📄 reaction trend system.afl
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//------------------------------------------------------------------------------
//
// Formula Name: Reaction Trend System
// Author/Uploader: Ed
// E-mail: ed2000nl@home.nl
// Date/Time Added: 2004-05-20 13:32:18
// Origin: translated from J. Welles Wilder Jr. using New Concepts in Technical Trading 1978
// Keywords: trading system trend
// Level: advanced
// Flags: system
// Formula URL: http://www.amibroker.com/library/formula.php?id=357
// Details URL: http://www.amibroker.com/library/detail.php?id=357
//
//------------------------------------------------------------------------------
//
// see code for details.
//
// Think most of the bugs are out but if you find any please let me know. Also
// suggestions to write it more efficiently are welcome.
//
// Best to use hourly intraday data. Should work in any timeframe but it
// should be used with intraday data.
//
// If you want to do a backtest do not forget to select the timeframe in the
// settings!!!
//
//------------------------------------------------------------------------------
/*
Reaction Trend System ---- to be used with Intraday Data
Originally develloped by: J. Welles Wilder Jr.
Translated from: New Concepts in Technical Trading systems (1978)
Translation in Amibroker-AFL by Edward Pottasch (May 2004), Email: ed2000nl@home.nl
Shapes in Chart:
1) hollow yellow down arrow: Reaction mode short position
2) hollow white up arrow: COVER of short positions of BOTH modes (either trend and reaction mode)
3) solid yellow down arrow: sell of long positions of BOTH modes (either trend and reaction mode)
4) solid white up arrow: Reaction mode long position
5) solid yellow down triangle: Trend mode short position
6) solid white up triangle: Trend mode long position
Digits in Chart:
1) "1": a "B" day (see rules in code below or in WW's book).
2) "2": a "O" day
3) "3": a "S" day
Colors of Digits:
1) white: normal color
2) yellow: highest or lows day during trend mode. Represents a discontinuity in phase
3) lightblue: always drawn below a yellow digit. It means that even though the phase
is as the yellow digit shows the phase of the lightblue digit is used (which was the phase
before the discontinuity). This is an exceptional situation where the outbreak to the
trend mode coincides with the highest or lowest day.
Short description of the system.
phase == 1: B day (1 digit in chart)
- LONG positions are initiated only on a "B" day
- SHORT positions are reversed on a "B" day
- breakout of HBOP or LBOP initiate a long or short position on a "B" day
- we must exit a short position entered in the reaction mode. If target not hit exit at close
phase == 2: O day (2 digit in chart)
- No positions are initiated on an "O" day except those initiated by the breakout points
- LONG positions may be close on an "O" day.
- breakout of HBOP or LBOP initiate a long or short position on an "O" day
phase == 3: S day (3 digit in chart)
- SHORT positions are initiated only on an "S" day
- LONG positions are reversed on a "S" day
- breakout of HBOP or LBOP initiate a long or short position on a "S" day
- we must exit a long position entered in the reaction mode. If target not hit exit at close
remarks:
A)
Any timeframe may be used but I suggest hourly data because it is still fast and provides
basicly the same information as any other timeframe.
B)
I am not sure if Wilder's original idea was to open a reaction mode position in the same
day where the trend mode position was closed but the code is set up to do such a thing.
C) Backtesting using minute, hourly etc. timeframes may give a slightly different result.
Sorry but it is inherent to the system.
D) Assumed is that the close is at 16:00. Certain exits will take place between 15:55 and 16:00
if there is a trade. Otherwise no exit occurs. So for now this program should only be used with
densely traded stocks where there are a couple of trades in the last minutes.
*/
// set to use all bars required for looping
setbarsrequired(100000,100000);
// set timeframe
TimeFrameSet( inDaily );
//calculate the average + the four price action points.
