moving averages nox.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:    Moving Averages NoX
//  Author/Uploader: Thomas Heyen 
//  E-mail:          
//  Date/Time Added: 2006-06-07 17:14:52
//  Origin:          This Model is a result of different tests. The ER2 Future is very volatile due to high program trading. This model tries to find short term trends.
//  Keywords:        System Moving Average Reversal Trend
//  Level:           medium
//  Flags:           system
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=624
//  Details URL:     http://www.amibroker.com/library/detail.php?id=624
//
//------------------------------------------------------------------------------
//
//  Instead of using Crossover of Moving Averages, this model will follow
//  reversals of a short term Moving Average.
//
//  A long term Moving Average is used for general trend determination.
//
//------------------------------------------------------------------------------

/* -----------------------------------

Author: Thomas Heyen
Mechanical Trading Model ER2 - Emini Russel 2000
Curve Fit June 2006
Base Time Frame: 15 seconds

----------------------------------- */


PositionSize = MarginDeposit = 1;
MarketHours = TimeNum()>=154000 AND TimeNum()<=214000; 
MarketClose= TimeNum()>=214444 AND TimeNum()<=240000;

perl = 24;//Optimize("smoothing periods long",24,10,60,2);
perl2 = 72;//Optimize("smoothing periods long slow",72,60,100,4);
per = 54;//Optimize("smoothing periods",54,20,80,2); //DEMA = 24 long & DEMA=48 short
per2 = 72;//Optimize("smoothing periods slow",90,60,100,4); //DEMA=74 long & DEMA=90 short - around 80 will do
//per=Param("periods",3,3,89,1);
up= (DEMA(C,perl)>Ref(DEMA(C,perl),-1)) AND (Ref(DEMA(C,perl),-2)>Ref(DEMA(C,perl),-1));
down= (DEMA(C,per)<Ref(DEMA(C,per),-1)) AND (Ref(DEMA(C,per),-2)<Ref(DEMA(C,per),-1));

Buy = up AND (DEMA(C,per)>DEMA(C,perl2));
Cover = up;
Short = down AND (DEMA(C,per)<DEMA(C,per2));
Sell = down;

PlotShapes(IIf(Buy,shapeUpArrow,shapeNone),colorGreen);
PlotShapes(IIf(Short,shapeDownArrow,shapeNone),colorRed);
Lang = BarsSince(Buy) < BarsSince(Sell);
kurz = BarsSince(Short) < BarsSince(Cover);
//Plot Trading Ribbon
Color = IIf( Lang, colorGreen, IIf( kurz, colorRed, colorWhite ));
Plot( 1, "", Color, styleArea | styleOwnScale | styleNoLabel, 0, 15 );





/*
ibc = GetTradingInterface("IB");
if( ibc.IsConnected() ) // check if connection to IB was successfull
{
if( LastValue( Buy ) )
{
     if( ibc.GetPositionSize( Name() ) <1)
     {
        // transmit order
        ibc.PlaceOrder( Name(), "Buy", 1, "MKT", 0, 0, "Day", True );
}
}
if( LastValue( Sell ) )
{
     if( ibc.GetPositionSize( Name() ) > 0)
     {
        // transmit order
        ibc.PlaceOrder( Name(), "Sell", 1, "MKT", 0, 0, "Day", True );
}
}
if( LastValue( Short ) )
{
     if( ibc.GetPositionSize( Name() ) > -1)
     {
        // transmit order
        ibc.PlaceOrder( Name(), "SShort", 1, "MKT", 0, 0, "Day", True );
}
}
if( LastValue( Cover ) )
{
     if( ibc.GetPositionSize( Name() ) <0)
     {
        // transmit order
        ibc.PlaceOrder( Name(), "Buy", 1, "MKT", 0, 0, "Day", True );
}
}
}

*/