rsi double-bottom.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:    RSI Double-Bottom
//  Author/Uploader: Jim Varney 
//  E-mail:          jvarn359@ya_&nospam&_hoo.com
//  Date/Time Added: 2002-09-08 13:36:15
//  Origin:          
//  Keywords:        RSI, Double Bottom, Divergence
//  Level:           basic
//  Flags:           system
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=220
//  Details URL:     http://www.amibroker.com/library/detail.php?id=220
//
//------------------------------------------------------------------------------
//
//  Rising double bottom in RSI is a fairly reliable buy
//
//  signal (given a reasonably healthy market). Using a backtest database of 50
//  stocks (137,500 bars) diversified across
//
//  industries, beta, net return, and capitalization, the backtest gives the
//  following results:
//
//  Percent profitable: 77.0%
//
//  Ratio avg win/avg loss: 1.23
//
//  Risk adjusted ann. return: 24.63%
//
//  Profit factor: 4.12
//
//  Total number of trades: 217
//
//  Number winning trades: 167
//
//  Number losing trades: 50
//
//  The AFL needs more work to be a robust system. It can generate large losses
//  if the double bottom is the start of a long downtrend, so be careful.
//
//------------------------------------------------------------------------------

/* 
RSI DOUBLE-BOTTOM 
AmiBroker exploration by Jim Varney  jvarn359@ya^NOSPAM^hoo.com

The RSI Double-Top exploration is based on the theory that a rising double bottom in RSI (the second bottom is higher than the first) is bullish, while a falling double top in RSI is bearish.

Using A backtest database of 50 stocks (137,500 bars) diversified across industries, beta, net return, and capitalization, the backtest gives the following results:

[Trade settings: Long only, buy at open next day, sell at open next day. No stops.]

Percent profitable: 77.0%
Ratio avg win/avg loss: 1.23 
Risk adjusted ann. return: 24.63% 
Profit factor: 4.12 
Total number of trades: 217   
Number winning trades: 167   
Number losing trades: 50 

Setting a stop-Loss Of 20% reduces the percent profitable to 66% but reduces the drawdown as well.
*/ 

// ------- RSI Double-Top AFL -------------------------

// get 50-day average volume and compare today's volume
Vfifty = MA(V, 50);
Volidx = V/Vfifty;

// set the RSI period
myRSI = RSI(8);

// scan for a rising RSI double bottom in a 21-day window
Monthlow = LLV(myRSI, 21);
Lastlow = LLV(myRSI, 8);
Higherlow = Monthlow < Lastlow;
rsimin = (Lastlow < 30) AND Higherlow AND myRSI < 50;

// scan for a falling RSI double top in a 21-day window
Monthhigh = HHV(myRSI, 21);
Lasthigh = HHV(myRSI, 8);
Lowerhigh = Monthhigh > Lasthigh;
rsimax = (Lasthigh > 70) AND Lowerhigh AND myRSI > 60;

Filter = (C > 2) AND (Vfifty > 10000);

Buy = Filter AND RSImin;

Sell = RSImax;

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


AddColumn( C, "Price", format = 1.2);
AddColumn( V, "Vol", format = 1.0);
AddColumn( Volidx, "Vol/50day Vol", format = 1.1);
AddColumn( Buy, "Buy", format = 1.0 );
AddColumn( Sell, "Sell", format = 1.0 );