Jack,
I have not used the code for nearly twelve
months and of course AB has developed since then (as hopefully have I). As I
recall, you needed to run one lot of code for the Exploration/Backtesting and
use the code as presented yesterday for Plots. FWIW, I attach the
Exploration/Backtesting code immediately below and at the very bottom of this
email is the Plot code as submitted yesterday. This is a Long and Short system
combined but you will need to set your own Stops in Settings for your exits
etc.
I hope the size of this posting is not a
nuisance for the rest of the Group!
/* JOHN CLAYBURG BASED SUPPORT/RESISTANCE LINES
an extension concept by Gordon Sutherland to use Trendline Extensions
instead of horizontal S & R Lines
Coded by Bob Johnson
and Gordon
Sutherland May
2004
(Bob kindly did the tricky
extensions and looping code for me) */
/* PARAMETERS */
ColLSC = ParamColor("SU Color",colorOrange);
ColLRC = ParamColor("RE Color",colorBlue);
/* CATEGORY 3 SUPPORT BREAKOUT TRIGGER FOR SHORTS: */
LL_3_6 = Ref(L,-6) > Ref(L,-3);
LL_3_5 = Ref(L,-5) > Ref(L,-3);
LL_3_4 = Ref(L,-4) > Ref(L,-3);
LL_3_2 = Ref(L,-2) > Ref(L,-3);
LL_3_1 = Ref(L,-1) > Ref(L,-3);
LL_3_0 = L > Ref(L,-3);
Cat3Sup = LL_3_6 AND LL_3_5 AND LL_3_4 AND LL_3_2 AND LL_3_1 AND LL_3_0;
/* SUPPORT LINE ("SC") */
y0=ValueWhen(Cat3Sup,Ref(L,-3),2);
y1=ValueWhen(Cat3Sup,Ref(L,-3),1);
x0=ValueWhen(Cat3Sup,BarIndex(),2)-3;
x1=ValueWhen(Cat3Sup,BarIndex(),1)-3;
// looking into the future here, but it is
// only applied to historical plots to determine
// the length of the extension.
xsf=ValueWhen(Cat3Sup,BarIndex(),0)-3;
/* CATEGORY 3 RESISTANCE BREAKOUT TRIGGER FOR LONGS: */
HH_3_6 = Ref(H,-6) < Ref(H,-3);
HH_3_5 = Ref(H,-5) < Ref(H,-3);
HH_3_4 = Ref(H,-4) < Ref(H,-3);
HH_3_2 = Ref(H,-2) < Ref(H,-3);
HH_3_1 = Ref(H,-1) < Ref(H,-3);
HH_3_0 = H < Ref(H,-3);
Cat3Res = HH_3_6 AND HH_3_5 AND HH_3_4 AND HH_3_2 AND HH_3_1 AND HH_3_0;
y2=ValueWhen(Cat3Res,Ref(H,-3),2);
y3=ValueWhen(Cat3Res,Ref(H,-3),1);
x2=ValueWhen(Cat3Res,BarIndex(),2)-3;
x3=ValueWhen(Cat3Res,BarIndex(),1)-3;
// another look into the future.
xrf=ValueWhen(Cat3Res,BarIndex(),0)-3;
Plot(C,"C", colorBlack, styleCandle);
// This bit is used to plot the buy/short arrows. The loops
below generate
// extraneous buys at the start of new resistance lines.
