rutvol timing signal with bb scoring routine.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:    RUTVOL timing signal with BB Scoring routine
//  Author/Uploader: Gary Serkhoshian 
//  E-mail:          [e-mail]
//  Date/Time Added: 2003-11-18 15:05:44
//  Origin:          
//  Keywords:        Russell 2000, RUTVOL, Scoring example
//  Level:           semi-advanced
//  Flags:           system
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=307
//  Details URL:     http://www.amibroker.com/library/detail.php?id=307
//
//------------------------------------------------------------------------------
//
//  RUVOL signal was developed by Werner Gansz who was kind enough to share it
//  with the FT-Talk community. RUTVOL is an intermediate-term signal, and in
//  this code example it is coupled with a Bollinger Band scoring routine as a
//  selection methodology for stocks.
//
//------------------------------------------------------------------------------

/*RUTVOL SIGNAL LOGIC FROM .INI FILES

EXPLAINATION:  RUTVOL BASES THE FOLLOWING INDICATORS ON RUSSELL 2K INDEX.
				 1.  STOCHASTICS
				 2.  MACD
				 3.  RSI

				CALCULATIONS BASED ON THE NASDAQ TVOLQ,UVOLQ,DVOLQ AS FOLLOWS
				1.	ACCUTRACK
				2.	STOCHASTICS

TRANSLATED:  8/18/03

NOTE:	THIS IS A MODIFIED VERSION OF RUTVOL.  THIS VERSION PRODUCES MODESTLY BETTER RETURNS WITH SAME DD AS MEASURED AGAINST $RUT.  BELOW ARE THE CHANGES NEED TO CONVERT TO ORIGINAL RUTVOL.

1. RUTTR_BUYCOND has no RSI filtering in the current RUTTR.

2. Current version of RUTVOL does not use the volume AccuTrak in the volume buy condition
*/

// STEP #1:  ESTABLISH PARAMETERS
RUT = Foreign("!RUT","C");
//STOCHASTICS
AVERAGE = 53; //Optimize("AVERAGE",53,27,80,5);
SMOOTH = 49; //Optimize("SMOOTH",49,25,74,5);
TRIGGER = 28; //Optimize("TRIGGER",28,14,42,5);
BuyVALUE = 0;
SellVALUE = 0;

//MACD
ShortMA = 45; //Optimize("SHORTMA",45,23,90,5);
LONGMA = 90; //Optimize("LONGMA",90,45,135,5);
SignalMA = 8;  //Optimize("SIGNALMA",8,4,12,1);
BuyLEVEL = 0;
SellLEVEL = 0;

//RSI
RSILEN = 14; //Optimize("RSILEN",14,7,21,1);
BuyRSI = 63;
SellRSI = 47;
ShortRSI = 37;

//VOLUME EMA
VOLEMA1 = 60; //Optimize("VOLEMA1",60,30,90,5);
VOLEMA2 = 120; //Optimize("VOLEMA2",120,60,180,5);

//VOLUME ACCUTRACK
ACCU_SHORTPERIOD = 11; //Optimize("ACCU_SHORTPERIOD",11,5,16,1);
ACCU_LONGPERIOD = 44; //Optimize("ACCU_LONGPERIOD",44,22,66,3);

//TOTAL VOLUME STOCH CALC
TVOL_AVG = 41;  //Optimize("TVOL AVG",41,22,66,2);
TVOL_SMOOTH = 10;  //Optimize("TVOL_SMOOTH",10,5,15,1);
TVOL_TRIGGER = 8; //Optimize("TVOL_TRIGGER",8,4,12,1);

//********RUTTR CALC*********//
//STOCH CALC BEGIN
KSTOCH = 100 * (RUT - LLV(RUT,AVERAGE)) / (HHV(RUT,AVERAGE) - LLV(RUT,AVERAGE));
DSTOCH = EMA(KSTOCH,SMOOTH);
SignalLINE = EMA(DSTOCH,TRIGGER);
STOCH_HISTO = DSTOCH - SignalLINE;

//MACD CALC BEGIN
RUTMACD = EMA(RUT,ShortMA) - EMA(RUT,LONGMA);
MACDSignalLINE = EMA(RUTMACD, SignalMA);
MACD_HISTO = RUTMACD - MACDSIGNALLINE;

//RSI FILTER BEGIN
RSIFILTER_SELL = RSIa(RUT,RSILEN) < Ref(RSIa(RUT,RSILEN),-3) AND RUT < Ref(RUT,-1) AND RSIa(RUT,RSILEN) < SellRSI;

RSIFILTER_BUY = RSIa(RUT,RSILEN) > BuyRSI;

//RUTTR SIGNAL LOGIC

//STEP#1:  BUY & SELL COND
RUTTR_BUYCOND = (Stoch_HISTO > 0 AND MACD_HISTO > 0) OR RSIFILTER_BUY;
RUTTR_SELLCOND = (Stoch_HISTO < 0 AND MACD_HISTO < 0)  AND RSIFILTER_SELL;

//STEP#2: BUY & SELL STATE
RUTTR_BUYSTATE = Flip(RUTTR_BUYCOND,RUTTR_SELLCOND);
//RUTTR_SELLSTATE = Flip(RUTTR_SELLCOND,RUTTR_BUYCOND);
RUTTR_SELLSTATE = NOT RUTTR_BUYSTATE;

