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Center of Gravity Oscillator for Amibroker (AFL)

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

Trading system based on John Ehlers’ Center of Gravity Oscillator.
Cybernetic Analysis for Stocks and Futures, Wiley, 2004.

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Indicator / Formula

Copy & Paste Friendly
SetTradeDelays(0,0,0,0);
BuyPrice = C;
SellPrice = C;
SetBarsRequired(200, 0);

function CGOscillator(Price, Length)
{
	Result = 0;
	for (i=length; i< BarCount; i++)
	{
		Num = 0;
		Denom = 0;
		for (j=0; j<Length; j++)
		{
			Num = Num + (1 + j) * Price[i-j];
			Denom = Denom + Price[i-j];
		}
		if (Denom != 0) Result[i]
				= 100.0 * ((-Num / Denom) + (Length + 1)/2);
}
return Result;
}

Price = (H + L) / 2;
CGOLength = Param("CGOLength", 13, 1, 250, 10);
CGO = CGOscillator(Price, CGOLength);
SmLength = Param("SmLength", 2, 1, 20, 2);
CGOSmoothed = DEMA(CGO,SmLength);

Buy = Cross(CGO,CGOSmoothed);

HoldDays = Param("HoldDays",6,1,10,1);

Sell = Cross(CGOSmoothed, CGO)
			OR (BarsSince(Buy) >= HoldDays);

Sell = ExRem (Sell,Buy);

e = Equity();
shape = Buy * shapeUpArrow + Sell * shapeDownArrow;
Plot( Close, "Price", colorBlack, styleCandle );
PlotShapes( shape, IIf( Buy, colorGreen, colorRed ),
			0, IIf( Buy, Low, High ) );
GraphXSpace = 5;

Plot(e,"Equity",colorRed,styleLine|styleOwnScale);
Plot(CGO, "CG Oscillator", colorRed,
		styleLine|styleLeftAxisScale);
Plot(CGOSmoothed, "CGO Smoothed", colorBlue,
		styleLine|styleLeftAxisScale);
//Figure 10.1 Center of Gravity

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