AFL Library

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Details:

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Description:

This is the code for the EMA Crossover System of Ed Seykota's Trading System Project at
http://www.seykota.com/tribe/TSP/index.htm.

I have tested it and got identical results to the dime compared to those at Seykota's website. I can't get it identical to cents due to rounding errors.

Formula:

/*==============================================================================
	Global Settings
==============================================================================*/
SetOption("InitialEquity", 1000000);
SetOption("MinShares", 50);
SetOption("NoDefaultColumns", True );
SetOption("CommissionMode", 2); //$$ per trade
SetOption("CommissionAmount", 0); // commission is accounted for in skid
SetOption("MarginRequirement", 10);
SetOption("UsePrevBarEquityForPosSizing", True);
SetOption("UseCustomBacktestProc", True );

SetTradeDelays( 1, 1, 1, 1 );

/*==============================================================================
	User-defined Functions
==============================================================================*/
function EMA0(A, p)
{
	r[0] = a[0];
	ep = 2/(p+1);
	for(i = 1; i < BarCount; i++)
	{
		r[i] = r[i-1] + (a[i] - r[i-1]) * ep;
	}
	return r;
}

function OptimizeNot(a1, a2, a3, a4, a5)
{
	return a2;
}

/*==============================================================================
	Entry and Exit Rules
==============================================================================*/
tr = Max(H-L, Max(abs(H-Ref(C, -1)), abs(Ref(C, -1)-L)));
tr[0] = H[0] - L[0];

fast = EMA0(C, Optimize("FastEMA", 15, 20, 140, 5));
slow = EMA0(C, Optimize("SlowEMA", 150, 150, 1000, 10));
Buy = Cross(fast, slow);
Sell = Cross(slow, fast);
Buy[1] = 0; // to avoid false signal at the beginning
//ApplyStop(stopTypeLoss, stopModePoint, ATR_multi*Ref(ATR0, -1), True, True
);

/*==============================================================================
	Skid of Executions
==============================================================================*/
BuyPrice = (H+O)/2;
SellPrice = (L+O)/2;

/*==============================================================================
	Position Sizing
==============================================================================*/
ATR_multi = OptimizeNot("ATP Multi", 5, 1, 9, 1);
ATR0 = EMA0(tr, 20);

Risk_Per_Share = Ref(ATR0, -1) * ATR_multi;
Heat = OptimizeNot("Heat", 0.10, 0.01, 0.50, 0.01);

PosSizeFactor = Heat / Risk_Per_Share; 
// the real position size value is calculated within CBT
SetPositionSize(PosSizeFactor, spsValue);

/*==============================================================================
	Automatic Analysis Action Options
==============================================================================*/
AAAction = Status("action");
if(AAAction == actionIndicator)
{
	Plot(fast, "FastEMA", colorRed);
	Plot(slow, "SlowEMA", colorYellow);
}
else if(AAAction == actionExplore)
{
	Filter = 1;
	AddColumn( DateTime(), "Date", formatDateTime ); 
	//AddColumn(DayOfWeek(), "DayOfWeek", 1);
	AddColumn(O, "Open");
	AddColumn(H, "High");
	AddColumn(L, "Low");
	AddColumn(C, "Close");
	//AddColumn(Avg, "AVG");
	AddColumn(fast, "FastEMA", 1.3);
	AddColumn(slow, "SlowEMA", 1.3);
	AddColumn(ATR0, "ATR", 1.3);
	//AddColumn(Risk_Per_Share, "Risk/Share");
	AddColumn(IIf(Buy, 111, IIf(Sell, 222, 0)) , "Buy1Sell2", 1);
	AddColumn(PosSize, "PosSize%Eq");
	AddColumn(Equity() , "Equity");
}	
else if(AAAction == actionPortfolio)
{
	bo = GetBacktesterObject();
	bo.PreProcess(); // Initialize backtester
	for( bar=0; bar < BarCount; bar++)
	{
		eq =  bo.Equity;
		for ( sig=bo.GetFirstSignal(bar); sig; sig=bo.GetNextSignal(bar) )
		{
			if (sig.isExit())
			{
            	if(bo.ExitTrade(bar,sig.symbol,sig.Price))
				{ 
					_TRACE("EXIT: " + sig.symbol + "@" + sig.Price);
				}
			}
		}

        // update stats after closing trades
     	bo.UpdateStats(bar, 1 );
       
     	for ( sig=bo.GetFirstSignal(bar); sig; sig=bo.GetNextSignal(bar)) 
     	{ 
			if (sig.isEntry()) 
			{ 
				// sig.PosSize is passed from Phase I.
				ps = Round(( eq * sig.PosSize)/250)*250 * sig.Price; 

				if(bo.EnterTrade(bar, sig.symbol, True, sig.Price, ps,
sig.PosScore,sig.RoundLotSize)) 
				{
					_TRACE("ENTRY: " + sig.symbol + " @" + sig.Price + " PosScore=" +
sig.PosScore + " PosSize=" + ps);
            	}
			}
		}

		//bo.HandleStops(bar); // MUST BE PLACED HERE TO WORK FOR N-BAR STOPS (not
before enter/exit trades)
		bo.UpdateStats(bar,1); // MAE/MFE is updated when timeinbar is set to 1.
		bo.UpdateStats(bar,2);
   	}
	bo.PostProcess(); // Finalize backtester
		
}
/*==============================================================================
	End of Formula
==============================================================================*/

Comments: