Thnaks but I'm really looking for the SAR of the indicator as part of my system. I'll re-post a clearer message.
--- In [email protected], "Grover Yowell" <gyowe...@...> wrote: > > Hi, > > > > Here is a copy of a message from Howard Bandy of Quantitative Trading > Systems in which he provides the SAR (long only) . It will follow the Buy > signal of your indicator and generate the parabolic SAR. > > > > Grover > > Howard's message begins here. > > Greetings all -- > > Here is an AFL code that will implement the parabolic trailing stop for a > long position. Set the Buy independently. Set the initial level of the > trailing stop as you wish. The code takes care of raising the stop level as > the price rises. > > //////////////////////////////////////////// > > // ParabolicStop.afl > // > // This implementation is for a long position. > // > // The parabolic trailing stop is set below the > // entry point on the first day of long position, > // and rises according to a formula as the price rises. > // Unlike the traditional trailing stop, the > // parabolic stop continues to rise even as the > // price holds steady or drops. Eventually, the > // price and the parabolic stop meet, which triggers > // an exit. > // > SetTradeDelays(0,0,0,0); > > // Trading system entry logic goes here. > // Exit will be made by the parabolic stop. > > // For example, use moving average crossover entry. > MALen1 = Optimize("MALen1",30,1,31,1); > MAvg = AMA(C,2/(MALen1+1)); > > MALen2 = Optimize("MALen2",15,1,31,2); > Pass = C>=MA(C,MALen2); > > Buy = pass AND Cross(C,MAvg); > > // The code for the Parabolic Trailing Stop begins here. > // > // Assume that entry will be made at the close of the day the > // buy signal is generated. > // > // Setting TradeAtStop to 1 assumes that there is a stop > // in place and the trade exits intraday at the stop price. > // Setting TradeAtStop to 0 assumes that intraday exit > // cannot take place (as in mutual fund end-of-day > // trading) and the trade takes place at the close > // of the signal day. > > TradeAtStop = Param("TradeAtStop",0,0,1,1); > > // Set the initial stop level. > // For this example, it is set at the Lowest Low > // for some number of days. > > LBDays = Optimize("LBDays",1,0,10,1); > > // Set the Acceleration factor and Maximum Acceleration. > > IAF = Param("IAF",0.02,0.001,0.1,0.001); // acceleration factor > MaxAF = Param("MaxAF",0.2,0.001,1.0,0.001); // max acceleration > > Psar = Close; // initialize > mp = 0; // flat initial conditions > Sell = 0; // clear sell signals > af = IAF; // initial acceleration factor > hp = High [ 0 ]; > lp = Low [ 0 ]; > Lp = LLV(Low,LBDays); > > // Loop through all the bars. > > for( i = 2; i < BarCount; i++ ) > { > // Check for exit from long position > > if ( (mp == 1) AND (Low[i] < Psar[i-1]) ) > { > Sell[i] = 1; > if (TradeAtStop) > { > SellPrice[i] = Psar[i-1]; > } > else > { > SellPrice[i] = Close[i]; > } > mp = 0; > } > > // Continuation of long position -- adjust stop > > if ( mp == 1 ) > { > if (High[i] > Hp) > { > Hp = High[i]; > af = af + IAF; > if (af > MaxAF) af = MaxAF; > } > psar [ i ] = psar [ i-1 ] + af * ( hp - psar [ i-1 ] ); > } > else > { > // not in a long position. > // value of psar is not important. > // set the psar level so it will plot > // on the price graph. > > psar[i] = Close[BarCount-1]; > } > > // Check for new long position > > if ( (mp == 0) AND (Buy[i]) ) > { > BuyPrice[i] = Close[i]; > Psar[i] = Lp[i]; > Hp = High[i]; > af = IAF; > mp = 1; > } > } > > // The code for the Parabolic Trailing Stop ends here. > > > Plot( Close, "Price", colorBlack, styleCandle ); > Plot( MAvg, "MAvg", colorBlue,styleLine); > Plot( psar, "SAR", colorRed, > styleDots | styleNoLine | styleThick ); > > Buy = ExRem(Buy,Sell); > Sell = ExRem(Sell,Buy); > //Figure 7.11 Parabolic Stop - Looping Code > > //////////////////////////////////////////// > > Thanks, > Howard > www.quantitativetradingsystems.com > > > > > > From: [email protected] [mailto:[email protected]] On Behalf > Of gmorlosky > Sent: Saturday, April 25, 2009 4:27 AM > To: [email protected] > Subject: [amibroker] Need SAR in raw code form ? > > > > > > > > > Does anyone have the SAR formula in it's raw Amibroker code. I want to use > my indicator in place of the high and low value. > Thanks >
