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When I try your AFL, I don't get any buy signals at
all!!!!!
B Singh
----- Original Message -----
Sent: Wednesday, June 15, 2005 11:41
AM
Subject: [amibroker] Complete AFL code
for the "Revelation Trading System"
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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SUPPORT {at}
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http://www.amibroker.com/support.html
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
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