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Augubhai's ORB system v1.1 for Amibroker (AFL)

Rating:
2 / 5 (Votes 4)
Tags:
trading system, amibroker, optimize

Simple Opening Range Breakout formula. Go long/short on touch of high/low of the opening range. Exit end of day.

Screenshots

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Indicator / Formula

Copy & Paste Friendly
function ParamOptimize( pname, defaultval, minv, maxv, step )
{
return Optimize( pname,
Param( pname, defaultval, minv, maxv, step ),
minv, maxv, step );
}




_SECTION_BEGIN("Augubhai's ORB System v1.1"); 

//--Intraday time frame 
TimeFrameSet(in5Minute); //If reseting, check formula for TimeFrameInMinutes 
TimeFrameInMinutes = 5;

//--Define all params 
EntryBufferPct = ParamOptimize("Entry Buffer %", 0, 0, 2, 0.1);
SLPct = ParamOptimize("SL %", 1.4, 0.1, 10, 0.1);
TargetPct = ParamOptimize("Target %", 0, 0, 20, 0.5);
MaxTarget = 100;
TargetPct = IIf(TargetPct == 0, MaxTarget, TargetPct); 
EntryTimeStart = ParamOptimize("Entry Time Start (Minutes)", 5, 5, 120, 5);
EntryBarStart = floor(EntryTimeStart/TimeFrameInMinutes) - 1;
EntryTimeEnd = ParamOptimize("Entry Time End (Minutes)", 25, 10, 180, 5);
EntryBarEnd = floor(EntryTimeEnd/TimeFrameInMinutes) - 1;
EntryBarEnd = IIf(EntryBarEnd < EntryBarStart, EntryBarStart, EntryBarEnd);  

//--Plot Price Candle Chart
SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
Plot( C, "Close", colorBlack, styleNoTitle | GetPriceStyle() ); 

//--New Day & Time. End Day & Time . End Day & Time is null till end of day 1  
NewDay = (Day()!= Ref(Day(), -1)) OR BarIndex() == 0; 
printf("\n NewDay  : " + NewDay ); 
EndDay = (Day()!= Ref(Day(), 1)); 
printf("\n EndDay  : " + EndDay );
FirstBarTime = ValueWhen(NewDay,TimeNum(),1); 
EndTime = ValueWhen(EndDay,TimeNum(),1);
SquareOffTime = EndTime;

//--Calculate ORB, and SL
HighestOfDay = HighestSince(NewDay,H,1); 
LowestOfDay = LowestSince(NewDay,L,1); 
BarsSinceNewDay = BarsSince(NewDay);
ORBH = ValueWhen(BarsSinceNewDay<=EntryBarStart,HighestOfDay ,1) * (1 + (EntryBufferPct/100)); 
ORBL = ValueWhen(BarsSinceNewDay<=EntryBarStart,LowestOfDay ,1) * (1 - (EntryBufferPct/100)); 
ORBHSL = ORBH * (1-(SLPct/100)); 
//ORBHSL = ORBL; 
ORBLSL = ORBL * (1+(SLPct/100));
//ORBLSL = ORBH; 
ORBHTarget = ORBH * (1+(TargetPct/100));
ORBLTarget = ORBL * (1-(TargetPct/100));

//--Find Buy, Sell, Short & Cover Signals
BuySignal = (H >= ORBH) AND (BarsSinceNewDay  > EntryBarStart); 
printf("\nBuySignal : " + BuySignal ); 
ShortSignal = (L <= ORBL) AND (BarsSinceNewDay  > EntryBarStart) ; 
printf("\nShortSignal  : " + ShortSignal ); 
BarsSinceLastBuySignal = (BarsSince(Ref(BuySignal,-1)) + 1);
BarsSinceLastShortSignal = (BarsSince(Ref(ShortSignal,-1)) + 1);
BarsSinceLastEntrySignal = Min(BarsSinceLastBuySignal, BarsSinceLastShortSignal);
BothEntrySignalsNull = IsNull(BarsSinceLastBuySignal) AND IsNull(BarsSinceLastShortSignal); //true for start of Day 1
printf("\n\nBarsSinceNewDay : " + BarsSinceNewDay ); 
printf("\n BarsSinceLastEntrySignal : " + BarsSinceLastEntrySignal); 
Buy = (H >= ORBH) AND (BarsSinceNewDay  > EntryBarStart) AND (BarsSinceNewDay <= EntryBarEnd) AND ((BarsSinceNewDay < BarsSinceLastEntrySignal) OR BothEntrySignalsNull ); 
Sell = (L <= ORBHSL) OR (H >= ORBHTarget) OR (TimeNum() > SquareOffTime-1) AND (BarsSinceNewDay > BarsSinceLastBuySignal); 
Short = (L <= ORBL) AND (BarsSinceNewDay  > EntryBarStart) AND (BarsSinceNewDay <= EntryBarEnd) AND ((BarsSinceNewDay < BarsSinceLastEntrySignal) OR BothEntrySignalsNull ); 
Cover = (H >= ORBLSL) OR (L <= ORBLTarget) OR (TimeNum() > SquareOffTime-1) AND (BarsSinceNewDay > BarsSinceLastShortSignal); 
printf("\nBuy : " + Buy ); 
printf("\nSell : " + Sell ); 
printf("\nShort : " + Short ); 
printf("\nCover : " + Cover ); 

