sto & macd buy signals with money-management.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:    STO & MACD Buy Signals with Money-Management
//  Author/Uploader: Stefan-Georg Fuchs 
//  E-mail:          [e-mail]
//  Date/Time Added: 2001-10-13 08:55:29
//  Origin:          Own
//  Keywords:        
//  Level:           semi-advanced
//  Flags:           exploration
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=123
//  Details URL:     http://www.amibroker.com/library/detail.php?id=123
//
//------------------------------------------------------------------------------
//
//  // This exploration looks for simple Stochastics and MACD buy signals
//
//  // to inialize long trades.
//
//  // Money-, Risk and Positionmanagment is more important for
//
//  // successful trading than having only good entries and exits.
//
//  // Therefore, I combined these signals with strict trade-,
//
//  // money-management and positionsizing rules.
//
//  // These trades are usually of very STnature ( 1 - 20 days ) because
//
//  // I used ST Volatility for Money-, Risk-, and positionsizing-managem.
//
//  // Feel free to alter these settings to your preferred trading-style
//
//  // The exploration can also be customized in terms of Account size,
//
//  // personal risk preferences and triggers for STO Indicator.
//
//  // STO and MACD can be replaced by your favourite trading-system
//
//  // However, the volatility based Moneymanagement and
//
//  // positionsizing rules could add a new dimension to your
//
//  // trading system.
//
//  // Standard account size 10 K ( see column6 )
//
//  // Standard risk is 2% of account size for any trade ( see column6)
//
//  // Entries, Stops, Profittargets ( PT) & Positionsizes are calculated
//  on // ST Volatility ( ATR ).
//
//  // Entries should give a reasonable entry price within the projected
//
//  // trading range for the following day.
//
//  // Although I had to use Close as basis for the calculations rather than
//
//  // Median Price ( as I did in MetaStock ), it shourk work well.
//
//  // Stops are designed to keep the trade out of the daily noise.
//
//  // Risk and Reward are managed by positionsize, adjusted to the
//
//  // stocks ST volatility.
//
//  // Stops should only be trailed in the direction of the trade using the
//
//  // SF Stop Indicator
//
//  // Proft-targets are valid as from day of Trade-Entry. With the help of
//
//  // SF Entry,Stop PT indicor, one could "trail" also the PT.
//
//  // My advice is, to take some money of the table, once the initial target
//
//  // as of trade entry has been hit.
//
//  // I recommend strongly, to keep the risk per position at 2% of the
//
//  // account-size. If you are more agressive, think about taking
//
//  // additional trades rather than increasing the risk / trade.
//
//  // I'll experiment with using Adaptive MA's instead of Ema's and post
//
//  // the result later as an update.
//
//  // Backtesting : Unfortunately, the complete system cannot be
//
//  // back-tested in AB, because I can't input the algorithms as
//
//  // Systemsettings.
//
//  // Author :Stefan - Georg Fuchs
//
//  // www.tradeshark.de
//
//  // [e-mail]
//
//  lookback = 14;
//
//  buyrange = 20;
//
//  sellrange = 80;
//
//  stochKworkaround = STOCH(14);
//
//  stochDworkaround = EMA( STOCH(14), 3);
//
//  BUY = STOCH(14) < buyrange AND CROSS(stochKworkaround, stochDworkaround) or
//  cross( macd(), signal() );
//
//  Filter = STOCH(14) < buyrange AND CROSS(stochKworkaround, stochDworkaround)
//  or cross( macd(), signal() );
//
//  numcolumns=11;
//
//  column0 =STOCH(14) < buyrange AND CROSS(stochKworkaround,
//  stochDworkaround);
//
//  column0name = "STOBuy";
//
//  column0format = 1;
//
//  Column1 = cross( macd(), signal() );
//
//  column1name = "MACD Buy";
//
//  column1format = 1;
//
//  column2 = close;
//
//  column2name = "Close";
//
//  Column2format = 1.2;
//
//  column3 = ema(CLOSE,5)+(ema(ATR(1),10)/4);
//
//  column3name = "EntrLong";
//
//  column3format = 1.2;
//
//  column4 = ema(CLOSE,5)-(ema(ATR(1),10)*1.50);
//
//  column4name = "StopLong";
//
//  column4format = 1.2;
//
//  column5 = (ema(close,5)+(ema(ATR(1),10)*2.5));
//
//  column5name = "PT";
//
//  column5format = 1.2;
//
//  column6 = ((10000)*2/100)/(ema(CLOSE,5)+
//  (ema(ATR(1),10)/4)-(ema(CLOSE,5)-(ema(ATR(1),10)*1.50)));
//
//  column6name = "Max Pos";
//
//  column6format = 1;
//
//  column7 = (ema(CLOSE,5)+(ema(ATR(1),10)/4)) -
//  (ema(CLOSE,5)-(ema(ATR(1),10)*1.50));
//
//  column7name = "Risk";
//
//  column7format = 1.2;
//
//  column8 = (ema(close,5)+(ema(ATR(1),10)*2.5)) -
//  (ema(CLOSE,5)+(ema(ATR(1),10)/4));
//
//  column8name = "Reward";
//
//  column8format = 1.2;
//
//------------------------------------------------------------------------------