Reason unknown
// so far.
ms = (y1 - y0)/(x1 - x0); // simple slope of support
mr = (y3 - y2)/(x3 - x2); // simple slope of support
exts=BarsSince(Cat3sup);
supline=y1 + ms * (3 + exts);
//Plot(supline,"Cat3Sup",colorWhite,styleLine);
extr=BarsSince(Cat3Res);
resline=y3 + mr * ( 3 + extr);
ResSlopeUp = resline > y3; // Try adding Rule that slope of ResLine
must be Up
SupSlopeDn = supline < y1; // Try adding Rule that slope of SupLine
must be Down
TradeDlrs = Volume * Close;
Liquid = Sum(IIf(Volume < 1,1,0),20);
Liquidity = MA(TradeDlrs,20) >= 60000 AND Liquid < 3;
Buy=Cross(C,resline) AND ResSlopeUp AND Liquidity;
Short=Cross(supline,C) AND SupSlopeDn AND Liquidity;
PlotShapes(IIf(Short,shapeHollowDownArrow,shapeNone),colorRed,0,H,-10);
PlotShapes(IIf(Buy,shapeUpArrow,shapeNone),colorGreen,0,L,-10);
// END OF THE SIGNALS SECTION ////
// EXPLORATION AND SYSTEM TEST REPORTS AREA
//////////////////////////////////////////////////
Sell = 0; Cover = 0;
//BuyPrice = ShortPrice == Open; SellPrice = CoverPrice == Open;
//SetTradeDelays(1,1,1,1);
// POSITION SIZING MODEL EXAMPLES:
// PositionSize = 10000; //invest $10,000 in every trade
PosQty = 10; // Defines how many open positions you want - this overrides the
"Settings"
SetOption("MaxOpenPositions", PosQty );
PositionSize = -100/PosQty; // invest 100% of portfolio equity
divided by max. position count
// PositionSize = -0.5 * BuyPrice/Ref((1.25 * EMA(ATR(1),2)),-1);
// (Van Tharp-style AmiBroker uses Wilder's Smoothing ergo use
WMA(ATR(1),7) for 7 period WMA
PositionScore = 100-RSI(); // 'Tie-breaker method'prefer stocks
that have low RSI;
// NumColumns = 0;
Filter = Buy OR Sell;
AddTextColumn(FullName(),"Full name",77,colorPlum, IIf(Close < 1.00,colorYellow,colorDefault ) );
Result = WriteIf(Buy,"Buy","Sell");
AddTextColumn(Result,"Trade", formatChar, IIf(Buy,colorDarkGreen,colorRed ), IIf (Sell,colorPink,colorLime));
AddColumn(Ref(Close,-1),"Y-Close",1.4, IIf( ROC(Ref(C,-1),1)>= 0,colorDarkGreen, colorRed ),50 );
AddColumn(Open,"Open",1.4,IIf( ROC(Open, 1 ) >= 0, colorDarkGreen, colorRed ) );
AddColumn(High,"High",1.4,IIf( ROC(High, 1 ) >= 0, colorDarkGreen, colorRed ) );
AddColumn(Low,"Low",1.4,IIf( ROC(Low, 1 ) >= 0, colorDarkGreen, colorRed ) );
AddColumn( Close, "Close", 1.4, IIf( ROC(C, 1 ) >= 0, colorDarkGreen, colorRed ),50 );
AddColumn( ROC( Close, 1 ), "ROC(1)", 1.2, IIf( ROC(C, 1 ) >= 0, colorDarkGreen, colorRed));
AddColumn( Volume, "Volume", 10.0, IIf( ROC(V, 1 ) >= 0, colorDarkGreen, colorRed ) );
AddColumn( resline,
"Break
L", 10.4, colorDarkBlue,37 );
AddColumn( ((Close-resline)/resline)*100, "L %", 10.2, colorDarkBlue,37 );
AddColumn( supline,
"Break
S", 10.4, colorRed,40 );
AddColumn( ((Close-supline)/Close)*100, "S %", 10.2, colorRed,40 );
Regards,
Gordon Sutherland
-----Original Message-----
From: ckinsey2003
[mailto:ckinsey2003@xxxxxxxxx]
Sent: Sunday, 6 March
2005 7:39 a.m.
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Gordon
Sutherland "JOHN CLAYBURG Suport & Restance"
When I run an Explore or Backtest with your code,
I do not get any
output in AA, even though the Graph displays many
trend lines & BUY
SELL arrows? Do you have the same experiance
for stocks ??
