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CCT CMO trading system for Amibroker (AFL)
Rating:
2 / 5 (Votes 3)
Tags:
trading system, amibroker, optimize
I got this formula from book “quantitative trading systems”, and the author backtested this formula and got about ~10% return from the market annually.
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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 | CMOperiods=Optimize("pds",Param("CMO periods",21,2,100,2),2,100,2);//CMOperiods=20;AMAAvg=Optimize("AMA Avg",Param("AMA Avg",50,2,100,2),2,100,2);//AMAAvg=40;//trgAvg=Optimize("Trg Avg",Param("trigger Avg",3,2,20,1),2,20,1);trgAvg=3;SumUp=Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0), CMOperiods);SumDn=Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0), CMOperiods);CMO=100*(SumUp-SumDn)/(SumUp+SumDn);Plot(CMO,"CMO",colorGreen,styleLine);CMOAvg=DEMA(CMO,AMAAvg);trigger=DEMA(CMOAvg,trgAvg);Buy=Cross(CMOAvg,trigger);Sell=Cross(trigger,CMOAvg) OR BarsSince(Buy)>=50;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=Cross(trigger,CMOAvg);Cover=Cross(CMOAvg,trigger) OR BarsSince(Short)>=50;Plot(C,"C",colorWhite,styleCandle);PlotShapes(Buy*shapeUpArrow+Sell*shapeDownArrow,IIf(Buy,colorGreen,colorRed));Plot(CMOAvg,"CMOAvg",colorGreen,style=styleLine|styleOwnScale|styleThick,-100,100); |
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