// average
xx = (H + L + C) / 3;
// four price action points
// 1) Buy point
B1 = 2 * Ref(xx,-1) - Ref(H,-1);
// 2) Sell point
S1 = 2 * Ref(xx,-1) - Ref(L,-1);
// 3) High break out point
HBOP = 2 * Ref(xx,-1) - 2 * Ref(L,-1) + Ref(H,-1);
// 4) Low break out point
LBOP = 2 * Ref(xx,-1) - 2 * Ref(H,-1) + Ref(L,-1);
// short trail stop: highest high made in previous 2 days (used in trend mode only)
trailstop_short = Ref(HHV(H,2),-1);
// long trail stop: lowest low made in previous 2 days (used in trend mode only)
trailstop_long = Ref(LLV(L,2),-1);
// declare some arrays
phase_arr = C;
phase_arr = 0;
phase_arr_l1 = phase_arr; // additional layer of phase changes
stop_short = phase_arr; stop_long = stop_short;
short_index_position = phase_arr; long_index_position = short_index_position;
b_day = phase_arr; s_day = phase_arr;
// first determine "B" and "S" days
idx = 0;
for (i = 0; i < BarCount; i++) {
// short trend mode
if (L[ i ] <= LBOP[ i ] AND i >= idx) {
// indicate the short trend mode outbreak
short_index_position[ i ] = 1;
// variables tracking lowest day in short trend mode
idx_b = i;
loi = L[ i ];
// exit at trailing stop
for (j = i + 1; j < BarCount; j++) {
if (L[ j ] < loi) {
loi = L[ j ];
// track index of lowest point in trend mode
idx_b = j;
} else
if (H[ j ] >= trailstop_short[ j ]) {
stop_short[ j ] = 1;
// idx is used to make sure we finish a position before starting a new one
idx = j;
// used to exit the j-for loop
j = BarCount - 1;
}
}
// save index position of lowest point in short trend mode
b_day[ idx_b ] = 1;
} else if (H[ i ] >= HBOP[ i ] AND i >= idx) {
// indicate the long trend mode outbreak
long_index_position[ i ] = 1;
// variables tracking highest day in long trend mode
idx_s = i;
hii = H[ i ];
// exit at trailing stop
for (j = i + 1; j < BarCount; j++) {
if (H[ j ] > hii) {
hii = H[ j ];
// track index of highest point in trend mode
idx_s = j;
} else
if (L[ j ] <= trailstop_long[ j ]) {
stop_long[ j ] = 1;
// idx is used to make sure we finish a position before starting a new one
idx = j;
// used to exit the j-for loop
j = BarCount - 1;
}
}
// save index position of highest point in long trend mode
s_day[ idx_s ] = 1;
}
}
// fill in the rest of the phase array. Sequence: 1 - 2 - 3 - 1 - 2 - etc
for (i = 1; i < BarCount; i++) {
if (b_day[ i ] == 1) {
phase_arr[ i ] = 1;
// if b_day equal to the day of outbreak store the original phase
if (b_day[ i ] == 1 AND short_index_position[ i ] == 1) {
if (phase_arr[ i - 1 ] == 1) {
phase_arr_l1[ i ] = 2;
} else
if (phase_arr[ i - 1 ] == 2) {
phase_arr_l1[ i ] = 3;
} else
if (phase_arr[ i - 1 ] == 3) {
phase_arr_l1[ i ] = 1;
} else
if (phase_arr[ i - 1 ] == 0) {
phase_arr_l1[ i ] = 1;
}
}
} else if (s_day[ i ] == 1) {
phase_arr[ i ] = 3;
// if s_day equal to the day of outbreak store the original phase
if (s_day[ i ] == 1 AND long_index_position[ i ] == 1) {
if (phase_arr[ i - 1 ] == 1) {
phase_arr_l1[ i ] = 2;
} else
if (phase_arr[ i - 1 ] == 2) {
phase_arr_l1[ i ] = 3;
} else
if (phase_arr[ i - 1 ] == 3) {
phase_arr_l1[ i ] = 1;
} else
if (phase_arr[ i - 1 ] == 0) {
phase_arr_l1[ i ] = 1;
}
}
} else if (b_day[ i ] == 0 AND s_day[ i ] == 0 AND phase_arr[ i - 1 ] == 3) {
phase_arr[ i ] = 1;
} else if (b_day[ i ] == 0 AND s_day[ i ] == 0 AND phase_arr[ i - 1 ] == 2) {
phase_arr[ i ] = 3;
} else if (b_day[ i ] == 0 AND s_day[ i ] == 0 AND phase_arr[ i - 1 ] == 1) {
phase_arr[ i ] = 2;
}
}
// restore to current time frame
TimeFrameRestore();
// expand arrays
xx = TimeFrameExpand( xx, inDaily,mode = expandFirst );
B1 = TimeFrameExpand( B1, inDaily,mode = expandFirst );
S1 = TimeFrameExpand( S1, inDaily,mode = expandFirst );
HBOP = TimeFrameExpand( HBOP, inDaily,mode = expandFirst );
LBOP = TimeFrameExpand( LBOP, inDaily,mode = expandFirst );
trailstop_short = TimeFrameExpand( trailstop_short, inDaily,mode = expandFirst );
trailstop_long = TimeFrameExpand( trailstop_long, inDaily,mode = expandFirst );
phase_arr = TimeFrameExpand( phase_arr, inDaily,mode = expandFirst );
