Greetings -- Beware of high sums resulting from signals coming from indicators that are positively correlated. For example, RSI, CCI, Stochastic will all trigger at about the same time / price.
Thanks, Howard On Fri, Dec 25, 2009 at 6:35 PM, Neil Wrightson <[email protected]> wrote: > > > Hi, > > This is a recent feature. Perhaps you need to update? > > > Regards, > > *Neil Wrightson.* > > > ------------------------------ > *From:* [email protected] [mailto:[email protected]] *On > Behalf Of *Bob Waits > *Sent:* Saturday, 26 December 2009 9:23 AM > *To:* [email protected] > *Subject:* Re: [amibroker] Re: Against All Odds > > > > Getting error in this line: SetOption("ExtraColumnsLocation", 1 ); // > put parameter columns up-front after optimization > > > ------------------------------ > *From:* progster01 <[email protected]> > *To:* [email protected] > *Sent:* Fri, December 25, 2009 10:49:32 AM > *Subject:* [amibroker] Re: Against All Odds > > > > > > Nice bit of code there, implementing the classic signal-counting approach. > > Below is my riff on it to add: > > * Parameterized filter requirements. Added ParamOptimize( ). > > * Put in LongShortBoth logic and N-bar stop for analysis purposes. > > * Replaced obsolete (per the docs) "ColumnX =" statements with AddColumn() > statements. > > * Colored the long signals green, short signals red in the Exploration. > > * Added SummaryOrAll switch for Exploration column output. > > * Put parameters in front of output. > > Pictures of the output, a sample equity curve, and code that can be > cut/pasted cleanly have been posted in the CFT Forum at: > > http://www.codefortraders.com/phpBB3/viewtopic.php?f=60&t=616 > > Merry Christmas and Happy Holidays to all! > > ----- > > /* > SignalSums_02. afl > > Versions > > _01 From http://www.amibroke r.com/members/ library/formula. > php?id=29<http://www.amibroker.com/members/library/formula.php?id=29> > > _02 (Progster) Parameterized filter requirements. Added ParamOptimize( ). > Put in LongShortBoth logic and N-bar stop for analysis purposes. > Replaced obsolete (per the docs) "ColumnX =" statements with AddColumn() > statements. > Colored the long signals green, short signals red in the Exploration. > Added SummaryOrAll switch. Put parameters in front of output. > */ > > /* > > Against all odds (draft). Written by Thierry HUITEL o-l---} > based on Jim Varney's work-- CANDLESTOCHASTICS- - > and all the amibroker group :-) > > This Exploration is a scan for 24 different buy or sell signals. > The odds are 1 of 6 to get a TWO with a dice. If you try 1000 times, the > odds are more than 99%. > The aim of the exploration is to find days when many bullish or bearish > signs are triggered at the same time. > If 5 indicators give a buy advice, it is more reliable than one. > I invite everybody to add your own systems to these ones, to improve the > reliability. > And experimented technical analysts could give advices to avoid the trap of > using several > different indicators all working off the same input data. > > Vol Index: this column is the ratio of today's volume to the 14-day average > volume. > This column should be sorted Descending. The best signals are occur when > VolIndex is at least 2 or higher. > > PCL[up]: Piercing Line, "up" signifies Bullish. > MDS[up]: Morning Doji Star > BLE[up]: Bullish Engulfing > HAM[up]: Hammer > BRE[dn]: Bearish Engulfing, "dn" signifies Bearish. > DCC[dn]: Dark Cloud Cover > EDS[dn]: Evening Doji Star > TDREI[up] & [dn]: Tom DeMark's Range Expansion Index > KUP[up] & [dn]: Keltner Bands -DIMITRIS TSOKAKIS > RSI[up] & [dn]: Relative Strength Index 14 periods > MFI[up] & [dn]: Money Flow Index > ST2[up] & [dn]: Stochastic Slow - Donald Dalley > DIV[up] & [dn]: % R divergence -DIMITRIS TSOKAKIS > KST[up] & [dn]: MARTIN PRING'S KST MOMENTUM SYSTEM -TJ > COP[up]: Coppock Curve TJ > SMH[up] & [dn]: smash day pattern. DIMA > CHK[up] & [dn]: Chaikin Money Flow. Thierry Huitel > > A "1" in the column signifies TRUE, a "0" indicates no signal. > ------------ --------- --------- --------- --------- --------- -*/ > > function ParamOptimize( ParamTitle, defaultVal, minv, maxv, step ) > { > return Optimize( ParamTitle, Param( ParamTitle, defaultVal, minv, maxv, > step ), minv, maxv, step ); > } > > "Commentaires sur " + name() +" pour le "+date(); > > /* Minimum Price and 14 day Avg Volume Values for Filter */ > minPrice = 3; //change as needed > minVol = 50000; //change as needed > > VolAvg = ma( v, 14 ); > VolumeIdx = v / VolAvg; > AvgRange = sum( abs(O-C),15 )/15; > > /* Candle Codes */ > White = iif((C>O) AND ((C-O)>=0.8* (H-L)),1, 0) AND (C-O)>AvgRange; > Black = iif((C<O) AND ((O-C)>=0.8* (H-L)),1, 0) AND (O-C)>AvgRange; > Doji = iif(abs(O-C) <=0.1*(H- L),1,0); > > /* Dark Cloud Cover [Bear] */ > DCC = iif(ref(White, -1) AND Black AND C<=ref(((H+L) /2),-1) > AND O>ref(C,-1), 1,0); > > /* Piercing Line [Bull] */ > PL = iif(ref(Black, -1) AND White AND C>=ref(((H+L) /2),-1) > AND O<ref(C,-1), 1,0); > > /* Evening Doji Star [Bear] */ > EDS = iif(ref(White, -2) AND ref(Doji, -1) AND Black AND > C<=ref(((H+L) /2),-2), 1,0); > > /* Morning Doji Star [Bull] */ > MDS = iif(ref(Black, -2) AND ref(Doji, -1) AND White AND > C>=ref(((H+L) /2),-2), 1,0); > > /* Hammer [Bull] */ > HAM = iif( (H-L > 1.5*AvgRange) AND (C > (H+L)/2) AND (O > C) AND > (VolumeIdx > 2), 1, 0); > > /* Bearish Engulfing */ > BRE = iif(Black AND ref(White, -1) AND (C < ref(O, -1)) AND (O > ref(C, > -1)), 1,0); > > /* Bullish Engulfing */ > BLE = iif(White AND ref(Black, -1) AND (C > ref(O,-1)) AND (O < ref(C,-1)), > 1,0); > > /* Stochastics 14-4 */ > > ss = ma(stochk(14) ,4); > StochBuy = iif(ss<=20, 1, 0); > StochSell = iif(ss>=80, 1, 0); > > /* TDREI */ > HighMom = H - Ref( H, -2 ); > LowMom = L - Ref( L, -2 ); > Cond1 = ( H >= Ref( L,-5) OR H >= Ref( L, -6 ) ); > Cond2 = ( Ref( H, -2 ) >= Ref( C, -7 ) OR Ref( H, -2 ) >= Ref( C, -8 ) ); > Cond3 = ( L <= Ref( H, -5 ) OR L <= Ref( H, -6) ); > Cond4 = ( Ref( L, -2 ) <= Ref( C, -7 ) OR Ref( L, -2 ) <= Ref( C, -8 ) ); > Cond = ( Cond1 OR Cond2 ) AND ( Cond3 OR Cond4 ); > Num = IIf( Cond, HighMom + LowMom, 0 ); > Den = Abs( HighMom ) + Abs( LowMom ); > TDREI = 100 * Sum( Num, 5 )/Sum( Den, 5 ) ; > tdreiBuy = iif(TDREI<=- 95, 1, 0); > tdreiSell = iif(TDREI>=95, 1, 0); > > /* KUP */ > KUP=EMA((H+L+ C)/3,10)+ EMA(H-L,10) ; > KDOWN=EMA((H+ L+C)/3,10) -EMA(H-L, 10); > kupBuy = iif(CROSS(C, KDOWN), 1, 0); > kupSell = iif(CROSS(KUP, C), 1, 0); > > /*RSI*/ > vrsi= rsi(14); > rsiBuy = iif(CROSS(vrsi, 30), 1, 0); > rsiSell = iif(CROSS(70, vrsi), 1, 0); > > /*MFI*/ > mfiBuy = iif(CROSS(mfi( ),30), 1, 0); > mfiSell = iif(CROSS(70, mfi()), 1, 0); > > /*STO2*/ > lookback = 14; > buyrange = 30; > sellrange = 70; > stochKworkaround = STOCHK(14); > stochDworkaround = EMA( STOCHK(14), 5); > sto2Buy = iif(STOCHK(14) < buyrange AND CROSS(stochKworkaro und, > stochDworkaround) , 1, 0); > sto2Sell = iif(STOCHK(14) > sellrange AND CROSS(stochDworkaro und, > stochKworkaround) , 1, 0); > > /* %R, ema 9 and divergences */ > > R=-100*((HHV( HIGH,14)- CLOSE))/( HHV(HIGH, 14)-LLV(LOW, 14)); > DIVR=(R-REF( R,-1))*(C- REF(C,-1) ); > DIVB=IIF((DIVR< 0) AND (R-ref(R,-1) )>0 and (REF(R,-1)<- 90),-100, 0); > DIVB1=IIF((DIVR< 0) AND (R-ref(R,-1) )>0 and (REF(R,-1)<- 90),-80,0) ; > DIVS=IIF((DIVR< 0) AND (R-ref(R,-1) )<0 and (REF(R,-1)>- 10),-20,0) ; > divBuy = iif(DIVB==-100, 1, 0); > divSell = iif(DIVS==-20, 1, 0); > > /*KST*/ > > KST = (MA(ROC(CLOSE, 10),10) * 1) + > (MA(ROC(CLOSE, 15),10) * 2) + > (MA(ROC(CLOSE, 20),10) * 3) + > (MA(ROC(CLOSE, 30),15) * 4); > kstBuy = iif(CROSS(KST , MA(KST, 109)), 1, 0); > kstSell = iif(CROSS(MA( KST , 120), KST), 1, 0); > > /*COP*/ > copBuy = iif((EMA( ROC( MA( C, 22 ), 250 ), 150 ) / 100) < 0, 1, 0); > > /*SMASH*/ > numDays = 3; // Consider smash Day if closed above/below previous numDays > highs/lows > closeInDayRangePct = 0.25; // Smash day close should be in the high/low %% > of the day range > smashDayDown = close < LLV (ref (low, -1), numDays) AND close < open AND > close < (low + closeInDayRangePct * (high - low)); > smashDayUp = close > HHV (ref (high, -1), numDays) AND close > open AND > close > (high - closeInDayRangePct * (high - low)); > // Enter in the direction opposite to the smash day if the very next day > price moves opposite the smash day. > smashBuy = iif(ref (smashDayDown, -1) AND high > ref (high, -1), 1, 0); > smashSell = iif(ref (smashDayUp, -1) AND low < ref (low, -1), 1, 0); > > /*CHAIKIN MONEY FLOW*/ > ICH = sum(((( C-L )-( H-C )) / ( H-L ))*V, 21 ) / sum(V,21); > LCH = llv( ICH, 255 ); > top = (LCH/2); > chkBuy = cross (ICH, top); > chkSell = cross (0, ICH); > > /*number of buy signals --- give weight to your favorite ones with a > coefficient. */ > somme= PL + MDS + HAM + BLE + tdreiBuy + kupBuy + rsiBuy + (2*mfibuy) + > sto2Buy + (2*divBuy) + kstBuy + copBuy + (2*smashBuy) + chkBuy; > > /*number of sell signals. */ > somme2 = BRE + DCC + EDS + tdreiSell + kupSell + rsiSell + mfiSell + > sto2Sell + divSell + divSell + kstSell + smashSell + chkSell; > > /*Guru comment*/ > "number of buy indicators triggered: " + writeval (somme) ; > "Aujourd'hui, les signaux haussiers suivants ont été déclenchés: "; > > /* Exploration Columns for Sorting */ > > // NumColumns = 29; > > SummaryOrAll = Param( "Explore Summary or All?", 1, 1, 2, 1 ) ; > > if( Status("action" ) == 4 ){ > > // AddColumn( array, name, format = 1.2, textColor = colorDefault, > bkgndColor = colorDefault, width = -1 ) > AddColumn( V, "Volume", 1.0 ) ; > AddColumn( VolumeIdx, "Vol Idx", 1.0 ) ; > AddColumn( somme, "Long Count", 1.0, colorDefault, iif( somme > 0, > colorGreen, colorDefault) ) ; > AddColumn( somme2, "Short Count", 1.0, colorDefault, iif( somme2 > 0, > colorRed, colorDefault) ) ; > > if(SummaryOrAll == 2){ > > AddColumn( PL, "PCL[up]", 1.0, colorDefault, iif( PL == 1, colorGreen, > colorDefault) ) ; > AddColumn( MDS, "MDS[up]", 1.0, colorDefault, iif( MDS == 1, colorGreen, > colorDefault) ) ; > AddColumn( BLE, "BLE[up]", 1.0, colorDefault, iif( BLE == 1, colorGreen, > colorDefault) ) ; > AddColumn( HAM, "HAM[up]", 1.0, colorDefault, iif( HAM == 1, colorGreen, > colorDefault) ) ; > AddColumn( BRE, "BRE[dn]", 1.0, colorDefault, iif( BRE == 1, colorRed, > colorDefault) ) ; > AddColumn( DCC, "DCC[dn]", 1.0, colorDefault, iif( DCC == 1, colorRed, > colorDefault) ) ; > AddColumn( EDS, "EDS[dn]", 1.0, colorDefault, iif( EDS == 1, colorRed, > colorDefault) ) ; > AddColumn( tdreiBuy, "TDREI[up]", 1.0, colorDefault, iif( tdreiBuy == 1, > colorGreen, colorDefault) ) ; > AddColumn( tdreiSell, "TDREI[dn]", 1.0, colorDefault, iif( tdreiSell == 1, > colorRed, colorDefault) ) ; > AddColumn( kupBuy, "KUP[up]", 1.0, colorDefault, iif( kupBuy == 1, > colorGreen, colorDefault) ) ; > AddColumn( kupSell, "KUP[dn]", 1.0, colorDefault, iif( kupSell == 1, > colorRed, colorDefault) ) ; > AddColumn( rsiBuy, "RSI[up]", 1.0, colorDefault, iif( rsiBuy == 1, > colorGreen, colorDefault) ) ; > AddColumn( rsiSell, "RSI[dn]", 1.0, colorDefault, iif( rsiSell == 1, > colorRed, colorDefault) ) ; > AddColumn( mfiBuy, "MFI[up]", 1.0, colorDefault, iif( mfiBuy == 1, > colorGreen, colorDefault) ) ; > AddColumn( mfiSell, "MFI[dn]", 1.0, colorDefault, iif( mfiSell == 1, > colorRed, colorDefault) ) ; > AddColumn( sto2Buy, "ST2[up]", 1.0, colorDefault, iif( sto2Buy == 1, > colorGreen, colorDefault) ) ; > AddColumn( sto2Sell, "ST2[dn]", 1.0, colorDefault, iif( sto2Sell == 1, > colorRed, colorDefault) ) ; > AddColumn( divBuy, "DIV[up]", 1.0, colorDefault, iif( divBuy == 1, > colorGreen, colorDefault) ) ; > AddColumn( divSell, "DIV[dn]", 1.0, colorDefault, iif( divSell == 1, > colorRed, colorDefault) ) ; > AddColumn( kstBuy, "KST[up]", 1.0, colorDefault, iif( kstBuy == 1, > colorGreen, colorDefault) ) ; > AddColumn( kstSell, "KST[dn]", 1.0, colorDefault, iif( kstSell == 1, > colorRed, colorDefault) ) ; > AddColumn( copBuy, "COP[up]", 1.0, colorDefault, iif( copBuy == 1, > colorGreen, colorDefault) ) ; > // AddColumn( copSell, "", 1.0 ) ; // DNE > AddColumn( smashBuy, "SMH[up]", 1.0, colorDefault, iif( smashBuy == 1, > colorGreen, colorDefault) ) ; > AddColumn( smashSell, "SMH[dn]", 1.0, colorDefault, iif( smashSell == 1, > colorRed, colorDefault) ) ; > AddColumn( chkBuy, "CHK[up]", 1.0, colorDefault, iif( chkBuy == 1, > colorGreen, colorDefault) ) ; > AddColumn( chkSell, "CHK[dn]", 1.0, colorDefault, iif( chkSell == 1, > colorRed, colorDefault) ) ; > > } // end of: if(SummaryOrAll == 2) > > } // end of: if( Status("action" ) == 4 ) > > > printf( "Long Signal summary number is: " + NumToStr( somme, 1.0 ) + "\n" ) > ; > printf( "Short Signal summary number is: " + NumToStr( somme2, 1.0 ) + "\n" > ) ; > > // ### Comment this out if you prefer your extra columns (parms) at the end > rather than in front > // ### Also, comment this out if not running in AB 5.23 or later ! > SetOption("ExtraCol umnsLocation" , 1 ); // put parameter columns up-front > after optimization > > /* Filter and Trading Choices */ > > LongShortBoth = Param( "LongShortBoth" , 1, 1, 3, 1 ) ; > SingleContract = ParamToggle( "SingleContract" , "No|Yes", 1 ) ; > > // ShowBuysOrSells = ParamToggle( "ShowBuysOrSells" , "Buys|Sells" , 0 ) ; > ReqSigCount = ParamOptimize( "ReqSigCount" , 4, 1, 6, 1 ) ; // required > signal count to pass filter > ReqVolRatio = ParamOptimize( "ReqVolRatio" , 2, .4, 2, .2 ) ; // required > volume ratio to pass filter > BarsForStop = ParamOptimize( "BarsForStop" , 3, 1, 5, 1 ) ; > > BuySigs = (somme >= ReqSigCount) and (VolumeIdx >= ReqVolRatio) ; > SellSigs = (somme2 >= ReqSigCount) and (VolumeIdx >= ReqVolRatio) ; > > if (SingleContract) PositionSize = MarginDeposit = 1; // Trade a single > contract. > > // Set up Exploration Filter and Buys/Sells > if( LongShortBoth == 1 ){ > Filter = BuySigs; > Buy = (somme >= ReqSigCount) and (VolumeIdx >= ReqVolRatio) ; > Sell = 0 ; > Short = 0 ; > Cover = 0 ; > } > else if( LongShortBoth == 2 ){ > Filter = SellSigs ; > Buy = 0 ; > Sell = 0 ; > Short = (somme2 >= ReqSigCount) and (VolumeIdx >= ReqVolRatio) ; > Cover = 0 ; > } > else if( LongShortBoth == 3 ){ > Filter = BuySigs or SellSigs; > Buy = (somme >= ReqSigCount) and (VolumeIdx >= ReqVolRatio) ; > Sell = 0 ; > Short = (somme2 >= ReqSigCount) and (VolumeIdx >= ReqVolRatio) ; > Cover = 0 ; > } > > /* N-bar stop */ > ApplyStop( stopTypeNBar, stopModeBars, BarsForStop ); > > > >
