probability calculator.afl

一个更精度的平滑涵数, 可用于股票交易系统.用于Amibroker 平台

//------------------------------------------------------------------------------
//
//  Formula Name:    Probability Calculator
//  Author/Uploader: Anthony Faragasso 
//  E-mail:          [e-mail]
//  Date/Time Added: 2001-09-08 15:45:03
//  Origin:          
//  Keywords:        
//  Level:           semi-advanced
//  Flags:           commentary
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=114
//  Details URL:     http://www.amibroker.com/library/detail.php?id=114
//
//------------------------------------------------------------------------------
//
//  To be used in the Guru Commentary Window. Provides Support for
//
//  Options and Derivatives. By using Probability theory, you are letting
//
//  the market find the trades for you that are likely to be
//
//  consistent winners.
//
//------------------------------------------------------------------------------

/* Probability Calculator  */
/* coded by Anthony Faragasso */


/*c1 = 625;*/         /* remove comments if manually entering price*/
c1 = c;                    /* current closing price , Install comments if manually entering price */
                     
    
dt =10;          /* days in trade , insert days till option expiration,  */                                
                     /* or days to test a range */

x =1;        /* Standard Deviation ,*/
                      /* 67 to 68 % of all outcomes */
                     /* happen between +1 and -1 standard deviation */
                     /* 90% probability = 1.2815 standard deviation, */
                    /* and 95% = 1.645  */   
          
/*vl =.25;*/               /*Remove comments and Enter */
                          /*Implied Volatitliy (ex.36.41% = .3641) which */
                           /*is a better predictor of future volatility, use decimal */
                           /*in front of percentage.*/
                                      
hv1=20;             /*Install Comments if using Implied Volatiltiy */

vl= Stdev(log(C/ref(C,-1)),hv1)*Sqrt(365);            /*Comment this line out if using Implied Volatility,*/
                                                                            /* remove comments  if   using  daily  Historical */
                                                                          /* volatility (ex.  10,20,30,60,90, day etc.  in ( hv ) line , */                                                                                       /* must be 2 days or more. */                                                                  
                                                                      

t = sqrt(dt/365);              /* Time Conversion*/



                                                
b1= exp(vl*t*x)*c1;         /* 1st Target is ...  Future Price Above Close */
b2= exp(vl*t*-x)*c1;        /* 2nd Target is...  Future Price Below Close */

                                                        
b1a = 0.31938153;
b2a = -0.3565638;
b3a = 1.78147794;
b4a = -1.821256;
b5a = 1.33027443;
p = 0.2316419;
t1= 1/(1+(p*x));

e1=exp(-x*x/2);
e2=(b1a*t1)+(b2a*(t1^2))+(b3a*(t1^3))+(b4a*(t1^4))+(b5a*(t1^5));


pr = (1-(1-0.398942*e1*e2))*100;   /* 1st Percentage is  Probability of finishing above upper target*/
                                                      /* and Probability of finishing  below lower target in days selected*/
                                                      /* and current volatility selected remaining*/
                         
pr2 = (1-0.398942*e1*e2)*100;      /*  2nd Percentage is Probability of finishing below upper target*/
                                                      /*  and Probability of finishing  above lower target in days selected*/
                                                      /* and current volatility selected remaining   */

TU = b1 ;                                       /* Target up */

TD = b2;                                        /* Target Down */


/* Guru Commentary */

"PROBABILITY CALCULATOR : ";
"";   
"Market being Evaluated =    " +""+name() +"   Date:   " +Date();
"";
"Asset Price : (Closing Price ) .............................. "  +writeval(c1,format=1.2);
"";
"Market Volatility :................................................  " +writeval(vl*100,format=1.2)+"%";
"";
"Number of Days :..............................................   "+writeval (dt,fromat=1);
"";
"Upper Target :..................................................   "+ writeval( TU,format=1.2) ;
"";
"Lower Target :..................................................   "+writeval(TD,format=1.2);
"";
"Probability of Finishing Above Upper Target :....  " +writeval(pr,format = 1.2)+" %"  ;  
"or Below the Lower Target. ( If one Target Selected ) ";   
"";
"Probability of Finishing Below Upper Target :.....  "+writeval(pr2,format = 1.2)+" % ";
"or  Above the Lower Target. ( If one Target Selected ) ";  
"";
"--------------------IF TWO TARGETS  ARE SELECTED---------------------";
"";
"Probability of Finishing Above Upper Target :....  " +writeval(pr,format = 1.2)+" %"  ;  
 ""; 
"Probability of Finishing Below Lower Target :.....  " +writeval(pr,format = 1.2)+" %"  ;  
"";
"Probability of Finishing between an Upper\nand Lower Target : . ............................................" +writeval(pr2-pr,format = 1.2)+" % ";
"(Trading Range , If you Bracket the Market ) ";
"";
"Standard Deviation :............................................."+writeval(x,format=1.4);
"( Default is +1 , -1 Standard Deviation , 68% of all\nMarket Outcome happens between +1, -1)";
"";
"Probability Percentages  to use in Standard Deviation ( X ) Value . ";
"";
" 1.645 = 95% ... 1.2815 = 90% ...  1 = 84.13%  ,  .8417 = 80%";
"";
"  .6745 = 75%  ,   .5245 = 70%  ,  .3854 = 65%  ,   .2534 = 60% ";
"";
"  .1256 = 55%  ,   .0251 = 51%  ,  .0001 = 50% ";