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ATR/Turtle Trading System for Amibroker (AFL)
Rating:
5 / 5 (Votes 1)
Tags:
trading system, amibroker
This trading system was kindly provided by three_percent at amibroker yahoo groups and credit goes to him
It’ a trend channel finder that computes a tight channel by way of ATR. The lower the ATR, the tighter the channel. It checks for a trend that keeps on going up. Notice the half the ATR period checks. Also, it gets out if the ATR gets too big or it makes 25% for the trade. I’m just trying to find ways to improve the performance percentage wise.
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Indicator / Formula
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 | // ATR/Turtle Script by Andrew Senft//// Backtester OptionsSetOption("AllowSameBarExit", False);SetOption("MaxOpenPositions", 4);PositionSize = - 25;// Optimization numbersATRPeriod = Optimize("ATRPeriod", 15, 10, 50, 5);BuyThreshold = Optimize("BuyThreshold", .3, .1, .50, .05);BuySlope = Optimize("BuySlope", 1.08, 1.05, 1.10, .01);SellThreshold = Optimize("SellThreshold", .15, .1, .50, .05);ProfitPercent = Optimize("ProfitPercent", 25, 25, 35, 5);// Buy/Sell signals and pricesBuy = Ref(ATR(ATRPeriod), - 1) < BuyThreshold AND Ref(Close, - 1) > Ref(Close, - 1 * ATRPeriod / 2) AND Ref(Close, - 1 * ATRPeriod / 2) > Ref(Close, - 1 * ATRPeriod) AND Ref(Close, - 1) / Ref(Close, - 1 * ATRPeriod) > BuySlope AND Ref(MA(Volume, 20), - 1) > 3000 AND// 300,000 volume or more Ref(Close, - 1) >= 2; // stocks over $2BuyPrice = Open; BeginATR = Ref(ValueWhen(Buy, ATR(ATRPeriod), 1), - 1);FilterBeginATR = ValueWhen(Buy, ATR(ATRPeriod), 1);Sell = Ref(ATR(ATRPeriod), - 1) > BeginATR + SellThreshold;SellPrice = Open;Buy = ExRem(Buy, Sell);Sell = ExRem(Sell, Buy);PositionScore = 100-Ref(ATR(ATRPeriod), - 1);ApplyStop(stopTypeProfit, stopModePercent, ProfitPercent, True, 0); |
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Is this chart supposed to show any graph – or is it only for scan? It generates very few signals in scan.
Yeah its only a trading system.
This gives blank screen.. no bars or chart.
it’s scanning your data base for buy candidates but gives only very few results. don’t expect daily picks – even with a data base of more than 5.000 stocks it’s not finding a lot of buying opportunities. ATR Turtle picks mostly cheap stocks or penny stocks, so be aware of some trading risks.
Komunitas Modified for Amibroker (AFL)