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ZIG trading system for Amibroker (AFL)
gilvag
about 8 years ago
Amibroker (AFL)

Rating:
2 / 5 (Votes 3)
Tags:
trading system, amibroker, exploration

A nice system based on ZIG ZAG

enjoy

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Indicator / Formula

Copy & Paste Friendly
PositionSize = MarginDeposit = 1;
Z=Optimize("Z",Param("Zig",2,.1,10,0.1),.1,10,.1);
p=Param("Volume EMA",15,0,100,1);

Buy = Cover = C>Ref(C,-1) AND Ref(C,-1)>Ref(C,-2) AND V>EMA(V,p) AND Zig(C,Z)>Ref(Zig(C,Z),-1) ;
Sell = Short = C<Ref(C,-1) AND Ref(C,-1)<Ref(C,-2) AND V>EMA(V,p) AND Zig(C,Z)<Ref(Zig(C,Z),-1) ;

Filter = Buy OR Sell OR Short OR Cover;
Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);
Short = ExRem(Short,Cover);
Cover = ExRem(Cover,Short);
AddColumn( Ref(C,-2), "DAY BEFORE YESTERDAY " );
AddColumn( Ref(C,-1), "YESTERDAY " );
AddColumn( Close, "Close" );
AddColumn( V, "Volume" );
AddColumn( EMA(V,p), " EMA Volume "+P );
AddColumn( Zig(C,Z), "ZIG-ZAG" +Z );
PlotOHLC(O,H,L,C,"Price",IIf(C>O,colorGreen,colorRed),styleBar|styleThick);
PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorGreen, 0, L, Offset=-40);
PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorLime, 0,L, Offset=-50);                      
PlotShapes(IIf(Buy, shapeUpArrow, shapeNone),colorWhite, 0,L, Offset=-45); 
PlotShapes(IIf(Sell, shapeSquare, shapeNone),colorRed, 0, H, Offset=40);
PlotShapes(IIf(Sell, shapeSquare, shapeNone),colorOrange, 0,H, Offset=50);                      
PlotShapes(IIf(Sell, shapeDownArrow, shapeNone),colorWhite, 0,H, Offset=-45);


/*http://www.traders.com/documentation...ackissues.html
go to 2009 Articles > June 2009 > Traders Tips



LISTING 1*/
Version(5.20); // requires v5.20
SetBarsRequired(sbrAll);

// get start date
Start = Cross( DateNum(), ParamDate("Start date", "2005-10-30" ) );
Started = Flip( Start, 0 );

StopMode = ParamList("Stop Mode", "Fixed|Chandelier|Modified ATR" );
StopLevel = Param("Fixed perc %", 14, 0.1, 50, 0.1)/100;
StopATRFactor = Param("ATR multiple", 4, 0.5, 10, 0.1 );
StopATRPeriod = Param("ATR period", 14, 3, 50 );

// calculate support and resistance levels
if( StopMode == "Fixed" ) // fixed percent trailing stop
{
sup = C * ( 1 - stoplevel );
res = C * ( 1 + stoplevel );
}
else // Chandelier ATR-based stop
if( StopMode == "Chandelier" )
{
sup = C - StopATRFactor * ATR( StopATRPeriod );
res = C + StopATRFactor * ATR( StopATRPeriod );
}
else
{
HL = H - L;
MAHL = 1.5 * MA( HL, StopATRPeriod );
HiLo = IIf( HL < MAHL, HL, MAHL );
H1 = Ref( H, -1 );
L1 = Ref( L, -1 );
C1 = Ref( C, -1 );
Href = IIf( L <= H1, H - C1, ( H - C1 ) - ( L - H1 ) / 2 );
Lref = IIf( H >= L1, C1 - L, ( C1 - L ) - ( L1 - H ) / 2 );

diff1 = Max( HiLo, HRef );
diff2 = Max( diff1, LRef );

ATRmod = Wilders( diff2, StopATRPeriod );

sup = C - StopATRFactor * ATRmod ;
res = C + StopATRFactor * ATRmod ;
}

// calculate trailing stop line
trailARRAY = Null;
trailstop = 0;
for( i = 1; i < BarCount; i++ )
{
if( Started[ i ] == 0 ) continue;

if( C[ i ] > trailstop AND C[ i - 1 ] > trailstop )
trailstop = Max( trailstop, sup[ i ] );
else
if( C[ i ] < trailstop AND C[ i - 1 ] < trailstop )
trailstop = Min( trailstop, res[ i ] );
else
trailstop = IIf( C[ i ] > trailstop, sup[ i ], res[ i ] );

trailARRAY[ i ] = trailstop;
}

// generate buy/sell signals based on crossover with trail stop line
Buy = Start OR Cross( C, trailArray );
Sell = Cross( trailArray, C );
PlotShapes(Buy*shapeUpArrow,colorGreen,0,trailarray);
PlotShapes(Sell*shapeDownArrow,colorRed,0,trailarray);
Plot( Close,"Price",colorBlack,styleBar);
SetBarFillColor( colorYellow );
Plot( trailARRAY,"trailing stop level", ParamColor( "Color", colorCycle ), ParamStyle("Style")); 

3 comments

1. ole

The last signal is of uncertain value because zig-zag looks into the future.

2. moapereira

“It seems that the formula references FUTURE quotes.
If you backtest this system you may receive outstanding results
that CAN NOT be reproduced in real trading.”

3. hezar dastan

ZIG trading system very good

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