steve woods' cum. vol. float + cum. vol. channels.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:    Steve Woods' Cum. Vol. Float + Cum. Vol. Channels
//  Author/Uploader: Eric Tangen 
//  E-mail:          
//  Date/Time Added: 2002-07-12 08:51:23
//  Origin:          Steve Woods "The Precision Profit Float Indicator"
//  Keywords:        Float Channel Steve Woods Cumulative Volume
//  Level:           advanced
//  Flags:           indicator
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=203
//  Details URL:     http://www.amibroker.com/library/detail.php?id=203
//
//------------------------------------------------------------------------------
//
//  This file contains two of Steve Woods' indicators: his Cumulative-Volume
//  'Float' indicator and his Cumulative-Volume 'Channel' indicator.
//
//  The Cumulative-Volume 'Float' indicator is a channel of the high/close and
//  lowest low/close during a period of time where the cumulative volume of
//  shares traded equaled the float. It is for a single bar. The date of this
//  bar is set at the beginning of the AFL code.
//
//  The Cumulative-Volume 'Channel' indicator is channel lines constructed from
//  the Cumulative-Volume 'Float' indicator for all bars in the chart.
//
//  The last of Steve Woods' indicators - his Cumulative Volume 'Percentage'
//  indicator can be implemented entirely in AFL. I have posted it in a
//  separate file.
//
//------------------------------------------------------------------------------

// file name .../Indicators/Float_Cum_Vol_VBscript.afl

Title="(AmiSheet #) "+Name()+"  "+FullName()+"  Group: "+SectorID(1)+ " // Float Cumulative Vol and Float Channels Work using VBscript //  "  ;

myCumVolLastBar = LastValue(Cum(1)) - 100 ;
// the '-x' term in the above equation sets the last bar of the Float Cumulative Volume Indicator 
// use 0 for setting the last bar of the indicator to the last bar loaded. Set it to 
// 10 for 10 bars back from last bar loaded, 20 for 20 bars back...OR 

// use the calendar version (below) - it is easier:
myCumVolLastBar = LastValue(ValueWhen(DateNum()==1020703,Cum(1),1) ); 
// Change the DateNum in the above equation to set the last bar of the Float Cumulative Volume Indicator 

EnableScript("VBscript");

AFL_float =  GetExtraData("SharesFloat"); // Use QuotesPlus data feed for easy database access to the shares in 
                                                                //  float number
                                                                //  Another method would be to set up foreign tickers to contain float data
                                                                //  Or one could enter the number in the AFL code for each stock examined
BarsLoaded = LastValue(Cum(1))-1;

<%
'// VBscript code begins here
'// ***************** alter range of float calc here in order to change execution speed

'// the following 'For' statement calcs float for A specific range of bars
'// zero = most distant bar, Ubound = most recent bar = largest positive integer

vbdaystocalc = AFL("BarsLoaded") ' positive integer, set number of bars
                    '  for the float channels calculation

vbmostrecentbar  =  AFL("BarsLoaded")+1 '// A larger value than the number of days loaded
                          '// defaults to today as the most recent bar

'// ***********************************************

'//  the 1000000 factor reconciles QP float with QP vol units

vbfloat = 1000000*AFL("AFL_float") 
vb0d25float = 0.25*vbfloat
vb0d50float = 0.50*vbfloat
vb0d75float = 0.75*vbfloat
vbvol = AFL("V")

'/* it looks like the only way to create/initialize
' an array in VBscript is to set it 
' equal to an AFL Array
' so for arrays that I will pass back to AFL from  
' vbscript, I will set them equal to 
' OpenInterest, a field that isn't used by stock guys
'*/
vbFTdays= AFL("OI") 
'// Create Outputs Arrays
vb0d25FTdays = AFL("OI") ' days for 0.25 percent of float to turnover
vb0d50FTdays = AFL("OI") ' days for 0.5 percent of float to turnover
vb0d75FTdays = AFL("OI") ' days for 0.75 percent of float to turnover

'//  initialize the vbscript arrays 
'//(Belt+suspenders precaution if they 
'// aren't zeroed from the QP database)
For i = Ubound(vbFTdays) to 0 step  -1
    vb0d25FTdays(i) = 0
    vb0d50FTdays(i) = 0
    vb0d75FTdays(i) = 0
Next

'// calculates the number of days it took looking backward from
'// today for the float to turn over...
'// implemented as a Do While loop (for the Volume summation)
'// nested Inside a For-Next loop (to do this calculation for each
'// bar loaded)

'//  ********************* The range of the following FOR statement
'//  ********************* has a dramatic affect on program exectution time

