Jim Berg Stop Loss for Amibroker (AFL)

siivaramm

over 13 years ago

Amibroker (AFL)

In “The Truth About Volatility,” Jim Berg presents how to use several well-known volatility measures such as average True range (ATR) to calculate entry, trailing stop, AND profit-taking levels. Implementing techniques presented in the article is very simple using the AmiBroker Formula Language (Afl), AND takes just a few lines of code.

Listing 1 shows the formula that the plots color-coded price chart, trailing stop, AND profit-taking lines, as well as a colored ribbon showing volatility-based entry AND exit signals. The relative strength index (RSI) used by Berg is a built-in indicator in AmiBroker, so no additional code is necessary. See Figure 3 for an example.

Screenshots

Indicator / Formula

_SECTION_BEGIN("Jim Berg Volatility Stop Loss");
P = ParamField("Price field",-1);
Periods = Param("Periods", 170, 2, 200, 1 );
Plot( MA( P, Periods ), _DEFAULT_NAME(), ParamColor( "Color", colorCycle ), ParamStyle("Style") ); 

TwoAtr =  2 * ATR( 10 );
EntrySignal = C > ( LLV( L, 20 ) + TwoAtr); 
ExitSignal = C < ( HHV( H, 20 ) - TwoAtr);
TrailingStop = HHV( C - TwoAtr, 15 ); 
ProfitTarget = EMA( H, 13 ) + TwoAtr; 

Plot( TrailingStop, "Trailing Stop Loss", colorBrown, styleThick | styleLine ); 
Plot( ProfitTarget, "Profit Target", colorLime, styleThick ); 
Plot( C, "Price", IIf( EntrySignal, colorBlue, IIf( ExitSignal, colorRed, colorGrey50 )), styleBar | styleThick ); 

Buy = EntrySignal;
Sell = ExitSignal or Cross(TrailingStop, C) OR Cross(C, ProfitTarget);

_SECTION_END();

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