//--Handle if ORB broken both sides on same bar
//--And remove duplicate Sell & Cover signals, since ExRem did not work as needed when Buy & Sell on same bar
orbBothSides = IIf(Buy AND Short, 1, 0); 
Buy = IIf(orbBothSides AND C <= O, 0, Buy); 
Short = IIf(orbBothSides AND C > O, 0, Short); 
Sell = IIf(orbBothSides AND C > O AND (L <= ORBHSL), 1, Sell); 
Sell = IIf((BarsSince(Buy) < (BarsSince(Ref(Sell,-1))+1)) OR (BarsSince(Buy) AND IsNull(BarsSince(Ref(Sell,-1)))),Sell,0);
Cover = IIf(orbBothSides AND C <= O AND (H >= ORBLSL), 1, Cover); 
Cover = IIf((BarsSince(Short) < (BarsSince(Ref(Cover,-1))+1)) OR (BarsSince(Short) AND IsNull(BarsSince(Ref(Cover,-1)))),Cover,0);
printf("\n\norbBothSides : " + orbBothSides); 
printf("\nBuy : " + Buy ); 
printf("\nSell : " + Sell ); 
printf("\nShort : " + Short ); 
printf("\nCover : " + Cover ); 

//--Special Condition for 18 & 19 May 2009 for the Indian Market
Buy =IIf(DateNum()==1090518 OR (DateNum()==1090519 AND NewDay),0,Buy );
Sell =IIf(DateNum()==1090518 OR (DateNum()==1090519 AND NewDay),0,Sell );
Short =IIf(DateNum()==1090518 OR (DateNum()==1090519 AND NewDay),0,Short );
Cover =IIf(DateNum()==1090518 OR (DateNum()==1090519 AND NewDay),0,Cover );

//--Set prices
BuyPrice = IIf(Buy, ORBH, Null); 
SellPrice = IIf(Sell, IIf(H >= ORBHTarget, ORBHTarget, Max(ORBHSL, L)), Null); 
ShortPrice = IIf(Short, ORBL, Null); 
CoverPrice = IIf(Cover, IIf(L <= ORBLTarget, ORBLTarget, Min(ORBLSL, H)), Null); 

//--Plot ORB, and SL 
Plot(ORBHSL,"",colorRed,styleDashed); 
Plot(ORBLSL,"",colorRed,styleDashed); 
Plot(IIf(TargetPct == MaxTarget, Null, ORBHTarget),"",colorGreen,styleDashed);
Plot(IIf(TargetPct == MaxTarget, Null, ORBLTarget),"",colorGreen,styleDashed);
PlotOHLC( ORBL, ORBH, ORBL, ORBH, "", colorYellow, styleCloud); 
 
//--Plot Signals
shape1 = Buy * shapeUpArrow + Sell * shapeDownArrow; 
PlotShapes( shape1, IIf( Buy, colorGreen, colorGreen), 0, IIf( Buy, Low, High ) ); 
shape2 = Cover * shapeUpArrow + Short * shapeDownArrow; 
PlotShapes( shape2, IIf( Cover, colorRed, colorRed), 0, IIf( Cover, Low, High ) ); 
GraphXSpace = 5; 

//--Restore time frame 
TimeFrameRestore(); 
_SECTION_END(); 

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