AFL Library

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Description:

//Triangular Moving average
//Anthony Faragasso
//December, 2002

/* A Triangular moving average is similar to exponential AND
weighted moving averages except A different weighting scheme
is used. Exponential AND Weighted averages assign the majority
of the weight to the most recent data. Simple moving averages
assign the weight equally across all the data. With A Triangular
moving average, the majority of the weight is assigned to the middle
portion of the data.*/

Odd=13;//enter Odd numbers only
CoefOdd=round(Odd/2);

Even=12;//enter Even numbers only
Coefeven=Even/2;
Coefeven2=Coefeven+1;

CongestionPercent=2.8;/*Set % above/below Moving average for congestion / sideways market*/

TriangularOdd=MA(MA(C,CoefOdd),CoefOdd);
TriangularEven=MA(MA(C,Coefeven),Coefeven2);

finalMov_avg=IIf(Odd > even,triangularOdd,TriangularEven);

Color=colorBrightGreen;//select Moving average line color
tickercolor=colorBlack;//select price color

Plot(finalMov_avg,"",IIf(C < finalmov_avg,colorRed,Color),styleLine|styleThick);
Plot(C,"",tickercolor,styleCandle);

Title=Name()+"..."+"( "+WriteIf(Odd > even,WriteVal(Odd,1),WriteVal(even,1))+" ) Period "+EncodeColor(Color)+"Triangular"+WriteIf(Odd > even,"ODD","EVEN")+" Moving Average"+"..."+EncodeColor(colorBlack)+ WriteIf(C < finalMov_avg,"Close is "+EncodeColor(colorRed)+"Below"+EncodeColor(colorBlack)+" Moving Average by ","Close is"+EncodeColor(colorBrightGreen)+" Above"+EncodeColor(colorBlack)+" Moving Average by ")+"("+WriteVal(((C/finalMov_avg)-1)*100,1.1)+"% )"+"\n"+WriteIf(finalmov_avg-Ref(finalmov_avg,-1)>0," Slope Of Average is UP : ","Slope Of Average is DOWN :")+WriteIf((((C/finalMov_avg)-1)*100 <= CongestionPercent AND ((C/finalMov_avg)-1)*100 >= -CongestionPercent),EncodeColor(colorYellow)+" with Price Congestion / Divergence to Average ","")+"\n"+WriteIf(Ref(C,-1) < Ref(finalmov_avg,-1) AND C > finalmov_avg,EncodeColor(colorGreen)+"Possible Change in Trend From Down to Up"+"\n"+" OR Short Term Correction of Previous Trend",WriteIf(Ref(C,-1) > Ref(finalmov_avg,-1) AND C < finalmov_avg,EncodeColor(colorRed)+"Possible Change in Trend From Up to Down "+"\n"+" OR Short Term Correction to Previous Trend",""))+"\n"+WriteIf(C > finalmov_avg,EncodeColor(colorGreen)+"Close has been above Moving Average ( "+WriteVal(BarsSince(C < finalmov_avg),1)+" ) Bars",EncodeColor(colorRed)+"Close has been Below Moving Average ( "+WriteVal(BarsSince(C > finalmov_avg),1)+" ) Bars")+"\n"+EncodeColor(colorBlack)+"The average # of Bars Above ( "+WriteVal(round(Cum(BarsSince(C < finalmov_avg)/Cum(1))),1)+" )"+"\n"+"The average # of Bars Below ( "+WriteVal(round(Cum(BarsSince(C > finalmov_avg)/Cum(1))),1)+" )";
_SECTION_BEGIN("AFL Example");
/*
This is an attempt to provide a basic trading system AFL. The system is purely imaginary
AND NOT provided as one that would make money. This is just to provide a guide to learners
on the common components of writing AFL.

