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Bollinger Band Trend Filter for Amibroker (AFL)
Rybin
about 6 years ago
Amibroker (AFL)

Rating:
4 / 5 (Votes 3)
Tags:
amibroker, bands

The following formula produces a binary approach to Trend Following using Bollinger Bands.

Indicator / Formula

Indicator
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////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
//BASIC CHART SET UP
_SECTION_BEGIN("Bollinger Band Trend Filter");
 
///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
 
ST_TR=EMA(C,5);
MID_TR=EMA(C,10);
INT_TR=EMA(C,20);
LNG_TR=EMA(C,40);
 
 
ST_VAL = IIf(ST_TR > BBandTop(C,25,0.5),1, IIf(ST_TR<BBandTop(C,25,0.5) AND ST_TR>BBandBot(C,25,0.5),0,-1));
MID_VAL = IIf(MID_TR > BBandTop(C,50,0.5),1, IIf(MID_TR<BBandTop(C,50,0.5) AND MID_TR>BBandBot(C,50,0.5),0,-1));
Int_VAL = IIf(INT_TR > BBandTop(C,100,0.5),1, IIf(INT_TR<BBandTop(C,100,0.5) AND INT_TR>BBandBot(C,100,0.5),0,-1));
LNG_VAL = IIf(LNG_TR > BBandTop(C,200,0.5),1, IIf(LNG_TR<BBandTop(C,200,0.5) AND LNG_TR>BBandBot(C,200,0.5),0,-1));
 
 
 
ST_TF = IIf(ST_TR > BBandTop(C,25,0.5),1, IIf(ST_TR<BBandTop(C,25,0.5) AND ST_TR>BBandBot(C,25,0.5),0,-1))*10;
MID_TF = IIf(MID_TR > BBandTop(C,50,0.5),1, IIf(MID_TR<BBandTop(C,50,0.5) AND MID_TR>BBandBot(C,50,0.5),0,-1))*10;
INT_TF = IIf(INT_TR > BBandTop(C,100,0.5),1, IIf(INT_TR<BBandTop(C,100,0.5) AND INT_TR>BBandBot(C,100,0.5),0,-1))*30;
LNG_TF = IIf(LNG_TR > BBandTop(C,200,0.5),1, IIf(LNG_TR<BBandTop(C,200,0.5) AND LNG_TR>BBandBot(C,200,0.5),0,-1))*40;
 
 
TF= ST_TF + MID_TF + INT_TF + LNG_TF;
 
// TREND FILTER RANKING
TFRNK =
IIf(TF>= 0.5,3,
IIf(TF<=0.4999 AND TF>=0.25,2,
IIf(TF<=0.2499 AND TF>=0,1,
IIf(TF<-0.009 AND TF>= -0.25,-1,
IIf(TF<=-.251 AND TF>=-0.5,-2,
IIf(TF<-0.501,-3,0))))));
 
// TREND FILTER HISTORICAL REFERENCING
 
TF_5 = Ref(TF,-5);
TF_10 = Ref(TF,-10);
TF_15 = Ref(TF,-15);
TF_20 = Ref(TF,-20);
TF_25 = Ref(TF,-25);
TF_30 = Ref(TF,-30);
TF_40 = Ref(TF,-40);
TF_50 = Ref(TF,-50);
TF_60 = Ref(TF,-60);
TF_70 = Ref(TF,-70);
TF_80 = Ref(TF,-80);
TF_90 = Ref(TF,-90);
TF_100 = Ref(TF,-100);
TF_110 = Ref(TF,-110);
TF_120 = Ref(TF,-120);
TF_130 = Ref(TF,-130);
TF_140 = Ref(TF,-140);
 
// TREND FILTER COLOR
 
Clr_TF = 32 + SelectedValue( TF) * 32;
Clr_TF_5 = 32 + SelectedValue( TF_5) * 32;  
Clr_TF_10 = 32 + SelectedValue( TF_10) * 32;  
Clr_TF_15 = 32 + SelectedValue( TF_15) * 32;  
Clr_TF_20 = 32 + SelectedValue( TF_20) * 32;  
Clr_TF_25 = 32 + SelectedValue( TF_25) * 32;  
Clr_TF_30 = 32 + SelectedValue( TF_30) * 32;  
Clr_TF_40 = 32 + SelectedValue( TF_40) * 32;  
Clr_TF_50 = 32 + SelectedValue( TF_50) * 32;  
Clr_TF_60 = 32 + SelectedValue( TF_60) * 32;  
Clr_TF_70 = 32 + SelectedValue( TF_70) * 32;  
Clr_TF_80 = 32 + SelectedValue( TF_80) * 32;  
Clr_TF_90 = 32 + SelectedValue( TF_90) * 32;  
Clr_TF_100 = 32 + SelectedValue( TF_100) * 32;  
Clr_TF_110 = 32 + SelectedValue( TF_110) * 32;  
Clr_TF_120 = 32 + SelectedValue( TF_120) * 32;  
Clr_TF_130 = 32 + SelectedValue( TF_130) * 32;  
Clr_TF_140 = 32 + SelectedValue( TF_140) * 32;  
 
