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2 Day Break Out for Amibroker (AFL)

Rating:
4 / 5 (Votes 4)
Tags:
trading system, amibroker

This uses two day break out system including the current day. The breakout is warned before the actual breakout and traders can position accordingly. Date to scan can be configured through parameters so that the symbols which dont have live feeds will not be reflected in the current days scan.

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Indicator / Formula

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_SECTION_BEGIN("Shiv2daybrkOut");

SetChartOptions(0,chartShowArrows|chartShowDates);


LClose = Close;

// Calculations for Buy and Sell Signals

DC1=TimeFrameGetPrice( "C", inDaily, -1);
DC2=TimeFrameGetPrice( "C", inDaily, -2);
DH1=TimeFrameGetPrice( "H", inDaily, -1);
DH2=TimeFrameGetPrice( "H", inDaily, -2);
DL1=TimeFrameGetPrice( "L", inDaily, -1);
DL2=TimeFrameGetPrice( "L", inDaily, -2);
DO1=TimeFrameGetPrice( "O", inDaily, -1);
DO2=TimeFrameGetPrice( "O", inDaily, -2);
MaxH=Max(DH1,DH2);
MinL=Min(DL1,DL2);

Plot(MaxH,"2 Day High",colorGreen,styleLine);
Plot(MinL,"2 Day Low",colorRed,styleLine);

Plot_Range1 = (TimeNum() >= 091500 AND TimeNum()<= 153000) AND (DateNum()==LastValue(DateNum()));

mf = Param("Percentage",0.5,0.1,5,0.1);

wDay = Param("Scan Day",LastValue(Day()),1,31,1);

ORhigh = MaxH*(1-mf/100);
ORlow = MinL*(1+mf/100);

BreakOut = IIf(LClose>=ORhigh, LClose, 0);
breakDown = IIf(LClose<=ORlow, LClose, 0);

COL=IIf(BreakOut,colorGreen,IIf(breakDOWN,colorRed,Null));
Plot(C,"",COL,64);

//_SECTION_BEGIN("Volume");
Plot( Volume, _DEFAULT_NAME(), ParamColor("Color", colorLavender ), styleNoTitle | ParamStyle( "Style", styleHistogram | styleOwnScale | styleThick | styleNoLabel, maskHistogram  ), 2 );
//_SECTION_END();


//vr=ParamToggle("Plot Daily High/Low","Yes|No" ,1);
//if(VR  == 0)
//{
//Plot(FourDayHigh,"High Breakout", ParamColor("Hi Color",colorBlue));
//Plot(FourDayLow,"Low Breakout", ParamColor("Low Color",colorRed));
//Plot(ORHigh,"ORH", ParamColor("ORHi Color",colorBlue),32);
//Plot(ORLow,"ORL", ParamColor("ORLow Color",colorRed),32);
//Plot(P,"PIVOT", ParamColor("P Color",colorTan),8);
//Plot(R1,"", ParamColor("R1 Color",colorGreen),1);
//Plot(R2,"", ParamColor("R2 Color",colorGreen),1);
//Plot(S1,"", ParamColor("S1 Color",colorLightOrange),1);
//Plot(S2,"", ParamColor("S2 Color",colorLightOrange),1);
//}

//Bprice=IIf(Buy,LClose,0); //Buying Price
//Sprice=IIf(Sell,LClose,0); //Selling Price

// Output of Exploration results and Alert of Buy and Sell Signals and Plotting of breakout and breakdown levels
//AddColumn(Bprice,"Buy price");
//AddColumn(BTarget1,"BT 1");
//AddColumn(BTarget2,"BT 2");
//AddColumn(sprice,"Sell price");
//AddColumn(STarget1,"ST 1");
//AddColumn(STarget2,"ST 2");

