macd and histogram divergence detection.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:    MACD and histogram divergence detection
//  Author/Uploader: Paul Moore 
//  E-mail:          [e-mail]
//  Date/Time Added: 2005-09-28 18:14:02
//  Origin:          
//  Keywords:        
//  Level:           medium
//  Flags:           exploration,indicator
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=562
//  Details URL:     http://www.amibroker.com/library/detail.php?id=562
//
//------------------------------------------------------------------------------
//
//  This indicator and exploration detects MACD line divergences and
//  crossovers, and also detects MACD divergences.
//
//------------------------------------------------------------------------------

_SECTION_BEGIN("MACD Divergence");
//
// MACD divergence system
//
// This system detects MACD and MACD-H positive and negative divergences, and 
// crossovers.  

// This indicator/expansion is based completely on indicators/explorations written
// by other AFL contributors, all of them much cleverer than me. There is very 
// little original work here.

// As an indicator, it displays the usual MACD and MACD-H indicators. It also 
// displays a shape indicating where a divergence or crossover occurs.
// As an exploration, simply select n = 1, define the stock universe to be
// examined, and press the "Explore" button. The detected stocks are listed
// together with a red/green color-coded indication of the divergence or
// crossover
// Several parameters can be configured, including the minimum divergence and 
// histogram widths. Configure to suit your own requirements.

// This is still a work in progress, so if you have any suggestions or improvements,
// please let me know via the forum.

//----------------------------------------------------------------------------------

//------
// Setup
//------

// Parameters
PeriodEMA = 13;
MACDIndicatorRange = 50;

// Volume filter
VolumeFilter = Param( "Volume MA filter", 100000, 50000, 500000, 100000 );
Timeframe = Interval(2);

// Adjust for weekly if necessary
if( Timeframe == "5-day" || Timeframe == "Weekly" ) {
  VolumeFilter  = VolumeFilter * 5;
}
else if( Timeframe == "Monthly") {
  VolumeFilter = VolumeFilter * 20;
}
else if( Timeframe != "Daily" ) {
  VolumeFilter = 0;
}

// Minimum number of bars required to form a divergence pattern. For a
// positive divergence, this is the number of falling bars in the context
// of a rising MACD or MACD-H pattern. Vice versa for negative divergence
MACDDivMinWidth = Param("Divergence min width", 4, 1, 10, 1 ); 

// Minimum width of negative projecting wave between two positive MACD-H waves, 
// otherwise two positive waves will be considered as one single wave. This
// minimises invalid divergences, to ensure that "back of bears is broken".
// The same applies for a positive wave between two negative waves.
HistMinWidth = Param("Histogram min width", 4, 1, 10, 1 ); 


PeriodEMA = Optimize( "PeriodEMA ", 13, 5, 23, 1 );

// Other parameters
OpenPositions = 10;
ATRPeriod = 5;
InitialCapital = 100000;

PeriodFast = Param( "Fast EMA", 12, 2, 200, 1 );
PeriodSlow = Param( "Slow EMA", 26, 2, 200, 1 );
PeriodSignal = Param( "Signal EMA", 9, 2, 200, 1 );
MACDInd = MACD(PeriodFast, PeriodSlow );
SigInd = Signal(PeriodFast, PeriodSlow , PeriodSignal );
HistInd = MACDInd - SigInd ;
_N( macdStr = WriteVal( PeriodFast, 1.0 )+","+WriteVal( PeriodSlow , 1.0 ) );
_N( sigStr = macdStr + ","+WriteVal( PeriodSignal , 1.0 ) );

// Get displayed min and max value of MACD and MACD-H, to rescale it for better visibility
scMACDMax = LastValue(HHV(Max(MACDInd, sigInd), 
                  BarsSince( Status("barvisible") AND NOT Ref(Status("barvisible"),-1) ))); 
scMACDMin = LastValue(LLV(Min(MACDInd, sigInd), 
                  BarsSince( Status("barvisible") AND NOT Ref(Status("barvisible"),-1) ))); 
scaleMACD = Max( abs(scMACDMax), abs(scMACDMin) ); 

scHistMax = LastValue(HHV(HistInd, 
            BarsSince( Status("barvisible") AND NOT Ref(Status("barvisible"),-1) ))); 
scHistMin = LastValue(LLV(HistInd, 
            BarsSince( Status("barvisible") AND NOT Ref(Status("barvisible"),-1) ))); 
scaleHist = Max( abs(scHistMax), abs(scHistMin) ); 


Plot( HistInd, "", colorLightBlue, styleHistogram  | styleOwnScale | styleThick , 
      -scaleHist * 1.2, scaleHist * 1.2);
Plot( MACDInd, "", colorGreen);
Plot( SigInd , "", colorRed);

Plot( scaleMACD * 1.2,"",colorRed,styleNoDraw);
Plot( -scaleMACD* 1.2 ,"",colorRed,styleNoDraw); 
GraphXSpace = 0;

Title = EncodeColor(colorBlue) + Name() + " - MACD: M(" + macdStr + ") = " 
        + WriteVal(MACDInd,1.3) + ", S(" + sigStr + ") = " 
        + WriteVal(SigInd,1.3) + ", H = " + WriteVal(HistInd,1.3);

// If current symbol is NOT an index, compare volume MA to filter limit
VolumeMA = MA( V, 50 );
if( IsIndex() ) {
  VolumeMABool = True;
}
else {
  VolumeMABool = IsTrue( VolumeMA > VolumeFilter );
}

