) AND
Ref(Close, - 1) / Ref(Close, - 1 * ATRPeriod) > BuySlope AND
Ref(MA(Volume, 20), - 1) > 3000 AND// 300,000 volume or more
Ref(Close, - 1) >= 2; // stocks over $2BuyPrice = Open;
BeginATR = Ref(ValueWhen(Buy, ATR(ATRPeriod), 1), - 1);
FilterBeginATR = ValueWhen(Buy, ATR(ATRPeriod), 1);
Sell = Ref(ATR(ATRPeriod), - 1) > BeginATR + SellThreshold;
SellPrice = Open;
Buy = ExRem(Buy, Sell);
Sell = ExRem(Sell, Buy);
PositionScore = 100-Ref(ATR(ATRPeriod), - 1);
ApplyStop(stopTypeProfit, stopModePercent, ProfitPercent, True, 0);5 comments
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Is this chart supposed to show any graph – or is it only for scan? It generates very few signals in scan.
Yeah its only a trading system.
This gives blank screen.. no bars or chart.
it’s scanning your data base for buy candidates but gives only very few results. don’t expect daily picks – even with a data base of more than 5.000 stocks it’s not finding a lot of buying opportunities. ATR Turtle picks mostly cheap stocks or penny stocks, so be aware of some trading risks.
Komunitas Modified for Amibroker (AFL)