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Just noticed that the VFI formula is in the June 2004 TASC article
which has already been written in AFL (see S&C articles in 'Member
Section'). I can incorporate into AFL code below. Would appreciate
if members helped me with the other parts of the Metastock code.
Regards
--- In amibroker@xxxxxxxxxxxxxxx, "Dickie Paria" <babui@xxxx> wrote:
> The April and May 2005 issue of TASC has articles by Markos
Katsanos
> on his Flags and Pennants Trading System. The May issue has the
> Metastock code for the system in the article called, "Detecting
> Breakouts from Flags & Pennants". I thought it would be
interesting
> to try it out in AFL. My AFL code is below with mistakes or my
> programming uncertainties which I have commented on (//AFL
> GURUS.....) and Markos Katsanos Metastock code is below my AFL for
> comparison. The May issue also has code for exploration (columns)
> but I'll leave that for somebody with more knowledge of AFL to
try.
> Hopefully, the corrected version of the AFL code can be submitted
to
> the AFL Library
>
> //AFL CODE FOR MARKOS KATSANOS "DETECTING BREAKOUTS FROM FLAGS AND
> PENNANTS
>
> //Enter Long
>
> ZZ = Zig(C,17); //AFL GURUS PLEASE CHECK TO SEE IF THIS LINE IS
> CORRECT VS METASTOCK CODE BELOW//
>
> X = BarsSince(ZZ<Ref(ZZ,-1) AND Ref(ZZ,-1)> Ref(ZZ,-2));
> X1 = LastValue(X) + 1;
> X2 = X1 + 1;
> SD = StDev(C,X2);
>
> PERIOD = 22;
> COEFF = 0.1;
> intRA = log(H) - log(L);
> VINTRA = StDev(intRA, PERIOD);
> intER = log(Avg)-log(Ref(Avg,-1));
> VINTER = StDev(intER,PERIOD);
> CUTOFF = COEFF*(VINTER + VINTRA)*C;
> MF = C - (H+L)/2 + Avg - Ref(Avg,-1);
> MFV = IIf(MF>CUTOFF,V,IIf(MF<-CUTOFF,-V,0));
> FVE = Sum(MFV,PERIOD)/MA(V,PERIOD)/PERIOD*100;
>
> X1<21 AND X1>2 AND //CONDITION 1
> Ref(LinRegSlope(C,13)/Ref(C,-13)*100, -X1)>2.2 //CONDITION 2
> AND Ref(LinRegSlope(C,X2)/Ref(C,-X2),-1)*100<.2
> AND LinRegSlope(C,X1)/Ref(C,-X1)>-1.2 //CONDITION 3
> AND Ref(LinRegSlope(V,X2)/Ref(V,-X2),-1)*100<-2 //CONDITION 4
> AND Ref(LinRegSlope(SD,X1),-1)<0 //CONDITION 5
> AND StochK(20,3)>55 AND ADX(10)>30 //CONDITION 6
>
> AND FVE>10 AND VFI>-3 //CONDITION 7// AFL GURUS - HOW DO I
> INCORPORATE VFI - METASTOCK CODE FOR VFI IS BELOW (FROM MARKOS
> ARTICLE)//
>
> AND C>Ref(C,-1) AND C>O; //CONDITION 8
>
> //SELL ORDER
>
> D1 = ApplyStop(stopTypeNBar,stopModeBars); D2 = LastValue
(D1); //AFL
> GURUS - I NEED HELP WITH THIS//
>
> zz = Zig(Ref(C,-D2),17); //AFL GURUS - THIS NEEDS TO BE CHECKED//
>
> X = BarsSince(ZZ<Ref(ZZ,-1) AND Ref(ZZ,-1)> Ref(ZZ,-2));
> X1 = LastValue(X) + 1; //FLAG DURATION
> C1 = LLV(C,(D2+40)); //POLE BASE
> C2 = Ref(HHV(C,22),-D2); //POLE TOP
>
> BREAK1 = ApplyStop(stopTypeNBar,stopModePercent); //AFL GURUS - HOW
> DO I CODE THIS//
>
> POLE = (C2-C1)/C1*100; //POLE HEIGHT %
>
> //EXIT CONDITIONS
>