Prepared by Graham Kavanagh 12 Aug 2005
AB Write http://e-wire.net.au/~eb_kavan/ab_write.htm

When you copy/paste ensure the existing continuous lines have not been wrapped. This wrapping
can create error signals when you try to use the code. Click on the check afl button in the
editor before trying to apply or scan.
I have used slash-asterisk /* */ /* for my comments to get around the problem of wrapping,
which could happen if you used double slash //

I hope this helps the beginners in creating AFL code

*/

/*firstly some basics common*/
SetBarsRequired(10000,10000); /* this ensures that the charts include all bars AND NOT just those on screen */
SetFormulaName("Sample System"); /*name it for backtest report identification */
SetTradeDelays( 1, 1, 1, 1 ); /* delay entry/exit by one bar */
SetOption( "initialequity", 100000 ); /* starting capital */
PositionSize = -10; /* trade size will be 10% of available equty */
SetOption( "MaxOpenPositions", 6 ); /* I don't want to comit more than 60% of Equity at any one time */
SetOption( "PriceBoundChecking", 1 ); /* trade only within the chart bar's price range */
SetOption( "CommissionMode", 2 ); /* set commissions AND costs as $ per trade */
SetOption( "CommissionAmount", 32.95 ); /* commissions AND cost */
SetOption( "UsePrevBarEquityForPosSizing", 1 ); /*set the use of last bars equity for trade size*/
PositionScore = 100/C; /*Set the order for which stock trades when get mulitple signals in one bar in backtesting */

//Trade system
/*
Buy when exp mov avg crosses and the high is highest for 50 bars
Sell when exp mov avg crosses back
Cross is first variable moves to above the second variable
*/

LongPer = Param("Long Period", 50, 30, 100, 5 ); /* select periods with parameter window */
ShortPer = Param("Short Period", 5, 3, 10, 1 );

LongMA = EMA( C, LongPer );
ShortMA = EMA( C, ShortPer );
LastHigh = HHV( H, LongPer );

Buy = Cross( ShortMA, LongMA ) AND H > Ref( LastHigh, -1 );
/* ref,-1 is used for the high to have todays high greater than the previous 50 bar high.
To just use H==LastHigh couold mean a previous high was equal to current high */
Sell = Cross( LongMA, ShortMA );
/* exrem is one method to remove surplus strade signals*/
Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);


/* Now for exploration results.
Will restrict results of exploration to when the Buy AND Sell signals occur
You can use Filter=1; to display every bar result */

Filter = Buy OR Sell;
AddTextColumn( FullName(), "Company Name" );
AddColumn( Buy, "Buy", 1 );
AddColumn( Sell, "Sell", 1 );
AddColumn( C, "Close", 1.3 );
AddColumn( H, "High", 1.3 );
AddColumn( LastHigh, "HHV", 1.3 );
AddColumn( LongMA, "Long MA", 1,3 );
AddColumn( ShortMA, "Short MA", 1,3 );


/* Now to show this on a chart */
/* I use WriteVal to limit the values to the wanted number of decimal places,
seeing a value of 5 decimal places can be frustrating.
I have included additional information in the plot title sections to add some
information to the title block */

GraphXSpace = 10; /* create empty space of 10% top and bottom of chart */

Plot( C, " Close Price", colorGrey50, styleBar );
Plot( LongMA, " EMA(C,"+WriteVal(LongPer,1)+")", colorYellow, styleLine|styleNoRescale );
Plot( ShortMA, " EMA(C,"+WriteVal(ShortPer,1)+")", colorSkyblue, styleLine|styleNoRescale );
Plot( Ref(Lasthigh,-1), " HHV(H,"+WriteVal(LongPer,1)+")", colorRed, styleNoLine|styleDots|styleNoRescale );

/* styleNoRescale in the plots stops the added plots from compressing the original bar chart to the middle of the pane */

PlotShapes( shapeUpArrow*Buy, colorGreen, 0, L, -10 );
PlotShapes( shapeDownArrow*Sell, colorRed, 0, H, -10 );

Title = " {{NAME}} {{DATE}} {{INTERVAL}} "+_DEFAULT_NAME()+" Chart values : {{VALUES}} ";
/* _DEFAULT_NAME() shows the section name or, if not present, the file name
the items in {{}} are short cuts for the title block. It can be done long hand

Title = Name() +" "+ Date() +" "+ "{{INTERVAL}}"+_DEFAULT_NAME()+" Chart values : " +
" Close Price = " + C +
" EMA(C,"+WriteVal(LongPer,1)+") = "+WriteVal(LongMA,1.3) +
" EMA(C,"+WriteVal(ShortPer,1)+") = "+WriteVal(ShortMA,1.3) +
" HHV(H,"+WriteVal(LongPer,1)+") = "+WriteVal(Ref(LastHigh,-1),1.3) ;

*/

_SECTION_END();

Formula:

