AFL Library

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Details:

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Description:

Scan looks for stocks that have low RSI but turning up. Also, checks for composite to be in agreement. Run in the scan mode to establish composite. Then run in the backtest mode to find the winners. Paste all the winner from the results into their own separate group. Repeat the above on this elite group...model is set up for swing trading with a maximum hold of five days.

Formula:

/* SectorRSI swing system
** goldfreaz - 5 May 2002
*/
//myobj = CreateObject("MyAFLObject.Class1");
PositionSize=4000;

// Mean RSI
Nrsi=14;//Optimize("Nrsi",11,14,19,1);
rr=13;//Optimize("rr",15,12,15,1);
ss=2;//Optimize("ss",3,2,3,1);
Wfactor=1;//Optimize("Wf",0.8,0.8,1.3,0.1);
slpTsiD=6;//Optimize("slpTsiD",6,5,8,1);

MeanRSI = Foreign("~SUMRSI","O",1) / Foreign("~SUMRSI","V",1);
rrsi=RSI(Nrsi);
ROCmean=ROC(EMA(meanrsi,4),2);
ROCrsi=ROC(EMA(rrsi,4),2);
both=Wfactor*ROCmean+ROCrsi;
Tsi=50 * ( EMA( EMA( both ,rr ) ,ss) / EMA( EMA( abs( both ),rr ), ss) );

TsiBase=MA(Tsi,slpTsiD);
Nx=1.77;//Optimize("Nx",5,1.6,1.9,.05);
CurveTsi=Tsi-1.5*Ref(Tsi,-1)+.5*Ref(Tsi,-3);
//CurveTsi=myobj.Curvature( Tsi, 3, Nx );
//CurveTsi=myobj.ECurve( Tsi, Nx );
wait=8;//Optimize("Wait",8,6,9,1);
profitfactor=2.6;//Optimize("Pf",2.6,2.3,2.8,0.1);
Patr=11;//Optimize("Patr",8,8,11,1);
LossFactor=2.4;//Optimize("LF",1.5,1.2,2.8,0.2);
PatrL=11;//Optimize("PatrL",11,10,13,1);
CurveTsiCrit=3;//Optimize("CtsiC",5,2.7,3.2,.1);
TsiCrit=-25;//Optimize("TsiC",-25,-26,-23,1);
Buy = CurveTsi>CurveTsiCrit AND TsiBase<TsiCrit;
ExRemSpan(Buy,wait);
target=ProfitFactor*ATR(Patr);
Loss=LossFactor*ATR(PatrL);
ApplyStop(1,2,target,1);
ApplyStop(2,2,Loss,0);
Sell=Ref(Buy,-wait);
  Filter=1;
  Buy=ExRem(Buy,Sell);
  Sell=ExRem(Sell,Buy);
AddToComposite( Equity(1,-1), "~CompoEquity", "X",7);

Rt=RSI( 9 );
Rmean=IIf(Rt>=1 AND Rt<=99,Rt,0);
AddToComposite(Rmean,"~SUMRSI","X",7);
AddToComposite(1,"~SUMRSI","V",7);

AddColumn(Buy,"Buy");
AddColumn(Buy+target,"target");
AddColumn(CurveTsi,"CTsi");

MaxGraph=3;
Graph0=MeanRSI; Graph0Color=14; Graph0Style=1;
Graph1=rrsi; Graph1Color=5; Graph1Style=1;
Graph2=Tsi; Graph2Color=2; Graph2Style=9;

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