trend continuation factor.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:    Trend Continuation Factor
//  Author/Uploader: Dale butkowski 
//  E-mail:          [e-mail]
//  Date/Time Added: 2002-02-24 11:18:35
//  Origin:          "Trend Continuation Factor", M.H.Pee March, 2002 TAS&C
//  Keywords:        
//  Level:           basic
//  Flags:           system
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=163
//  Details URL:     http://www.amibroker.com/library/detail.php?id=163
//
//------------------------------------------------------------------------------
//
//  System to identify trend and its direction.
//
//------------------------------------------------------------------------------

/*Trend Continuation Factor
  MArch 2000 TAS&C */

EnableScript("jscript");

Length=Optimize("Length",35,1,100,1);

Change= Close-Ref(Close,-1);
PlusChange=IIf(Change>0,Change,0);
MinusChange=IIf(Change<0,-Change,0);

<%

PlusChange=VBArray(AFL("PlusChange")).toArray();
MinusChange=
VBArray(AFL("MinusChange")).toArray();

/*Make two new arrays*/
var PlusCF=new Array ();
var MinusCF=new Array();


/*fill array "PlusCF"*/
for (i=0; i<PlusChange.length; i++ )
{
   if (PlusChange[i]==0) {
   PlusCF[i]=0;
}
else {
   PlusCF[i]=PlusChange[i]+PlusCF[i-1];
}
}

/*Fill array "MinusCF*/
for (i=0; i<MinusChange.length; i++ )
{
   if (MinusChange[i]==0) {
   MinusCF[i]=0;
}
else {
  MinusCF[i]=MinusChange[i]+MinusCF[i-1];
}
}

/*Convert to AFL variables*/
AFL("PlusCF")=PlusCF;
AFL("MinusCF")=MinusCF;

%>

PlusTCF=
Sum(PlusChange-MinusCF,Length);
MinusTCF=
Sum(MinusChange-PlusCF,Length);

Buy=PlusTCF>0;
Sell=MinusTCF>0;
Short=Sell;
Cover=Buy;

/*This is optional*/
ApplyStop(2,1,Optimize("Stop Loss",12,1,15,1),1);

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