danningham penetration.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:    danningham penetration
//  Author/Uploader: N. Sagi 
//  E-mail:          [e-mail]
//  Date/Time Added: 2004-03-17 13:48:49
//  Origin:          
//  Keywords:        danningham penetration vbscript
//  Level:           semi-advanced
//  Flags:           system
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=345
//  Details URL:     http://www.amibroker.com/library/detail.php?id=345
//
//------------------------------------------------------------------------------
//
//  this furmula try to simulate the
//
//  danningham penetration method, using
//
//  vbscript inside it.
//
//  if you find a way to improve it,
//
//  you can send the improvment back to me :)
//
//------------------------------------------------------------------------------

////////////////////////////////////////////////
//danningham penetration writen by SAGI. 2004.//
//[e-mail]                     //
////////////////////////////////////////////////

EnableScript("vbscript");

//ApplyStop( 0, 1, Optimize( "loss", 2, 0, 3, 0.5 ), 0 );
//ApplyStop( 2, 1, Optimize( "trailing", 2, 0, 15, 0.5 ), 0 );
//ApplyStop( 1, 1, Optimize( "profit", 2, 0, 15, 0.5 ), 0 );
ApplyStop( 0, 1, 3, 0 );//loss
//ApplyStop( 2, 1, 2, 0 );//trailing
//ApplyStop( 1, 1, 2, 0 );//profit
//ApplyStop( 3, 1, 2, 0 );//bars


Buy=Short=Sell=Cover=O;

//start vbscript
<%

pbuy = AFL("buy")
pshort = AFL("short")
psell = AFL("sell")
pcover = AFL("cover")
pclose=AFL("close")
popen=AFL("open")
phigh=AFL("high")
plow=AFL("low")

Dayflag=0
Dayopen=0
Dayhigh=0
Daylow=0
Dayclose=0
stoploos=0
'
Dayflags=0
Dayopens=0
Dayhighs=0
Daylows=0
Daycloses=0
stoplooss=0

 for i = 0 to UBound( pbuy )
'=====Long============
     'init arrays
     pbuy ( i )=0
     psell ( i )=0
     
     select Case Dayflag
     Case 0
      Dayflag=1
      Dayopen=popen(i)
      Dayhigh=phigh(i)
      Daylow=plow(i)
      Dayclose=pclose(i)

     Case 1
      if phigh(i)>dayhigh then
       Dayopen=popen(i)
       Dayhigh=phigh(i)
       Daylow=plow(i)
       Dayclose=pclose(i)
      else
       if phigh(i)<Daylow then
        Dayflag=2
        Dayopen=popen(i)
        Dayhigh=phigh(i)
        Daylow=plow(i)
        Dayclose=pclose(i)
        psell(i)=1
        stoploos=0
       end if
      end if

     Case 2
      if plow(i)<Daylow then
       Dayopen=popen(i)
       Dayhigh=phigh(i)
       Daylow=plow(i)
       Dayclose=pclose(i)
      else
       if pclose(i)>Dayclose then
        pbuy(i)=1
        stoploos=plow(i)
        Dayflag=0
        Dayopen=0
        Dayhigh=0
        Daylow=0
        Dayclose=0
       end if
      end if

     end select
     if stoploos>0 then
      if stoploos > pclose(i) then
       psell(i)=1
       stoploos=0
      end if
     end if
 
'===========Short==============
'init arrays
     
     pshort ( i )=0
     pcover ( i )=0

     select Case Dayflags
     Case 0
      Dayflags=1
      Dayopens=popen(i)
      Dayhighs=phigh(i)
      Daylows=plow(i)
      Daycloses=pclose(i)

     Case 1
      if plow(i)<daylows then
       Dayopens=popen(i)
       Dayhighs=phigh(i)
       Daylows=plow(i)
       Daycloses=pclose(i)
      else
       if plow(i)>Dayhighs then
        Dayflags=2
        Dayopens=popen(i)
        Dayhighs=phigh(i)
        Daylows=plow(i)
        Daycloses=pclose(i)
        pcover(i)=1
        stoplooss=0
       end if
      end if

     Case 2
      if phigh(i)>Dayhighs then
       Dayopens=popen(i)
       Dayhighs=phigh(i)
       Daylows=plow(i)
       Daycloses=pclose(i)
      else
       if pclose(i)<Daycloses then
        pshort(i)=1
        stoplooss=phigh(i)
        Dayflags=0
        Dayopens=0
        Dayhighs=0
        Daylows=0
        Daycloses=0
       end if
      end if

     end select
     if stoplooss>0 then
      if stoplooss < pclose(i) then
       pcover(i)=1
       stoplooss=0
      end if
     end if

 next


AFL("pbuy")=pbuy 
AFL("pshort")=pshort 
AFL("psell")=psell 
AFL("pcover")=pcover
%>
//end vbscript


//shot the signals
Buy=pbuy AND (MA(C,9)>Ref(MA(C,9),-1)OR MA(C,20)>Ref(MA(C,20),-1));
Sell=0 ;
Short=pshort AND (MA(C,9)<Ref(MA(C,9),-1)OR MA(C,20)<Ref(MA(C,20),-1));
Cover=0 ;