peterson.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:    Peterson
//  Author/Uploader: Marek Chlopek 
//  E-mail:          [e-mail]
//  Date/Time Added: 2001-10-17 02:55:21
//  Origin:          
//  Keywords:        
//  Level:           basic
//  Flags:           system
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=128
//  Details URL:     http://www.amibroker.com/library/detail.php?id=128
//
//------------------------------------------------------------------------------
//
//  Trading System developed by Dennis Peterson, described in article "Common
//  Themes in Trading" 09/27/01, Traders.com Advantage
//
//------------------------------------------------------------------------------

/* PETERSON.AFL v 1.00 17/10/2001
/* Peterson Trading Method
/* Developed by Dennis Peterson
/* From Traders.com Advantage, article "Common Themes in Trading" 09/27/01, by Dennis Peterson
/* Trading Method ported and coded by Marek Chlopek, October 2001
/* Support from Tomasz Janeczko and Amibroker Mailing List members - THANKS!!!
/*
/* Cole Trading Method
/* Developed by Roger Cole
/* From Technical Analysis of Stocks and Commodities, V8:12 (460-463), by Alan Friedman
/*
/* TRI - The Range Indicator
/* Developed by Jack L. Weinberg
/* From Technical Analysis of Stocks and Commodities, V13:6 (238-242) */
/*
/* ************************************************************************** */
/* Peterson Trading Method description
/* An up signal is formed when:
/* a) a stock make two Rally Days - kind of modified Cole Trading Method,
/* b) The Range Indicator (TRI) indicates there is a possible trend change from down to up and
/* c) exponential moving averages confirming trending up.
/* An down signal is formed when:
/* a) a stock make two Reaction Days - kind of modified Cole Trading Method,
/* b) The Range Indicator (TRI) indicates there is a possible trend change from up to down and
/* c) exponential moving averages confirming trending down */

/* ************************************************************************** */
opt1  =  9;// optimize("",10,7,10,1);
opt2  =  4;
opt3  = 66;
opt4  =  8;
opt5  =  3;
opt6  =  8;
opt7  =  9;
opt8  =  7;
opt9  = 10;

/* ************************************************************************** */
/* Condition a) - modified Cole Trading Method
/* modification to Cole Trading Method proposed by Dennis Peterson:
/* - two Rally or Reaction Days in a row instead of three,
/* - Inside and Outside Days are not omitted when finding two days in a row
/* - volume analysis is omitted */

/* Cole's Trading Day Status definition */
RY  = H >  Ref(H, -1) AND L >= Ref(L, -1); // Rally Day
RX  = H <= Ref(H, -1) AND L <  Ref(L, -1); // Reaction Day
IN  = H <= Ref(H, -1) AND L >= Ref(L, -1); // Inside Day
OUT = H >  Ref(H, -1) AND L <  Ref(L, -1); // Outside Day

/* Cole - counts number of Rally Days in a row (positive) or Reaction Days in a row (negative)
/* When Rally Cole increases by 1 unless the first Rally Day then Cole = 1
/* When Reaction Cole decreases by 1 unless the first Reaction Day then Cole = -1
/* When Inside Day or Outside Day then Cole = 0 */
PeriodRY = BarsSince(NOT RY);
PeriodRX = BarsSince(NOT RX);
Cole     = IIF(IN OR OUT, 0, ValueWhen(RX OR RY, Sum(RY, PeriodRY) - Sum(RX, PeriodRX)));

CondABuy  = Cole >=  2; // two rally days in a row
CondASell = Cole <= -2; // two reaction days in a row

/* ************************************************************************** */
/* Condition b) - The Range Indicator
/*
/* StochRange - first step in constructing the TRI
/* StochRange - an oscillator of the ratio of the daily true range with the intraday range
/* Value1 - Today's True Range divided by today's close minus yesterday's close unless C-Ref(C,-1) < 0 then Value1 = True Range
/* Value2 - the lowest value of Value1, over the last q days
/* Value3 - the highest value of Value1, over the last q days */
q = opt1; /* stochastic period */
Value1 = IIF(C > Ref(C, -1), ATR(1) / (C - Ref(C, -1)), ATR(1));
Value2 = LLV(Value1, q);
Value3 = HHV(Value1, q);
StochRange = IIF((Value3 - Value2) > 0, 100 * (Value1 - Value2) / (Value3 - Value2), 100 * (Value1 - Value2));

/* The Range Indicator - TRI by J.L Weinberg
/* The Range Indicator - smooth StochRange using an exponential moving average of m periods */
m = opt2; /* exponential smoothing period */
TRI = EMA(StochRange, m);

CondBBuy  = Hold(TRI > opt3, opt4);
CondBSell = Hold(TRI > opt3, opt7);

/* ************************************************************************** */
/* Condition c) - exponential moving averages */

ema1 = EMA(C, opt5);
ema2 = EMA(C, opt6);
ema3 = EMA(C, opt8);
ema4 = EMA(C, opt9);

CondCBuy  = ema1 > ema2;
CondCSell = ema3 < ema4;

/* ************************************************************************** */
/* Trading Signals in Peterson Trading Method */
Buy   = CondABuy  AND CondBBuy  AND CondCBuy;
Sell  = CondASell AND CondBSell AND CondCSell;

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

Cover = Buy;
Short = Sell;

/* ************************************************************************** */
/* Graphic presentation in Amibroker */
//maxgraph = 1;
//graph0 = Cole;
//title = name() + " - Cole = " + WriteVal(graph0, 1.0);

/* ************************************************************************** */
/* Exploration in Amibroker */
filter = 1;
numcolumns = 21;
column0 = H;		column0name = "H";		column0format = 1.2;
column1 = L;		column1name = "L";		column1format = 1.2;
column2 = V;		column2name = "V";		column2format = 1.0;
column3 = RY;		column3name = "RY";		column3format = 1.0;
column4 = RX;		column4name = "RX";		column4format = 1.0;
column5 = IN;		column5name = "IN";		column5format = 1.0;
column6 = OUT;		column6name = "OUT";		column6format = 1.0;
column7 = Cole;		column7name = "Cole";		column7format = 1.0;
column8 = CondABuy;	column8name = "ABuy";		column8format = 1.0;
column9 = CondASell;	column9name = "ASell";		column9format = 1.0;
column10= TRI;		column10name= "TRI";		column10format= 1.2;
column11= CondBBuy;	column11name= "BBuy";		column11format= 1.0;
column12= CondBSell;	column12name= "BSell";		column12format= 1.0;
column13= ema1;		column13name= "ema1";		column13format= 1.4;
column14= ema2;		column14name= "ema2";		column14format= 1.4;
column15= ema3;		column15name= "ema3";		column15format= 1.4;
column16= ema4;		column16name= "ema4";		column16format= 1.4;
column17= CondCBuy;	column17name= "CBuy";		column17format= 1.0;
column18= CondCSell;	column18name= "CSell";		column18format= 1.0;
column19= Buy;		column19name= "BuySig";		column19format= 1.0;
column20= Sell;		column20name= "SellSig";	column20format= 1.0;

/* ************************************************************************** */
/* END PETERSON Indicator Formula */