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This code is something i have put together . it is not a masterpiece but it works for testing 4 factors , I am still to add volume which is the fifth . I am still new at this so please be aware
The top section allows for easy editing of the parameters although i have found you can also try parameters in the report section.
have a look and let me know what you think .... This is based on a technical analysis course i did a few weeks ago . I am not 100% certain about the Stochastics part. I have tested it on the South African JSE , some of it works , some doesnt . but it might be different for your exchanges ...
_SECTION_BEGIN("5 Factors");
//MACD
PeriodFastMACD = Param( "Fast EMA", 5.26, 2, 200, 1 );
PeriodSlowMACD = Param( "Slow EMA", 12.26, 200, 1 );
PeriodSignalMACD = Param( "Signal EMA",10, 2, 200, 1 );
//STOCH
Dsmooth = Param( "%D avg", 3, 1, 200, 1 );
periodsStoch = Param( "Periods", 12, 1, 200, 1 );
Ksmooth = Param( "%K avg", 3, 1, 200, 1 );
//RSI
periodsRSI = Param( "Periods", 15, 1, 200, 1 );
BuyRSI = 50;
SellRSI = 45;
//Momentum
PeriodsMom = Param("Period", 25, 1, 100 );
SellMom = 0;
BuyMom = 10;
/* Basics */
SetBarsRequired(10000,10000); /* this ensures that the charts include all bars AND NOT just those on screen */
SetFormulaName("Sample System"); /*name it for backtest report identification */
SetTradeDelays( 1, 1, 1, 1 ); /* delay entry/exit by one bar */
SetOption( "initialequity", 100000 ); /* starting capital */
PositionSize = -10; /* trade size will be 10% of available equty */
SetOption( "MaxOpenPositions", 6 ); /* I don't want to comit more than 60% of Equity at any one time */
SetOption( "PriceBoundChecking", 1 ); /* trade only within the chart bar's price range */
SetOption( "CommissionMode", 2 ); /* set commissions AND costs as $ per trade */
SetOption( "CommissionAmount", 32.95 ); /* commissions AND cost */
SetOption( "UsePrevBarEquityForPosSizing", 1 ); /*set the use of last bars equity for trade size*/
PositionScore = 100/C; /*Set the order for which stock trades when get mulitple signals in one bar in backtesting */
/* End */
/* Factor one MACD */
MACDInd = MACD(PeriodFastMacd, PeriodSlowMacd );
SigInd = Signal(PeriodFastMacd, PeriodSlowMacd , PeriodSignalMacd );
HistInd = MACDInd - SigInd ;
// Get displayed min and max value of MACD and MACD-H, to rescale it for better visibility
scMACDMax = LastValue(HHV(Max(MACDInd, sigInd),
BarsSince( Status("barvisible") AND NOT
Ref(Status("barvisible"),-1) )));
scMACDMin = LastValue(LLV(Min(MACDInd, sigInd),
BarsSince( Status("barvisible") AND NOT
Ref(Status("barvisible"),-1) )));
scaleMACD = Max( abs(scMACDMax), abs(scMACDMin) );
scHistMax = LastValue(HHV(HistInd,
BarsSince( Status("barvisible") AND NOT
Ref(Status("barvisible"),-1) )));
scHistMin = LastValue(LLV(HistInd,
BarsSince( Status("barvisible") AND NOT
Ref(Status("barvisible"),-1) )));
scaleHist = Max( abs(scHistMax), abs(scHistMin) );
Plot( HistInd, "", colorLightBlue, styleHistogram | styleOwnScale | styleThick
,
-scaleHist * 1.2, scaleHist * 1.2);
Plot( MACDInd, "", colorGreen);
Plot( SigInd , "", colorRed);
Plot( scaleMACD * 1.2,"",colorRed,styleNoDraw);
Plot( -scaleMACD* 1.2 ,"",colorRed,styleNoDraw);
