|
PureBytes Links
Trading Reference Links
|
Hi...I am posting the TRADE version of RUTVOL that Fasttrackers use
in hopes someone will convert it to AFL. Salil? I am also including
the AFL of RUTTR which is the first part of RUTVOL. Any help in the
conversion is greatly appreciated.
Thanks
RUTVOL
____________________________________
;rutvol.ini (revised)
;by Werner Gansz, 11/27/2001
[Expression]
;$tvol = Edit($tvol, 9/10/10, 1306 * 1e6)
;tvolq = Edit(tvolq, 9/10/10, 1643 * 1e6)
;$uvol = Edit($uvol, 9/10/10, 681 * 1e6)
;$dvol = Edit($dvol, 9/10/10, 601 * 1e6)
;uvolq = Edit(uvolq, 9/10/10, 751 * 1e6)
;dvolq = Edit(dvolq, 9/10/10, 868 * 1e6)
Print($tvol, "NY TVol", $uvol, "NY UVol", $dvol, "NY DVol",
tvolq, "NS TVol", uvolq, "NS Uvol", dvolq, "NS Dvol")
nsvolema = Ema(tvolq, 60)
nsuvolema = Ema(uvolq, 120)
nsdvolema = Ema(dvolq, 120)
WriteFile(nsvolema, NSVol, "Nasdaq 60d Ema of Total Volume")
WriteFile(nsvolema, NSUvl, "Nasdaq 120d Ema of Up Volume")
WriteFile(nsdvolema, NSDvl, "Nasdaq 120d Ema of Dn Volume")
;NYSE volume data for FR charts
nyvolema = Ema($tvol, 60)
nyuvolema = Ema($uvol, 120)
nydvolema = Ema($dvol, 120)
WriteFile(nyvolema, NYVol, "NYSE 60d Ema of Total Volume")
WriteFile(nyuvolema, NYUvl, "NYSE 120d Ema of Up Volume")
WriteFile(nydvolema, NYDvl, "NYSE 120d Ema of Dn Volume")
updnrs = Accu(nsuvolema, nsdvolema, 11, 44)
;Volume
;Stochastic Chart Data
Average = 41
Smooth = 10
Trigger = 8
;S-Chart
;%K calculation
Kstoch = 100 * (nsvolema - Min(nsvolema, Average)) /
(Max(nsvolema, Average) - Min(nsvolema, Average))
;%D calculation
Dstoch = Ema(Kstoch, Smooth)
WriteFile(dstoch, Dstoc)
;Signal Line
signalline = Ema(Dstoch, Trigger)
;VolumeStoch.Buy = Signal(dstoch - 50) Or Signal(dstoch - 20)
;Or Signal(updnrs)
;VolumeStoch.Sell = Signal(dstoch - 50) Or Signal(dstoch - 80)
VolumeStoch.Buy = Signal(dstoch - 80) Or Signal(dstoch - 20)
Or Signal(updnrs)
VolumeStoch.Sell = Signal(dstoch - 20) Or Signal(dstoch - 80)
WriteFile(VolumeStoch, VolStoch)
volcombo.Buy = Ruttr And VolumeStoch
volcombo.Sell = Ruttr Or VolumeStoch
WriteFile(volcombo, RutVol, "Ruttr Conservative combo with Volume")
;Testing
testfam = Family(rut-i, dfscx, ndx-x, pse-x)
Print("All funds and indexes below cover the complete FT database")
ruttrperf = SignalPairTrade(testfam, fdrxx, ruttr)
rutvolperf = SignalPairTrade(testfam, fdrxx, rutvol)
mdays = Last(Sum(ruttrperf - ruttrperf + 1))
onbuy = mdays * Sma(.5 + Sgn(ruttrperf * Vector(ruttr)), mdays)
risk = onbuy / mdays
sy = (Sum(.5 - Sgn(Days(ruttr) - .00001)) / 2) / (mdays / 252)
sdf = Stdev(Roc(ruttrperf, 1), mdays) * Pow(21.15, .5) * Pow
(1/risk, .5)
prod = Pow(10, Log(Last(ruttrperf)/First(ruttrperf))/
(Last(onbuy)/253.8)) - 1
;prior peak values of fund
peak = Max(ruttrperf, mdays)
;current drawdown
cdd = (peak - ruttrperf)/peak
;Compute Mdd
mdd = Last(Max(cdd, mdays))
Print(ruttr, "RUTTR performance for small cap and tech indices")
FamPrint(100 * prod, "Prdtvty",
100 * sdf, "StDev", 100 * mdd, "Mdd", 100 * risk, "%Risk",
sy, "S/Y")
mdays = Last(Sum(rutvolperf - rutvolperf + 1))
onbuy = mdays * Sma(.5 + Sgn(rutvolperf * Vector(rutvol)), mdays)
risk = onbuy / mdays
sy = (Sum(.5 - Sgn(Days(rutvol) - .00001)) / 2) / (mdays / 252)
sdf = Stdev(Roc(rutvolperf, 1), mdays) * Pow(21.15, .5) * Pow
(1/risk, .5)
prod = Pow(10, Log(Last(rutvolperf)/First(rutvolperf))/
(Last(onbuy)/253.8)) - 1
;prior peak values of fund
peak = Max(rutvolperf, mdays)
;current drawdown
cdd = (peak - rutvolperf)/peak
;Compute Mdd
mdd = Last(Max(cdd, mdays))
Print(rutvol, "Ruttr/Volume combo performance for small cap and tech
indices")
FamPrint(100 * prod, "Prdtvty",
100 * sdf, "StDev", 100 * mdd, "Mdd", 100 * risk, "%Risk",
sy, "S/Y")
_____________________________________________
RUTTR in AFL
_____________________________________________
/* Filename: Funds_Ruttr Full */
Rt=Foreign("RUT-I","C");
Av=Optimize("Av",53,70,80,2);
Ksto=100*(Rt-LLV(Rt,Av))/(HHV(Rt,Av)-LLV(Rt,Av));
Dsto=EMA(Ksto,Optimize("Dsto",49,58,63,2));
Sig=EMA(Dsto,Optimize("Sig",28,6,20,5));
HisD=Dsto-Sig;
V1=Optimize("V1",45,40,55,5);
V2=Optimize("V2",90,65,90,5);
RutMACD=EMA(Rt,V1)-EMA(Rt,V2);
V3=Optimize("V3",8,6,10,2);
SigMACD=EMA(RutMACD, V3);
HisM=RutMACD-SigMACD;
Plot(HisM,"",2,2);
Title = "RUT-I MACD and RTTR Signal (Red and Green)";
Buy=HisD>0 AND HisM>0;
Sell=HisD<0 AND HisM<0;
Plot(2*Buy,"",5,1);
Plot(-4*Sell,"",4,1);
PlotShapes(IIf(Buy,shapeUpArrow,shapeNone) ,colorBrightGreen);
PlotShapes(IIf(Sell,shapeDownArrow,shapeNone),colorRed);
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for Your HP, Epson, Canon or Lexmark
Printer at Myinks.com. Free s/h on orders $50 or more to the US & Canada. http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/l.m7sD/LIdGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|