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Breadth Indicator for Amibroker (AFL)
Rating:
5 / 5 (Votes 1)
Tags:
amibroker, composite, breadth
30% up/down last quarter in the Russell 3000 index. Modified to not use ‘IsIndexConstituent’ which is a norgate data specific function.
It’s a two step process. You must do a scan every day, or as frequently as you want accurate data, with the exploration formula on a watch list of the russell 3000 members. Once the exploration formula is run it will create a bunch of composites (Check the code). You can then use the diffusion indicator code.
Created By: money matt for more information visit his site here
Indicator / Formula
Copy & Paste Friendly
thresh1=Param("buy thresh",75,1,99,1);
thresh2=Param("sell thresh",75,1,99,1);
Ticker1 = ParamStr("Symbol1", "~POS30QTR" );
Ticker2 = ParamStr("Symbol2", "~NEG30QTR" );
flgrng=Param("threshold count",10,1,50,1);
t1=Foreign(Ticker1,"C");
t2=Foreign(TIcker2,"C");
dif=t1/(t1+t2)*100;
flgon=Sum(dif>thresh1,flgrng)==flgrng;
flgoff=Sum(dif<thresh2,flgrng)==flgrng;
Plot(dif,"Diffusion",colorTeal,styleLine|styleThick);
Plot(thresh1,"",colorGreen);
Plot(thresh2,"",colorRed);
Plot(flgon*100,"Buy",colorGreen,styleHistogram|styleThick);
Plot(flgoff*100,"Sell",colorRed,styleHistogram|styleThick);
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AddToComposite(C/LLV(C,60)>=1.3,"~POS30QTR","X",19);
AddToComposite(C/HHV(C,60)<=.7,"~NEG30QTR","X",19);
// above is the breadth measurement that showed the most promise.
//You could comment out all the other indicators and
//possibly speed things up.
AddToComposite(C/Ref(C,-1)>=1.04,"~POS4DAILY","X",19);
AddToComposite(C/Ref(C,-1)<=.96,"~NEG4DAILY","X",19);
AddToComposite(C/LLV(C,20)>=1.2,"~POS20MO","X",19);
AddToComposite(C/HHV(C,20)<=.8,"~NEG20MO","X",19);
AddToComposite(L==LLV(L,60),"~NEWLOW60","X",19);
AddToComposite(H==HHV(H,60),"~NEWHI60","X",19);
myrsi=RSI(2);
AddToComposite(myrsi<10,"~LO_RSI_COMP","X",19);
AddToComposite(myrsi>90,"~HI_RSI_COMP","X",19);
rsi14=RSI(14);
AddToComposite(rsi14<30,"~LO_RSI14_COMP","X",19);
AddToComposite(rsi14>70,"~HI_RSI14_COMP","X",19);
AddToComposite(C>BBandTop(C),"~HI_BB_COMP","X",19);
AddToComposite(C<BBandBot(C),"~LO_BB_COMP","X",19);
pos4d=Foreign("~POS4DAILY","C");
neg4d=Foreign("~NEG4DAILY","C");
pos30q=Foreign("~POS30QTR","C");
neg30q=Foreign("~NEG30QTR","C");
pos20m=Foreign("~POS20MO","C");
neg20m=Foreign("~NEG20MO","C");
spyop=Foreign("SPY","O");
spycl=Foreign("SPY","C");
newlow=Foreign("~NEWLOW60","C");
newhi=Foreign("~NEWHI60","C");
posrsi14=Foreign("~HI_RSI14_COMP","C");
negris14=Foreign("~LO_RSI14_COMP","C");
Buy=Sell=Cover=Short=0;
Filter = 1;
AddColumn(pos4d,"+4% today",1);
AddColumn(neg4d,"-4% today",1);
AddColumn(pos30q,"+30% qtr",1);
AddColumn(neg30q,"-30% qtr",1);
AddColumn(pos20m,"+20% month",1);
AddColumn(neg20m,"-20% month",1);
AddColumn(spyop,"SPY Open",1.2);
AddColumn(spycl,"SPY Close",1.2);
AddColumn(newlow,"New 60d Low",1.0);
AddColumn(newhi,"New 60d Hi",1.0);
AddColumn(pos30q/(pos30q+neg30q)*100,"30q dif",1.2);
AddColumn(newhi/(newhi+newlow)*100,"hi-lo dif",1.2);5 comments
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Above code not working, Please advise how to run above code in Amibroker version 5.80
What is the problem your having?
When i run this code in my amibroker, it only shows empty screen.
Code is working fine for me if you run it correctly. Did you run the composite exploration on your market of stocks before trying to plot the indicator?
Thanks for the Great work. Just what I’m looking for n more…
To use this, please note there is 2 pg of formula to copy. Please use 2 different name. Use the Analysis > exploration on the composite formula and then u can use the indicator to plot.