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[amibroker] Complete AFL code for the "Revelation Trading System"



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How would like to trade a system that will make you rich beyond your 
wildest dreams, lower your cholesterol and make you a better lover in 
bed ?!!  Don't think such a system exists !!  then read on - my 
sceptical friend........(afl code is below)

This system was revealed to me, this morning, as I was crossing 5th 
Ave and 34th St...a bright white light shown down on me and I heard a 
Voice - "O' Grasshopper - combine a smart money flow indicator with a 
momemtum indicator".  I asked - which indicators - there are so many 
of them ?  The Voice replied - "must you ask such stupid qts, 
Grasshopper.  There is only the FVE smart money indicator by Markos 
Katsanos and the TSI momemtum indicator by William Blau.  And...test 
it only on volatile sectors".

Such revelations come only once in a blue moon - so I put together 
the system (after playing around with many buy/sell rules) and tested 
it on all the stocks in the Biotech sector from Yahoo (I think about 
a 100+ stocks) from 6/14/02 - 6/13/04.  $10k equity, 50% margin, Long 
only, $16 trade comm.  Results - 25 trades, 15 winners and annual 
return of 312%.  Gotta be a fluke, I said.  So, I tried it on the 
same stocks from 6/14/04 - 6/13/05.  Annual return 335% !!

Ok. there is a catch.  There always is !  The buy/sell delays were 
set to '0' (meaning buy/sell happened as soon as the conditions were 
met).  This system would work only for those folks with fancy 
automated trading (through IB with AB). 
 
What about the rest of us Grasshoppers who buy and sell on the open 
with a 1 day trade delay ?  Well, I re-tested and 6/14/02 - 6/13/04 
and 6/14/04 - 6/13/05 showed annual returns of 28% and 26% 
respectively.  Respectable....I guess.

What about other volatile sectors - you say ?  Sheeet ! O' 
Grasshoppers in training - must I do all the work ?

[Ok. Ok.  So, I did exaggerate on the 'lowering cholesterol and being 
better lovers in bed' but - hey - you can't ask for everything]

**************************************************************

 // Money Flow Indicator - FVE by Markos Katsanos - almost identical 
to proprietary TSV money flow indicator by Worden

Period = Param("Period for FVE", 22, 5, 80, 1 );
Coeff = Param("Coeff for Cutoff", 0.1, 0, 2, 0.01 );

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 );
VC = IIf( MF > Cutoff, V,
IIf( MF < -Cutoff, -V, 0 ));
FVE = 100 * Sum( VC, Period )/(MA( V, Period ) * Period ); 

// Momemtum Indicator by William Blau

TSI = 100 * ( EMA( EMA( C - Ref( C, -1 ) ,25 ) ,13) 
/ EMA( EMA( abs( C - Ref( C, -1) ),25 ), 13 ) );

// Plots for money flow and momentum indicators

Plot(TSI,"TSI",43,1); //Plots TSI line

PlotGrid(25,55); // shows white grid line for black background
PlotGrid(-25,-55); // same

Plot(EMA(TSI,7),"TSI signal",32,1); // Plots a 7 day EMA of TSI

Plot( FVE, "Modified FVE", colorRed, styleThick ); // FVE line is 
shown in red
Plot (0,"",colorBlue,styleNoLabel); // shows a blue line through 0


RAD_TO_DEG = 180/3.1415926; // radians to degrees
LinRegAngleFVE = RAD_TO_DEG * atan( LinRegSlope( FVE, 22 ) ); // 
calculates angle of money flow indicator

// Buy Rules

Buy = FVE > -10 AND FVE < 10 AND
LinRegAngleFVE > 30 AND
FVE > EMA( FVE, 5 ) AND EMA(FVE, 5) > EMA(FVE, 22) AND
LinRegSlope( C, 10 ) < Ref(C, -10 ) *0.6/100 AND
LinRegSlope( C, 10 ) > -Ref( C, -10 ) * 0.3/100 AND Cross( TSI, EMA( 
TSI, 7 ) );

// Sell Rules

Sell = Cross (EMA (TSI, 7), TSI) OR LinRegAngleFVE < -20;

***************************************************************




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