sectorrsi.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:    SectorRSI
//  Author/Uploader: goldfreaz 
//  E-mail:          [e-mail]
//  Date/Time Added: 2002-05-04 14:45:07
//  Origin:          some stuff from Dimitris
//  Keywords:        
//  Level:           semi-advanced
//  Flags:           system
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=187
//  Details URL:     http://www.amibroker.com/library/detail.php?id=187
//
//------------------------------------------------------------------------------
//
//  Scan looks for stocks that have low RSI but turning up. Also, checks for
//  composite to be in agreement. Run in the scan mode to establish composite.
//  Then run in the backtest mode to find the winners. Paste all the winner
//  from the results into their own separate group. Repeat the above on this
//  elite group...model is set up for swing trading with a maximum hold of five
//  days.
//
//------------------------------------------------------------------------------

/* SectorRSI swing system
** goldfreaz - 5 May 2002
*/
//myobj = CreateObject("MyAFLObject.Class1");
PositionSize=4000;

// Mean RSI
Nrsi=14;//Optimize("Nrsi",11,14,19,1);
rr=13;//Optimize("rr",15,12,15,1);
ss=2;//Optimize("ss",3,2,3,1);
Wfactor=1;//Optimize("Wf",0.8,0.8,1.3,0.1);
slpTsiD=6;//Optimize("slpTsiD",6,5,8,1);

MeanRSI = Foreign("~SUMRSI","O",1) / Foreign("~SUMRSI","V",1);
rrsi=RSI(Nrsi);
ROCmean=ROC(EMA(meanrsi,4),2);
ROCrsi=ROC(EMA(rrsi,4),2);
both=Wfactor*ROCmean+ROCrsi;
Tsi=50 * ( EMA( EMA( both ,rr ) ,ss) / EMA( EMA( abs( both ),rr ), ss) );

TsiBase=MA(Tsi,slpTsiD);
Nx=1.77;//Optimize("Nx",5,1.6,1.9,.05);
CurveTsi=Tsi-1.5*Ref(Tsi,-1)+.5*Ref(Tsi,-3);
//CurveTsi=myobj.Curvature( Tsi, 3, Nx );
//CurveTsi=myobj.ECurve( Tsi, Nx );
wait=8;//Optimize("Wait",8,6,9,1);
profitfactor=2.6;//Optimize("Pf",2.6,2.3,2.8,0.1);
Patr=11;//Optimize("Patr",8,8,11,1);
LossFactor=2.4;//Optimize("LF",1.5,1.2,2.8,0.2);
PatrL=11;//Optimize("PatrL",11,10,13,1);
CurveTsiCrit=3;//Optimize("CtsiC",5,2.7,3.2,.1);
TsiCrit=-25;//Optimize("TsiC",-25,-26,-23,1);
Buy = CurveTsi>CurveTsiCrit AND TsiBase<TsiCrit;
ExRemSpan(Buy,wait);
target=ProfitFactor*ATR(Patr);
Loss=LossFactor*ATR(PatrL);
ApplyStop(1,2,target,1);
ApplyStop(2,2,Loss,0);
Sell=Ref(Buy,-wait);
  Filter=1;
  Buy=ExRem(Buy,Sell);
  Sell=ExRem(Sell,Buy);
AddToComposite( Equity(1,-1), "~CompoEquity", "X",7);

Rt=RSI( 9 );
Rmean=IIf(Rt>=1 AND Rt<=99,Rt,0);
AddToComposite(Rmean,"~SUMRSI","X",7);
AddToComposite(1,"~SUMRSI","V",7);

AddColumn(Buy,"Buy");
AddColumn(Buy+target,"target");
AddColumn(CurveTsi,"CTsi");

MaxGraph=3;
Graph0=MeanRSI; Graph0Color=14; Graph0Style=1;
Graph1=rrsi; Graph1Color=5; Graph1Style=1;
Graph2=Tsi; Graph2Color=2; Graph2Style=9;