ed seykota's tsp support and resistance.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:    Ed Seykota's TSP: Support and Resistance
//  Author/Uploader: Mark H. 
//  E-mail:          com
//  Date/Time Added: 2006-10-08 01:48:31
//  Origin:          
//  Keywords:        
//  Level:           semi-advanced
//  Flags:           system,exploration,indicator
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=735
//  Details URL:     http://www.amibroker.com/library/detail.php?id=735
//
//------------------------------------------------------------------------------
//
//  This is an implementation of Seykota's TSP S-R system.
//
//  See http://www.seykota.com/tribe/TSP/SR/index.htm for details.
//
//  I have tested it and got identical results (well there is 2-cent difference
//  due to rounding).
//
//------------------------------------------------------------------------------

/*==============================================================================
	Global Settings
==============================================================================*/
SetOption("InitialEquity", 1000000);
SetOption("NoDefaultColumns", True );
SetOption("CommissionMode", 2); //$$ per trade
SetOption("CommissionAmount", 0);
SetOption("MarginRequirement", 10);
SetOption("UsePrevBarEquityForPosSizing", True);
SetOption("UseCustomBacktestProc", True );

SetTradeDelays( 0, 0, 0, 0 );

/*==============================================================================
	User-defined Functions
==============================================================================*/
function Support(p)
{
	sup = LLV(low, p);
	sup[0] = low[0];
	for (i = 1; i < p; i++)
	{
		if(low[i] < sup[i-1]) sup[i] = low[i];
		else sup[i] = sup[i-1];
	}	
	return sup;
}

function Resistance(p)
{
	res = HHV(high, p);
	res[0] = high[0];
	for (i = 1; i < p; i++)
	{
		if(high[i] > res[i-1]) res[i] = high[i];
	  	else res[i] = res[i-1];
	}
	return res;
}	
	
function OptimizeNot(a1, a2, a3, a4, a5)
{
	return a2;
}

/*==============================================================================
	Entry and Exit Rules
==============================================================================*/
fast = Optimize("Fast", 20, 5, 105, 5);
slow = Optimize("Slow", 140, 20, 420, 20);
FastRes = Resistance(fast);
FastSup = Support(fast);
SlowRes = Resistance(slow);
SlowSup = Support(slow);
heat = 0.05;

// determine longer term trend
// Note: could have problem if current bar is outside of all previous bars
trend[0] = 0;
for(bar= 1; bar < BarCount; bar++)
{
  if(high[bar] > SlowRes[bar-1]) trend[bar] = 1;
  else if(low[bar] < SlowSup[bar-1]) trend[bar] = -1;
  else trend[bar] = trend[bar-1];
}

LastPosition = 0; // 1 - long; -1 - short
PositionRiskStop = 0;

Buy = Sell = Short = Cover = 0;
for(bar = 5; bar < BarCount-1; bar++)
{
  	// Exit position  by protection stop
    if(LastPosition == 1)
    {
		// Sell at stop
		if(PositionRiskStop > low[bar] )   // skip if the signal price only touch (=) the low
		{
		// We just calculate the exact price to simulate Ed's skid     
			stopPrice = PositionRiskStop;
			ff = min(open[bar], stopPrice) - low[bar];
			stopPrice = min(open[bar], stopPrice) - 0.5*ff;
	  		Sell[bar] = 1;
	  		SellPrice[bar] = stopPrice;
			TradePrice[bar] = stopPrice;
			LastPosition = 0;
		}
    }
    else if(LastPosition == -1)
    {
		// Cover at stop
		if(PositionRiskStop < high[bar])  // skip if the signal price only touch (=) the high
		{
			stopPrice = PositionRiskStop;
			ff = high[bar] - max(open[bar], stopPrice);
			stopPrice = max(open[bar], stopPrice) + 0.5*ff;
	  		Cover[bar] = 1;
	  		CoverPrice[bar] = stopPrice;
			TradePrice[bar] = stopPrice;
			LastPosition = 0;
		}
    }

