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Attached my code for Rel Strength. I just got home,
so I have not integrated your market cap yet. AFL file, but changed ending for
attaching
Ara
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//File: Industry - Sector RS
//Select Issue with Positive Momentum and performance better than Industry average
//Select Industries with Positive Momentum and performance better than Sector average
//Version 0.9
//November 15, 2005
//
//Use Industry ATCs in order to have longer Industry histories for backtest.
//Intergrate Divergence code
// Initialize Variables
//Test Mode
Mkt_Timing = Param("1=RUT, 2=%Bull",0,0,2,1);
//Variables
Bars = 0;
Bars1 = 8;
Bars1 = Optimize("Bars1",8,2,20,2);
Bars2 = 60;
Bars2 = Optimize("Bars2",60,40,120,8);
Smooth = 5;
Sector = 0;
Issue_Delta = 0;
Industry_Delta = 0;
Issue_RS = 0;
Sector_RS = 0;
Industry_RS = 0;
Issue_RS2 = 0;
Sector_RS2 = 0;
Industry_RS2 = 0;
Issue_ROC = 0;
Industry_ROC = 0;
Sector_ROC = 0;
Issue_ROC2 = 0;
Industry_ROC2 = 0;
Sector_ROC2 = 0;
IssueRS = 0;
IndustryRS = 0;
SectorRS = 0;
IssueROC = 0;
IndustryROC = 0;
SectorROC = 0;
IssueRS2 = 0;
IndustryRS2 = 0;
SectorRS2 = 0;
IssueROC2 = 0;
IndustryROC2 = 0;
SectorROC2 = 0;
Buy_Trigger = 0;
Ind_issues = 0;
ATC_Date = "";
Ind_ATC = "";
Error = "";
#include <Mod - Osc-Price Divergence31.afl>
function ComputeRelativeStrength(Len)
{
//Len specified length1 od length2
if (Len==1) Bars=Bars1;
if (Len==2) Bars=Bars2;
//Compute Relative Strength wrt Industry
Issue_Ref = Ref(Close,-Bars);
Issue_Delta = Close - Issue_Ref;
Perc_IssDelta = Issue_Delta * 100 / Close;
//Create Industry symbol from Supplied Number
IndNum = IndustryID(0);
NumString = NumToStr(IndNum,1.0);
StrLength = StrLen(NumString);
if (StrLength==1) IDString = "00" +NumString;
if (StrLength==2) IDString = "0" +NumString;
if (StrLength==3) IDString = NumString;
//Use ATC Industry data
Ind_ATC = "~Ind_" + IDString;
Industry = Foreign(Ind_ATC,"O");
Ind_Issues = Foreign(Ind_ATC,"V"); // Number of stocks in industry
//Compute Industry Performance
Industry_Ref = Ref(Industry,-Bars);
Industry_Delta = Industry - Industry_Ref;
Perc_IndDelta = Industry_Delta * 100 / Industry;
//Create Sector symbol for ATC
Sector_Num = SectorID(0);
NumString = NumToStr(Sector_Num,1.0);
StrLength = StrLen(NumString);
if (StrLength==1) IDString = "0" + NumString;
if (StrLength==2) IDString = NumString;
Sector_ATC = "~Sec_" + IDString;
Sector = Foreign(Sector_ATC,"C");
Sector_Ref = Ref(Sector,-Bars);
Sector_Delta = Sector - Sector_Ref;
Perc_SecDelta = Sector_Delta * 100 / Sector;
//Compute Sector RS wrt SP500
Index = Foreign("!SPX","C");
Index_Ref = Ref(Index,-Bars);
Index_Delta = Index - Index_Ref;
Perc_IndxDelta = Index_Delta * 100 / Index;
if (Len==1)
{
Issue_RS = EMA((Perc_IssDelta - Perc_IndDelta),Smooth);
Industry_RS = EMA((Perc_IndDelta - Perc_SecDelta),Smooth);
Sector_RS = EMA((Perc_SecDelta - Perc_IndxDelta),Smooth);
Issue_ROC = Close - Ref(Close,-Bars);
Industry_ROC = Industry - Ref(Industry,-Bars);
Sector_ROC = Sector - Ref(Sector,-Bars);
}
if (Len==2)
{
Issue_RS2 = EMA((Perc_IssDelta - Perc_IndDelta),Smooth);
Industry_RS2 = EMA((Perc_IndDelta - Perc_SecDelta),Smooth);
Sector_RS2 = EMA((Perc_SecDelta - Perc_IndxDelta),Smooth);
Issue_ROC2 = Close - Ref(Close,-Bars);
Industry_ROC2 = Industry - Ref(Industry,-Bars);
Sector_ROC2 = Sector - Ref(Sector,-Bars);
}
//Plot(Industry,"Industry " + Ind_ATC,colorRed,styleLine|styleOwnScale);
_TRACE("Issue - Name " + Name() + " Issue " + WriteVal(Close,1.2) + " Iss Ref " + WriteVal(Issue_Ref,1.2) + " Issue Del " + WriteVal(Issue_Delta,1.2));
_TRACE("Indust - Name " + Name() + " Industry " + WriteVal(Industry,1.2) + " Ind Ref " + WriteVal(Industry_Ref,1.2) + " Ind Del " + WriteVal(Industry_Delta,1.2)
+ " Issue RS " + WriteVal(Issue_RS,1.2) + " Ind RS " + WriteVal(Industry_RS,1.2));
_TRACE("Sector - Name " + Name() + " Sec Del " + WriteVal(Sector_Delta,1.2) + " Sec Ref " + WriteVal(Sector_Ref,1.2)
+ " Ind RS " + WriteVal(Industry_RS,1.2) + " Sect RS " + WriteVal(Sector_RS,1.2));
}
//STAERT OF PROGRAM
//Loop through stock and correlate with Industries
//Verify last date of ATCs
//Verify date off ATCs
ATC_Date = Foreign("~Ind_000","H");
IndName = IndustryID(1);
SectorName = SectorID(1);
if (IndustryID(0)==0 OR SectorID(0) == 0)
{
Issue_RS = 0;
Industry_RS = 0;
Sector_RS = 0;
Error = "Index - No RS Value";
}
else
{
ComputeRelativeStrength(1);
IssueRS = IIf(Issue_RS >0,1,-1);
IndustryRS = IIf(Industry_RS >0,1,-1);
SectorRS = IIf(Sector_RS >0,1,-1);
IssueROC = IIf(Issue_ROC - Ref(Issue_ROC,-2) >= 0,1,-1);
IndustryROC = IIf(Industry_ROC - Ref(Industry_ROC,-2) >= 0,1,-1);
SectorROC = IIf(Sector_ROC - Ref(Sector_ROC,-2) >= 0,1,-1);
_TRACE("Assign1 - Bars " + WriteVal(Bars,1.0) + " Issue " + WriteVal(Issue_RS,1.2) + "/" + WriteVal(Issue_RS2,1.2)
+ " Ind " + WriteVal(Industry_RS,1.2) + "/" + WriteVal(Industry_RS2,1.2)
+ " Sec " + WriteVal(Sector_RS,1.2) + "/" + WriteVal(Sector_RS2,1.2));
ComputeRelativeStrength(2);
IssueRS2 = IIf(Issue_RS2 >0,1,-1);
IndustryRS2 = IIf(Industry_RS2 >0,1,-1);
SectorRS2 = IIf(Sector_RS2 >0,1,-1);
IssueROC2 = IIf(Issue_ROC2 - Ref(Issue_ROC2,-2) >= 0,1,-1);
IndustryROC2 = IIf(Industry_ROC2 - Ref(Industry_ROC2,-2) >= 0,1,-1);
SectorROC2 = IIf(Sector_ROC2 - Ref(Sector_ROC2,-2) >= 0,1,-1);
_TRACE("Assign2 - Bars " + WriteVal(Bars,1.0) + " Issue " + WriteVal(Issue_RS,1.2) + "/" + WriteVal(Issue_RS2,1.2)
+ " Ind " + WriteVal(Industry_RS,1.2) + "/" + WriteVal(Industry_RS2,1.2)
+ " Sec " + WriteVal(Sector_RS,1.2) + "/" + WriteVal(Sector_RS2,1.2));
}
_TRACE("Names - Issue " + Name() + " Ind " + IndName + " " + IndustryID(0) + " Sector " + SectorName + " " + SectorID(0));
Plot(0,"",colorBlack,styleLine);
//Plot(Issue_ROC,"Issue_ROC",colorYellow,styleThick|styleOwnScale);
Plot(Issue_RS,"Issue_RS",colorRed,styleLine|styleThick);
Plot(Issue_RS2,"Issue_RS2",colorRed,styleDots|styleThick);
//Plot(Industry_ROC,"Industry_ROC",colorYellow,styleLine|styleThick|styleOwnScale);
Plot(Industry_RS,"Industry_RS",colorBlue,styleLine|styleThick);
Plot(Industry_RS2,"Industry_RS2",colorBlue,styleDots|styleThick);
Plot(Sector_RS,"Sector_RS",colorYellow,styleLine|styleThick);
Plot(Sector_RS2,"Sector_RS",colorYellow,styleDots|styleThick);
//Criteria
//Use following parameters for trade criteria
//Issue_RS, Issue_ROC, Industry_RS, Industry_ROC, Sector_RS, Sector_ROC
//
//Call Divergence Module
_TRACE("Tracer-Diverge");
StocPeriod = 14;
//StocPeriod = Optimize("StocPeriod",14,8,36,4);
Osc_Issue = StochD(StocPeriod);
Middle = 50;
DivergeControl(Osc_Issue,Middle);
//Market Timing Variables
//EMA
Index = Foreign("!SPX","C");
Index_EMA200 = EMA(Index,200);
Index_EMABuy = Index > Index_EMA200;
Sector_EMA200 = EMA(Sector,200);
Sector_EMABuy = Sector > Sector_EMA200;
//%Bullish
//SP500 %Bullish
SP500_MA15WBull = Foreign("~SP500 MA15WK bull","C");
SP500_Count = Foreign("~SP500 MA15WK bull","I");
SP500_15WPercBull = SP500_MA15WBull / SP500_Count * 100;
SP500_MA10DBull = Foreign("~SP500 MA10DAY bull","C");
SP500_Count = Foreign("~SP500 MA10DAY bull","I");
SP500_10DPercBull = SP500_MA10DBull / SP500_Count * 100;
//ROC for both short and Long term are positive
ST_MktBuy = (SP500_10DPercBull - Ref(SP500_10DPercBull,-1)) > 0;
LT_MktBuy = (SP500_15WPercBull - Ref(SP500_15WPercBull,-1)) > 0;
ROC_MktBuy = LT_MktBuy AND ST_MktBuy;
//LT Valey greater than 50%
LT_Mkt = SP500_15WPercBull > 50;
Buy_Mkt = ROC_MktBuy;
LDive_Code = 11;
//LDive_Code = Optimize("LDiv_Code",11,11,18,1);
//Set Position Score Variable
Issue_Score = 100-Osc_Issue; // Profits cut in half
BuyOrder = BT_LDiv_Code >= LDive_Code AND IssueRS==1 AND IndustryRS==1;// AND IssueROC==1; // /*BT_LDiv_Code >= LDive_Code AND*/
ShortOrder = 0;
SellOrder = IssueRS2==-1 AND IndustryRS2==-1; // AND SectorROC==-1 AND IndustryRS==-1 AND IssueROC==-1 AND SectorROC==-1;
CoverOrder = 0;
ShortOrder = SellOrder;
StopOrder = Cross(SAR(0.01,0.2),Close);
ApplyStop(stopTypeTrailing, stopModePoint, StopOrder, True, True );
//Buy = BuyOrder;
//Sell = 0;
#include <Mod - Backtest.afl>
/*
HoldBars = 15;
Holdbars = Optimize("Holdbars",10,5,25,2);
ApplyStop( stopTypeNBar, stopModeBars, HoldBars );
*/
Sector_Name = SectorID(1);
Industry_Name = IndustryID(1);
_N(Title = Name() + " Relative Strength - Number of Stocks:" + WriteVal(Ind_Issues,1.0)
+ EncodeColor(colorRed) + " Stock " + WriteVal(Issue_RS,1.2) + "/" + WriteVal(Issue_RS2,1.2)
+ EncodeColor(colorBlue) + " - " + Industry_Name + " " + WriteVal(Industry_RS,1.2) + "/" + WriteVal(Industry_RS2,1.2)
+ EncodeColor(colorYellow) + " - " + Sector_Name + " " + WriteVal(Sector_RS,1.2) + "/" + WriteVal(Sector_RS2,1.2)
+ EncodeColor(colorRed) + "\n" + Error);
Filter = BuyOrder OR ShortOrder;
AddColumn(Close,"Close");
AddColumn(IIf(BuyOrder==1,1,-1),"Trade");
AddTextColumn(Ind_ATC,"Industry");
AddColumn(Ind_Issues,"# Issues",1.0);
AddColumn(Issue_RS,"Issue RS");
AddColumn(Issue_ROC,"Issue ROC");
AddColumn(Industry_RS,"Ind RS");
AddColumn(Industry_ROC,"Ind ROC");
AddColumn(Sector_RS,"Sec RS");
AddColumn(Sector_ROC,"Sec ROC");
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