//Triangular Moving average
//Anthony Faragasso
//December, 2002

/* A Triangular moving average is similar to exponential AND 
weighted moving averages except A different weighting scheme
is used. Exponential AND Weighted averages assign the majority
of the weight to the most recent data. Simple moving averages
assign the weight equally across all the data. With A Triangular
moving average, the majority of the weight is assigned to the middle
portion of the data.*/

Odd=13;//enter Odd numbers only
CoefOdd=round(Odd/2);

Even=12;//enter Even numbers only
Coefeven=Even/2;
Coefeven2=Coefeven+1;

CongestionPercent=2.8;/*Set % above/below Moving average for congestion /
sideways market*/

TriangularOdd=MA(MA(C,CoefOdd),CoefOdd);
TriangularEven=MA(MA(C,Coefeven),Coefeven2);

finalMov_avg=IIf(Odd > even,triangularOdd,TriangularEven);

Color=colorBrightGreen;//select Moving average line color
tickercolor=colorBlack;//select price color

Plot(finalMov_avg,"",IIf(C <
finalmov_avg,colorRed,Color),styleLine|styleThick);
Plot(C,"",tickercolor,styleCandle);

Title=Name()+"..."+"( "+WriteIf(Odd > even,WriteVal(Odd,1),WriteVal(even,1))+"
) Period "+EncodeColor(Color)+"Triangular"+WriteIf(Odd > even,"ODD","EVEN")+"
Moving Average"+"..."+EncodeColor(colorBlack)+ WriteIf(C < finalMov_avg,"Close
is "+EncodeColor(colorRed)+"Below"+EncodeColor(colorBlack)+" Moving Average by
","Close is"+EncodeColor(colorBrightGreen)+" Above"+EncodeColor(colorBlack)+"
Moving Average by ")+"("+WriteVal(((C/finalMov_avg)-1)*100,1.1)+"%
)"+"\n"+WriteIf(finalmov_avg-Ref(finalmov_avg,-1)>0," Slope Of Average is UP :
","Slope Of Average is DOWN :")+WriteIf((((C/finalMov_avg)-1)*100 <=
CongestionPercent AND ((C/finalMov_avg)-1)*100 >=
-CongestionPercent),EncodeColor(colorYellow)+" with Price Congestion /
Divergence to Average ","")+"\n"+WriteIf(Ref(C,-1) < Ref(finalmov_avg,-1) AND C
> finalmov_avg,EncodeColor(colorGreen)+"Possible Change in Trend From Down to
Up"+"\n"+" OR Short Term Correction of Previous Trend",WriteIf(Ref(C,-1) >
Ref(finalmov_avg,-1) AND C < finalmov_avg,EncodeColor(colorRed)+"Possible Change
in Trend From Up to Down "+"\n"+" OR Short Term Correction to Previous
Trend",""))+"\n"+WriteIf(C > finalmov_avg,EncodeColor(colorGreen)+"Close has
been above Moving Average ( "+WriteVal(BarsSince(C < finalmov_avg),1)+" )
Bars",EncodeColor(colorRed)+"Close has been Below Moving Average (
"+WriteVal(BarsSince(C > finalmov_avg),1)+" )
Bars")+"\n"+EncodeColor(colorBlack)+"The average # of Bars Above (
"+WriteVal(round(Cum(BarsSince(C < finalmov_avg)/Cum(1))),1)+" )"+"\n"+"The
average # of Bars Below ( "+WriteVal(round(Cum(BarsSince(C >
finalmov_avg)/Cum(1))),1)+" )";
_SECTION_BEGIN("AFL Example");
/*
This is an attempt to provide a basic trading system AFL. The system is purely
imaginary
 AND NOT provided as one that would make money. This is just to provide a guide
to learners
 on the common components of writing AFL.