Jack Kinsey
/* JOHN CLAYBURG BASED SUPPORT/RESISTANCE LINES
Coded by GBS May 2004
/* CATEGORY 3 SUPPORT BREAKOUT TRIGGER FOR SHORTS:
*/
/* PARAMETERS */
ColLSC = ParamColor("SU
Color",colorOrange);
ColLRC = ParamColor("RE
Color",colorBlue);
LL_3_6 = Ref(L,-6) > Ref(L,-3);
LL_3_5 = Ref(L,-5) > Ref(L,-3);
LL_3_4 = Ref(L,-4) > Ref(L,-3);
LL_3_2 = Ref(L,-2) > Ref(L,-3);
LL_3_1 = Ref(L,-1) > Ref(L,-3);
LL_3_0 = L > Ref(L,-3);
Cat3Sup = LL_3_6 AND LL_3_5 AND LL_3_4 AND LL_3_2
AND LL_3_1 AND
LL_3_0;
/* SUPPORT LINE ("SC") */
y0=ValueWhen(Cat3Sup,Ref(L,-3),2);
y1=ValueWhen(Cat3Sup,Ref(L,-3),1);
x0=ValueWhen(Cat3Sup,BarIndex(),2)-3;
x1=ValueWhen(Cat3Sup,BarIndex(),1)-3;
// looking into the future here, but it is
// only applied to historical plots to determine
// the length of the extension.
xsf=ValueWhen(Cat3Sup,BarIndex(),0)-3;
/* CATEGORY 3 RESISTANCE BREAKOUT TRIGGER FOR
LONGS: */
HH_3_6 = Ref(H,-6) < Ref(H,-3);
HH_3_5 = Ref(H,-5) < Ref(H,-3);
HH_3_4 = Ref(H,-4) < Ref(H,-3);
HH_3_2 = Ref(H,-2) < Ref(H,-3);
HH_3_1 = Ref(H,-1) < Ref(H,-3);
HH_3_0 = H < Ref(H,-3);
Cat3Res = HH_3_6 AND HH_3_5 AND HH_3_4 AND HH_3_2
AND HH_3_1 AND
HH_3_0;
y2=ValueWhen(Cat3Res,Ref(H,-3),2);
y3=ValueWhen(Cat3Res,Ref(H,-3),1);
x2=ValueWhen(Cat3Res,BarIndex(),2)-3;
x3=ValueWhen(Cat3Res,BarIndex(),1)-3;
// another look into the future.
xrf=ValueWhen(Cat3Res,BarIndex(),0)-3;
Plot(C,"C", colorBlack, styleCandle);
extendedSup=0;
extendedRes=0;
NullY0=IsNull(y0);
NullY2=IsNull(y2);
for ( i = BarCount -1 ; i > 7 ; i-- ) {
if ( !NullY0[i] ){ // only plot lines when enough
datapoints avail.
if ( x0[i] != x0[i-1] ) {
ms = (y1[i] - y0[i])/(x1[i] - x0[i]); // simple
slope of support
if ( NOT extendedSup ) { // Haven't extended one
yet
extendedSup = 1;
Line1 = LineArray( x0[i], y0[i], x1[i] + 3, y1[i]
+ (3 *
ms),0,True);
Plot(Line1,"",ColLSC,styleLine);
Line2 = LineArray( x1[i] + 3, y1[i] + (3 * ms),
x1[i] + 4,y1
[i] + (4 * ms), 1,True);
Plot(Line2,"Cat3Sup",colorWhite,styleLine+styleNoRescale);
Sell=Cross(Line2,C);
PlotShapes(IIf
(Sell,shapeHollowDownArrow,shapeNone),colorRed,0,H,-10);
} else { // old Cat3Sup lines, use 'look ahead'
extensions
Line3 = LineArray( x0[i], y0[i], x1[i] + 3, y1[i]
+ (3 *
ms),0,True);
Plot(Line3,"",colorPink,styleLine);
Line4 = LineArray( x1[i] + 3, y1[i] + (3 * ms),
xsf[i] + 3, y1[i] + ms * (xsf[i] -
x1[i] + 3), 0,True);
Plot(Line4,"Cat3Sup",colorWhite,styleLine+styleNoRescale);
Sell=Cross(Line4,C);
PlotShapes(IIf
(Sell,shapeHollowDownArrow,shapeNone),colorRed,0,H,-10);
}
}
}
if ( !NullY2[i] ){ // only plot lines when enough
datapoints avail.
