AFL Library

This is read-only version of AFL library entry. Ability to add user formulas and comment is only available from members-only area.

Details:

DISCLAIMER: Most formulas present in AFL on-line library are submitted by the users and are provided here on an "as is" and "as available" basis. AmiBroker.com makes no representations or warranties of any kind to the contents or the operation of material presented here. We do not maintain nor provide technical support for 3rd party formulas.
Description:

RUVOL signal was developed by Werner Gansz who was kind enough to share it with the FT-Talk community. RUTVOL is an intermediate-term signal, and in this code example it is coupled with a Bollinger Band scoring routine as a selection methodology for stocks.

Formula:

/*RUTVOL SIGNAL LOGIC FROM .INI FILES

EXPLAINATION:  RUTVOL BASES THE FOLLOWING INDICATORS ON RUSSELL 2K INDEX.
				 1.  STOCHASTICS
				 2.  MACD
				 3.  RSI

				CALCULATIONS BASED ON THE NASDAQ TVOLQ,UVOLQ,DVOLQ AS FOLLOWS
				1.	ACCUTRACK
				2.	STOCHASTICS

TRANSLATED:  8/18/03

NOTE:	THIS IS A MODIFIED VERSION OF RUTVOL.  THIS VERSION PRODUCES MODESTLY
BETTER RETURNS WITH SAME DD AS MEASURED AGAINST $RUT.  BELOW ARE THE CHANGES
NEED TO CONVERT TO ORIGINAL RUTVOL.

1. RUTTR_BUYCOND has no RSI filtering in the current RUTTR.

2. Current version of RUTVOL does not use the volume AccuTrak in the volume buy
condition
*/

// STEP #1:  ESTABLISH PARAMETERS
RUT = Foreign("!RUT","C");
//STOCHASTICS
AVERAGE = 53; //Optimize("AVERAGE",53,27,80,5);
SMOOTH = 49; //Optimize("SMOOTH",49,25,74,5);
TRIGGER = 28; //Optimize("TRIGGER",28,14,42,5);
BuyVALUE = 0;
SellVALUE = 0;

//MACD
ShortMA = 45; //Optimize("SHORTMA",45,23,90,5);
LONGMA = 90; //Optimize("LONGMA",90,45,135,5);
SignalMA = 8;  //Optimize("SIGNALMA",8,4,12,1);
BuyLEVEL = 0;
SellLEVEL = 0;

//RSI
RSILEN = 14; //Optimize("RSILEN",14,7,21,1);
BuyRSI = 63;
SellRSI = 47;
ShortRSI = 37;

//VOLUME EMA
VOLEMA1 = 60; //Optimize("VOLEMA1",60,30,90,5);
VOLEMA2 = 120; //Optimize("VOLEMA2",120,60,180,5);

//VOLUME ACCUTRACK
ACCU_SHORTPERIOD = 11; //Optimize("ACCU_SHORTPERIOD",11,5,16,1);
ACCU_LONGPERIOD = 44; //Optimize("ACCU_LONGPERIOD",44,22,66,3);

//TOTAL VOLUME STOCH CALC
TVOL_AVG = 41;  //Optimize("TVOL AVG",41,22,66,2);
TVOL_SMOOTH = 10;  //Optimize("TVOL_SMOOTH",10,5,15,1);
TVOL_TRIGGER = 8; //Optimize("TVOL_TRIGGER",8,4,12,1);

//********RUTTR CALC*********//
//STOCH CALC BEGIN
KSTOCH = 100 * (RUT - LLV(RUT,AVERAGE)) / (HHV(RUT,AVERAGE) -
LLV(RUT,AVERAGE));
DSTOCH = EMA(KSTOCH,SMOOTH);
SignalLINE = EMA(DSTOCH,TRIGGER);
STOCH_HISTO = DSTOCH - SignalLINE;

//MACD CALC BEGIN
RUTMACD = EMA(RUT,ShortMA) - EMA(RUT,LONGMA);
MACDSignalLINE = EMA(RUTMACD, SignalMA);
MACD_HISTO = RUTMACD - MACDSIGNALLINE;

//RSI FILTER BEGIN
RSIFILTER_SELL = RSIa(RUT,RSILEN) < Ref(RSIa(RUT,RSILEN),-3) AND RUT <
Ref(RUT,-1) AND RSIa(RUT,RSILEN) < SellRSI;

RSIFILTER_BUY = RSIa(RUT,RSILEN) > BuyRSI;

//RUTTR SIGNAL LOGIC

//STEP#1:  BUY & SELL COND
RUTTR_BUYCOND = (Stoch_HISTO > 0 AND MACD_HISTO > 0) OR RSIFILTER_BUY;
RUTTR_SELLCOND = (Stoch_HISTO < 0 AND MACD_HISTO < 0)  AND RSIFILTER_SELL;

//STEP#2: BUY & SELL STATE
RUTTR_BUYSTATE = Flip(RUTTR_BUYCOND,RUTTR_SELLCOND);
//RUTTR_SELLSTATE = Flip(RUTTR_SELLCOND,RUTTR_BUYCOND);
RUTTR_SELLSTATE = NOT RUTTR_BUYSTATE;

//*********RUTVOL CALC*********//

TVOLQ = Foreign("!NQ-V","C");
UVOLQ = Foreign("!NQ-AV","C");
DVOLQ = Foreign("!NQ-DV","C");

