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Volume Breakout Trading System for Amibroker (AFL)

Rating:
3 / 5 (Votes 2)
Tags:
volume breakout, simple, banknifty, amibroker

This is a very simple strategy with no fancy indicators, however the profitability is quite impressive. This works on majority of liquid and high beta stocks that I have tested. I have back-tested it on Banknifty futures traded at NSE and the compounded annual return is around 23% for the last 11 years backtest period.

Read more about this strategy here.

Screenshots

Indicator / Formula

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//------------------------------------------------------
//
//  Formula Name:    Volume Breakout Trading System
//  Author/Uploader: Trading Tuitions
//  E-mail:          support@tradingtuitions.com
//  Website:         www.tradingtuitions.com
//------------------------------------------------------

_SECTION_BEGIN("Volume Breakout Trading System");

SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C ));

//Initial Parameters

SetTradeDelays( 1, 1, 1, 1 );
SetOption( "InitialEquity", 200000);
SetOption("FuturesMode" ,True);
SetOption("MinShares",1);
SetOption("CommissionMode",2);
SetOption("CommissionAmount",100);
SetOption("AccountMargin",10);
SetOption("RefreshWhenCompleted",True);
SetPositionSize(120,spsShares);
SetOption( "AllowPositionShrinking", False );
BuyPrice=Open;
SellPrice=Open;
ShortPrice=Open;
CoverPrice=Open;

//Buy-Sell Logic

range=High-Low;

VolLookback=Param("VolLookback",50,10,100,10);
MALookback=Param("MALookback",20,10,100,10);

Buy = Volume>=Ref(Volume,-1)*1.5 AND Close>MA(Close,MALookback) AND Volume>MA(Volume,VolLookback) ;
Short =Volume>=Ref(Volume,-1)*1.5 AND Close<MA(Close,MALookback) AND Volume>MA(Volume,VolLookback);
Cover = Buy; 
Sell=Short;

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

printf("\nBuy : " + Buy );  
printf("\nSell : " + Sell );  
printf("\nShort : " + Short );  
printf("\nCover : " + Cover );  
printf("\nVolume : " + Volume );  	

StopLoss=Param("SL",3,1,10,1);
Target=Param("Target",30,5,40,5);
ApplyStop(Type=0,Mode=1,Amount=StopLoss);
ApplyStop(Type=1,Mode=1,Amount=Target);


Plot( Close, "Price", colorWhite, styleCandle );
Plot(MA(Close,MALookback),"",colorYellow);


/* Plot Buy and Sell Signal Arrows */
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(Cover, shapeSquare, shapeNone),colorGreen, 0, L, Offset=-40);
PlotShapes(IIf(Cover, shapeSquare, shapeNone),colorLime, 0,L, Offset=-50);
PlotShapes(IIf(Cover, 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);
PlotShapes(IIf(Short, shapeSquare, shapeNone),colorRed, 0, H, Offset=40);
PlotShapes(IIf(Short, shapeSquare, shapeNone),colorOrange, 0,H, Offset=50);
PlotShapes(IIf(Short, shapeDownArrow, shapeNone),colorWhite, 0,H, Offset=-45);


_SECTION_END();

1 comments

1. MotaSheth

hi,
in which time frame, this system works best on nifty / bank nifty ?

thanks

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