reaction trend system.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

			if (L[ i ] <= LBOP[ i ]) {
		
				// take a short position in trend mode
				Short[ i ] = 1;
				ShortPrice[ i ] = LBOP[ i ];
				trend_position_short = 1;
				tpss[ i ] = 1;
				
			} else
			
			// entry of Area 4
			if (H[ i ] >= HBOP[ i ]) {
			
				// take a long position in the trend mode
				Buy[ i ] = 1;
				BuyPrice[ i ] = HBOP[ i ];
				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 2
		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
				
	/* "S" day + no position. 4 areas of entry may be defined
	1) open between LBOP and S1 (area 1)
	2) open between S1 and HBOP (area 2)
	3) open higher than HBOP (area 3)
	4) open lower than LBOP (area 4)
	*/
	if (phase_arr[ i ] == 3 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 ] < S1[ i ]) {
		
			// check for entry of Area 2			
			if (H[ i ] >= S1[ i ]) {
			
				Short[ i ] = 1;
				ShortPrice[ i ] = S1[ i ];
				reaction_position_short = 1;
				
				// check for entry of Area 3 (breakout)
				if (H[ i ] >= HBOP[ i ]) {
				
					// cover position first
					Cover[ i ] = 1;
					CoverPrice[ i ] = HBOP[ i ];
					reaction_position_short = 0;
				
					// take a long position in the trend mode
					Buy[ i ] = 1;
					BuyPrice[ i ] = HBOP[ i ];
					trend_position_buy = 1;
					tpsl[ i ] = 1;
					
				} else 
				
				// check for enrty of Area 4 (breakout)
				if (L[ i ] <= LBOP[ i ]) {
				
					// only change the mode since we are already short
					reaction_position_short = 0;
					trend_position_short = 1;
					tpss[ i ] = 1;
					
				}
			
			} else 
			
			// check for entry of Area 4
			if (L[ i ] <= LBOP[ i ]) {
			
				Short[ i ] = 1;
				ShortPrice[ i ] = LBOP[ i ];
				trend_position_short = 1;
				tpss[ i ] = 1;
			
			}			
		
		} else
		
		// open in area 2		
		if (O[ i ] >= S1[ i ] AND O[ i ] < HBOP[ i ]) {
				
			Short[ i ] = 1;
			ShortPrice[ i ] = O[ i ];
			reaction_position_short = 1;
					
			// check for entry of Area 3 (breakout)
			if (H[ i ] >= HBOP[ i ]) {
						
				// cover the reaction mode short position you just entered
				Cover[ i ] = 1;
				CoverPrice[ i ] = HBOP[ i ];
				reaction_position_short = 0;
						
				// take a long position in the trend mode
				Buy[ i ] = 1;
				BuyPrice[ i ] = HBOP[ i ];
				trend_position_buy = 1;
				tpsl[ i ] = 1;
							
			} else 	
			
			// check for enrty of Area 4 (breakout)
			if (L[ i ] <= LBOP[ i ]) {
						
				// only change the mode since we are already short
				reaction_position_short = 0;
				trend_position_short = 1;
				tpss[ i ] = 1;
							
			}			
					
		} else
		
		// open in Area 4
		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 3
		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
		
	/* "B" day PLUS short reaction mode position. 4 Entry areas of interest
	1) open between B1 and HBOP (area 1)
	2) open between LBOP and B1 (area 2)
	3) open below LBOP (area 3)
	4) open above HBOP (area 4)
	
	*/
	if (phase_arr[ i ] == 1 AND reaction_position_buy == 0 AND trend_position_buy == 0 AND 
				reaction_position_short == 1 AND trend_position_short == 0) {
	
		// open in area 1
		if (O[ i ] > B1[ i ] AND O[ i ] < HBOP[ i ]) {
		
			// enter area 2
			if (L[ i ] <= B1[ i ]) {
			
				// cover short position
				Cover[ i ] = 1;
				CoverPrice[ i ] = B1[ i ];
				reaction_position_short = 0;
				
				// reverse short into a long
				Buy[ i ] = 1;
				BuyPrice[ i ] = B1[ i ];
				reaction_position_buy = 1;
				
				// price enters area 3
				if (L[ i ] <= LBOP[ i ]) {
				
					// close long position
					Sell[ i ] = 1;
					SellPrice[ i ] = LBOP[ i ];
					reaction_position_buy = 0;
					
					// open short trend mode position
					Short[ i ] = 1;
					ShortPrice[ i ] = LBOP[ i ];
					trend_position_short = 1;
					tpss[ i ] = 1;
				
				} else
				
				// price enters area 4
				if (H[ i ] >= HBOP[ i ]) {
				
					// just change the mode
					reaction_position_buy = 0;
					trend_position_buy = 1;
					tpsl[ i ] = 1;
				
				}
			
			} else
			
			// stay in area 1 and cover position at the close
			if (L[ i ] > B1[ i ] AND H[ i ] < HBOP[ i ] AND timebar[ i ] == 1) {
							
							
				// cover at close
				Cover[ i ] = 1;
				CoverPrice[ i ] = C[ i ];
				reaction_position_short = 0;
					
			} else
				
			// price enters area 4
			if (H[ i ] >= HBOP[ i ]) {
				
				// cover short position
				Cover[ i ] = 1;
				CoverPrice[ i ] = HBOP[ i ];
				reaction_position_short = 0;
				
				// go long in trend mode
				Buy[ i ] = 1;
				BuyPrice[ i ] = HBOP[ i ];
				trend_position_buy = 1;
				tpsl[ i ] = 1;
				
			}
			
			
		} else
		
		// open in area 2
		if (O[ i ] > LBOP[ i ] AND O[ i ] <= B1[ i ]) {
		
			// cover the short position
			Cover[ i ] = 1;
			CoverPrice[ i ] = O[ i ];
			reaction_position_short = 0;
		
			// reverse position
			Buy[ i ] = 1;
			BuyPrice[ i ] = O[ i ];
			reaction_position_buy = 1;
			
			// price enters area 3
			if (L[ i ] <= LBOP[ i ]) {
				
				// close long position
				Sell[ i ] = 1;
				SellPrice[ i ] = LBOP[ i ];
				reaction_position_buy = 0;
					
				// open short trend mode position
				Short[ i ] = 1;
				ShortPrice[ i ] = LBOP[ i ];
				trend_position_short = 1;
				tpss[ i ] = 1;
				
			} else
				
			// price enters area 4
			if (H[ i ] > HBOP[ i ]) {
				
				// just change the mode
				reaction_position_buy = 0;
				trend_position_buy = 1;
				tpsl[ i ] = 1;
				
			}			
			
		} else
		
		// open in area 3
		if (O[ i ] <= LBOP[ i ]) {
		
			// position is already short, just change the mode
			reaction_position_short = 0;
			trend_position_short = 1;
			tpss[ i ] = 1;
		
		} else
		
		// open in area 4
		if (O[ i ] >= HBOP[ i ]) {
		
			// close the short position
			Cover[ i ] = 1;
			CoverPrice[ i ] = O[ i ];
			reaction_position_short = 0;
			
			// and go long in trend mode
			Buy[ i ] = 1;
			BuyPrice[ i ] = O[ i ];
			trend_position_buy = 1;
			tpsl[ i ] = 1;
		
		}
		
	} else
			
	/* "O" day PLUS long reaction mode position,  4 areas of interest
	1) open between LBOP and S1 (area 1)
	2) open between S1 and HBOP (area 2)
	3) open above HBOP (area 3)
	4) open below LBOP ( area 4)
	*/

	if (phase_arr[ i ] == 2 AND reaction_position_buy == 1 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 ] < S1[ i ]) {
		
			// entry of area 2
			if (H[ i ] >= S1[ i ]) {
			
				Sell[ i ] = 1;
				SellPrice[ i ] = S1[ i ];
				reaction_position_buy = 0;
				
				// enter area 3
				if (H[ i ] >= HBOP[ i ]) {
				
					// go long in trend mode
					Buy[ i ] = 1;
					BuyPrice[ i ] = HBOP[ i ];
					trend_position_buy = 1;
					tpsl[ i ] = 1;
				
				} else
				
				// enter area 4
				if (L[i ] <= LBOP[ i ]) {
				
					// go short in trend mode
					Short[ i ] = 1;
					ShortPrice[ i ] = LBOP[ i ];
					trend_position_short = 1;
					tpss[ i ] = 1;
				
				}
			
			} else
			
			// entry of area 4
			if (L[ i ] <= LBOP[ i ]) {
			
				// sell currect position
				Sell[ i ] = 1;
				SellPrice[ i ] = LBOP[ i ];
				reaction_position_buy = 0;
				
				// enter the short trend mode
				Short[ i ] = 1;
				ShortPrice[ i ] = LBOP[ i ];
				trend_position_short = 1;
				tpss[ i ] = 1;
			
			}
		
		} else
		
		// open in area 2
		if (O[ i ] >= S1[ i ] AND O[ i ] < HBOP[ i ]) {
		
			// sell position straight away
			Sell[ i ] = 1;
			SellPrice[ i ] = O[ i ];
			reaction_position_buy = 0;
			
			// enter area 3
			if (H[ i ] >= HBOP[ i ]) {
				
				// go long in trend mode
				Buy[ i ] = 1;
				BuyPrice[ i ] = HBOP[ i ];
				trend_position_buy = 1;
				tpsl[ i ] = 1;
				
			} else
				
			// enter area 4
			if (L[i ] <= LBOP[ i ]) {
				
				// go short in trend mode
				Short[ i ] = 1;
				ShortPrice[ i ] = LBOP[ i ];
				trend_position_short = 1;
				tpss[ i ] = 1;
				
			}			
		
		} else
		
		// open in area 3
		if (O[ i ] >= HBOP[ i ]) {
		
			// position is already long, just change the mode
			reaction_position_buy = 0;
			trend_position_buy = 1;	
			tpsl[ i ] = 1;
		
		} else				
				
		// open in area 4
		if (O[ i ] <= LBOP[ i ]) {
			
			// close the long position
			Sell[ i ] = 1;
			SellPrice[ i ] = O[ i ];
			reaction_position_buy = 0;
			
			// and go short in trend mode
			Short[ i ] = 1;
			ShortPrice[ i ] = O[ i ];
			trend_position_short = 1;
			tpss[ i ] = 1;
		
		}
		
	} else
		
	/* "S" day + long reaction mode position, 4 areas of interest
	1) open between LBOP and S1 (area 1)
	2) open between S1 and HBOP
	3) open above HBOP (area 3)
	4) open below LBOP (area 4)
	*/
	if (phase_arr[ i ] == 3 AND reaction_position_buy == 1 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 ] < S1[ i ]) {
		
			// entry of area 2
			if (H[ i ] >= S1[ i ]) {
			
				// sell position
				Sell[ i ] = 1;
				SellPrice[ i ] = S1[ i ];
				reaction_position_buy = 0;
				
				// reverse position
				Short[ i ] = 1;
				ShortPrice[ i ] = S1[ i ];
				reaction_position_short = 1;
				
				// enter area 3
				if (H[ i ] >= HBOP[ i ]) {
				
					// close out short position
					Cover[ i ] = 1;
					CoverPrice[ i ] = HBOP[ i ];
					reaction_position_short = 0;
				
					// go long in trend mode
					Buy[ i ] = 1;
					BuyPrice[ i ] = HBOP[ i ];
					trend_position_buy = 1;
					tpsl[ i ] = 1;
				
				} else
				
				// enter area 4
				if (L[i ] <= LBOP[ i ]) {