Amibroker AFL code by Markos Katsanos — November 2018

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发表于 2018-11-27 10:55 | 只看该作者

Amibroker AFL code by Markos Katsanos — November 2018

The Amibroker AFL code below is from Markos Katsanos’ November 2018 article “The Stiffness Indicator”:

Stiffness IndicatorAmibroker[源码]

//STIFFNESS INDICATOR
//Copyright Markos Katsanos 2018
Period = Param("Stiffness Period", 60, 2, 1000, 1 );
MAB=Param("Moving Average Period",100,2,1000,1); // MA DAYS
SM=Param("Smooth Coeff.",3,1,20,1); //
STIFFCRIT=Param("STIFFCritical",90,70,100,5); // STIFFNESS CRITICAL
NSTD=Param("Min SD",.2,0,2,.5); //Number of Standard Deviations
//STIFFNESS
MA2=MA(C,MAB)-NSTD*StDev(C,MAB);
CLMA=C>MA2;
PENS=Sum(CLMA,PERIOD);
STIF=PENS*100/PERIOD; STIFFNESS=EMA(STIF,SM);
Plot(stiffness,"STIFFNESS",colorRed ,styleHistogram );
Plot(STIFFCRIT,"STIFFCritical",colorGreen,styleThick);

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Stiffness Strategy

//STIFFNESS STRATEGY
//Copyright Markos Katsanos 2018
PosQty = 500;
SetOption( "MaxOpenPositions", PosQty );
SetPositionSize( 10000, spsValue );
SetTradeDelays( 1, 1, 1, 1 );
BuyPrice = OPEN;
SellPrice = OPEN;
timeexit =Optimize("exit",4,4,4,1); //MONTHS
MAB=Optimize("MAB",100,50,120,10); // MA DAYS
PERIOD=Optimize(" STIFF PERIOD",60,40,80,10); // STIFFNESS PERIOD
STIFFCRIT=Optimize("STIFFCRIT",90,90,95,5); // STIFFNESS CRITICAL
STIFFSELL=Optimize("STIFFSELL",50,50,60,10); // stiffness sell
//STIFFNESS
MA2=MA(C,MAB)-.2*StDev(C,MAB);
CLMA=C>MA2;
PENS=Sum(CLMA,PERIOD);
STIF=PENS*100/PERIOD; STIFFNESS=EMA(STIF,3);
SPY = Foreign("SPY","C");
BUY = EMA(SPY,100)>=Ref(EMA(SPY,100),-2) AND Cross(STIFFNESS,STIFFCRIT) ;
Sell =Cross(STIFFSELL,STIFFNESS);
ApplyStop( stopTypeNBar, stopModeBars, timeexit*21 ); // time exit

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Stiffness Exploration

//STIFFNESS EXPLORATION
//Copyright Markos Katsanos 2018
MAB=100; // MA DAYS
PERIOD=60;// STIFFNESS PERIOD
STIFFCRIT=90;// STIFFNESS CRITICAL
//STIFFNESS
MA2=MA(C,MAB)-.2*StDev(C,MAB);
CLMA=C>MA2;
PENS=Sum(CLMA,PERIOD);
STIF=PENS*100/PERIOD; STIFFNESS=EMA(STIF,3);
SPY = Foreign("SPY","C");
FILTER = EMA(SPY,100)>=Ref(EMA(SPY,100),-2) AND Cross(STIFFNESS,STIFFCRIT) ;
AddColumn(C,"Price",1.2);
AddColumn(Volume,"Volume",1.0);
AddColumn(MA(Volume,2)/MA(Volume,50),"V/Vave",1.2);
AddColumn(RSI(6),"RSI",1);
AddColumn(STIFFNESS,"STIFFNESS",1.2);
AddColumn(C+8*ATR(50),"PROFIT TARGET",1.2);

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