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Hi David --
See if this helps.
It has not been tested completely, and may have coding errors in it.
Thanks,
Howard
// Multiple Systems in One AFL.afl
// An outline of a technique for combining multiple trading systems
// in a single afl
//
// Howard Bandy
// www.quantitativetradingsystems.com
//
// This was done quickly and tested lightly.
// It is intended to be educational -- not necessarily profitable.
// Verify that it works for you before using it.
//
// Assumptions:
// 1. Only long trades are taken.
// All systems can be only Long or Flat.
// 2. System A is a trend following system
// and is the "boss".
// Whenever A is Long, B cannot make a trade.
// 3. System B is a swing trading system
// It goes Long or Flat, but only when A is Flat.
// Code for System A
// Assume it is long term moving average crossover
// or breakout.
FastMA = MA(C,10);
SlowMA = MA(C,100);
BuyA = Cross(FastMA,SlowMA);
SellA = Cross(SlowMA,FastMA);
// Code for SystemB
// Assume it is mean reversion system.
// Buy every time the fast stochastic rises through 10
// Sell every time the fast stochastic drops through 90
//
FastStoch = StochK(5,3);
BuyB = Cross(FastStoch,10);
SellB = Cross(90,FastStoch);
// Combine the two systems
// Set up a "state" corresponding to whether System A is Long or Flat
AIsLong = Flip(BuyA,SellA);
AIsFlat = Flip(SellA,BuyA);
// Buy whenever there is a Buy Signal from System A,
// or a Buy Signal from System B while System A is Flat.
Buy = BuyA OR (AIsFlat AND BuyB);
// Two different exit conditions -- pick one.
// Sell on either sell signal.
//Sell = SellA OR SellB;
// Or -- Exit System A only from Systems A's Sell
Sell = SellA OR (AIsFlat AND SellB);
Plot(C,"C",colorBlack,styleCandle);
Plot(FastMA,"FastMA",colorGreen,styleLine);
Plot(SlowMA,"SlowMA",colorBlue,styleLine);
PlotShapes(shapeSmallCircle*BuyB+shapeSmallCircle*SellB,
IIf(BuyB,colorGreen,colorRed));
PlotShapes(shapeUpArrow*Buy+shapeDownArrow*Sell,
IIf(Buy,colorGreen,colorRed));
Plot(FastStoch,"FastStoch",colorRed,styleLine|styleLeftAxisScale);
Plot(90,"90",colorYellow,styleLine|styleLeftAxisScale);
Plot(10,"10",colorYellow,styleLine|styleLeftAxisScale);
Plot(AIsFlat,"AIsFlat",colorGreen,styleLine|styleLeftAxisScale);
On 5/5/07, Fred <
ftonetti@xxxxxxxxxxxxx> wrote:
For starters try explaining it so that someone outside of yourself
understands what it is are trying to accomplish without having to ask
additional questions ...
--- In amibroker@xxxxxxxxxxxxxxx, "optiekoersen" <optiekoersen@xxx>
wrote:
>
> Okay, thanks for this advice. Seems an impressive and useful book.
> But for the moment I am at a death point. Are there anymore
> suggestions how I can solve this issue quickly?
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "David Fitch" <davidfitch@>
> wrote:
> >
> > You might try Howard Bandy's Book, Quantitative Trading Systems.
He
> covers this as well as many other subjects. And it includes AFL
> examples as well.
> > Dave
> >
> > ----- Original Message -----
> > From: optiekoersen
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Saturday, May 05, 2007 6:30 AM
> > Subject: [amibroker] mixing two systems
> >
> >
> > I have two systems. A trendfollowing one and a trendreversal
> system.
> > I use them seperately. Normally I use the trendfollowing system
> untill
> > I get a signal from my trendreversal one. Now I would like to
put
> them
> > together in 1 code. The problem is that after getting a buy
from
> my
> > trendreversal system I do not like to follow signals from my
> > trendfollowing system until my stoploss or profit is reached.
> >
> > I seriously have no idea which arguments I should use to solve
> this
> > problem. Is there anyone who can help me further?
> >
>
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