phase_arr_l1 = TimeFrameExpand( phase_arr_l1, inDaily,mode = expandFirst );
b_day = TimeFrameExpand( b_day, inDaily,mode = expandFirst );
s_day = TimeFrameExpand( s_day, inDaily,mode = expandFirst );
// time bar is used on B and S days + position to close out on last bar if target not hit
timebar = Cross(TimeNum(),155500);
// adjust phase array for charting purposes
hlp_phase = phase_arr; hlp_phase = 0; hlp_b = hlp_phase; hlp_s = hlp_phase; hlp_phase_l1 = hlp_phase;
for (i = 1; i < BarCount; i++) {
if (HBOP[ i ] != HBOP[ i - 1]) {
hlp_phase[ i ] = phase_arr[ i ];
hlp_phase_l1[ i ] = phase_arr_l1[ i ];
hlp_b[ i ] = b_day[ i ];
hlp_s[ i ] = s_day[ i ];
}
}
// change the phase_arr back to original phase at places where phase change equals outbreak because
// you need the original phase to determine reaction mode behaviour
phase_arr = IIF(phase_arr_l1 != 0,phase_arr_l1,phase_arr);
// calculate the positions
// flag settings
reaction_position_buy = 0;
reaction_position_short = 0;
trend_position_buy = 0;
trend_position_short = 0;
// help arrays
tpsl = C; tpsl = 0; // trend position long index storage array
tpss = C; tpss = 0; // trend position short index storage array
// reset arrays
Buy = C; Buy = 0; Sell = Buy; Short = Buy; Cover = Buy;
for (i = 0; i < BarCount; i++) {
/* "B" day + no position. 4 areas are of importance for the open price as an entry point
1) Open between HBOP and B1 (Area 1)
2) Open between B1 and LBOP (Area 2)
3) Open higher than HBOP (Area 3)
4) Open lower than LBOP (Area 4)
*/
if (phase_arr[ i ] == 1 AND reaction_position_buy == 0 AND trend_position_buy == 0 AND
reaction_position_short == 0 AND trend_position_short == 0) {
// open in Area 1
if (O[ i ] > B1[ i ] AND O[ i ] < HBOP[ i ]) {
// check for entry of Area 2
if (L[ i ] <= B1[ i ]) {
Buy[ i ] = 1;
BuyPrice[ i ] = B1[ i ];
reaction_position_buy = 1;
// check for entry of Area 3 (breakout)
if (L[ i ] <= LBOP[ i ]) {
// sell the reaction mode long position you just entered
Sell[ i ] = 1;
SellPrice[ i ] = LBOP[ i ];
reaction_position_buy = 0;
// take a short position in the trend mode
Short[ i ] = 1;
ShortPrice[ i ] = LBOP[ i ];
trend_position_short = 1;
tpss[ i ] = 1;
} else
// check for enrty of Area 4 (breakout)
if (H[ i ] >= HBOP[ i ]) {
// only change the mode since we are already long
reaction_position_buy = 0;
trend_position_buy = 1;
tpsl[ i ] = 1;
}
} else
// check for entry of Area 4
if (H[ i ] >= HBOP[ i ]) {
Buy[ i ] = 1;
BuyPrice[ i ] = HBOP[ i ];
trend_position_buy = 1;
tpsl[ i ] = 1;
}
} else
// open in Area 2
if (O[ i ] <= B1[ i ] AND O[ i ] > LBOP[ i ]) {
Buy[ i ] = 1;
BuyPrice[ i ] = O[ i ];
reaction_position_buy = 1;
// check for entry of Area 3 (breakout)
if (L[ i ] <= LBOP[ i ]) {
// sell the reaction mode long position you just entered
Sell[ i ] = 1;
SellPrice[ i ] = LBOP[ i ];
reaction_position_buy = 0;
// take a short position in the trend mode
Short[ i ] = 1;
ShortPrice[ i ] = LBOP[ i ];
trend_position_short = 1;
tpss[ i ] = 1;
} else
// check for enrty of Area 4 (breakout)
if (H[ i ] >= HBOP[ i ]) {
// only change the mode since we are already long
reaction_position_buy = 0;
trend_position_buy = 1;
tpsl[ i ] = 1;
}
} else
// open in Area 3
if (O[ i ] <= LBOP[ i ]) {
// take a short position in the trend mode
Short[ i ] = 1;
ShortPrice[ i ] = O[ i ];
trend_position_short = 1;
tpss[ i ] = 1;
} else
// open in Area 4
if (O[ i ] >= HBOP[ i ]) {
// take a long position in the trend mode
Buy[ i ] = 1;
BuyPrice[ i ] = O[ i ];
trend_position_buy = 1;
tpsl[ i ] = 1;
}
} else
/* "O" day + no position. 3 entry areas of importance
1) open between LBOP and HBOP (Area 1)
2) open higher than HBOP (Area 2)
3) open lower than LBOP (Area 3)
*/
if (phase_arr[ i ] == 2 AND reaction_position_buy == 0 AND trend_position_buy == 0 AND
reaction_position_short == 0 AND trend_position_short == 0) {
// open in Area 1
if (O[ i ] > LBOP[ i ] AND O[ i ] < HBOP[ i ]) {
// entry of Area 3
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