volatility breakout with bollinger bands.afl

来自「一个更精度的平滑涵数, 可用于股票交易系统.用于Amibroker 平台」· AFL 代码 · 共 36 行

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//
//  Formula Name:    Volatility Breakout with Bollinger Bands
//  Author/Uploader: Joachim Feseck 
//  E-mail:          joachimfeseckqweb.de
//  Date/Time Added: 2003-01-19 07:49:55
//  Origin:          
//  Keywords:        
//  Level:           medium
//  Flags:           system,exploration
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=256
//  Details URL:     http://www.amibroker.com/library/detail.php?id=256
//
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//
//  This Tradingsystem gives buy and short signals when after Bollinger Bands
//  got very narrow they spread out and the Close touches the band (top or
//  bottom). Additionally the MFI has to confirm this volatility breakout. But
//  please be carefull because some stock suddenly change direction and in this
//  case the really change! For more information please read "Bollinger on
//  Bollinger Bands".
//
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Band= (BBandTop( C, 20, 2 ) - BBandBot( C, 20, 2)) / MA(Close, 20 ) * 100;
B= ((Close - BBandBot( Close, 20, 2 )) / (BBandTop( Close, 20, 2 ) - BBandBot( Close, 20, 2 ))) * 100;

Buy = band < 15 AND b > 95 AND MFI(10) > 60;
Sell = Cross(Close,SAR(0.01,0.2));
Short = band < 15 AND b < 5 AND MFI(10) < 40;
Cover = Cross(SAR(0.01,0.2), Close);

Filter = (band < 15 AND b > 95 AND MFI(10) > 60)  OR (band < 15 AND b < 5 AND MFI(10) < 40);

NumColumns = 1;
Column0 = Close;