elder triple screen trading system (496).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:    Elder Triple Screen Trading System
//  Author/Uploader: Dennis Skoblar 
//  E-mail:          [e-mail]
//  Date/Time Added: 2005-07-08 12:49:04
//  Origin:          As derrived from the excellent books, "Trading For A Living" and "Come Into My Trading Room" by Alexander Elder.
//  Keywords:        Triple Screen, Alexander Elder,Pullback scan
//  Level:           semi-advanced
//  Flags:           system,exploration
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=496
//  Details URL:     http://www.amibroker.com/library/detail.php?id=496
//
//------------------------------------------------------------------------------
//
//  This scan finds long candidates by the weekly MACD uptick and the weekly 13
//  period Force Index above it's zero line. Plot a weekly 26 period EMA to
//  determine the weekly direction. It should be rising along with an uptick on
//  the weekly MACD to go long. The daily 2 period Force Index should be below
//  it's zero line. Look for the stock to pullback around it's daily 13 period
//  ema. Also use the daily 22 period ema to determine the direction of the
//  daily trend. Do the opposite for shorts. Best used as an Exploration. Sort
//  by the Weekly Force Index Tab or the Elder-Ray Long Tab or the Elder-Ray
//  Short Tab.
//
//  Basic layout:
//
//  Screen 1 Weekly Layout: 26 period EMA, Weekly 13 period Force index, MACD
//  Histogram and Lines.
//
//  Screen 2 Daily Layout: 13 period EMA, 22 period EMA, 2 period Daily Force
//  Index, Daily BullPower and Daily BearPower.
//
//  Screen 3 is an entry/exit technique. Place an order for tomorrow to enter
//  above today's high and place a stop loss below today's low or yesterdays
//  low, whichever is lower.
//
//------------------------------------------------------------------------------

// Elder Triple Screen Trading System.
// Coded by Dennis Skoblar 7/05/2005.
// As derrived from "Trading For A Living" and "Come Into My Trading Room" by Alexander Elder.
// 
// This scan finds long candidates by the weekly MACD uptick and the weekly 13 period Force Index above it's zero line.
// Plot a weekly 26 period EMA to determine the weekly direction. It should be rising along with an uptick on the weekly MACD to go long.
// The daily 2 period Force Index should be below it's zero line. Look for the stock to pullback around it's daily 13 period ema.
// Also use the daily 22 period ema to determine the direction of the daily trend.
// Do the opposite for shorts. Best used as an Exploration. Sort by the Weekly Force Index Tab or the Elder-Ray Long Tab or the Elder-Ray Short Tab.

TimeFrameSet( inWeekly );
WeeklyMACD = MACD(12,26) - Signal(12,26,9);
WeekHistRising = Ref(WeeklyMACD, -1) < Ref(WeeklyMACD, 0);
WeekHistFalling = Ref(WeeklyMACD, -1) > Ref(WeeklyMACD, 0);
FIWeekly = EMA(((C-Ref(C,-1))*V),13);
WeeklyForceIndexLong = FIWeekly > 0;
WeeklyForceIndexShort = FIWeekly < 0;
TimeFrameRestore();

// Weekly criteria
MACDLongW = TimeFrameExpand( WeekHistRising, inDaily );
MACDShortW= TimeFrameExpand( WeekHistFalling, inDaily );
FILongW = TimeFrameExpand( WeeklyForceIndexLong, inDaily );
FIShortW = TimeFrameExpand( WeeklyForceIndexShort, inDaily );

// Daily criteria
FIDaily = EMA(((C-Ref(C,-1))*V),2);
FILongD = FIDaily < 0;
FIShortD = FIDaily > 0;
PVFilter = (C>15) AND Ref(MA(V,50),-1)>100000;
TenTwentyFilter = HHV(H,20)-LLV(L,20); // How much price has gone in one month (>=10 points preferable)
FiftyDayHVFilter = round(StDev(log(C/Ref(C,-1)),50)*100*sqrt(256)); // One year volotility (>=40 preferable)
bullpower= High - EMA(Close,13); 
bearpower= Low - EMA(Close,13); 

// Scan criteria
ElderLong = MACDLongW AND FILongW AND FILongD; 
ElderShort = MACDShortW AND FIShortW AND FIShortD; 

// Columns for exploration

NumColumns = 9;

Column0 = FullName();     
Column0Name = "Ticker name";

Column1 = ElderLong;
Column1Name = "Long";

Column2 = ElderShort;
Column2Name = "Short";

Column3 = FiftyDayHVFilter;
Column3Name = "50 Day HV";

Column4 = TenTwentyFilter;
Column4Name = "10/20 Filter";

Column5 = FIWeekly;
Column5Name = "Weekly Force Index";

Column6 = FIDaily;
Column6Name = "Daily Force Index";

Column7 = ElderLong AND (bearpower < 0 AND bullpower > 0);
Column7Name = "Elder Ray Long";

Column8 = ElderShort AND (bearpower < 0 AND bullpower > 0);
Column8Name = "Elder Ray Short";

AddTextColumn( IndustryID(1), "Industry" );

AddTextColumn( MarketID(1), "Market" );

// Filters
Filter = TenTwentyFilter > 5 AND PVFilter AND (ElderLong OR ElderShort);
Buy= ElderLong;
Sell = ElderShort;

// Charts (just cut and paste each to it's owm window)-------------------------------------------------------------------

// Weekly Bar Chart
_SECTION_BEGIN("Weekly Graph");
TimeFrameSet( inWeekly );
wo = O;
wh = H;
wl = L;
wc = C;
TimeFrameRestore(); 
PlotOHLC( wo, wh, wl, wc, "Weekly Close", colorCustom9, styleBar );
_SECTION_END();

_SECTION_BEGIN("EMA");
P = ParamField("Price field",-1);
Periods = Param("Periods", 15, 2, 200, 1, 10 );
Plot( EMA( P, Periods ), _DEFAULT_NAME(), ParamColor( "Color", colorCycle ), ParamStyle("Style") ); 
_SECTION_END();

// ----------------------------------------------------------------------------------------------------------------------

// Weekly Force Index 13 Chart
_SECTION_BEGIN("Weekly Force Index Thirteen Period");
TimeFrameSet( inWeekly ); 
FI=EMA(((C-Ref(C,-1))*V),13);
TimeFrameRestore();
Plot(FI,"FI",colorCustom11,styleLine);
Plot(0,"ZERO LINE",colorWhite,styleThick);
_SECTION_END();

// ----------------------------------------------------------------------------------------------------------------------

// Weekly MACD Histogran
_SECTION_BEGIN("Weekly MACD");
TimeFrameSet( inWeekly );
MACDw = MACD( 12, 26 ) - Signal( 12, 26, 9 );
MACDwLINE =  MACD( 12, 26 ) ;
MACDwSignal = Signal( 12, 26, 9 );
TimeFrameRestore();
Plot(MACDw,"MACD Weekly",colorYellow,styleHistogram);
Plot(MACDwLINE,"MACD Weekly Line",colorRed,styleLine);
Plot(MACDwSignal,"MACD Weekly Signal Line",colorBlue,styleLine);
_SECTION_END();

// ----------------------------------------------------------------------------------------------------------------------

// Daily Bar Chart
_SECTION_BEGIN("Price");
SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
Plot( C, "Close", ParamColor("Color", colorCustom9 ), styleBar | ParamStyle("Style") | GetPriceStyle() ); 
_SECTION_END();

_SECTION_BEGIN("EMA");
P = ParamField("Price field",-1);
Periods = Param("Periods", 13);
Plot( EMA( P, Periods ), _DEFAULT_NAME(), ParamColor( "Color", colorYellow ), ParamStyle("Style") ); 
_SECTION_END();

_SECTION_BEGIN("EMA1");
P = ParamField("Price field",-1);
Periods = Param("Periods", 22);
Plot( EMA( P, Periods ), _DEFAULT_NAME(), ParamColor( "Color", colorRed ), ParamStyle("Style") ); 
_SECTION_END();

// ----------------------------------------------------------------------------------------------------------------------

// Daily Force Index 2 Period
_SECTION_BEGIN("Force Index 2 Day");
FI=EMA(((C-Ref(C,-1))*V),2);
Plot(FI,"FI",colorCustom11,styleLine);
Plot(0,"ZERO LINE",colorWhite,styleThick);
_SECTION_END();

// ----------------------------------------------------------------------------------------------------------------------

// Daily MACD Histogram
_SECTION_BEGIN("MACD");
r1 = Param( "Fast avg", 12, 2, 200, 1 );
r2 = Param( "Slow avg", 26, 2, 200, 1 );
r3 = Param( "Signal avg", 9, 2, 200, 1 );
Plot( ml = MACD(r1, r2), StrFormat(_SECTION_NAME()+"(%g,%g)", r1, r2), ParamColor("MACD color", colorRed ), ParamStyle("MACD style") );
Plot( sl = Signal(r1,r2,r3), "Signal" + _PARAM_VALUES(), ParamColor("Signal color", colorBlue ), ParamStyle("Signal style") );
Plot( ml-sl, "MACD Histogram", ParamColor("Histogram color", colorBlack ), styleNoTitle | ParamStyle("Histogram style", styleHistogram | styleNoLabel, maskHistogram ) );
_SECTION_END();

// ----------------------------------------------------------------------------------------------------------------------

// Daily BullPower
_SECTION_BEGIN("Bull Power EMA");
/*Bull Power*/
Lookback = Param ("EMA Lookback",13);
BullPower = High - EMA(Close,Lookback);
Plot (BullPower, "", ParamColor ("Color", colorCustom11), styleHistogram );
Title = Name() + "   " + Date() + "     Bull Power" + WriteVal (Lookback, 3.0) + " Day:   " + WriteVal (BullPower, 5.3);
GraphXSpace = 5;
_SECTION_END();

// ----------------------------------------------------------------------------------------------------------------------

// Daily BearPower
_SECTION_BEGIN("Bear Power EMA");
/*Bear Power*/
Lookback = Param ("EMA Lookback", 13);
BearPower = Low - EMA(Close,Lookback);
Plot (BearPower, "", ParamColor ("Color", colorRed), styleHistogram );
Title = Name() + "   " + Date() + "     Bear Power" + WriteVal (Lookback, 3.0) + " Day:   " + WriteVal (BearPower, 5.3);
GraphXSpace = 5;
_SECTION_END();

// End ---------------------------------------------------------------------------------------------------------------------