 
TFCLR =
IIf(TFRNK==3,ColorRGB(0,255,0),
IIf(TFRNK==2,Colorgreen,
IIf(TFRNK==1,colorYELLOW,
IIf(TFRNK==-1,ColorRGB(252,70,0),
IIf(TFRNK==-2,ColorRGB(255,80,80),
IIf(TFRNK==-3,ColorRGB(217,0,0),colorGrey40))))));
 
///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
// PRICE PLOT
 
 
Plot(TF,"BB TREND FILTER",TFCLR ,styleLINE);
Plot (0,"",colorGrey50,styleLine);
Plot (-.5,"",colorGrey50,styleDashed);
Plot (0.5,"",colorGrey50,styledashed);
 
//////////////////////////////////////////////////////////////////////////////////////////////////////////////////
 
 
 
 
 
Filter = 1;
 
AddTextColumn( FullName(), "Full name", 77 , colorDefault );
AddColumn( ST_VAL , "ST_VAL", 1.2);
AddColumn( MID_VAL , "MID_VAL", 1.2);
AddColumn( INT_VAL , "INT_VAL", 1.2);
AddColumn( LNG_VAL , "LNG_VAL", 1.2);
 
AddColumn( TF, "TF", 1.2, ColorHSB( 128 + Clr_TF, 255, 255 ),  ColorHSB( Clr_TF, 255, 255 ) );
AddColumn( TF_5, "TF_5",1.2, ColorHSB( 128 + Clr_TF_5, 255, 255 ),  ColorHSB( Clr_TF_5, 255, 255 ) );
AddColumn( TF_10, "TF_10",1.2, ColorHSB( 128 + Clr_TF_10, 255, 255 ),  ColorHSB( Clr_TF_10, 255, 255 ) );
AddColumn( TF_15, "TF_15",1.2, ColorHSB( 128 + Clr_TF_15, 255, 255 ),  ColorHSB( Clr_TF_15, 255, 255 ) );
AddColumn( TF_20, "TF_20",1.2, ColorHSB( 128 + Clr_TF_20, 255, 255 ),  ColorHSB( Clr_TF_20, 255, 255 ) );
AddColumn( TF_25, "TF_25",1.2, ColorHSB( 128 + Clr_TF_25, 255, 255 ),  ColorHSB( Clr_TF_25, 255, 255 ) );
AddColumn( TF_30, "TF_30",1.2, ColorHSB( 128 + Clr_TF_30, 255, 255 ),  ColorHSB( Clr_TF_30, 255, 255 ) );
AddColumn( TF_40, "TF_40",1.2, ColorHSB( 128 + Clr_TF_40, 255, 255 ),  ColorHSB( Clr_TF_40, 255, 255 ) );
AddColumn( TF_50, "TF_50",1.2, ColorHSB( 128 + Clr_TF_50, 255, 255 ),  ColorHSB( Clr_TF_50, 255, 255 ) );
AddColumn( TF_60, "TF_60",1.2, ColorHSB( 128 + Clr_TF_60, 255, 255 ),  ColorHSB( Clr_TF_60, 255, 255 ) );
AddColumn( TF_70, "TF_70",1.2, ColorHSB( 128 + Clr_TF_70, 255, 255 ),  ColorHSB( Clr_TF_70, 255, 255 ) );
AddColumn( TF_80, "TF_80",1.2, ColorHSB( 128 + Clr_TF_80, 255, 255 ),  ColorHSB( Clr_TF_80, 255, 255 ) );
AddColumn( TF_90, "TF_90",1.2, ColorHSB( 128 + Clr_TF_90, 255, 255 ),  ColorHSB( Clr_TF_90, 255, 255 ) );
AddColumn( TF_100, "TF_100",1.2, ColorHSB( 128 + Clr_TF_100, 255, 255 ),  ColorHSB( Clr_TF_100, 255, 255 ) );
AddColumn( TF_110, "TF_110",1.2, ColorHSB( 128 + Clr_TF_110, 255, 255 ),  ColorHSB( Clr_TF_110, 255, 255 ) );
AddColumn( TF_120, "TF_120",1.2, ColorHSB( 128 + Clr_TF_120, 255, 255 ),  ColorHSB( Clr_TF_120, 255, 255 ) );;
AddColumn( TF_130, "TF_130",1.2, ColorHSB( 128 + Clr_TF_130, 255, 255 ),  ColorHSB( Clr_TF_130, 255, 255 ) );
AddColumn( TF_140, "TF_140",1.2, ColorHSB( 128 + Clr_TF_140, 255, 255 ),  ColorHSB( Clr_TF_140, 255, 255 ) );

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