AFL Library

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Details:

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Description:

testing multiple system simulataneously

Formula:

function multiplex(Buy1, Sell1, BuyPrice1, SellPrice1,size1,PositionScore1, 
	Buy2, Sell2, BuyPrice2, SellPrice2, size2, PositionScore2)
{
	global Buy, Sell, PositionScore, size;
	Buy = Sell = False;
	PositionScore = 0;
	size = 0;
	BuyPrice =SellPrice = Null;
	sys = 0;
	for(i = 0; i < BarCount; i++)
	{
		switch(sys)
		{
			case 0:
			if(Buy1[i] && Buy2[i])
			{
				if(PositionScore1[i] >= PositionScore2[i])
				{
					sys = 1;
					size[i] = size1[i];
					BuyPrice[i] = BuyPrice1[i];
					PositionScore[i] = PositionScore1[i];
					Buy[i] = buy1[i];
				}
				else
				{
					sys = 2;
					size[i] = size2[i];
					BuyPrice[i] = BuyPrice2[i];
					PositionScore[i] = PositionScore2[i];
					Buy[i] = Buy2[i];
				}
			}
			else if (Buy1[i])
			{
				sys = 1;
				size[i] = size1[i];
				BuyPrice[i] = BuyPrice1[i];
				PositionScore[i] = PositionScore1[i];
				Buy[i] = Buy1[i];
			}
			else if (Buy2[i])
			{
				sys = 2; //both used at the same time;
				size[i] = size2[i];
				BuyPrice[i] = BuyPrice2[i];
				PositionScore[i] = PositionScore1[i];
				Buy[i] = Buy2[i];
			}
			break;
			case 1: //system 1 in use
			if(Sell1[i])
			{
				sys = 0;
				Sell[i] = Sell1[i];
				SellPrice[i] = SellPrice1[i];
			}
			break;
			case 2:
			if(Sell2[i])
			{
				sys = 0;
				Sell[i] = Sell2[i];
				SellPrice[i] = SellPrice2[i];
			}
		}
	}
	return;
}
				

Buy1 = C > MA(C, 30);
Sell1 = C < MA(C, 50);
size1 = 10;
PositionScore1 = 1/C;
BuyPrice1 = SellPrice1 = C; 
r = RSI();
Buy2 = 8* (Ref(R < 30, -1));
Sell2 = 8* ( Ref(R > 70, -1)); 
size2 = 5;
BuyPrice2 = SellPrice2 = O;
PositionScore2 = 1/O;
multiplex(Buy1, Sell1, BuyPrice1, SellPrice1,size1,PositionScore1, 
	Buy2, Sell2, BuyPrice2, SellPrice2, size2, PositionScore2);

Short = Cover = False;
SetPositionSize(size, spsPercentOfEquity);
SetOption("MaxOpenPositions", 10 );  // 10 and 100 as max pos makes 7 point
difference in winloss   
SetOption("InitialEquity", IE=100000);  
SetOption("AllowPositionShrinking", 0);   
SetOption("CommissionMode", 1);   
SetOption("CommissionAmount", 0);
SetOption("AllowSameBarExit", False);
SetOption("PriceBoundChecking", True);
SetOption("ActivateStopsImmediately", False);
Filter = Buy OR Sell;
AddColumn(Buy, "Buy", 7.0);
AddColumn(Sell, "sell", 7.0);

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