if ( x2[i] != x2[i-1] ) {
mr = (y3[i] - y2[i])/(x3[i] - x2[i]); // simple
slope of resistance
if ( NOT extendedRes ) { // Haven't extended one
yet
extendedRes = 1;
Line5= LineArray( x2[i], y2[i], x3[i] + 3, y3[i] +
(3 *
mr),0,True);
Plot(Line5,"",ColLRC,styleLine);
Line6 = LineArray( x3[i] + 3, y3[i] + (3 * mr),
x3[i] + 4,y3
[i] + (4 * mr), 1,True);
Plot(Line6,"Cat3Sup",colorWhite,styleLine+styleNoRescale);
Buy=Cross(C,Line6);
PlotShapes(IIf
(Buy,shapeUpArrow,shapeNone),colorBrightGreen,0,L,-10);
} else { // old Cat3Sup lines, use 'look ahead'
extensions
Line7= LineArray( x2[i], y2[i], x3[i] + 3, y3[i] +
(3 *
mr),0,True);
Plot(Line7,"",colorBlue,styleLine);
Line8 = LineArray( x3[i] + 3, y3[i] + (3 * mr),
xrf[i] + 3, y3[i] + mr * (xrf[i] -
x3[i] + 3), 0,True);
Plot(Line8,"Cat3Sup",colorWhite,styleLine+styleNoRescale);
Buy=Cross(C,Line8);
PlotShapes(IIf
(Buy,shapeUpArrow,shapeNone),colorBrightGreen,0,L,-10);
}
}
}
}
NumColumns = 0;
// EXPLORATION EXAMPLE:
Filter = Buy OR Sell;
AddTextColumn(FullName(),"Full
name",77,colorPlum, IIf(Close <
1.00,colorYellow,colorDefault ) );
result =
WriteIf(Buy,"Buy","Sell");
AddTextColumn(result,"Trade",
formatChar, IIf
(Buy,colorDarkGreen,colorRed ),
IIf(Sell,colorPink,colorLime));
AddColumn(Ref(Close,-1),"Y-Close",1.4,
IIf( ROC(Ref(C,-1),1)>=
0,colorDarkGreen, colorRed ),50 );
AddColumn(Open,"Open",1.4,IIf( ROC(Open,
1 ) >= 0, colorDarkGreen,
colorRed ) );
AddColumn(High,"High",1.4,IIf( ROC(High,
1 ) >= 0, colorDarkGreen,
colorRed ) );
AddColumn(Low,"Low",1.4,IIf( ROC(Low, 1
) >= 0, colorDarkGreen,
colorRed ) );
AddColumn( Close, "Close", 1.4, IIf(
ROC(C, 1 ) >= 0, colorDarkGreen,
colorRed ),50 );
AddColumn( ROC( Close, 1 ), "ROC(1)",
1.2, IIf( ROC(C, 1 ) >= 0,
colorDarkGreen, colorRed));
AddColumn( Volume, "Volume", 10.0, IIf(
ROC(V, 1 ) >= 0,
colorDarkGreen, colorRed ) );
AddColumn( y3, "TL Break", 10.4,
colorDarkBlue,37 );
AddColumn( ((Close-y3)/y3)*100, "TL Break
%", 10.2,
colorDarkBlue,37 );
AddColumn( y1, "TL Break", 10.4,
colorRed,40 );
AddColumn( ((Close-y1)/Close)*100, "TL Break
%", 10.2, colorRed,40 );
Check
AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
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