## 27 August 2011

### e-ratio

e-ratio is a metrics that measures the edge of a trading system component. For example, we could use it to quantify the edge gained from a donchian channel breakout entry signal.
The concept

The e-ratio quantifies the edge by calculating the overall amount trades go in your favor versus the overall amount trades go against you. The higher value the value of the e-ratio, the more trades move in your favor – giving you a good indication of the edge measured.

Take all the trades generated by the entry signal.
Close each trade after a given duration of n days.
Calculate the e-ratio based on data from all trades (formula detailed in 4 steps below). This gives you the e-ratio for a trade duration of n days.
Repeat the operation for various values of n to chart the e-ratio curve as a function of the number n of days – as illustrated below:

The e-ratio of the entry criteria is plotted above. The higher the value of the e-ratio, the better the edge. In the instance above the 45-day e-ratio is 1.21 but drops to 1.07 for day 68.

Step 1: Record MAE and MFE for each trade

For each trade, measure the Maximum Favorable Excursion and the Maximum Adverse Excursion.
Maximum Excursions are the maximum amount the price goes against you (Adverse) or in your favor (Favorable) during the trade. MAE is calculated between the entry price and the lowest price during the trade. MFE is calculated between the entry price and the highest price during the trade. Note that both values are positive.
Step 2: Normalise MAE and MFE values

To be able to compute the e-ratio across different markets, the Excursion values should be normalised to a common denominator – such as a unit of volatility. The Average True Range is a good measure of volatility. In many systems it is also used to drive the position sizing, making it really relevant.
Divide all MAE and MFE values by the ATR calculated at the beginning of the trade. In this example we use the same period for the ATR and the Donchian Channel.
This gives you comparable values across all markets and conditions.
Step 3: Average MAE and MFE values across all trades

Simple maths here: just add all normalised MAE values calculated in step 2 and divide by the number of trades. Repeat the operation for the MFE values.
Step 4: Final division = e-ratio

Simply divide the average MFE by the average MAE to give you the e-ratio. The higher the number, the better, with any values above 1 implying a positive edge.
Analysis

Plotting the e-ratio across different durations allows you to check the edge offered by the signal and what timeframe works best for the signal parameters.

You can also combine e-ratios for different parts of a system to see how they impact each other.
Another component of a trading system could be a trade filter, for example, trade with the main trend:

Only buy when the moving average (at a higher timeframe) is rising and below the price.
Only sell when the moving average (at a higher timeframe) is declining and above the price

//----------------------------------------------------------------------
// e-ratio code aggregated by Jez Liberty
//
// The code is largely inspired from the ASX Gorilla blog
// http://theasxgorilla.blogspot.com/2007/07/how-to-compute-edge-ratio-in-amibroker.html
//
// implementation of the Edge Ratio, included below, involves two profound Amibroker fudges.
// The first is the use of the AddToComposite function to create a composite ticker symbol
// in which to hold the ATR array of a given stock for later retrieval within the Custom Back Tester
// via the Foreign function.
// The second fudge is the use of the VarSet/VarGet function to create a quasi array.
// This was necessary to overcome the limitation where array elements cannot exceed in number the value of barcount-1.
//----------------------------------------------------------------------

//---------------------------------------------------------------------------------------------------------
// Options default reset (taken from boilerplate.afl on AmibrokerU.com
// Should be included on all code files
//---------------------------------------------------------------------------------------------------------

SetOption("InitialEquity",1000);
SetOption("MinShares", .0001);
SetOption("MinPosValue",0);
SetOption("FuturesMode", False);
SetOption("AllowPositionShrinking", True);
SetOption("ActivateStopsImmediately",False);
SetOption("ReverseSignalForcesExit", True);
SetOption("AllowSameBarExit",True);
SetOption("CommissionMode", 2);
SetOption("CommissionAmount", 0);
SetOption("InterestRate", 0);
SetOption("MarginRequirement", 100);
SetOption("PortfolioReportMode",0);
SetOption("MaxOpenPositions", 1);
SetOption("WorstRankHeld", 1);// Not in settings
SetOption("PriceBoundChecking",False);// Not in settings
SetOption("UsePrevBarEquityForPosSizing",True);
SetOption("UseCustomBacktestProc",False);

SetOption("DisableRuinStop",False);// Not in settings
SetOption("EveryBarNullCheck",False);// Not in settings

SetOption("HoldMinBars",0);// Not in settings
SetOption("HoldMinDays",0);// Not in settings
SetOption("EarlyExitBars",0);// Not in settings
SetOption("EarlyExitDays",0);// Not in settings
SetOption("EarlyExitFee",0);// Not in settings

SetOption("SeparateLongShortRank",False);// Not in settings
SetOption("MaxOpenLong",0);// Not in settings
SetOption("MaxOpenShort",0);// Not in settings

MaxPos= 100 * 100 / GetOption("MarginRequirement");
PositionSize = -MaxPos / GetOption("MaxOpenPositions");

RoundLotSize = 1; // 0 for Funds, 100 for Stocks
TickSize= 0; // 0 for no min. size
MarginDeposit = 10;
PointValue= 1;// For futures

ExitAtStop= 1;
ExitNextBar= 2;

ReEntryDelay= 0;

//---------------------------------------------------------------------------------------------------------
// End of options reset - override options below
//---------------------------------------------------------------------------------------------------------

//Override of options to enable e-ratio calc and multiple simultaneous positions
PosQty = 5; // You can define here how many open positions you want
SetOption("MaxOpenPositions", PosQty );
PositionSize = -100/PosQty; // invest 100% of portfolio equity divided by max. position count
SetOption("InitialEquity",10000000);
SetOption("FuturesMode", True);

//-------------------------------------------------------------------------------
//Actual System/Signal tested goes below:
//-------------------------------------------------------------------------------

//------------------------------------------------------------------------------
//e-ratio specific code
//------------------------------------------------------------------------------
//eratio is the variable that we "optimise" (step from 1 to 100)
eratio = Optimize("Eratio", 20, 1, 100, 1);

//Never Sell so that the position is stopped out after N bar instead
Sell = 3 > 5;
//Stop the positon and close it after N bars (eratio = N that we step from 1 to 100 in optimisation)
ApplyStop( stopTypeNBar, stopModeBars, eratio );

//AddToComposite function is used to create a composite ticker symbol.
//In it we hold the ATR array of a given instrument
//This is for later retrieval within the Custom Back Tester via the Foreign function
Normaliser = ATR(20);

SetCustomBacktestProc(""); //activate the custom backtester
if(Status("action") == actionPortfolio) //called when backtesting/optimising
{
bo = GetBacktesterObject();
bo.PreProcess(); // run default backtest procedure

## 25 August 2011

### Volume indi/ Oscillator for Amibroker

As volume levels are increasing, shorter-term volume moving averages will rise above longer-term volume moving averages. This is similar to how shorter-term price moving averages rise above longer-term price moving averages when prices are increasing. Thus, the difference between two volume moving averages of varying lengths (i.e., this indicator) can be used to see if overall volume trends are increasing or decreasing. When the Volume Oscillator rises above zero, it signifies that the shorter-term volume moving average has risen above the longer-term volume moving average, or that the short-term volume trend is higher (i.e., more volume) than the longer-term volume trend.

There are many ways to interpret changes in volume trends. One common belief is that rising prices coupled with increased volume, and falling prices coupled with decreased volume, is bullish. Conversely, if volume increases when prices fall, and volume decreases when prices rise, the market is showing signs of underlying weakness. The theory behind this is straight forward. Rising prices coupled with increased volume signifies increased upside participation (more buyers) that should lead to a continued move. Conversely, falling prices coupled with increased volume (more sellers signifies increased downside participation).

The above information is borrowed from the Metastock help files.

Place this indicator on the same chart as the DMI spread, Demand Index, and Cyclotron indicators. These provide some interesting supporting signals. Of couse, always have a price line somewhere.

Time Segmented Volume for Amibroker (AFL)
TJ has helped me translate the metastock formula of TSV into AB language.

I thought I should share this formulas with other. This indicator uses volume and price, like OBV, but seems to be more reliable indicator then OBV.

In courtesy of The Wordens brothers I like to post the link for study on purpose and usage of this indicator. http://www.tc2000.com/privuser2/ii12118p.htm

By ntk98 – ntk98_2000 [at] yahoo.co.uk

// Time segment value

TSV=(Sum( IIf( C > Ref(C,-1), V * ( C-Ref(C,-1) ),
IIf( C < Ref(C,-1),-V * ( C-Ref(C,-1) ), 0 ) ) ,18)); Plot(TSV,"TSV",1,1); Stochastic %K & Volume for Amibroker (AFL) Quick solution to find Overbrought / Oversold Levels http://www.wisestocktrader.com/indicators/194-stochastic-k-volume

Pivots And Prices And Swing Volume for Amibroker (AFL)

Cumulate the volume for each swing

by Reinsley

Following the S&C "Price+Volume=Price movement by Tom ORD S&C’s document which is stored in Yahoo! Group files and posted in user’s list

Mod of Pivots And Prices formula

Volume Analysis Studies for Amibroker (AFL)

This code studies price/volume based on information from

Master the Markets,

The Three Day Reversal Exploration for Amibroker (AFL)

The three day reversal is a very simple pattern. When the trend is Up or Long; The Three Day Drop and When the trend is Down or Short; The 3 Day Rise.

By Prashanth – prash454 [at] Rediffmail.com

### Explo Vol Break out scan

BETTER VOLUME

http://emini-watch.com/free-stuff/volume-indicator/

Volume Spiker by Southwind for Amibroker (AFL)

This a very useful formula to detect volume breakout. As we know volume is a important thing to make a decision in trading. So with use this formula we can easily to find a volume breakout..

Volume - compared with Moving Avg (100%) for Amibroker (AFL)

This is principle only another view of the volume. It shows you the difference from the current volume to the moving Volume in percent. I like it, because it is easier to analyze. you dont need to compare the volume with the moving, which has everyday another value. In this formula you see, for example, that sometimes the volume is 300% higher than the AVG. This makes it also easier to use in the exploration.

Set the scale to percent and automatic

//written by Thomas Zmuck
//Date: 15-07-02
//thomas.zm@aon.at

pds = 10;
V1 = V/MA(V,10); V2 = V/MA(V,20);
V3 = V/MA(V,50);

barcolor = IIf(V1 AND V2>1 AND V3>1;

Filter = unsure;

## 21 August 2011

Z SCORE INDICATOR COLOR CODED TO IDENTIFY EASILY OVER BOUGHT AND OVER SOLD..

_SECTION_BEGIN("ZSCORE");
periods = 20;
ZScore = ( Close - MA( Close, periods ) ) / StDev( Close, periods );
color = IIf( ZSCORE >=3.0, ColorRGB(255,0,0),IIf( ZSCORE >=2.75, ColorRGB(0,255,0),IIf( ZSCORE >=2.5, ColorRGB(0,0,255),
IIf( ZSCORE >=2.25, ColorRGB(240,200,13),IIf( ZSCORE >=2,ColorRGB(255,22,160),IIf( ZSCORE >=0,ColorRGB(126,126,184),

IIf( ZSCORE <=-3.0, ColorRGB(255,0,0),IIf( ZSCORE <=-2.75, ColorRGB(0,255,0),IIf( ZSCORE <=-2.5, ColorRGB(0,0,255), IIf( ZSCORE <=-2.25, ColorRGB(240,200,13),IIf( ZSCORE <=-2,ColorRGB(255,22,160),ColorRGB(126,126,184)))))))))))); Plot( ZScore, "ZScore",color, ParamStyle("Style",styleHistogram |styleThick|styleNoTitle ,maskAll) ); Plot(2, "2", colorBlueGrey,4096); Plot(0, "0", colorBlueGrey,4096 ); Plot(-2, "-2", colorBlueGrey,4096); _SECTION_END(); Auto Target for Amibroker (AFL) I like to plot auto-target and see how far a price possibly up or down. You can set your own target. Pick the lowest and the highest of a trend, and this indicator will autocalculate the target. Enjoy. _SECTION_BEGIN("Auto Target Levels"); GraphXSpace=1; Plot(C,"", colorWhite,styleCandle); // Get values for target levels StartBar=SelectedValue(BarIndex()); FinishBar = EndValue( BarIndex() ); i = startbar; period = FinishBar - StartBar; Lo =LLV(L,period); Hi = HHV(H,period); Line0 = 0; Line1 = 0; //Target resisten 1 Line2 = 0; //Target resisten 2 Line3 = 0; //Target resisten 3 Line4 = 0; //Target support 1 Line5 = 0; //Target support 2 Line6 = 0; // Target support 3 Line100 = 0; for( i = startbar; i < finishbar; i++ ) { if(EndValue(C) Ref(C, -1);
DnTick = C < Ref(C, -1); SelBI = SelectedValue(BarIndex()) ; TotUpTick = 0; for(i = SelBI; i < BarCount; i++) { TotUpTick = TotUpTick + UpTick[i]; } ConsecCZ10UP = BarsSince(C <= Ref(C,-1)); ConsecCZ10Dn = BarsSince(C >= Ref(C,-1));
updncz10=(Conseccz10up-Conseccz10dn);
Plot(1,"",colorBlueGrey,styleLine|styleNoLabel|styleNoTitle);
Plot(0,"",ColorRGB(150,150,150),styleDashed|styleLine|styleNoLabel|styleNoTitle);
Plot(-1,"",colorBlueGrey,styleLine|styleNoLabel|styleNoTitle);

