MySAR ADX System
Publicado: 29 Ene 2021 11:57
Os paso el código de esta estrategia basada en el Parabxot de Dennis Meyers.
Código: Seleccionar todo
// Downloaded From www.WiseStockTrader.com
//------------------------------------------------------------------------------
//
// Formula Name: MySAR ADX System
// Author/Uploader: Abhishek Gupta
// Date/Time Added: 2014-Mar-09
// Level: beginner/medium
// Flags: trading strategy
//
//------------------------------------------------------------------------------
//
// This is a complete trading system using a customized SAR designed
// by Thomas Ludwig and ADX for filtering false signals.
// It tracks price movement and follows trend.
//
// Uses PSAR xo by Thomas Ludwig
// http://www.wisestocktrader.com/indicators/2313-parabxo
//
// Written by: Abhishek Gupta
//
//------------------------------------------------------------------------------
SetBarsRequired(100);
_SECTION_BEGIN("Price");
SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) Vol " +WriteVal( V, 1.0 ) +" {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 )) ));
Plot( C, "Close", ParamColor("Color", colorDefault ), styleNoTitle | ParamStyle("Style") | GetPriceStyle() );
_SECTION_END();
_SECTION_BEGIN("PSAR xo");
// http://www.wisestocktrader.com/indicators/2313-parabxo
//------------------------------------------------------------------------------
//
// Formula Name: ParabXO
// Author/Uploader: Thomas Ludwig
// E-mail: [email protected]
// Date/Time Added: 2005-03-21 15:19:39
// Origin:
// Keywords:
// Level: medium
// Flags: indicator
// Formula URL: http://www.amibroker.com/library/formula.php?id=448
// Details URL: http://www.amibroker.com/library/detail.php?id=448
//
//------------------------------------------------------------------------------
//
// This is an enhancement of the famous Parabolic SAR indicator by Welles
// Wilder. For more details see the remarks below.
//
//------------------------------------------------------------------------------
/////////////////////////////////
// ParabXO implemented in AFL.
//
// The code below relies heavily on the AFL code for the
// Parabolic SAR by Tomasz Janeczko in the AB library
//
// Application: Drag & Drop.
//
// Aside from making the Accelerator Factor and its maximum
// value changeable via the Param() function I made 2 enhancements
// by some simple additional coding that were introduced by
// Dennis Meyers in an article in the S&C 4/1995 issue:
//
// 1. The start value of the AF can be set independently; thus you
// can make the indicator react considerably faster.
// 2. The ParabXO does not reverse unless penetrated
// by a specified amount (called "Crossover threshold in %" below)
// thus preventing too many whipsaws. It can be set to 0 if
// you don't want to use this modification. Please note that
// in Meyers' article he used an absolute number whereas a
// percentage makes more sense in my humble opinion.
// Written by: Thomas Ludwig
acc = Param("Acceleration factor", 0.1, 0.01, 0.1, 0.01);
acc = Optimize("Acceleration factor", acc, 0.01, 0.1, 0.01);
af_start = Param("Starting AF value", 0.03, 0.01, 0.1, 0.01);
af_start = Optimize("Starting AF value", af_start, 0.01, 0.1, 0.01);
af_max = Param("Maximum AF value", 0.06, 0.01, 0.1, 0.01);
af_max = Optimize("Maximum AF value", af_max, 0.01, 0.1, 0.01);
Ct = Param("Crossover threshold in %", 0, 0, 1, 0.1);
Ct = Optimize("Crossover threshold in %", Ct, 0, 1, 0.1);
Ct1=Ct/100;
IAF = acc;
MaxAF = af_max; // max acceleration
psar = Close; // initialize
psar_temp = Close;
long = 1; // assume long for initial conditions
af = af_start; // starting value of the acelleration factor
ep = Low[ 0 ]; // init extreme point
hp = High [ 0 ];
lp = Low [ 0 ];
for( i = 2; i < BarCount; i++ )
{
if ( long )
{
psar [ i ] = psar [ i-1 ] + af * ( hp - psar [ i-1 ] );
psar_temp [ i ] = psar [ i ] * (1-Ct1);
}
else
{
psar [ i ] = psar [ i-1 ] + af * ( lp - psar [ i-1 ] );
psar_temp [ i ] = psar [ i ] * (1+Ct1);
}
reverse = 0;
//check for reversal
if ( long )
{
if ( Low [ i ] < psar [ i ] * (1-Ct1) )
{
long = 0; reverse = 1; // reverse position to Short
psar [ i ] = hp; // SAR is High point in prev trade
psar_temp [ i ] = hp;
lp = Low [ i ];
af = af_start;
}
}
else
{
if ( High [ i ] > psar [ i ] * (1+Ct1) )
{
long = 1; reverse = 1; //reverse position to long
psar [ i ] = lp;
psar_temp [ i ] = lp;
hp = High [ i ];
af = af_start;
}
}
if ( reverse == 0 )
{
if ( long )
{
if ( High [ i ] > hp )
{
hp = High [ i ];
af = af + IAF;
if( af > MaxAF ) af = MaxAF;
}
if( Low[ i - 1 ] < psar[ i ] ) psar[ i ] = Low[ i - 1 ];
if( Low[ i - 2 ] < psar[ i ] ) psar[ i ] = Low[ i - 2 ];
}
else
{
if ( Low [ i ] < lp )
{
lp = Low [ i ];
af = af + IAF;
if( af > MaxAF ) af = MaxAF;
}
if( High[ i - 1 ] > psar[ i ] ) psar[ i ] = High[ i - 1 ];
if( High[ i - 2 ] > psar[ i ] ) psar[ i ] = High[ i - 2 ];
}
}
}
Plot( psar, _DEFAULT_NAME(), ParamColor( "Color", colorRed ), styleDots | styleNoLine | styleThick );
Plot( psar_temp, _DEFAULT_NAME(), ParamColor( "Color", colorRed ), styleDots | styleNoLine | styleThick );
_SECTION_END();
_SECTION_BEGIN("ADX");
range = Param("ADX Period", 13, 12, 25, 1);
range = Optimize("ADX Period", range, 20, 25, 1 );
MYADXFactor = Param("ADX Factor", 15, 12, 20, 1);
//MYADXFactor = Optimize("ADX Factor", MYADXFactor, 15, 20, 1);
MYADX = ADX(range);
_SECTION_END();
_SECTION_BEGIN("Trading signals");
Buy = Cross(Open, psar_temp) AND MYADX>MYADXFactor;
Short = Cross(psar_temp, Open) AND MYADX>MYADXFactor;
Sell = Cross(psar_temp, Open);
Cover = Cross(Open, psar_temp);
Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);
Short = ExRem(Short,Cover);
Cover = ExRem(Cover,Short);
BuyPrice = ValueWhen(Buy, Close);
ShortPrice = ValueWhen(Short, Close);
CoverPrice = ValueWhen(Cover, Close);
SellPrice = ValueWhen(Sell, Close);
dist = 1.5*ATR(10);
for (i=2; i<BarCount; i++) {
if (Cover[i]) {
PlotText( "\nCover short: " + CoverPrice[i], i+1.5, L[ i ]-dist[i]-3, colorLime);
PlotText( "\n\nProfit: " + (ShortPrice[i]-CoverPrice[i]), i+1.5, L[ i ]-dist[i]-3, colorLime);
} else if (Sell[i]) {
PlotText( "\nSell bought: " + SellPrice[i], i+1.5, H[ i ]+dist[i]+5, colorOrange);
PlotText( "\n\nProfit: " + (SellPrice[i]-BuyPrice[i]), i+1.5, H[ i ]+dist[i]+5, colorOrange);
}
if(Buy[i]) {
PlotText( "Buy: " + BuyPrice[i], i+1.5, L[ i ]-dist[i]-3, colorLime);
} else if( Short[i]) {
PlotText( "Short: " + ShortPrice[i], i+1.5, H[ i ]+dist[i]+5, colorOrange);
}
}
PlotShapes(Buy*shapeUpArrow, colorGreen, 0, Low, -28);
PlotShapes(Short*shapeDownArrow, colorRed, 0, High, -28);
PlotShapes(Cover*shapeHollowUpArrow, colorGreen, 0, Low, -45);
PlotShapes(Sell*shapeHollowDownArrow, colorRed, 0, High, -45);
printf("\nSignal came " + IIf(BarsSince(Short)>BarsSince(Buy), BarsSince(Buy), BarsSince(Short)) + " bars ago");
WriteIf(BarsSince(Short)>BarsSince(Buy), "\nBuy@ " + BuyPrice, "\nShort@ " + ShortPrice);
printf("Trailing SL: " + psar);
printf("\n\nPossiblities ");
printf("\nMax Profit: " + IIf(BarsSince(Short)>BarsSince(Buy), ((O+H+L+C)/4-BuyPrice), (ShortPrice-(O+H+L+C)/4)) );
printf("\nMin Profit: " + IIf(BarsSince(Short)>BarsSince(Buy), (psar-ShortPrice), (ShortPrice-psar)));
// Write Messages
printf("\n\nLet the profit run.");
printf("\nClose a call only when trailing SL hits");
_SECTION_END();