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Volatility Stop for Amibroker (AFL)
Rating:
3 / 5 (Votes 4)
Tags:
amibroker, stop loss
Volatility Stop fixed buy/short for backtesting and added options for ami 5.00
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Indicator / Formula
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 | _SECTION_BEGIN("Volitility Stop");// fcVS//// volatility stop //// version :1.0 // first release// version :1.1 // fixed buy/short for backtesting and added optionsSetBarsRequired(1000000, 1000000);SetChartOptions(2,chartShowArrows|chartShowDates);SetTradeDelays(0,0,0,0); period = Param("Period", 13, 1, 240, 1);mult = Param("Multiplier", 1.7, 1, 240, 0.1);showPrice = ParamToggle("Show Price","No|yes",1);showArrows = ParamToggle("Show Arrows","No|yes",1);showRibbon = ParamToggle("Show Ribbon","No|yes",1);f=ATR(period);VS[0] = Close[0]; trend[0] = 0;HighC[0]=0;Lowc[0]=0;for( i = period+1; i < BarCount; i++ ) { vs[i] = vs[i-1]; trend[i] = trend[i-1]; highC[i] = HighC[i-1]; lowc[i] = lowc[i-1]; if ((trend[i]>=0) && ( C[i] <VS[i] )) { trend[i] =-1; HighC[i] = C[i]; lowc[i] = C[i]; } if ((trend[i]<=0) && (C[i] >VS[i])) { trend[i]=1; HighC[i] = C[i]; lowc[i] = C[i]; } if (trend[i]==-1) { if (C[i]<lowc[i]) lowc[i] = C[i]; VS[i]= lowc[i]+ (mult*f[i]); } if (trend[i]==1) { if (C[i]>HighC[i]) HighC[i] = C[i]; VS[i]= HighC[i]-(mult*f[i]); }} Buy=Cross(Trend,0);Sell=Cross(0, Trend);Short = Sell;Cover = Buy;if (ShowPrice) Plot(Close,"Close",colorWhite,styleCandle);Plot(VS, "Vol Stop",IIf(trend==1,10,11 ),styleThick);mkol = IIf( Trend==1, 10, 11);if (ShowRibbon) Plot(5, "ribbon", mkol, styleOwnScale|styleArea|styleNoLabel|styleNoTitle, 0, -5); shape = Buy * shapeUpArrow + Sell* shapeDownArrow;if (ShowArrows) PlotShapes( shape, IIf( Buy, colorGreen, colorRed ), 0, IIf( Buy, Low-f, High+f));_SECTION_END(); |
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When you plot Linear Regression with Trend on it (in order to validate the signals), it gives great results.
Thanks a lot for this formula.
thanx.
Dear Administrator,
This formula is duplicate with following
http://www.wisestocktrader.com/indicators/1116-visual-atr-stop-loss-system