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A number of amibroker users have requested me to post the systems
that were used in the January 2009 Issue of Stocks & Commodities
magazine.
A brief thank you first. Without the kind assistance of many
individuals who read this list, and contribute to it, that article
would not have been possible (I believe strongly in re-using code).
Special thanks goes to the maestro, Tomasz Janeczko, without ehose
insight and talent none of this would have been possible.
One of those systems was the "DMI" System from Tushar Chande.
I claim neither originality nor particular brilliance in programming
this system. The key parts of the code that I used is as follows:
function VarPeriodRSI( array, periods )
{
Chg = array - Ref( array, -1 );
pc = Max( Chg, 0 );
nc = Max( -Chg, 0 );
pa = AMA( pc, 1/periods );
na = AMA( nc, 1/periods );
return 100 * pa / ( pa + na );
}
/* Functions */
//Length=21; Smooth=5;
function Vidya(Length, smooth) {
Change = C - Ref( C, -1 );
SU = Sum( C - Ref( C, -1 ) > 0, Length );
SD = Sum( C - Ref( C, -1 ) < 0, Length );
CMO = 100 * ( SU - SD ) / ( SU + SD );
AbsCMO=( abs(CMO) )/100;
SC=2/(Smooth+1);
return AMA( C, SC*AbsCMO );
}
//==============================================================
VidyaDelta = Optimize("VidyaDelta", 1.2, .8, 1.2, .2);
VidyaLen = Optimize("Vidyalen", 8, 8, 24, 2);
VidyaSmooth = Optimize("VidyaSmooth", 20, 10, 26, 4);
UpLimit = Optimize("UpLimit", 75, 70, 85, 5);
//==============================================================
UpBand=(1+VidyaDelta/100) * Vidya(VidyaLen, VidyaSmooth);
LoBand=(1-Vidyadelta/100) * Vidya(VidyaLen, VidyaSmooth);
//Calculation of Volatility for DMI to range from 5 to 30 days
STDa = MA(StDev(Close, 5), 10);
Vi = StDev(Close, 5)/STDa;
TD = int(14/Vi);
TD= IIf(TD >30, 30, IIf(TD < 5, 5, TD));
DMI = VarPeriodRSI(Close,TD);
Condition1= Close >= UpBand AND (Ref(Low,-1) >= Ref(UpBand,-1));
Condition2 = DMI > UpLimit;
Buy= Condition1 AND Condition2 ;
Sell = Low < UpBand AND DMI < 100- UPLimit ;
Buy = ExRem( Buy, Sell );
Sell = ExRem( Sell, Buy );
Short = Cover = False;
//==================================================================
--- In amibroker@xxxxxxxxxxxxxxx, "areehoi" <areehoi@xxx> wrote:
>
> Breakouts afford good buying opportunities. A combination of VIDYA
> and DMI yields some good result according to an article on this
> subject (see below). Has anyone developed an AFL along with
> Exploration for this combined indicator? If so a post would be most
> appreciation. Thanks
>
> Dick H.
>
> "A combination of VIDYA and DMI may be used to identify when prices
> have broken out and when the breakout has occurred with great
> strength. To do so, a 1% band around VIDYA may be optimal. Whenever
> the market closes above the upper band or below the lower band, we
can
> assume that prices have broken out in that direction. A close above
> the upper band implies that prices will move higher, while a close
> below the lower band implies prices will move lower. A more
> conservative criterion could be called for, such as multiple closes
> beyond the 1% bands, or insisting that the low be above the upper
band
> (or high below the lower band) to recognize a breakout."
>
------------------------------------
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