AFL Library

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Details:

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Description:

This is a simple long only trend following system. Just load it into the \"Automatic Analysis\" window and push \"Scan\", \"Back test\" and \"Report\" to view the result.

Formula:

SetTradeDelays(0,0,0,0);
SetPositionSize(10, spsPercentOfEquity ); 
SetOption("AllowSameBarExit" , True );
// If this option is not set true positions that are exited at the same bar
remains open
SetOption("PriceBoundChecking", False);  
// This option must be set false in order to exit at specified stop price and
not bar close


//LK=Optimize("Trend", 50, 30, 60, 10 ) ;
//FF=Optimize("Trend", 20, 10, 40, 10 ) ; 
//StopLevel=Optimize("Stop",0.1,0.05,0.5,0.05 ) ; 


StopLevel = 0.2;

LK=50;

FF=10;


A1= IIf( L> Ref(HHV( Close,LK),-5), 1, 0); 

A2= Sum( A1, LK ) ;

A3= IIf(C>0, FF, 0); 


Buy = Cross(A2,A3);

Sell = 0;

trailARRAY = Null;
trailstop = 0;

for( i = 1; i < BarCount; i++ )
{

   if( trailstop == 0 AND Buy[ i ] ) 
   { 
      trailstop = High[ i ] * (1-stoplevel);
   }
   
   else Buy[ i ] = 0; // remove excess buy signals

   if( trailstop > 0 )
   {   
      trailstop = Max( High[ i ] * (1-stoplevel), trailstop );
      trailARRAY[ i ] = trailstop;
   }

   if( trailstop > 0 AND Low[ i ] < trailstop )
   {
      Sell[ i ] = 1;
      SellPrice[ i ] = trailstop;
      trailstop=0;
   }
 
}

PlotShapes(Buy*shapeUpArrow,colorBlue,0,Low);
PlotShapes(Sell*shapeDownArrow,colorRed,0,High);

Plot( Close,"Price",colorBlack,styleBar);
Plot( trailARRAY,"trailing stop level", colorRed );

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