> BREAK1 > 1.94*POWER(POLE,.724) //EXIT CONDITION 1 PROFIT
TARGET //AFL
> GURUS - IS THIS LINE CORRECT AGAINST METASTOCK CODE BELOW//
>
> OR C<Ref(LLV(C,X1), -D2) //EXIT CONDITION 2 STOP LOSS ON BREAKING
OF
> LOWER FLAG TRENDLINE
> OR (D2>14 AND BREAK1<.25*POLE) //EXIT CONDITION 3 - INACTIVITY
> OR (D2>3 AND C<.9*HHV(C,4)) //EXIT CONDITION 4 - TRAILING STOP LOSS
> OR D2>24; //EXIT CONDITION 5 - TIME EXIT
>
>
> //MARKOS KATSANOS METASTOCK CODE FOR DETECTING BREAKOUTS IN FLAGS
AND
> PENNANTS//
>
> //Enter Long
>
> ZZ: = Zig(C,17,%);
> X: = BarsSince(ZZ<Ref(ZZ,-1) AND Ref(ZZ,-1)> Ref(ZZ,-2));
> X1: = LastValue(X) + 1; //FLAG DURATION
> X2: = X1 + 1;
> SD: = StDev(C,X2);
>
> PERIOD: = 22;
> COEFF: = 0.1;
> INTRA: = log(H) - log(L);
> VINTRA: = StDev(INTRA, PERIOD);
> INTER: = log(Typical())-log(Ref(Typical(),-1));
> VINTER: = StDev(INTER,PERIOD);
> CUTOFF: = COEFF*(VINTER + VINTRA)*C;
> MF = C - (H+L)/2 + Typical() - Ref(Typical(),-1);
> FVE = Sum(If(MF>CUTOFF,+V,IF(MF<-CUTOFF,-V,0)),PERIOD)/Mov
> (V,PERIOD,S)/PERIOD*100;
>
> X1<21 AND X1>2 AND //CONDITION 1
> Ref(LinRegSlope(C,13)/Ref(C,-13)*100, -X1)>2.2 //CONDITION 2
> AND Ref(LinRegSlope(C,X2)/Ref(C,-X2),-1)*100<.2
> AND LinRegSlope(C,X1)/Ref(C,-X1)>-1.2 //CONDITION 3
> AND Ref(LinRegSlope(V,X2)/Ref(V,-X2),-1)*100<-2 //CONDITION 4
> AND Ref(LinRegSlope(SD,X1),-1)<0 //CONDITION 5
> AND Stoch(20,3)>55 AND ADX(10)>30 //CONDITION 6
>
> AND FVE>10 AND Fml("VFI")>-3 //CONDITION 7 //AFL GURUS - CODE FOR
VFI
> IS BELOW
>
> AND C>Ref(C,-1) AND C>O; //CONDITION 8
>
> //SELL ORDER
>
> D1: = Simulation.CurrentPositionAge; D2: = LastValue(D1);
> zz: = Zig(Ref(C,-D2),17,%);
> X: = BarsSince(ZZ<Ref(ZZ,-1) AND Ref(ZZ,-1)> Ref(ZZ,-2));
> X1: = LastValue(X) + 1; //FLAG DURATION
> c1: = LLV(C,(D2+40)); //POLE BASE
> c2: = Ref(HHV(C,22),-D2); //POLE TOP
>
> BREAK1: = Simulation.CurrentPositionPerformance*100;
> POLE: = (C2-C1)/C1*100; //POLE HEIGHT %
>
> //EXIT CONDITIONS
>
> BREAK1 > 1.94*Power(Pole,.724) //EXIT CONDITION 1 PROFIT TARGET -
(in
> article he has profit target as 1.94*pole^0.724)//
>
> OR C<Ref(LLV(C,X1), -D2) //EXIT CONDITION 2 STOP LOSS ON BREAKING
OF
> LOWER FLAG TRENDLINE
> OR (D2>14 AND BREAK1<.25*POLE) //EXIT CONDITION 3 - INACTIVITY
> OR (D2>3 AND C<.9*HHV(C,4)) //EXIT CONDITION 4 - TRAILING STOP LOSS
> OR D2>24; //EXIT CONDITION 5 - TIME EXIT
>
> //METASTOCK CODE FOR VFI FORMULA//
> PERIOD: = Input("PERIOD FOR VFI",5,1300,130);
> COEF: = .2;
> VCOEF: = Input("MAX VOLUME CUTOFF",0,50,2.5);
> INTER: = Log(Typical())-Log(Ref(Typical(),-1));
> VINTER: = Stdev(INTER,30);
> CUTOFF: = COEF*VINTER*C;
> VAVE: = Ref(Mov(V,PERIOD,S),-1);
> VMAX: = VAVE*VCOEF;
> VC: = If(V<VMAX,V,VMAX);
> MF: = Typical()-Ref(Typical(),-1);
> VFI: = Sum(If(MF>CUTOFF,+VC,If(MF<-CUTOFF,-VC,0)),PERIOD)/VAVE;
> Mov(VFI,3,E);
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