// Downloaded From https://www.WiseStockTrader.com
// HaConnorsRSI 3 Pos AMin IBD Top Fifty 2011 - 2013
// Uses optimization to match ranking system with stock selection list
// and combination buy and sell rules
// Combined Systemms
SetCustomBacktestProc("");
if ( Status( "action" ) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.Backtest(); // run default backtest procedure
st = bo.GetPerformanceStats( 0 ); // get stats for all trades
myMetric = st.GetValue( "CAR" ) + 3 * st.GetValue( "MaxSystemDrawdownPercent" );
expectancy = st.GetValue("WinnersAvgProfit")*st.GetValue("WinnersPercent")/100 +
st.GetValue("LosersAvgLoss")*st.GetValue("LosersPercent")/100;
UPI = st.GetValue("UlcerPerformanceIndex");
UPIexp = UPI * expectancy;
// Here we add custom metric to backtest report
bo.AddCustomMetric( "My metric", myMetric );
bo.AddCustomMetric( "Ulcer Performance", UPI );
bo.AddCustomMetric( "Expectancy ($)", expectancy );
bo.AddCustomMetric( "UPIexpect", UPIexp );
}
OptimizerSetEngine("cmae");
// OptimizerSetOption("MaxEval",7000);
OptimizerSetOption("Runs",3);
// Hold 3
Positions = 3; //Optimize("Positions",5,1,10,1);
PosQty = Positions;
PositionSize = -100 / PosQty;
// Screen Major Market using IJK - Remove comment slashes to include
// IJK = Foreign("IJK","CLOSE");
// Over = Optimize("Over",35,3,35,1);
// IJKema = EMA(IJK,Over);
// IJKmin = Optimize("IJKmin",5,5,220,1);
IJKok = 1; //ROC(IJKema,Over) > IJKmin; // Replace to activate
// End of Screen
// Heikin - Ashi Technique
HaClose = (O + H + L + C) / 4;
HaOpen = AMA( Ref( HaClose, -1 ), 0.5 );
HaHigh = Max( H, Max( HaClose, HaOpen ) );
HaLow = Min( L, Min(HaClose, HaOpen) );
// DeMark Pivot Points with HAT
X = IIf( HaClose < HaOpen,HaHigh + 2 * HaLow + HaClose,0) ;
X = IIf( HaClose > HaOpen, 2 * HaHigh + HaLow + HaClose, X);
X = IIf( HaClose == HaOpen, HaHigh + HaLow + 2 * HaClose, X);
HaPivot = X/4;
HaSupport1 = X/2 - HaHigh;
HaResist1 = X/2 - HaLow;
OldResist = Ref(HaResist1,-1);
Below = HaSupport1;
Upper = HaClose > OldResist;
PctAbove = (HaClose - OldResist)*100 / OldResist; // Percent above OldResist
// Determination of Ranking Parameters using WMA
AM3 = Optimize("Am3",2,2,21,1);
Add3 = Optimize("Add3",2,2,21,1);
Add4 = Optimize("Add4",13,2,21,1);
Am5 = Am3 + Add3;
Am8 = Am5 + Add4;
Vol3 = WMA(Volume,Am3);
Vol5 = WMA(Volume,Am5);
Vol8 = WMA(Volume,Am8);
// Price Stochastic
Aprice = ( HaOpen + HaHigh + HaLow + HaClose) / 4;
WSK3 = 100*(Aprice-LLV(Aprice,Am3))/(HHV(Aprice,Am3) - LLV(Aprice,Am3));
WLSK3 = WMA( WSK3, Am3);
WLSD3 = WMA( WLSK3, Am3);
WSK5 = 100*(Aprice-LLV(Aprice,Am5))/(HHV(Aprice,Am5) - LLV(Aprice,Am5));
WLSK5 = WMA( WSK5, Am5);
WLSD5 = WMA( WLSK5, Am5);
WSK8 = 100*(Aprice-LLV(Aprice,Am8))/(HHV(Aprice,Am8) - LLV(Aprice,Am8));
WLSK8 = WMA( WSK8, Am8);
WLSD8 = WMA( WLSK8, Am8);
Wvolume3 = WMA(Volume,Am3);
WVSK3 = 100*(Wvolume3-LLV(Wvolume3,Am3))/(HHV(Wvolume3,Am3) - LLV(Wvolume3,Am3));
WVLSK3 = WMA( WVSK3, Am3);
WVLSD3 = WMA( WVLSK3, Am3);
WVSK5 = 100*(Wvolume3-LLV(Wvolume3,Am5))/(HHV(Wvolume3,Am5) - LLV(Wvolume3,Am5));
WVLSK5 = WMA( WVSK5, Am5);
WVLSD5 = WMA( WVLSK5, Am5);
WVSK8 = 100*(Wvolume3-LLV(Wvolume3,Am8))/(HHV(Wvolume3,Am8) - LLV(Wvolume3,Am8));
