visualization of stoploses and profit in chart.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:    Visualization of stoploses and profit in chart
//  Author/Uploader: Marcus Davidsson 
//  E-mail:          [e-mail]
//  Date/Time Added: 2006-07-31 09:09:04
//  Origin:          
//  Keywords:        
//  Level:           basic
//  Flags:           system,exploration,indicator,commentary,function
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=660
//  Details URL:     http://www.amibroker.com/library/detail.php?id=660
//
//------------------------------------------------------------------------------
//
//  Clear visualization of stoplosses, ordinary entry/exit signals, profit and
//  closing prices in the chart !!!
//
//  Takes the analytical part of the backtesting to an entire new level in my
//  opion (reduces the importance of backtesting
//
//------------------------------------------------------------------------------

// Visualization of Buy/Sell levels, profit and exitsignals( ie stoplossses) in the chart////////////

// Takes the analytical part of the backtesting to an entire new level in my opion (reduces the importance of backtesting)!
// The code is far from complete and perfect but I dont have the energy to do more. Maybe someone
// could countineou developing the code to include for example:

// 1) an option in the parameter window, to show Buy/Sell/Cover statistics only 
// if one would place the mousepointer on each "buy shapes". ( GetCursorYPosition() GetCursorXPosition() ) 
// The display becomes quite messy if you display a Low time resolution Chart (monthly, yearly) One alternative would also to use
// the code for displaying digits based on the diffrent sell signal (shapeDigit1). Then it would be sufficient
// to display the profit/loss for each trade. 

// 2) Another drawback is the parameter hiracy. Each parameter 
// subcategories should only be able to work if the user choose Yes on the main category question. 
// Now you have to set all sub-parameters equal to zero instead of activative/deactivating the major ones. 

// 3) Some overal statistics displayed on the lefthand side of the chart
// (# of trades, # winning/lossing trades, total profit/loss etc)


//The following code works best with a black background
//would also like to take the opportunity to thank Marcin Gorzynski for his help with this one


//////////////////////////////  BASIC STRATEGY AND PLOTS ////////////////////

Buy = Cross( Close, MA(Close, 35) ); 
Short= Cross( MA(Close, 35), Close ); 
Sell=LinRegSlope( MA(Close,18), 2 )<0; 
Cover=LinRegSlope( MA(Close,18), 2 )>0; 

Plot( Close, "C", colorWhite, styleLine); 
Plot( MA(Close,100), "MA-100", colorRed, styleLine); 



// I am sceptical to if the original applystop functions (trailing etc) really works!? 
//I have therefor coded my own stop functions below.

////////////////////////////// STOP LOSS PARAMETERS ////////////////////
e = Equity(1,0);  /* Highly Important!!. "Removes all extra signals, evaluates 
						stops AND writes BACK signals to Sell/Cover arrays". As it should be!!*/

Lprofit = e - ValueWhen( Buy, e); 
Sprofit = e - ValueWhen( Short, e); 


/////////////////////////////// TRAILING PROFIT STOP////////////////////////////

TL=ParamToggle("FANCY A TRAILING STOP?" , "No|Yes",0);
TLL= ParamToggle("           DO YOU WANT TO PLOT PROFIT + CRITICAL TRAILING LINE IN GRAPH?" , "No|Yes",0);
x2=Param("           SET MAX ACCEPTED DECLINE OF PROFIT IN PERCENT ",1 ,0 ,100 ,1);
//x3=Param("           SET MAX ACCEPTED DECLINE OF PROFIT IN POINTS ",1 ,0 ,100 ,1);

////////FOR LONG POSITION PERCENT////
XXL=HighestSince( Buy==1, Lprofit, 1 ); //returns the highest profit since last buy signal. the basis for the trailing calculation. 
XXXL= XXL*(1-(x2/100)); // if trailing turned on =ok otherwise =null
ZL= ExRem( Cross(XXXL, Lprofit), Buy==1);	// Just first signal counts. highly important!!!!!!!! Also calculates critical sell levels
Sell= IIf(ZL==1 AND TL==True, 4, 0);	// return a sell signal=4 if z1=1 and TL=true (yes)

////////FOR SHORT POSITION PERCENT////
XXS=HighestSince( Short==1, Sprofit, 1 );  // same as above
XXXS= XXS*(1-(x2/100));
ZS= ExRem( Cross(XXXS, Lprofit), Short==1);
Cover= IIf(ZS==1 AND TL==True, 4, 0);	

PlotShapes( Buy* shapeUpArrow , colorGreen, 0); 
PlotShapes( Short* shapeDownArrow , colorGreen, 0);
PlotShapes( Sell* shapeDigit1 , colorRed, 0);
PlotShapes( Cover* shapeDigit2 , colorRed, 0);


if(TLL==True AND TL=True)	Plot(Lprofit,"L PROFIT",colorYellow,styleLeftAxisScale, styleLine) AND
									Plot(Sprofit,"S PROFIT",colorYellow,styleLeftAxisScale, styleLine) AND
									Plot(XXXL, "L TRAILING LEVEL",colorGreen,styleLeftAxisScale, styleLine) AND
 									Plot(XXXS, "S TRAILING LEVEL",colorGreen,styleLeftAxisScale, styleLine);


//////////ABSOLUTE PROFIT STOP////////////////////////////
ML=ParamToggle("FANCY A MAX STOP IN PERCENT?", "No|Yes",0);
x1=Param( "          SET MAX ACCEPTED LOSS PER TRADE IN PERCENT", 1, 0 ,50 ,1);
XS =ExRem(Cross (1-(x1/100),e), Buy==1);
Sell=IIf( XS==1 AND ML==True, 2, 0); 