// Get MACD-H, EMA, Stochastics and RSI arrays
DayHist = MACD( PeriodFast, PeriodSlow ) - 
          Signal( PeriodFast, PeriodSlow, PeriodSignal );
DayEMA = EMA( Close, PeriodEMA );
DaySTO = StochK( 14 );
DayRSI = RSI( 14 );
DayBuyBool = IsTrue( 
                ( // DayEMA > Ref(DayEMA,-1)  // EMA rising
                  DaySTO < 70                 // STO not overbought
                  // AND DayRSI > Ref(DayRSI,-1) // RSI rising
                  AND MACD( PeriodFast, PeriodSlow ) < 0 )
                OR Timeframe == "5-day" OR Timeframe == "Weekly"
              );
DaySellBool = IsTrue( 
                ( // DayEMA < Ref(DayEMA,-1)  // EMA falling
                  DaySTO > 30                 // STO not oversold
                  // AND DayRSI < Ref(DayRSI,-1) // RSI falling
                  AND MACD( PeriodFast, PeriodSlow ) > 0 )
                OR Timeframe == "5-day" OR Timeframe == "Weekly"
              );


//--------------------------
// Positive MACD divergences
//--------------------------

// Get array containing for each element, when the MACD's lowest
// value occur, within the specified number of bars
MACDLowBars = LLVBars( MACDInd, MACDDivMinWidth );

// Get array defining if the MACD's previous bar was the 
// minimum, AND if that MACD value < 0
MACDMinCond = MACDLowBars > 0 AND 
        Ref(MACDLowBars,-1) == 0 AND 
        Ref(MACDInd,-1) < 0;

// Get array containing MACD low bar values where lows
// occured, all other bars filled with 0
MACDLowVal = IIf( MACDMinCond , Ref(MACDInd,-1), 0 );

// Get array containing MACD low bar value at bar where MACD 
// low occured, all other bars filled with preceding MACD 
// low value (chandelier)
MACDLowSteps = ValueWhen( Ref(MACDMinCond,0), 
                          Ref(MACDInd,-1), 1 );

// Get array containing price low bar values where lows
// occured, all other bars filled with huge number
PriceMACDLowVal = IIf( MACDMinCond, 
                       Ref(LLV(L,MACDDivMinWidth ),-1), 
                       2000000 );

// Get array containing local price low bar value at bar 
// where MACD low occured, all other bars filled with preceding 
// price low value (chandelier)
PriceMACDLowSteps = ValueWhen( Ref(MACDMinCond ,0), 
                               LLV(L,MACDDivMinWidth ) );

// Get array containing differences in MACD low bar values
MACDLowDiffs = MACDLowSteps - Ref(MACDLowSteps,-1); 

// Get array containing differences in price low bar values
PriceMACDLowDiffs = PriceMACDLowSteps - Ref(PriceMACDLowSteps,-1);

// Get array defining positive divergences
MACDLowBarDiffs = Ref( BarsSince(MACDMinCond ), -1 );

// Divergence signal
MACDPosDivergence = // MACDLowDiffs > 0 AND 
         MACDLowVal < 0 
         AND MACDLowVal > LLV(MACDLowVal, MACDIndicatorRange ) 
         AND PriceMACDLowVal < LLV(Ref(PriceMACDLowVal,-1), MACDIndicatorRange ) 
         AND PriceMACDLowDiffs < 0 
         AND MACDLowBarDiffs < MACDIndicatorRange  
         AND VolumeMABool 
         AND C > 1.0
         // AND WeekBuyBool
         ;


//--------------------------
// Negative MACD divergences
//--------------------------

// Get array containing for each element, when the MACD's highest
// value occur, within the specified number of bars
MACDHighBars = HHVBars( MACDInd, MACDDivMinWidth );

// Get array defining if the MACD's previous bar was the 
// maximum, AND if that MACD value > 0
MACDMaxCond = MACDHighBars > 0 AND 
         Ref(MACDHighBars,-1) == 0 AND 
         Ref(MACDInd,-1) > 0;

// Get array containing MACD high bar values where highs
// occured, all other bars filled with 0
MACDHighVal = IIf( MACDMaxCond, 
                   Ref(MACDInd,-1), 0);

// Get array containing MACD high bar value at bar where MACD 
// high occured, all other bars filled with preceding MACD 
// high value (chandelier)
MACDHighSteps = ValueWhen( Ref(MACDMaxCond,0), 
                           Ref(MACDInd,-1), 1 );

// Get array containing MACD high bar values where highs
// occured, all other bars filled with 0
PriceMACDHighVal = IIf( MACDMaxCond, 
                        Ref(HHV(H,MACDDivMinWidth),-1), 
                        0);

// Get array containing local price high bar value at bar 
// where MACD high occured, all other bars filled with preceeding 
// price high value (chandelier)
PriceMACDHighSteps = ValueWhen( Ref(MACDMaxCond,0), 
                                HHV(H,MACDDivMinWidth) );

// Get array containing differences in MACD high bar values
MACDHighDiffs = MACDHighSteps - Ref(MACDHighSteps,-1);

// Get array containing differences in price high bar values
PriceMACDHighDiffs = PriceMACDHighSteps - Ref(PriceMACDHighSteps,-1);

// Get array defining negative divergences
MACDHighBarDiffs = Ref( BarsSince(MACDMaxCond), -1 );

// Divergence signal
MACDNegDivergence = // MACDHighDiffs < 0 AND 
         MACDHighVal > 0 
         AND PriceMACDHighVal > HHV( Ref(PriceMACDHighVal,-1), MACDIndicatorRange ) 
         AND MACDHighVal < HHV( MACDHighVal, MACDIndicatorRange ) 
         AND PriceMACDHighDiffs > 0 
         AND MACDHighBarDiffs < MACDIndicatorRange 
         AND VolumeMABool 
         AND C > 1.0
         // AND WeekBuyBool
         ;