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Highly Accurate Pivot Trading - Amibroker AFL Code

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Highly Accurate Pivot Trading

"plotted pivots \n
Plotted the avarage as a bars \n
";
_SECTION_BEGIN("average as a bar");
/* 
 Heikin-Ashi(Koma-Ashi) with Moving Average Type
*/
SetChartOptions(2, chartWrapTitle);

// Calculate Moving Average
MAPeriod = Param("MA Period", 15, 1, 100);
MAOpen = EMA(Open, MAPeriod);
MAHigh = EMA(High, MAPeriod);
MALow = EMA(Low, MAPeriod);
MAClose = EMA(Close, MAPeriod);

HaClose = (MAOpen + MAHigh + MALow + MAClose) / 4;
HaOpen = AMA(Ref(HaClose, -1), 0.5);

// for graph collapse
for(i = 0; i <= MAPeriod; i++) HaClose[i] = Null;
/*
// same 
// HaOpen = (Ref(HaOpen, -1) + Ref(HaClose, -1)) / 2;
HaOpen[ 0 ] = HaClose[ 0 ]; 
for(i = 1; i < BarCount; i++) { 
    HaOpen[i] = (HaOpen[i - 1] + HaClose[i - 1]) / 2;
} 
*/

HaHigh = Max(MAHigh, Max(HaClose, HaOpen)); 
HaLow = Min(MALow, Min(HaClose, HaOpen)); 

// outs comments
"BarIndex = " + BarIndex();
"Open = " + Open;
"High = " + High;
"Low = " + Low;
"Close = "+ Close;
"HaOpen = " + HaOpen;
"HaHigh = " + HaHigh;
"HaLow = " + HaLow;
"HaClose = "+ HaClose;

// Plot graphs
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} HaOpen %g, HaHigh %g,
HaLow %g, HaClose %g (%.1f%%) {{VALUES}}", 
   HaOpen, HaHigh, HaLow, HaClose, SelectedValue(ROC( HaClose, 1))));
PlotOHLC(HaOpen, HaHigh, HaLow, HaClose, _DEFAULT_NAME(), ParamColor("Color",
colorWhite), styleBar); 
_SECTION_END();

//source http://www.traderji.com/amibroker/24404-help-amibroker-forumla-afl-saintjis-going-60min-flow-practice-2.html

// Written by Abhay (aad on www.traderji.com)

// Previous version 1.0 on 28.07.2008.
// Current Version 1.1 on 31.07.2008.

///////////////////////////////////////////////////////////
///// Major changes done from previous version 1.0 : //////

// The method of pivot definition is changed. 
// Now it does not use zig() or related functions anywhere.

// Stoploss line error, that it moves in both directions after a position is taken,
// is removed. Now stoploss lines are unidirectional.

// To protect profit on long positions, SELL is triggered either when trailing buy stop
// is hit OR when previous lower pivot is cracked. Fresh long position will be initiated 
// if uptrend continues after previous high pivot is cracked.   

///////////////////////////////////////////////////////////


// This is simple YET powerful pivot based trading system.
// Used only for intraday. Not suitable for EOD data.
// Designed for continuous trading. i.e. short=sell and cover=buy
// When long, watch crack of close in green line ONLY. Ignore red line.
// When short, watch crack of close in red line ONLY. Ignore green line.
// You will have to tweak the parameters as per your trading style.

// Warning :  I have tried to develop this method from Saint's Pivot Based System (www.traderji.com) 
//   However, it is very well possible that its performance is not as per actual system
//   suggested by Saint due to programming errors and inadequate knowledge level at my end.
// Warning :  Traders are advised to trade on their own, knowing very well that it is their money.










_SECTION_BEGIN("Simple Pivot based Trading System");

// User defined parameters.

GraphXSpace = 10; //defines how much extra space should be added above and below graph line (in percent).

dist = 0.25*ATR(10); 
Capital=Param("Total capital",100000,10000,1000000,1000);
drawdown=Param("Max. loss per trade as % of Capital", 1.0,0.5,25.0,0.1);
room=Param("Room for S/L as % of Pivot value",0.001,0,0.02,0.001);

// Now calculate pivots. Method courtesy : Kenneth (www.traderji.com)

PH= ValueWhen(
(Ref(H,-2) > Ref(H, -4)) AND
(Ref(H,-2) > Ref(H, -3)) AND
(Ref(H,-2) > Ref(H, -1)) AND
(Ref(H,-2) > H), Ref(H,-2));

PL= ValueWhen(
(Ref(L,-2) <= Ref(L, -4)) AND
(Ref(L,-2) <= Ref(L, -3)) AND
(Ref(L,-2) <= Ref(L, -1)) AND
(Ref(L,-2) <= L), Ref(L,-2));

// filter lines

phfilter=PH+(room*PH);
plfilter=PL-(room*PL);

//Uncomment following code if you wish to see the pivot lines.
Plot(Ref(PH,2), "UpPivot", ParamColor("UpPivot Color",colorRed), styleDashed+styleNoLabel);
Plot(Ref(PL,2), "DownPivot",ParamColor("DownPivot Color",colorGreen), styleDashed+styleNoLabel);

Plot(Ref(Phfilter,2), "Upfilter", ParamColor("upfilter Color",colorRed), styleLine);
Plot(Ref(Plfilter,2), "Downfilter",ParamColor("dnfilter Color",colorGreen), styleLine);


//Plot(Ref(UpFractal,2), "Up Fractal", ParamColor("Up Fractal Color",colorRed),8);
//Plot(Ref(DownFractal,2), "Down Fractal",ParamColor("Down Fractal Color",colorGreen),8);



 
/*for (a=4;a<BarCount;a++)
{
if ((H[a-2] >= H[a-4]) AND
(H[a-2] >= H[a-3]) AND
(H[a-2] >= H[a-1]) AND
(H[a-2] >= H[a]))
PlotText("PH", a-2, H[a-2], colorGreen);

if ((L[a-2] <= L[a-4]) AND
(L[a-2] <= L[a-3]) AND
(L[a-2] <= L[a-1]) AND
(L[a-2] <= L[a]))
PlotText("PL", a-2, L[a-2]-dist[a-2], colorRed);
}*/

//Condition for buy : Enter when Close crosses latest pivot high.
Buy = C> (PH+(room*PH));

initialStopBuy=Ref(PL,2)-(Ref(PL,2)*room/100);
trailStopBuy=IIf(C>PH,Ref(initialStopBuy,-1),initialStopBuy);

newStopBuy=trailStopBuy;

BuyLimitCapital=int(Capital/C);
SLbuy=round(C-initialStopBuy);
BuyLimitSL=int((Capital*drawdown)/(100*SLbuy));

//Condition for sell : Exit when previous pivot low is cracked.
Sell = C< (PL-(room*PL));

Buy = ExRem(Buy,Sell);
Sell= ExRem(Sell,Buy);

//Short = Sell;
//Cover = Buy;

//Short=ExRem(Short,Cover);
//Cover=ExRem(Cover,Short);

shape = Buy * shapeUpArrow + Sell * shapeDownArrow;
PlotShapes( shape, IIf( Buy, colorGreen, colorRed ),0, IIf( Buy, Low, High ) );


_SECTION_END();

_SECTION_BEGIN("Macd coloured price");
//============================================candle sticks=======================

a = Param("fast macd period",3,1,100,1);
b = Param("slow macd period",34,1,100,1);

Up_MACD_TRIX = MACD( a, b ) > Ref(MACD(a,b),-1);

Down_MACD_TRIX =  MACD( a, b ) < Ref(MACD(a,b),-1);

Colormacd = IIf(Up_MACD_TRIX,colorLime,IIf(Down_MACD_TRIX,colorRed,colorCustom12)); 


//PlotOHLC( Open, High, Low, Close, "", Colormacd, styleBar ); 

//PlotOHLC( 1.01*Open, 1.01*High, 1.01*Low, 1.01*Close, "", Colormacd, styleCandle ); 
PlotOHLC( Open, High, Low, Close, "", Colormacd, styleCandle ); 

_SECTION_END();

"plotted pivots \n
Plotted the avarage as a bars \n
";

//source http://www.traderji.com/amibroker/24404-help-amibroker-forumla-afl-saintjis-going-60min-flow-practice-2.html

// Written by Abhay (aad on www.traderji.com)

// Previous version 1.0 on 28.07.2008.
// Current Version 1.1 on 31.07.2008.

///////////////////////////////////////////////////////////
///// Major changes done from previous version 1.0 : //////

// The method of pivot definition is changed. 
// Now it does not use zig() or related functions anywhere.

// Stoploss line error, that it moves in both directions after a position is taken,
// is removed. Now stoploss lines are unidirectional.

// To protect profit on long positions, SELL is triggered either when trailing buy stop
// is hit OR when previous lower pivot is cracked. Fresh long position will be initiated 
// if uptrend continues after previous high pivot is cracked.   

///////////////////////////////////////////////////////////


// This is simple YET powerful pivot based trading system.
// Used only for intraday. Not suitable for EOD data.
// Designed for continuous trading. i.e. short=sell and cover=buy
// When long, watch crack of close in green line ONLY. Ignore red line.
// When short, watch crack of close in red line ONLY. Ignore green line.
// You will have to tweak the parameters as per your trading style.

// Warning :  I have tried to develop this method from Saint's Pivot Based System (www.traderji.com) 
//   However, it is very well possible that its performance is not as per actual system
//   suggested by Saint due to programming errors and inadequate knowledge level at my end.
// Warning :  Traders are advised to trade on their own, knowing very well that it is their money.










_SECTION_BEGIN("Simple Pivot based Trading System");

// User defined parameters.

GraphXSpace = 10; //defines how much extra space should be added above and below graph line (in percent).

dist = 0.25*ATR(10); 
Capital=Param("Total capital",100000,10000,1000000,1000);
drawdown=Param("Max. loss per trade as % of Capital", 1.0,0.5,25.0,0.1);
room=Param("Room for S/L as % of Pivot value",0.001,0,0.02,0.001);

// Now calculate pivots. Method courtesy : Kenneth (www.traderji.com)

PH= ValueWhen(
(Ref(H,-2) > Ref(H, -4)) AND
(Ref(H,-2) > Ref(H, -3)) AND
(Ref(H,-2) > Ref(H, -1)) AND
(Ref(H,-2) > H), Ref(H,-2));

PL= ValueWhen(
(Ref(L,-2) <= Ref(L, -4)) AND
(Ref(L,-2) <= Ref(L, -3)) AND
(Ref(L,-2) <= Ref(L, -1)) AND
(Ref(L,-2) <= L), Ref(L,-2));

// filter lines

phfilter=PH+(room*PH);
plfilter=PL-(room*PL);

//Uncomment following code if you wish to see the pivot lines.
Plot(Ref(PH,2), "UpPivot", ParamColor("UpPivot Color",colorRed), styleDashed);
Plot(Ref(PL,2), "DownPivot",ParamColor("DownPivot Color",colorGreen), styleDashed);

Plot(Ref(Phfilter,2), "Upfilter", ParamColor("upfilter Color",colorRed), styleLine);
Plot(Ref(Plfilter,2), "Downfilter",ParamColor("dnfilter Color",colorGreen), styleLine);


//Plot(Ref(UpFractal,2), "Up Fractal", ParamColor("Up Fractal Color",colorRed),8);
//Plot(Ref(DownFractal,2), "Down Fractal",ParamColor("Down Fractal Color",colorGreen),8);



 
/*for (a=4;a<BarCount;a++)
{
if ((H[a-2] >= H[a-4]) AND
(H[a-2] >= H[a-3]) AND
(H[a-2] >= H[a-1]) AND
(H[a-2] >= H[a]))
PlotText("PH", a-2, H[a-2], colorGreen);

if ((L[a-2] <= L[a-4]) AND
(L[a-2] <= L[a-3]) AND
(L[a-2] <= L[a-1]) AND
(L[a-2] <= L[a]))
PlotText("PL", a-2, L[a-2]-dist[a-2], colorRed);
}*/

//Condition for buy : Enter when Close crosses latest pivot high.
Buy = C> (PH+(room*PH));

initialStopBuy=Ref(PL,2)-(Ref(PL,2)*room/100);
trailStopBuy=IIf(C>PH,Ref(initialStopBuy,-1),initialStopBuy);

newStopBuy=trailStopBuy;

BuyLimitCapital=int(Capital/C);
SLbuy=round(C-initialStopBuy);
BuyLimitSL=int((Capital*drawdown)/(100*SLbuy));

//Condition for sell : Exit when previous pivot low is cracked.
Sell = C< (PL-(room*PL));

Buy = ExRem(Buy,Sell);
Sell= ExRem(Sell,Buy);

//Short = Sell;
//Cover = Buy;

//Short=ExRem(Short,Cover);
//Cover=ExRem(Cover,Short);

shape = Buy * shapeUpArrow + Sell * shapeDownArrow;
PlotShapes( shape, IIf( Buy, colorGreen, colorRed ),0, IIf( Buy, Low, High ) );


_SECTION_END();
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