//////////////////////////////  SETTINGS AND BASIC DEFINITIONS ////////////////////


SetOption("MaxOpenPositions", 2 ); 
PositionSize = 10000;
GraphXSpace=10;   /*"adds 10% extra space above AND below the graph line." In order to fit the extra text
						"When GraphXSpace is NOT defined in the formula then default 2% is used."*/
dist=200;
bcolor=scolor=colorBlue;


//////////////////////////////  EXIT AND ENTRY MARKERS DEFINED  ////////////////////
PlotShapes( Buy* shapeUpArrow , bcolor, 0); 
PlotShapes( Short* shapeDownArrow , scolor, 0); 

sellshape = IIf( Sell == 1, shapeSquare + shapePositionAbove, 
			  	IIf( Sell == 2, shapeSquare + shapePositionAbove, 
			  	IIf( Sell == 3, shapeSquare + shapePositionAbove, 
				IIf( Sell == 4, shapeSquare + shapePositionAbove, 
				IIf( Sell == 5, shapeSquare + shapePositionAbove,0 ))))); 

Covershape=	IIf( Cover == 1, shapeSquare, 
			  	IIf( Cover == 2, shapeSquare, 
			  	IIf( Cover == 3, shapeSquare, 
				IIf( Cover == 4, shapeSquare, 
				IIf( Cover == 5, shapeSquare,0 ))))); 

LColor= IIf(Lprofit>0, colorGreen, colorRed);
Scolor=IIf(Sprofit>0, colorGreen, colorRed);
PlotShapes( SellShape, Lcolor, 0, C);
PlotShapes( covershape, Scolor, 0, C);



//////////////////////////////  FOR LOOP FOR PLOTING ENTRY AND EXIT TEXT ////////////////////
for( i = 0; i < BarCount; i++ ) 
{ 

xx  = Sum(Buy,i ); // counting of long trades. xx will not get a higher value until a new long position is open
						// therefor if we only allow one long and one short position (Exrem() ) xx can also be used as an identification 
						//	number for the diffrent positions. 
yy  = Sum(Short,i);
	

		if( Buy[i]==1)  PlotText("LONG : " + xx[i] + "\nBuyPrice: "+ BuyPrice[ i ], i, H[ i ]-dist, colorBlack, bcolor ); 
   
				if( Sell[i]==1 ) PlotText( "LONG : " +xx[i]+ "\nREGULAR EXIT\n"+ "Sell:     "+ SellPrice[ i ]+"\nP/ L:     " 
				+Lprofit[ i ], i, H[ i ]+dist, colorBlack, Lcolor[i] ); 
				if( Sell[i]==2 ) PlotText( "LONG : " +xx[i]+ "\nMAXIMUM LOSS\n"+ "Sell:     "+ SellPrice[ i ] +"\nP/ L:     " 
				+Lprofit[ i ], i, H[ i ]+dist, colorBlack, Lcolor[i] ); 
				if( Sell[i]==3 ) PlotText( "LONG : " +xx[i]+ "\nPROFIT TARGET\n"+ "Sell:    "+ SellPrice[ i ] +"\nP/ L:     " 
				+Lprofit[ i ], i, H[ i ]+dist, colorBlack, Lcolor[i] ); 
				if( Sell[i]==4 ) PlotText( "LONG : " +xx[i]+ "\nTRAILING STOP\n"+ "Sell:    "+ SellPrice[ i ] +"\nP/ L:     " 
				+Lprofit[ i ], i, H[ i ]+dist, colorBlack, Lcolor[i] ); 
				if( Sell[i]==5 ) PlotText( "LONG ; " +xx[i]+ "\nNBAR STOP\n"+ "Sell:        "+ SellPrice[ i ] +"\nP/ L:     " 
				+Lprofit[ i ], i, H[ i ]+dist, colorBlack, Lcolor[i] ); 
		
	
		if( Short[i]==1 ) PlotText( "SHORT : "+ yy[i]+ "\nShortprice: "+ ShortPrice[ i ], i, L[ i ]-dist, colorBlack, bcolor ); 

				if( Cover[i]==1 ) PlotText( "SHORT : " +yy[i]+ "\nREGULAR EXIT\n"+ "Cover:    "+ CoverPrice[ i ]+"\nP/ L:    " 
				+Sprofit[ i ], i, H[ i ]+dist, colorBlack, Scolor[i] ); 
				if( Cover[i]==2 ) PlotText( "SHORT : " +yy[i]+ "\nMAXIMUM LOSS\n"+ "Cover:    "+ CoverPrice[ i ]+"\nP/ L:    " 
				+Sprofit[ i ], i, H[ i ]+dist, colorBlack, Scolor[i] ); 
				if( Cover[i]==3 ) PlotText( "SHORT : " +yy[i]+ "\nPROFIT TARGET\n"+ "Cover:   "+ CoverPrice[ i ]+"\nP/ L:    " 
				+Sprofit[ i ], i, H[ i ]+dist, colorBlack, Scolor[i] ); 
				if( Cover[i]==4 ) PlotText( "SHORT : " +yy[i]+ "\nTRAILING STOP\n"+ "Cover:   "+ CoverPrice[ i ]+"\nP/ L:    " 
				+Sprofit[ i ], i, H[ i ]+dist, colorBlack, Scolor[i] ); 
				if( Cover[i]==5 ) PlotText( "SHORT : " +yy[i]+ "\nNBAR STOP\n"+ "Cover:       "+ CoverPrice[ i ]+"\nP/ L:    " 
				+Sprofit[ i ], i, H[ i ]+dist, colorBlack, Scolor[i] ); 

}