WVLSK8 = WMA( WVSK8, Am8);
WVLSD8 = WMA( WVLSK8, Am8);
MP3 = Optimize("MP3",8.2,0,10,0.1);
MP5 = Optimize("MP5",6.9,0,10,0.1);
MP8 = Optimize("MP8",5.7,0,10,0.1);
MV3 = Optimize("MV3",2.7,0,10,0.1);
MV5 = Optimize("MV5",0.2,0,10,0.1);
MV8 = Optimize("MV8",4.9,0,10,0.1);
RankP = MP3 * ROC(WLSD3,Am3) + MP5 * ROC(WLSD5,Am5) + MP8 * ROC(WLSD8,Am8);
RankV = MV3 * ROC(WVLSD3,Am3) + MV5 * ROC(WVLSD5,Am5) + MV8 * ROC(WVLSD8,Am8);
DeltaPrice = ROC(RankP,1);
DeltaVolume = ROC(RankV,1);
Mprice = IIf(DeltaPrice > 0,1 + DeltaPrice ,1);
Mprice = IIf(Upper,Mprice + PctAbove,Mprice);
MVolume = IIf(DeltaVolume > 0,1 + DeltaVolume,1);
PctPct = Mprice * MVolume;
PositionScore = PctPct;
MinPctPct = Optimize("MinPctPct",41200,1000,100000,100);
AddPctPct = Optimize("AddpctPct",24000,500,95000,100);
BuyPctPct = MinPctPct + AddPctpct;
// Connors RSI ****************
LenRSI = Optimize("RSI Closes Length", 67, 2, 100, 1);
LenUD = Optimize("RSI UpClose Length", 37, 2, 100, 1);
LenROC = Optimize("PerecentRank Length", 110, 10, 200, 1);
function ConnorsRSI(lenRSI, lenUD, lenROC)
{
upDays = BarsSince(HaClose <= Ref(HaClose,-1));
downDays = BarsSince(HaClose >= Ref(HaClose,-1));
updownDays = IIf(upDays > 0, upDays, IIf(downDays > 0, -downDays, 0));
crsi = ( PercentRank(ROC(HaClose,1), lenROC) + RSIa(updownDays,lenUD) + RSI(lenRSI))/3;
return crsi;
}
/*
Plot( ConnorsRSI(LenRSI,LenUD,LenRank)
, "ConnorsRSI("+LenRSI+","+LenUD+","+LenRank+")"
, colorBlue, styleLine, 0, 100);
*/
FromBelow = Optimize("FromBelow",8,5,50,1);
FromAbove = Optimize("FromAbove",80,51,95,1);
Buy = IJKok AND PctPct > BuypctPct AND (ConnorsRSI(lenRSI, lenUD, lenROC) > FromBelow);// AND Ref(ConnorsRSI(lenRSI, lenUD, lenROC),-1) < Ref(FromBelow,-1));
// Sell = ConnorsRSI(lenRSI, lenUD, lenROC) < FromAbove AND Ref(ConnorsRSI(lenRSI, lenUD, lenROC),-1) > Ref(FromAbove,-1);
// HaDelta Optimized
HaDays = Optimize("HaDays",19,2,21,1);
HaAdd = Optimize("HaAdd",7,0,21,1);
HaSignalDays = HaDays + HaAdd;
HADelta_Line = MA( HaClose - HaOpen, HaDays);
HADelta_Signal = MA( HaDelta_Line, HaSignalDays);
HaDelta_Histogram = HaDelta_Line - HaDelta_Signal;
Sell1 = HaDelta_Line < HaDelta_Signal;
Sell2 = PctPct < MinPctPct;
INone = Optimize("InOne",0,0,1,1);
InOther = Optimize("InOther",0,0,1,1);
Sell1 = Sell1 * InOne;
Sell2 = Sell2 * InOther;
Sell = Sell1 OR Sell2;
Short = 0;
Cover = 0;
ExRem(Buy,Sell);
ExRem(Sell,Buy);
// ProfitN = Optimize("ProfitN",17,15,390,1);
HoldOut = Optimize("HoldOut",7, 0, 8, 1);
// ApplyStop( 1,3,ProfitN,2,True, HoldOut );
StopLoss = Optimize("StopLoss", 10, 5, 10, 1);
ApplyStop( 0, 1, StopLoss, 0, True, HoldOut );
TrailStop = Optimize("TrailStop", 29, 3, 30, 1);
ApplyStop( 2, 1, TrailStop, 0, True, HoldOut );
HoldStop = Optimize("HoldStop", 20, 3, 23, 1);
ApplyStop( 3, 1, HoldStop, 0, True, HoldOut );
//OldEquity = Foreign("~~~EQUITY","C");
Filter = Buy OR Sell;
AddColumn(Close,"Close",1.2);
AddColumn(Buy,"Buy",1.0);
AddColumn(Sell,"Sell",1.0);
AddColumn(Open,"Open",1.2);
AddColumn(High,"High",1.2);
AddColumn(Low,"Low",1.2);
AddColumn(Close,"Close",1.2);
AddColumn(HaClose,"HaClose",1.2);
AddColumn(PositionScore,"PctPct",1.0);