GraphXSpace = 0;
/* Factor TWO RSI */
//IIf RSI( periods)
/* Factor Three Stochastic */
StochK( periodsStoch , Ksmooth);
StochD( periodsStoch , Ksmooth, DSmooth );
/* Factor Four Momentum */
function Momentum( array, period )
{
return array - Ref( array, -period );
}
Field = ParamField( "Field" );
Momentum( Field ,PeriodsMom );
/* Factor Five Volume */
/*Put it all togethe */
Buy = IsTrue(
Cross( MACDInd, SigIND )
AND MACD( PeriodFastMacd, PeriodSlowMacd ) < -1200
AND RSI(periodsRSI) < BuyRsi
// AND Cross( StochK( periodsStoch , Ksmooth), StochD( periodsStoch , Ksmooth, DSmooth ) )
// AND StochK ( periodsStoch , Ksmooth)<50
// AND Momentum( Field ,PeriodsMom ) < BuyMom
);
Sell = IsTrue(
Cross( MACDInd, SigIND )
AND MACD( PeriodFastMacd, PeriodSlowMAcd ) >1200
AND RSI(periodsRsi) > SellRsi
// AND Cross( StochK( periodsStoch , Ksmooth), StochD( periods , Ksmooth, DSmooth ) )
// AND StochK ( periodsStoch , Ksmooth)<30
// AND Momentum( Field ,PeriodsMom ) < SellMom
);
/* Now for exploration results.
Will restrict results of exploration to when the Buy AND Sell signals occur
You can use Filter=1; to display every bar result */
Filter = Buy OR Sell;
AddTextColumn( FullName(), "Company Name" );
AddColumn( Buy, "Buy", 1 );
AddColumn( Sell, "Sell", 1 );
AddColumn( C, "Close", 1.3 );
AddColumn( H, "High", 1.3 );
//AddColumn( LastHigh, "HHV", 1.3 );
//AddColumn( LongMA, "Long MA", 1,3 );
//AddColumn( ShortMA, "Short MA", 1,3 );
/* End */
_SECTION_END();
On Mon, Aug 3, 2009 at 5:15 PM, pstaffieri <pstaffieri@xxxxxxxxx> wrote:
Thanks Malcolm look forward to what you have.
--- In amibroker@xxxxxxxxxxxxxxx, malcolm Crouch <malcolm.croucher@xxx> wrote:
>
> From what I can see its pretty straightforward to code ....
>
> Stoch() > 75
> MACD() >0
>
> Gapping : not to sure how to do
>
> Sell = istrue( Volume >= x )
> (is it buy or sell volume )
>
> i will write the code for this later tonight and see if it work ... but i
> have a funny feeling its not going to wrok that well ....
>
> ive just tested a whole lot of strategies and none worked out as well as I
> hoped they would ..
>
> you possibly looking at 15% at the most
>
>
> Regards
>
>
> Malcolm
>
>
> On Mon, Aug 3, 2009 at 11:21 AM, Paolo Cavatore <pcavatore@xxx> wrote:
>
> >
> >
> > anything to drink?
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <amibroker% 40yahoogroups.com>,
> > "pstaffieri" <pstaffieri@> wrote:
> > >
> > > Require a system that is user friendly where I can load on a nightly
> > basis the following:
> > >
> > > 1. New stocks
> > > 2. Volume trigger for stocks
> > > 3. Remove stocks from list
> > >
> > > Also,
> > >
> > > 1. Buys if volume reaches a certain level by 11:30 am, Stochastics
> > (14,1,3) is 75 or over, MACD (5,13,6) is positive, stock has not gapped
> > up/down by over 5 percent.
> > >
> > > 2. Also, after a successful buy it will place a trainling stop of 2% and
> > sell at the end of the day if a certain specific volume is reached for that
> > stock.
> > >
> > > Must be also compatible with the paper trading account at IB.
> > >
> > > Thanks
> > >
> >
> >
> >
>
>
>
> --
> Malcolm A.B Croucher
>
-- Malcolm A.B Croucher
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