  // move the protection stop
  if(LastPosition == 1)
  {
      PositionRiskStop = FastSup[bar];
  }
  else if(LastPosition == -1)
  {
     PositionRiskStop = FastRes[bar];
  }
  else { // Enter position only when last position has been closed	  
	  if(trend[bar] == 1)
	  {
		// buy at stop	    
	    if( fastRes[bar] < high[bar+1]) 
	    {
		    ff = high[bar+1] - max(open[bar+1], fastRes[bar]);
		    stopPrice = max(open[bar+1], FastRes[bar]) + 0.5*ff;
		    f = heat/(FastRes[bar] - FastSup[bar]);
			Buy[bar+1] = 1;
			BuyPrice[bar+1] = stopPrice;
			PositionSize[bar+1] = f; //this value is passed to CBT for position sizing
			LastPosition  = 1;
			PositionRiskStop = FastSup[bar+1];
			TradePrice[bar+1] = stopPrice;
			bar ++; // skip one bar since next bar has been handled
	    }
	  }
	  else if(trend[bar] == -1)
	  {	  
	  	// short at stop
	    if( fastSup[bar] > low[bar+1]) 
	    {
			ff = min(open[bar+1], FastSup[bar]) - low[bar+1];
			stopPrice = min(open[bar+1], FastSup[bar]) - 0.5*ff;
			f = heat/(FastRes[bar] - FastSup[bar]);
	    	Short[bar+1] = 1;
			ShortPrice[bar+1] = stopPrice;
			PositionSize[bar+1] = f; //this value is passed to CBT for position sizing
			LastPosition = -1;
	    	PositionRiskStop = FastRes[bar+1];
			TradePrice[bar+1] = stopPrice;
			bar ++; // skip one bar since next bar has been handled
	    }
	  }
  }
}

// close final day for accounting purpose
bar = Barcount-1;
if(LastPosition == 1) { Sell[bar] = 1; SellPrice[bar] = (low[bar]+close[bar])/2; }
else if(LastPosition == -1) { Cover[bar] = 1; CoverPrice[bar] = (high[bar]+close[bar])/2; }

/*==============================================================================
	Automatic Analysis Action Options
==============================================================================*/
AAAction = Status("action");
if(AAAction == actionIndicator)
{
	Plot(FastRes, "FastRes", colorRed);
	Plot(SlowRes, "SlowRes", colorPink);
	Plot(FastSup, "FastSup", colorGreen);
	Plot(SlowSup, "SlowSup", colorBlue);
}
else if(AAAction == actionExplore)
{
	Filter = 1;	
	AddColumn( DateTime(), "Date", formatDateTime ); 
	AddColumn(O, "Open");
	AddColumn(H, "High");
	AddColumn(L, "Low");
	AddColumn(C, "Close");
	AddColumn(FastRes, "FastRes");
	AddColumn(SlowRes, "SlowRes");
	AddColumn(FastSup, "FastSup");
	AddColumn(SlowSup, "SlowSup");
	AddColumn(Trend, "Trend");
	AddColumn(IIf(Buy, Asc("B"), IIf(Sell, Asc("S"), IIf(Short, Asc("H"), IIf(Cover, Asc("C"), 0)))) , "Signal", formatChar);
	AddColumn(TradePrice, "TradePrice");
}
else if(AAAction == actionPortfolio)
{
	bo = GetBacktesterObject();
	bo.PreProcess(); // Initialize backtester
	for( bar=0; bar < BarCount; bar++)
	{
		eq =  bo.Equity;
		for ( sig=bo.GetFirstSignal(bar); sig; sig=bo.GetNextSignal(bar) )
		{
			if (sig.isExit())
			{
            	if(bo.ExitTrade(bar,sig.symbol,sig.Price))
				{ 
					_TRACE("EXIT: " + sig.symbol + "@" + sig.Price);
				}
			}
		}

        // update stats after closing trades
     	bo.UpdateStats(bar, 1 );
       
     	for ( sig=bo.GetFirstSignal(bar); sig; sig=bo.GetNextSignal(bar)) 
     	{ 
			if (sig.isEntry()) 
			{ 
				// sig.PosSize is passed from Phase I.
				shares = round((eq*sig.PosSize)/100)*100;
				ps = shares * sig.Price;

				if(bo.EnterTrade(bar, sig.symbol, sig.IsLong, sig.Price, ps, sig.PosScore,sig.RoundLotSize)) 
				{
					_TRACE("ENTRY: " + sig.symbol + " @" + sig.Price + " PosScore=" + sig.PosScore + " PosSize=" + ps);
            	}
			}
		}

		bo.UpdateStats(bar,1); // MAE/MFE is updated when timeinbar is set to 1.
		bo.UpdateStats(bar,2);
   	}
	bo.PostProcess(); // Finalize backtester
}
/*==============================================================================
	End of Formula
==============================================================================*/