Ilmu Saham | ISX Stock Market Resource Center AMIBROKER: THE TRUTH ABOUT VOLATILITY

In “The Truth About Volatility,” Jim Berg presents how to use several well-known volatility measures such as average true range (ATR) to calculate entry, trailing stop, and profit-taking levels. Implementing techniques presented in the article is very simple using the AmiBroker Formula Language (Afl), and takes just a few lines of code.

Listing 1 shows the formula that the plots color-coded price chart, trailing stop, and profit-taking lines, as well as a colored ribbon showing volatility-based entry and exit signals. The relative strength index (RSI) used by Berg is a built-in indicator in AmiBroker, so no additional code is necessary. See Figure 3 for an example.

AMIBROKER, VOLATILITY SYSTEM

FIGURE: AMIBROKER, VOLATILITY SYSTEM. Here is a sample AmiBroker chart demonstrating the techniques from Jim Berg’s article in this issue.

LISTING 1
EntrySignal = C > ( LLV( L, 20 ) + 2 * ATR( 10 ) );
ExitSignal = C < ( HHV( H, 20 ) – 2 * ATR( 10 ) ); Color = IIf( EntrySignal, colorBlue, IIf( ExitSignal, colorOrange, colorGrey50 )); TrailStop = HHV( C – 2 * ATR(10), 15 ); ProfitTaker = EMA( H, 13 ) + 2 * ATR(10); /* plot price chart and stops */ Plot( TrailStop, “Trailing stop”, colorBrown, styleThick | styleLine ); Plot( ProfitTaker, “Profit taker”, colorLime, styleThick ); Plot( C, “Price”, Color, styleBar | styleThick ); /* plot color ribbon */ Plot( 1, “”, Color, styleArea | styleOwnScale | styleNoLabel, -0.1, 50 ); –Tomasz Janeczko, AmiBroker.com www.amibroker.com
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