// This exploration looks for simple Stochastics and MACD buy signals
// to inialize long trades.
// Money-, Risk and Positionmanagment is more important for
// successful trading than having only good entries and exits.
// Therefore, I combined these signals with strict trade-,
// money-management and positionsizing rules. 
// These trades are usually of very STnature ( 1 - 20 days ) because
// I used ST Volatility for Money-, Risk-, and positionsizing-managem.
//  Feel free to alter these settings to your preferred trading-style
// The exploration can also be customized in terms of  Account size, 
// personal risk preferences and triggers for STO Indicator.
// STO and MACD can be replaced by your favourite trading-system
// However, the volatility based Moneymanagement and
// positionsizing rules could add a new dimension to your
// trading system.
// Standard account size 10 K ( see column6 )
// Standard risk is 2% of account size for any trade ( see column6)
// Entries, Stops, Profittargets ( PT) & Positionsizes are calculated on    // ST Volatility ( ATR ). 
// Entries should give a reasonable entry price within the projected
// trading range for the following day.
// Although I had to use Close as basis for the calculations rather than
// Median Price ( as I did in MetaStock ), it shourk work well.
// Stops are designed to keep the trade out of the daily noise.
// Risk and Reward are managed by positionsize, adjusted to the
// stocks ST volatility.
// Stops should only be trailed in the direction of the trade using the 
// SF Stop Indicator
// Proft-targets are valid as from day of Trade-Entry. With the help of
// SF Entry,Stop PT indicor, one could "trail" also the PT.
// My advice is, to take some money of the table, once the initial target
// as of trade entry has been hit.
// I recommend strongly, to keep the risk per position at 2% of the 
// account-size. If you are more agressive, think about taking
// additional trades rather than increasing the risk / trade.
// I'll experiment with using Adaptive MA's instead of Ema's and post
// the result later as an update. 
// Backtesting : Unfortunately, the complete system cannot be
// back-tested in AB, because I can't input the algorithms as
// Systemsettings.
// Author :Stefan - Georg Fuchs
// www.tradeshark.de
// [e-mail]

lookback = 14;
buyrange = 20;
sellrange = 80;
stochKworkaround = STOCH(14);
stochDworkaround = EMA( STOCH(14), 3);

BUY = STOCH(14) < buyrange AND CROSS(stochKworkaround, stochDworkaround) or cross( macd(), signal() ); 

Filter = STOCH(14) < buyrange AND CROSS(stochKworkaround, stochDworkaround) or cross( macd(), signal() ); 
numcolumns=11;
column0 =STOCH(14) < buyrange AND CROSS(stochKworkaround, stochDworkaround);
column0name = "STOBuy";
column0format = 1;
Column1 = cross( macd(), signal() ); 
column1name = "MACD Buy";
column1format = 1;
column2 = close;
column2name = "Close";
Column2format = 1.2;
column3 = ema(CLOSE,5)+(ema(ATR(1),10)/4);
column3name = "EntrLong";
column3format = 1.2;
column4 = ema(CLOSE,5)-(ema(ATR(1),10)*1.50);
column4name = "StopLong";
column4format = 1.2;
column5 = (ema(close,5)+(ema(ATR(1),10)*2.5));
column5name = "PT";
column5format = 1.2;
column6 = ((10000)*2/100)/(ema(CLOSE,5)+ (ema(ATR(1),10)/4)-(ema(CLOSE,5)-(ema(ATR(1),10)*1.50)));
column6name = "Max Pos";
column6format = 1;
column7 = (ema(CLOSE,5)+(ema(ATR(1),10)/4)) - (ema(CLOSE,5)-(ema(ATR(1),10)*1.50));
column7name = "Risk";
column7format = 1.2;
column8 = (ema(close,5)+(ema(ATR(1),10)*2.5)) -  (ema(CLOSE,5)+(ema(ATR(1),10)/4));
column8name = "Reward";
column8format = 1.2;