NQVOLEMA = EMA(TVOLQ,VOLEMA1);
NQUVOLEMA = EMA(UVOLQ,VOLEMA2);
NQDVOLEMA = EMA(DVOLQ,VOLEMA2);

//ACCUTRACK CALC OF NQ UP/DN VOL
UPVOLCHG = (NQUVOLEMA - Ref(NQUVOLEMA,-1)) / Ref(NQUVOLEMA,-1);
DNVOLCHG = (NQDVOLEMA - Ref(NQDVOLEMA,-1)) / Ref(NQDVOLEMA,-1);
UPVOL = EMA(UPVOLCHG, ACCU_LONGPERIOD);
DNVOL = EMA(DNVOLCHG, ACCU_LONGPERIOD);
VOL_DIFF = UPVOL - DNVOL;
ACCU_UPDNVOL = EMA(VOL_DIFF,ACCU_SHORTPERIOD);

ACCU_UPDNVOL_BUY = Cross(ACCU_UPDNVOL, 0); 
//ACCU_UPDNVOL_SELL = Cross(0, ACCU_UPDNVOL); 

// NASDAQ TOTAL VOLUME STOCHASTICS CALC
NQVOL_KSTOCH = 100 * (NQVOLEMA - LLV(NQVOLEMA,TVOL_AVG)) /
(HHV(NQVOLEMA,TVOL_AVG) - LLV(NQVOLEMA,TVOL_AVG));

NQVOL_DSTOCH = EMA(NQVOL_KSTOCH,TVOL_SMOOTH);
NQVOL_SIGNALLINE = EMA(NQVOL_DSTOCH,TVOL_TRIGGER);

TVOL_STOCH_BUYCOND = Cross(NQVOL_DSTOCH,20) OR Cross(NQVOL_DSTOCH,80) OR
ACCU_UPDNVOL_BUY;
TVOL_STOCH_SELLCOND = Cross(20, NQVOL_DSTOCH) OR Cross(80,NQVOL_DSTOCH);

TVOL_STOCH_BUYSTATE = Flip(TVOL_STOCH_BUYCOND,TVOL_STOCH_SELLCOND);

//*********RUTVOL SIGNAL LOGIC*********//
//CONDITIONS
RUTVOL_BUYCOND = TVOL_STOCH_BUYSTATE AND RUTTR_BUYSTATE;
RUTVOL_SELLCOND = NOT TVOL_STOCH_BUYSTATE OR NOT RUTTR_BUYSTATE;

//STATES
RUTVOL_BUYSTATE = Flip(RUTVOL_BUYCOND,RUTVOL_SELLCOND);

//SIGNALS
Buy = RUTVOL_BUYSTATE;
Sell = NOT RUTVOL_BUYSTATE;

//EXREM SIGNALS
Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);

ApplyStop(stopTypeLoss,stopModePercent,Optimize("MaxLoss",10,1,20,1),True,True);


//--------------------------------------------------  PORTFOLIO TRADING CODE
BEGINS  ------------------------------------------------------------------

//Set Trade Delays and Initial Equity
SetOption("InitialEquity", 100000);
SetTradeDelays(1,1,1,1);
RoundLotSize = 100;

//Position Size Info
SetOption("MinShares",100);
MaxPos = Optimize("Max Positions",5,1,15,1);
SetOption("MaxOpenPositions",MaxPos);
PositionSize = -100/MaxPos;

//Scoring Routine Begins

BBandWid = 2;
UBBand   = BBandTop(Close, 21, BBandWid);
LBBand   = BBandBot(Close, 21, BBandWid);
PositionScore   = 100 - 100 * (Close - LBBand) / (UBBand - LBBand);//0 when C
== Upper Band, 100 when C == Lower Band

//********EXPLORE CODE*********//
Filter = 1;//Status("LastBarInRange");
RUTVOLSIG = IIf(RUTVOL_BUYSTATE == 1,1,0);
AddToComposite(RUTVOLSIG,"~RUTVOL","X",atcFlagDefaults |
atcFlagEnableInExplore);
AddColumn(RUTVOLSIG,"RUTVOL STATE",8.0);
AddColumn(RUTTR_BUYSTATE,"RUTTR",8.0, IIf(RUTTR_BUYSTATE ==
1,colorGreen,colorDefault), colorDefault);
AddColumn(TVOL_STOCH_BUYSTATE,"VOLUME",8.0,IIf(TVOL_STOCH_BUYSTATE ==
1,colorGreen,colorDefault), colorDefault);
AddColumn(Buy,"RUTVOL BUY",8.0,colorDefault,IIf(Buy ==
1,colorGreen,colorDefault));
AddColumn(Sell,"RUTVOL SELL",8.0,colorDefault,IIf(Sell ==
1,colorYellow,colorDefault));

//*********INDICATOR CODE*********//
Title = "RUTVOL:   " + EncodeColor(colorBrightGreen) + "GREEN = BUY   " +
EncodeColor(colorYellow) + "YELLOW = CASH";
Plot(0,"",colorLightGrey,styleNoLine+styleNoLabel);
PlotShapes(IIf(Buy ==1, shapeUpArrow,shapeNone),colorBrightGreen,0,0,10);
PlotShapes(IIf(Sell ==1, shapeHollowUpArrow,shapeNone),colorYellow,0,0,10);

Comments: