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:

This is an implementation of Seykota's TSP S-R system.
See http://www.seykota.com/tribe/TSP/SR/index.htm for details.
I have tested it and got identical results (well there is 2-cent difference due to rounding).

Formula:

/*==============================================================================
	Global Settings
==============================================================================*/
SetOption("InitialEquity", 1000000);
SetOption("NoDefaultColumns", True );
SetOption("CommissionMode", 2); //$$ per trade
SetOption("CommissionAmount", 0);
SetOption("MarginRequirement", 10);
SetOption("UsePrevBarEquityForPosSizing", True);
SetOption("UseCustomBacktestProc", True );

SetTradeDelays( 0, 0, 0, 0 );

/*==============================================================================
	User-defined Functions
==============================================================================*/
function Support(p)
{
	sup = LLV(low, p);
	sup[0] = low[0];
	for (i = 1; i < p; i++)
	{
		if(low[i] < sup[i-1]) sup[i] = low[i];
		else sup[i] = sup[i-1];
	}	
	return sup;
}

function Resistance(p)
{
	res = HHV(high, p);
	res[0] = high[0];
	for (i = 1; i < p; i++)
	{
		if(high[i] > res[i-1]) res[i] = high[i];
	  	else res[i] = res[i-1];
	}
	return res;
}	
	
function OptimizeNot(a1, a2, a3, a4, a5)
{
	return a2;
}

/*==============================================================================
	Entry and Exit Rules
==============================================================================*/
fast = Optimize("Fast", 20, 5, 105, 5);
slow = Optimize("Slow", 140, 20, 420, 20);
FastRes = Resistance(fast);
FastSup = Support(fast);
SlowRes = Resistance(slow);
SlowSup = Support(slow);
heat = 0.05;

// determine longer term trend
// Note: could have problem if current bar is outside of all previous bars
trend[0] = 0;
for(bar= 1; bar < BarCount; bar++)
{
  if(high[bar] > SlowRes[bar-1]) trend[bar] = 1;
  else if(low[bar] < SlowSup[bar-1]) trend[bar] = -1;
  else trend[bar] = trend[bar-1];
}

LastPosition = 0; // 1 - long; -1 - short
PositionRiskStop = 0;

Buy = Sell = Short = Cover = 0;
for(bar = 5; bar < BarCount-1; bar++)
{
  	// Exit position  by protection stop
    if(LastPosition == 1)
    {
		// Sell at stop
		if(PositionRiskStop > low[bar] )   // skip if the signal price only touch (=)
the low
		{
		// We just calculate the exact price to simulate Ed's skid     
			stopPrice = PositionRiskStop;
			ff = min(open[bar], stopPrice) - low[bar];
			stopPrice = min(open[bar], stopPrice) - 0.5*ff;
	  		Sell[bar] = 1;
	  		SellPrice[bar] = stopPrice;
			TradePrice[bar] = stopPrice;
			LastPosition = 0;
		}
    }
    else if(LastPosition == -1)
    {
		// Cover at stop
		if(PositionRiskStop < high[bar])  // skip if the signal price only touch (=)
the high
		{
			stopPrice = PositionRiskStop;
			ff = high[bar] - max(open[bar], stopPrice);
			stopPrice = max(open[bar], stopPrice) + 0.5*ff;
	  		Cover[bar] = 1;
	  		CoverPrice[bar] = stopPrice;
			TradePrice[bar] = stopPrice;
			LastPosition = 0;
		}
    }

  // move the protection stop
  if(LastPosition == 1)
  {
      PositionRiskStop = FastSup[bar];
  }
  else if(LastPosition == -1)
  {
     PositionRiskStop = FastRes[bar];
  }
  else { // Enter position only when last position has been closed	  
	  if(trend[bar] == 1)
	  {
		// buy at stop	    
	    if( fastRes[bar] < high[bar+1]) 
	    {
		    ff = high[bar+1] - max(open[bar+1], fastRes[bar]);
		    stopPrice = max(open[bar+1], FastRes[bar]) + 0.5*ff;
		    f = heat/(FastRes[bar] - FastSup[bar]);
			Buy[bar+1] = 1;
			BuyPrice[bar+1] = stopPrice;
			PositionSize[bar+1] = f; //this value is passed to CBT for position sizing
			LastPosition  = 1;
			PositionRiskStop = FastSup[bar+1];
			TradePrice[bar+1] = stopPrice;
			bar ++; // skip one bar since next bar has been handled
	    }
	  }
	  else if(trend[bar] == -1)
	  {	  
	  	// short at stop
	    if( fastSup[bar] > low[bar+1]) 
	    {
			ff = min(open[bar+1], FastSup[bar]) - low[bar+1];
			stopPrice = min(open[bar+1], FastSup[bar]) - 0.5*ff;
			f = heat/(FastRes[bar] - FastSup[bar]);
	    	Short[bar+1] = 1;
			ShortPrice[bar+1] = stopPrice;
			PositionSize[bar+1] = f; //this value is passed to CBT for position sizing
			LastPosition = -1;
	    	PositionRiskStop = FastRes[bar+1];
			TradePrice[bar+1] = stopPrice;
			bar ++; // skip one bar since next bar has been handled
	    }
	  }
  }
}

// close final day for accounting purpose
bar = Barcount-1;
if(LastPosition == 1) { Sell[bar] = 1; SellPrice[bar] =
(low[bar]+close[bar])/2; }
else if(LastPosition == -1) { Cover[bar] = 1; CoverPrice[bar] =
(high[bar]+close[bar])/2; }

/*==============================================================================
	Automatic Analysis Action Options
==============================================================================*/
AAAction = Status("action");
if(AAAction == actionIndicator)
{
	Plot(FastRes, "FastRes", colorRed);
	Plot(SlowRes, "SlowRes", colorPink);
	Plot(FastSup, "FastSup", colorGreen);
	Plot(SlowSup, "SlowSup", colorBlue);
}
else if(AAAction == actionExplore)
{
	Filter = 1;	
	AddColumn( DateTime(), "Date", formatDateTime ); 
	AddColumn(O, "Open");
	AddColumn(H, "High");
	AddColumn(L, "Low");
	AddColumn(C, "Close");
	AddColumn(FastRes, "FastRes");
	AddColumn(SlowRes, "SlowRes");
	AddColumn(FastSup, "FastSup");
	AddColumn(SlowSup, "SlowSup");
	AddColumn(Trend, "Trend");
	AddColumn(IIf(Buy, Asc("B"), IIf(Sell, Asc("S"), IIf(Short, Asc("H"),
IIf(Cover, Asc("C"), 0)))) , "Signal", formatChar);
	AddColumn(TradePrice, "TradePrice");
}
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.
				shares = round((eq*sig.PosSize)/100)*100;
				ps = shares * sig.Price;

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

		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: