adxbuy.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:    ADXbuy
//  Author/Uploader: goldfreaz 
//  E-mail:          [e-mail]
//  Date/Time Added: 2002-04-21 21:12:36
//  Origin:          System using ADX Buy on positive PDI momentum and sell when the momentum diminishes
//  Keywords:        
//  Level:           medium
//  Flags:           system
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=185
//  Details URL:     http://www.amibroker.com/library/detail.php?id=185
//
//------------------------------------------------------------------------------
//
//  Buy: slope ADX > slope ADX threshold and
//
//  ADX > ADX threshold + ADX histeresis and
//
//  PDI > ADX + DI histeresis and
//
//  slope PDI - slope MDI > slope DI threshold and
//
//  PDI > ADX
//
//  Sell: {ADX > ADX threshold - ADX histeresis and
//
//  PDI < ADX - DI histeresis} or
//
//  MDI > PDI + DI histeresis
//
//  with optimization */
//
//------------------------------------------------------------------------------

/*ADX system
goldfreaz - 18 April 2002

Buy:  slope ADX > slope ADX threshold and
      ADX > ADX threshold + ADX histeresis and
      PDI > ADX + DI histeresis and
      slope PDI - slope MDI > slope DI threshold and
      PDI > ADX

Sell:  {ADX > ADX threshold - ADX histeresis and
       PDI < ADX - DI histeresis} or
       MDI > PDI + DI histeresis      

with  optimization */ 



// ADX and PDI/MDI have different smoothing constants
// smoothing defined as a exponential daily average, not Wilder's nonsense
Aperiod=11;
Bperiod=13;
ADXthreshold=18;
dadxthr=0.5;
slpadxD=18;
slpadxthr=0.35;
dPM=3.5;
slppmD=3;
slpPMthr=-0.65;
  //Aperiod=Optimize("Aperiod",13,11,15,1);
  //Bperiod=Optimize("Bperiod",14,13,17,1);
  //ADXthreshold=Optimize("ADXthreshold",17,16,18,0.25);
  //dadxthr=Optimize("dADXthr",0.25,0,1.5,0.25);
  //slpadxD=Optimize("slpadxD",12,18,22,1);
  //slpadxthr=Optimize("slpadxthr",0.35,0.2,0.5,0.05);
  //dPM=Optimize("dPM",1,3.5,4,0.2);
  //slppmD=Optimize("slppmD",3,2,4,1);
  //slpPMthr=Optimize("slpPMthr",-0.65,-1,-0.5,0.05);
Ppdi=PDI(Bperiod);
Mmdi=MDI(Bperiod);
dx=100*abs(Ppdi-Mmdi)/(Ppdi+Mmdi);
Aadx=EMA(dx,Aperiod);
slpadx=(Aadx-Ref(MA(Aadx,slpadxD),-1))/slpadxD;
slpPM=(Ppdi-Ref(EMA(Ppdi,slppmD),-1)-Mmdi+Ref(EMA(Mmdi,slppmD),-1))/slppmD;

Buy =slpadx>slpadxthr AND Aadx>ADXthreshold+dadxthr AND Ppdi>Mmdi+dPM AND slpPM>slpPMthr AND Ppdi>Aadx;

Sell=(Aadx>ADXthreshold-dadxthr AND Ppdi<Aadx-dPM) OR Mmdi>Ppdi+dPM;

  Filter=Buy OR Sell; 
  Sell=ExRem(Sell,Buy); Buy=ExRem(Buy,Sell);

AddColumn(Buy,"Buy");
AddColumn(Sell,"sell");
AddColumn(Aadx,"Aadx");
AddColumn(slpPM,"slpPM");
AddColumn(BuyPrice,"BuyPrice");
AddColumn(SellPrice,"SellPrice");