/*AddColumn(LClose,"CMP");
AddColumn(TwoDayHigh,"New High",1.2,colorDefault,colorDefault,90);
AddColumn(TwoDayLow,"New Low",1.2,colorDefault,colorDefault,90);
AddColumn(TodayHigh,"Today High",1.2,colorDefault,colorDefault,90);
AddColumn(TodayLow,"Today Low",1.2,colorDefault,colorDefault,90);
AddColumn(P,"Pivot",1.2,colorDefault,colorDefault,90);
AddColumn(ORHigh,"OR High",1.2,colorDefault,colorDefault,90);
AddColumn(ORLow,"OR Low",1.2,colorDefault,colorDefault,90);
AddColumn(Now(format=4),"Time Now",1.2,colorDefault,colorDefault,90);
AddColumn(TimeNum(),"Time Then",1.2,colorDefault,colorDefault,90);
AddColumn(Now(format=4)-TimeNum(),"Diff",1.2,colorDefault,colorDefault,90);*/

//AlertIf(Buy,"","Buy " + Name() + " above " + FourDayHigh + ", CMP: " + C + ", SL " + Prec(P,2) + ", Targets " + Prec(BTarget1,2) +","+Prec(BTarget2,2) + "," +Prec(BTarget3,2), 1);
//AlertIf(Sell,"","Sell " + Name() + " below " + FourDayLow + ", CMP: " + C + ", SL " + Prec(P,2) + ", Targets " + Prec(STarget1,2) +","+Prec(STarget2,2) + "," +Prec(STarget3,2), 2);

//Title = EncodeColor(colorBlue)+ "Two Day BreakOut( "+mf+")%" + " - " +  Name() + " - " + EncodeColor(colorRed)+ Interval(2) + EncodeColor(colorBlue) +
// "  - " + Date() +" - "+"\n" +EncodeColor(colorGreen) +"Op-"+O+"  "+"Hi-"+H+"  "+"Lo-"+L+"  "+
//"Cl-"+C+"  "+ "Vol= "+ WriteVal(V)+"\n"+EncodeColor(colorDarkRed) +"-----------------------------system says----------------------------------------"+"\n";
//EncodeColor(colorDarkGreen)+
//WriteIf (Buy , "GO LONG / cover  at ="+C+"\n"+EncodeColor(colorRed) +"Stop- toadys low ="+DL+"\n"+
//EncodeColor(colorDarkRed));
//WriteIf (Short ,"EXIT LONG / short  at "+C+"\n"+EncodeColor(colorRed) +"Stop-todays high "+DH+"\n");
_SECTION_END();


//**************************************************************************************************************************************//

_SECTION_BEGIN("ATR Intraday Swing Trade");

period = Param("Period", 20, 1, 240, 1);
mult = Param("Multiplier",3.3 , 1, 240, 0.1);


// ATR Trading for 5 Minutes //

TimeFrameSet(in5Minute);

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]);
}

}

TimeFrameRestore();


//////////////////////////////////////////////////////////////////////////////////////////////////////////////////

_SECTION_BEGIN("default");
TimeFrameSet(inHourly);
HaClose =EMA((O+H+L+C)/4,6); 
HaOpen = AMA( Ref( HaClose, -1 ), 0.5 ); 
HaHigh = Max( H, Max( HaClose, HaOpen ) ); 
HaLow = Min( L, Min( HaClose, HaOpen ) );
TimeFrameRestore();
HAopenf=TimeFrameExpand( Haopen, inHourly);  
Haclosef=TimeFrameExpand( Haclose, inHourly);
HaHighf=TimeFrameExpand( Hahigh, inHourly);
HaLowf=TimeFrameExpand( Halow, inHourly);
Color = IIf( Haopenf > Haclosef,4, IIf( Haopenf == Haclosef,colorYellow, 6));
_SECTION_END();

_SECTION_BEGIN("4");
Compress4= Param("Compression4",6,1,12,1); 
TimeFrameSet(Compress4* Interval());
HaClose4 =EMA((O+H+L+C)/4,6); 
HaOpen4 = AMA( Ref( HaClose4, -1 ), 0.5 ); 
HaHigh4 = Max( H, Max( HaClose4, HaOpen4 ) ); 
HaLow4 = Min( L, Min( HaClose4, HaOpen4 ) ); 
TimeFrameRestore();
HAopen4f=TimeFrameExpand( Haopen4, Compress4* Interval());  
Haclose4f=TimeFrameExpand( Haclose4, Compress4* Interval());
HaHigh4f=TimeFrameExpand( Hahigh4, Compress4* Interval());
HaLow4f=TimeFrameExpand( Halow4, Compress4* Interval());
Color4 = IIf( Haopen4f > Haclose4f,4, IIf( Haopen4f == Haclose4f ,colorYellow, 6));
_SECTION_END();