 Prepared by Graham Kavanagh 12 Aug 2005
 AB Write http://e-wire.net.au/~eb_kavan/ab_write.htm

When you copy/paste ensure the existing continuous lines have not been wrapped.
This wrapping
 can create error signals when you try to use the code. Click on the check afl
button in the
 editor before trying to apply or scan.
 I have used slash-asterisk /*  */ /* for my comments to get around the problem
of wrapping,
 which could happen if you used double slash //

I hope this helps the beginners in creating AFL code

*/

/*firstly some basics common*/
SetBarsRequired(10000,10000); /* this ensures that the charts include all bars
AND NOT just those on screen */
SetFormulaName("Sample System"); /*name it for backtest report identification
*/
SetTradeDelays( 1, 1, 1, 1 ); /* delay entry/exit by one bar */
SetOption( "initialequity", 100000 ); /* starting capital */
PositionSize = -10; /* trade size will be 10% of available equty */
SetOption( "MaxOpenPositions", 6 ); /* I don't want to comit more than 60% of
Equity at any one time */
SetOption( "PriceBoundChecking", 1 ); /* trade only within the chart bar's
price range */
SetOption( "CommissionMode", 2 ); /* set commissions AND costs as $ per trade
*/
SetOption( "CommissionAmount", 32.95 ); /* commissions AND cost */
SetOption( "UsePrevBarEquityForPosSizing", 1 ); /*set the use of last bars
equity for trade size*/
PositionScore = 100/C; /*Set the order for which stock trades when get mulitple
signals in one bar in backtesting */

//Trade system
/*
Buy when exp mov avg crosses and the high is highest for 50 bars
Sell when exp mov avg crosses back
Cross is first variable moves to above the second variable
*/

LongPer = Param("Long Period", 50, 30, 100, 5 ); /* select periods with
parameter window */
ShortPer = Param("Short Period", 5, 3, 10, 1 ); 

LongMA = EMA( C, LongPer );
ShortMA = EMA( C, ShortPer );
LastHigh = HHV( H, LongPer );

Buy = Cross( ShortMA, LongMA ) AND H > Ref( LastHigh, -1 );
/* ref,-1 is used for the high to have todays high greater than the previous 50
bar high.
   To just use H==LastHigh couold mean a previous high was equal to current
high */
Sell = Cross( LongMA, ShortMA );
/* exrem is one method to remove surplus strade signals*/
Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);


/* Now for exploration results. 
   Will restrict results of exploration to when the Buy AND Sell signals occur

   You can use Filter=1; to display every bar result */

Filter = Buy OR Sell;
AddTextColumn( FullName(), "Company Name" );
AddColumn( Buy, "Buy", 1 );
AddColumn( Sell, "Sell", 1 );
AddColumn( C, "Close", 1.3 );
AddColumn( H, "High", 1.3 );
AddColumn( LastHigh, "HHV", 1.3 );
AddColumn( LongMA, "Long MA", 1,3 );
AddColumn( ShortMA, "Short MA", 1,3 );


/* Now to show this on a chart */
/* I use WriteVal to limit the values to the wanted number of decimal places,
   seeing a value of 5 decimal places can be frustrating.
   I have included additional information in the plot title sections to add
some
   information to the title block */

GraphXSpace = 10; /* create empty space of 10% top and bottom of chart */

Plot( C, " Close Price", colorGrey50, styleBar );
Plot( LongMA, " EMA(C,"+WriteVal(LongPer,1)+")", colorYellow,
styleLine|styleNoRescale );
Plot( ShortMA, " EMA(C,"+WriteVal(ShortPer,1)+")", colorSkyblue,
styleLine|styleNoRescale );
Plot( Ref(Lasthigh,-1), " HHV(H,"+WriteVal(LongPer,1)+")", colorRed,
styleNoLine|styleDots|styleNoRescale );

/* styleNoRescale in the plots stops the added plots from compressing the
original bar chart to the middle of the pane */

PlotShapes( shapeUpArrow*Buy, colorGreen, 0, L, -10 );
PlotShapes( shapeDownArrow*Sell, colorRed, 0, H, -10 );

Title = " {{NAME}} {{DATE}} {{INTERVAL}} "+_DEFAULT_NAME()+" Chart values :
{{VALUES}} ";
/* _DEFAULT_NAME() shows the section name or, if not present, the file name
the items in {{}} are short cuts for the title block. It can be done long hand

Title = Name() +" "+ Date() +" "+ "{{INTERVAL}}"+_DEFAULT_NAME()+" Chart values
: " + 
" Close Price = " + C + 
" EMA(C,"+WriteVal(LongPer,1)+") = "+WriteVal(LongMA,1.3) + 
" EMA(C,"+WriteVal(ShortPer,1)+") = "+WriteVal(ShortMA,1.3) + 
" HHV(H,"+WriteVal(LongPer,1)+") = "+WriteVal(Ref(LastHigh,-1),1.3) ;

 */

_SECTION_END(); 

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