If vbmostrecentbar > Ubound(vbvol) Then
	vbmostrecentbar =Ubound(vbvol)
End If

vbmostdistantbar = vbmostrecentbar - vbdaystocalc

If vbmostdistantbar > vbmostrecentbar Then
	vbmostdistantbar = 0
End If

'//  the following 'For' statement calcs float for all bars loaded and is included for
'//  future reference only
'//  zero = most distant bar, Ubound = most recent bar = largest positive integer
'//  For i = Ubound(vbvol) to 0 step  -1
'//  the user configurable range follows:

For i = vbmostrecentbar to vbmostdistantbar step  -1

'// ********************** END FOR I = x to y SELECTION ***********

'// vbFTdays array contains the number of days for the 
'// float to turn over

vbFTdays(i) = 0
vbtempvolsum = 0
vbtemp0d25volsum = 0
vbtemp0d50volsum = 0
vbtemp0d75volsum = 0
j = i
vbcountFTdays = 0

'// Add vol till you get one float

Do While vbtempvolsum < vbfloat	
    vbtempvolsum = vbtempvolsum+Vbvol(j)
    vbtemp0d25volsum = vbtemp0d25volsum + vbvol(j)
    vbtemp0d50volsum = vbtemp0d25volsum + vbvol(j)
    vbtemp0d75volsum = vbtemp0d25volsum + vbvol(j)   
    vbcountFTdays = vbcountFTdays+1

'// Pick up the partial float turnovers - very convenient to do it here  
   
    If vbtemp0d25volsum < vb0d25float Then
   	vb0d25FTdays(i) = vbcountFTdays
        vbtemp0d25volsum = vbtempvolsum 
    End If

    If vbtemp0d50volsum < vb0d50float Then
   	vb0d50FTdays(i) = vbcountFTdays
    End If

    If vbtemp0d75volsum < vb0d75float Then
   	vb0d75FTdays(i) = vbcountFTdays
    End If

    j = j-1  '// decrement to set the index to the prior bar
    If j <= 0 Then
        Exit Do '// exit at vbVol(0)
    End If
Loop

If vbtempvolsum >= vbfloat Then
vbFTdays(i) = vbcountFTdays '// successful float turnover calc
Else  
vbFTdays(i) =0   '// unsuccessful float turnover calc - insufficient number of bars loaded
End If

'// set float turnover to 0 until you get an entire fractional float
'// similiar to needing n periods prior to getting A valid n period 
'// moving average. Without this check, the earliest bars show A ramp up 

'// there is no need for the >= check for the fractional floats here

If vbtemp0d25volsum < vb0d25float Then
vb0d25FTdays(i) = 0 ' unsuccessful fractional float turnover calc
End If

If vbtemp0d50volsum < vb0d50float Then
vb0d50FTdays(i) = 0 '// unsuccessful fractional float turnover calc
End If

If vbtemp0d75volsum < vb0d75float Then
vb0d75FTdays(i) = 0 '// unsuccessful fractional float turnover calc
End If

Next 

'// end of float turnover bars calc

AFL.Var("Floatout") = 1000000*vbfloat
AFL.Var("FTdays") = vbFTdays
AFL.Var("quarterFTdays") = vb0d25FTdays
AFL.Var("halfFTdays") = vb0d50FTdays
AFL.Var("threequarterFTdays") = vb0d75FTdays
%>
// Float Cumulative Volume 

BarCounter = Cum(1);
lastbararray = IIf(myCumVolLastBar==BarCounter,1,-1E10);
CumVolFirstBar = myCumVolLastBar - LastValue(ValueWhen(lastbararray==1,FTdays, n=1));
Window1 = IIf(barcounter <= myCumVolLastBar AND barcounter > CumVolFirstBar, 1, -1E10);

myhh = HHV(H,LastValue(ValueWhen(lastbararray==1,FTdays, n=1)));     
myhh1 = Window1*LastValue(ValueWhen( lastbararray==1, myhh, n=1));

myll = LLV(L,LastValue(ValueWhen(lastbararray==1,FTdays, n=1)));     
myll1 = Window1*LastValue(ValueWhen( lastbararray==1, myll, n=1));

// Float Cumulative Volume Plot:
Plot( C, " ",1,64); // Graph1Color = 1; //1=black; Graph Type 64 = candlestick chart
Plot(myhh1," ",1,8);// Graph1Color = 8; //8=bright green Graph1Color = 1; //1=black
Plot(myll1," ",1,8);// Graph1Color = 11; //11=magenta Graph1Color = 1; //1=black

// The below 2 lines are used to prevent the indicator from sitting on the chart's upper or lower
// borders when scaling is set to automatic. 
Plot( myhh1+ATR(10), " ",1,256);// 256 = no draw: scale axis only
Plot( myll1-ATR(10), " ",1,256);// 256 = no draw: scale axis only

// Float Channel Bars : undocumented Amibroker feature - LLV, HHV will take an array for the 'periods' argument
// Thank You Again, TJ

Window2 = IIf(FTdays != 0, 1, -1E10); // this removes the invalid first N bars of FT 

Ch_LLV_C = Window2*Ref(LLV(C,FTdays),-1);
Ch_HHV_C = Window2*Ref(HHV(C,FTdays),-1);
Ch_LLV_L = Window2*Ref(LLV(L,FTdays),-1);
Ch_HHV_H = Window2*Ref(HHV(H,FTdays),-1);

Plot( Ch_LLV_C," ",4,4);// Graph1Color = 4; //4=red 
Plot( Ch_HHV_C," ",6,4);// Graph1Color = 6; //6=blue 
Plot( Ch_LLV_L," ",5,4);// Graph1Color = 5;  //5=bright green
Plot( Ch_HHV_H," ",11,4);// Graph1Color = 11; //11=magenta

// The below 2 lines are used to prevent the indicator from sitting on the chart's upper or lower
// borders when scaling is set to automatic. 

Plot( Ref(LLV(L,FTdays),-1)-ATR(10), " ",1,256);// Graph = 256 = no draw: scale axis only
Plot( Ref(HHV(H,FTdays),-1)+ATR(10), " ",1,256);// Graph1 = 256 = no draw: scale axis only

/*
        AFL CHART COLORS Amibroker 4.0
Plot( AFLarray, "ArrayString",0,4);// Graph1Color = 0; //0=Gray Thick Line Chart
Plot( AFLarray, "ArrayString",1,4);// Graph1Color = 1; //1=black
Plot( AFLarray, "ArrayString",2,4);// Graph1Color = 2; //2=white
Plot( AFLarray, "ArrayString",3,4);// Graph1Color = 3; //3=blank (not transparent, use graph type 16 to delete)
Plot( AFLarray, "ArrayString",4,4);// Graph1Color = 4; //4=red 
Plot( AFLarray, "ArrayString",5,4);// Graph1Color = 5; //5=bright green
Plot( AFLarray, "ArrayString",6,4);// Graph1Color = 6; //6=blue
Plot( AFLarray, "ArrayString",7,4);// Graph1Color = 7; //7=yellow
Plot( AFLarray, "ArrayString",8,4);// Graph1Color = 8; //8=bright green
Plot( AFLarray, "ArrayString",9,4);// Graph1Color = 9; //9=maize
Plot( AFLarray, "ArrayString",10,4);// Graph1Color = 10; //10=cyan
Plot( AFLarray, "ArrayString",11,4);// Graph1Color = 11; //11=magenta
Plot( AFLarray, "ArrayString",12,4);// Graph1Color = 12; //12=violet (almost black)
Plot( AFLarray, "ArrayString",13,4);// Graph1Color = 13; //13=peach
Plot( AFLarray, "ArrayString",14,4);// Graph1Color = 14; //14=even lighter cyan
Plot( AFLarray, "ArrayString",15,4);// Graph1Color = 15; //15=brick
Plot( AFLarray, "ArrayString",16,4);// Graph1Color = 16; //16=black
Plot( AFLarray, "ArrayString",17,4);// Graph1Color = 17; //17=brown
Plot( AFLarray, "ArrayString",18,4);// Graph1Color = 18; //18=black
Plot( AFLarray, "ArrayString",19,4);// Graph1Color = 19; //19=forest green
Plot( AFLarray, "ArrayString",20,4);// Graph1Color = 20; //20=black
Plot( AFLarray, "ArrayString",25,4);// Graph1Color = 25; //25=orange
Plot( AFLarray, "ArrayString",26,4);// Graph1Color = 26; //26=olive green
Plot( AFLarray, "ArrayString",27,4);// Graph1Color = 27; //27=medium green
Plot( AFLarray, "ArrayString",28,4);// Graph1Color = 28; //28=blue-green
Plot( AFLarray, "ArrayString",29,4);// Graph1Color = 29; //29=blue
Plot( AFLarray, "ArrayString",30,4);// Graph1Color = 30; //30=blue-gray
Plot( AFLarray, "ArrayString",37,4);// Graph1Color = 37; //37=lighter shade of 30 (blue-gray)

GRAPH TYPES

1 = normal line
2 = histogram
4 = thick line
8 = include dots
16 = no line
32 = semi log
64 = candlestick chart
128 = bar chart
256 = no draw: scale axis only
512 = Gann Staircase
1024 = Gann Swing Dots

// Amibroker AFL code by Eric Tangen

*/