_SECTION_BEGIN("5minute");
TimeFrameSet(in5Minute);
HaClose5 =EMA((O+H+L+C)/4,6); 
HaOpen5 = AMA( Ref( HaClose5, -1 ), 0.5 ); 
HaHigh5 = Max( H, Max( HaClose5, HaOpen5 ) ); 
HaLow5 = Min( L, Min( HaClose5, HaOpen5 ) );
TimeFrameRestore();
HAopen5f=TimeFrameExpand( Haopen5, in5Minute);  
Haclose5f=TimeFrameExpand( Haclose5, in5Minute);
HaHigh5f=TimeFrameExpand( Hahigh5, in5Minute);
HaLow5f=TimeFrameExpand( Halow5, in5Minute);
Color5 = IIf( Haopen5f > Haclose5f,colorRed, IIf( Haopen5f == Haclose5f,colorYellow, colorGreen));
_SECTION_END();

Plot(VS, "Stop Loss",IIf(trend==1,10,11 ),styleThick);

mkol = IIf( Trend==1, colorGreen, colorRed);

Plot(2,"", Color5, styleOwnScale|styleArea|styleNoLabel, -0.5, 100);
Plot(2,"", Color4, styleHistogram+styleThick|styleOwnScale|styleNoLabel, -2, 100 );
Plot(2,"", Color,  styleOwnScale|styleArea|styleNoLabel, -4, 100 );

//Title = EncodeColor(colorBlue)+"Shiv Intraday ATR Trading System :-"+"  "+ Name() + "  "+ EncodeColor(colorRed)+ Interval(2) + EncodeColor(colorBlue) + 
// " - " + Date() + "    MACD : "+ MACD() + ",   Signal : " + Signal() + "Current : " + LongExit +"," + ShortExit +"\n" +
//"Buy : "+ValueWhen(Buy,Close,1)+"   Sell : "+ValueWhen(Short,Close,1) +"  Signals : " + LongPrice + "  " + ShrtPrice + 
//EncodeColor(colorRed)+
//WriteIf (Buy , " GO LONG at "+C+"  ","")+
//WriteIf (Sell , " EXIT LONG / Reverse Signal at "+C+"  ","")+
//WriteIf (Short , " GO SHORT at "+C+"  ","")+
//WriteIf (Cover , " EXIT SHORT / Reverse Signal at "+C+"  ","")+"\n"+EncodeColor(colorBlue)+
//WriteIf(Buy , "Total Profit/Loss for the Last Trade Rs."+(C-BuyPrice)+"","")+
//WriteIf(Short  , "Total Profit/Loss for the Last trade Rs."+(ShortPrice-C)+"","")+
//WriteIf(Long AND NOT Buy, "Trade : Long - Entry price Rs."+(BuyPrice),"")+
//WriteIf(shrt AND NOT Short, "Trade : Short - Entry price Rs."+(ShortPrice),"")+"\n"+ 
//WriteIf(Long AND NOT Buy, "Current Profit/Loss Rs."+(C-BuyPrice)+"","")+
//WriteIf(Shrt AND NOT Short, "Current Profit/Loss Rs."+(ShortPrice-C)+"","");
_SECTION_END();

/////////////////////////////////           Trend Indicator on Background  ////////////////////////////////////////

function ZeroLagTEMA( array, period )
{
 TMA1 = TEMA( array, period );
 TMA2 = TEMA( TMA1, period );
 Diff = TMA1 - TMA2;
 return TMA1 + Diff ;
}
 