//*********RUTVOL CALC*********//

TVOLQ = Foreign("!NQ-V","C");
UVOLQ = Foreign("!NQ-AV","C");
DVOLQ = Foreign("!NQ-DV","C");

NQVOLEMA = EMA(TVOLQ,VOLEMA1);
NQUVOLEMA = EMA(UVOLQ,VOLEMA2);
NQDVOLEMA = EMA(DVOLQ,VOLEMA2);

//ACCUTRACK CALC OF NQ UP/DN VOL
UPVOLCHG = (NQUVOLEMA - Ref(NQUVOLEMA,-1)) / Ref(NQUVOLEMA,-1);
DNVOLCHG = (NQDVOLEMA - Ref(NQDVOLEMA,-1)) / Ref(NQDVOLEMA,-1);
UPVOL = EMA(UPVOLCHG, ACCU_LONGPERIOD);
DNVOL = EMA(DNVOLCHG, ACCU_LONGPERIOD);
VOL_DIFF = UPVOL - DNVOL;
ACCU_UPDNVOL = EMA(VOL_DIFF,ACCU_SHORTPERIOD);

ACCU_UPDNVOL_BUY = Cross(ACCU_UPDNVOL, 0); 
//ACCU_UPDNVOL_SELL = Cross(0, ACCU_UPDNVOL); 

// NASDAQ TOTAL VOLUME STOCHASTICS CALC
NQVOL_KSTOCH = 100 * (NQVOLEMA - LLV(NQVOLEMA,TVOL_AVG)) / (HHV(NQVOLEMA,TVOL_AVG) - LLV(NQVOLEMA,TVOL_AVG));

NQVOL_DSTOCH = EMA(NQVOL_KSTOCH,TVOL_SMOOTH);
NQVOL_SIGNALLINE = EMA(NQVOL_DSTOCH,TVOL_TRIGGER);

TVOL_STOCH_BUYCOND = Cross(NQVOL_DSTOCH,20) OR Cross(NQVOL_DSTOCH,80) OR ACCU_UPDNVOL_BUY;
TVOL_STOCH_SELLCOND = Cross(20, NQVOL_DSTOCH) OR Cross(80,NQVOL_DSTOCH);

TVOL_STOCH_BUYSTATE = Flip(TVOL_STOCH_BUYCOND,TVOL_STOCH_SELLCOND);

//*********RUTVOL SIGNAL LOGIC*********//
//CONDITIONS
RUTVOL_BUYCOND = TVOL_STOCH_BUYSTATE AND RUTTR_BUYSTATE;
RUTVOL_SELLCOND = NOT TVOL_STOCH_BUYSTATE OR NOT RUTTR_BUYSTATE;

//STATES
RUTVOL_BUYSTATE = Flip(RUTVOL_BUYCOND,RUTVOL_SELLCOND);

//SIGNALS
Buy = RUTVOL_BUYSTATE;
Sell = NOT RUTVOL_BUYSTATE;

//EXREM SIGNALS
Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);

ApplyStop(stopTypeLoss,stopModePercent,Optimize("MaxLoss",10,1,20,1),True,True);


//--------------------------------------------------  PORTFOLIO TRADING CODE BEGINS  ------------------------------------------------------------------

//Set Trade Delays and Initial Equity
SetOption("InitialEquity", 100000);
SetTradeDelays(1,1,1,1);
RoundLotSize = 100;

//Position Size Info
SetOption("MinShares",100);
MaxPos = Optimize("Max Positions",5,1,15,1);
SetOption("MaxOpenPositions",MaxPos);
PositionSize = -100/MaxPos;

//Scoring Routine Begins

BBandWid = 2;
UBBand   = BBandTop(Close, 21, BBandWid);
LBBand   = BBandBot(Close, 21, BBandWid);
PositionScore   = 100 - 100 * (Close - LBBand) / (UBBand - LBBand);//0 when C == Upper Band, 100 when C == Lower Band

//********EXPLORE CODE*********//
Filter = 1;//Status("LastBarInRange");
RUTVOLSIG = IIf(RUTVOL_BUYSTATE == 1,1,0);
AddToComposite(RUTVOLSIG,"~RUTVOL","X",atcFlagDefaults | atcFlagEnableInExplore);
AddColumn(RUTVOLSIG,"RUTVOL STATE",8.0);
AddColumn(RUTTR_BUYSTATE,"RUTTR",8.0, IIf(RUTTR_BUYSTATE == 1,colorGreen,colorDefault), colorDefault);
AddColumn(TVOL_STOCH_BUYSTATE,"VOLUME",8.0,IIf(TVOL_STOCH_BUYSTATE == 1,colorGreen,colorDefault), colorDefault);
AddColumn(Buy,"RUTVOL BUY",8.0,colorDefault,IIf(Buy == 1,colorGreen,colorDefault));
AddColumn(Sell,"RUTVOL SELL",8.0,colorDefault,IIf(Sell == 1,colorYellow,colorDefault));

//*********INDICATOR CODE*********//
Title = "RUTVOL:   " + EncodeColor(colorBrightGreen) + "GREEN = BUY   " + EncodeColor(colorYellow) + "YELLOW = CASH";
Plot(0,"",colorLightGrey,styleNoLine+styleNoLabel);
PlotShapes(IIf(Buy ==1, shapeUpArrow,shapeNone),colorBrightGreen,0,0,10);
PlotShapes(IIf(Sell ==1, shapeHollowUpArrow,shapeNone),colorYellow,0,0,10);