/////////////////////
// Heikin-Ashi code
HaClose = (O+H+L+C)/4;
HaOpen = AMA( Ref( HaClose, -1 ), 0.5 );
 
avp = Param("Up TEMA avg", 34, 1, 100 );
avpdn = Param("Dn TEMA avg", 34, 1, 100 );
 
// Velvoort is using not original, but modified Heikin-Ashi close
HaClose = ( HaClose + HaOpen + Max( H, HaOpen ) + Min( L, HaOpen ) )/4;
 
// up average
ZlHa = ZeroLagTEMA( HaClose, avp );
ZlCl = ZeroLagTEMA( ( H + L ) / 2, avp );
ZlDif = ZlCl - ZlHa;
 
keep1 = Hold( HaClose >= HaOpen, 2 );
keep2 = ZlDif >= 0;
keeping = keep1 OR keep2;
keepall = keeping OR ( Ref( keeping, -1 ) AND ( C > O ) OR C >= Ref( C, -1 ) );
keep3 = abs( C - O ) < ( H - L ) * 0.35 AND H >= Ref( L, -1 );
utr = keepall OR ( Ref( keepall, -1 ) AND keep3 );
 
// dn average
ZlHa = ZeroLagTEMA( HaClose, avpdn );
ZlCl = ZeroLagTEMA( ( H + L ) / 2, avpdn );
ZlDif = ZlCl - ZlHa;
 
keep1 = Hold( HaClose < HaOpen, 2 );
keep2 = ZlDif < 0;
keeping = keep1 OR keep2;
keepall = keeping OR ( Ref( keeping, -1 ) AND ( C < O ) OR C < Ref( C, -1 ) );
keep3 = abs( C - O ) < ( H - L ) * 0.35 AND L <= Ref( H, -1 );
dtr = keepall OR ( Ref( keepall, -1 ) AND keep3 );
 
upw = dtr == 0 AND Ref( dtr, -1 ) AND utr;
dnw = utr == 0 AND Ref( utr, -1 ) AND dtr;
 
Haco = Flip( upw, dnw );

if( ParamToggle("Trend Indicator in Background ?", "Yes / No")) 
{ 
if( ParamToggle("Chart Type", "Price with color back|HACO wave" ) )
{
 Plot( Haco, "Haco", colorRed );
}
else
{
 //Plot( C, "Close", colorBlack,
   //    ParamStyle( "Style", styleCandle, maskPrice ) );
 Plot( 1, "", IIf( Haco , colorPaleGreen, colorRose ),styleArea | styleOwnScale, 0, 1 );
}
}
else
{
Plot( C, "Close", colorBlack,ParamStyle( "Style", styleCandle, maskPrice ) );
}

// ****************************************************       Buy & Sell           *************************************

Buy = (LClose >= MaxH) AND (LClose > VS) AND LastValue(Day())==wDay; 
Short =(LClose <= MinL) AND (LClose < VS) AND LastValue(Day())==wDay; 

// Calculation of Stop Loss and Exit points
BuyPrice=ValueWhen(Buy,C,1);
ShortPrice=ValueWhen(Short,C,1);
BuyExit=BuyPrice*(1-1/100);
ShortExit=ShortPrice*(1+1/100);

Sell = (LClose < VS);
Cover = (LClose > VS);

Buy=ExRem(Buy, Sell);
Sell=ExRem(Sell, Buy);
Short=ExRem(Short,Cover);
Cover=ExRem(Cover,Short);

PlotShapes(Buy*shapeUpArrow,5,0,L,-15);
PlotShapes(Sell*shapeHollowDownArrow,5,0,H,-15);
PlotShapes(Short*shapeDownArrow,4,0,H,-15);
PlotShapes(Cover*shapeHollowUpArrow,4,0,L,-15);

Filter=Buy OR Short OR Sell OR Cover;
AddColumn(IIf(Buy,66,43),"New Trade Bar", formatChar, colorWhite, bkcolor =IIf(Buy, colorGreen,2));
AddColumn(IIf(Short,83,43),"New Trade Bar", formatChar, colorWhite, bkcolor =IIf(Short, colorRed,2));

1 comments

1. bishwajit

plz show the screen shot

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