Plot(updncz10,"UptickDntick",IIf(updncz10>0,colorBlue,colorRed),styleHistogram|styleThick);
PlotOHLC(1,1,-1,-1,"",ColorRGB(20,20,25),styleCloud|styleNoLabel|styleNoTitle,Null,Null,0,-5);

Price Sup Res

_SECTION_BEGIN("Resistance");

HaClose =EMA((O+H+L+C)/4,3);
HaOpen = AMA( Ref( HaClose, -1 ), 0.5 );
HaHigh = Max( H, Max( HaClose, HaOpen ) );
HaLow = Min( L, Min( HaClose, HaOpen ) );
Temp = Max(High, HaOpen);
Temp = Min(Low,HaOpen);

supres=ParamToggle("Sup_Res","No|Yes",1);
if(supres)
{

Prd1=Param("Res_Period1",2,0,200,1);

test = TEMA ( High , Prd1 ) ;

PK = test > Ref(test,-1) AND Ref(test,1) < High;//Peak PKV0 = ValueWhen(PK,haHigh,0);//PeakValue0 PKV1 = ValueWhen(PK,haHigh,1);//PeakValue1 PKV2 = ValueWhen(PK,haHigh,2);//PeakValue2 MPK = PKV2 < PKV1 AND PKV1 > PKV0 ;//MajorPeak

MPKV = ValueWhen(Ref(MPK,-1) == 0 AND MPK == 1, PKV1,1); //MajorPeakValue
MPKD = ValueWhen(Ref(MPK,-1) == 0 AND MPK == 1, DateNum(),1); //MajorPeakDate
Plot(20,"", Color,styleHistogram|styleOwnScale|styleNoLabel, 0, 100 );
Plot( 21,"",colorBlack,styleOwnScale|styleArea|styleNoLabel,0, 100 );
PlotText("DAILY TREND", textoffset, 81.05, colorWhite);
CondB=Haopen > Haclose;CONDS=Haopen < Haclose; event1=condS; PlotShapes( IIf(event1 ,shapeDigit1,0) ,5, 0,81.0); event2=CondB; PlotShapes( IIf(event2 ,shapeDigit1,0) , 4, 0,81.0); TimeFrameRestore(); TimeFrameSet( inWeekly) ; HaClose =EMA((O+H+L+C)/4,3); HaOpen = AMA( Ref( HaClose, -1 ), 0.5 ); HaHigh = Max( H, Max( HaClose, HaOpen ) ); HaLow = Min( L, Min( HaClose, HaOpen ) ); X=HaOpen Haclose, colorRed, IIf( X,7,14));
Plot(40,"", Color, styleHistogram|styleOwnScale|styleNoLabel, 0, 100 );
Plot( 41,"",colorBlack,styleOwnScale|styleArea|styleNoLabel,0, 100 );
PlotText(" WEEKLY TREND", textoffset, 81.20, colorWhite);
CondB1=Haopen > Haclose;CONDS1=Haopen < Haclose; event3=condS1; PlotShapes( IIf(event3 ,shapeDigit2,0) ,5, 0,81.20); event4=CondB1; PlotShapes( IIf(event4 ,shapeDigit2,0) , 4, 0,81.2); TimeFrameRestore(); TimeFrameSet( 10*inDaily) ; HaClose =EMA((O+H+L+C)/4,3); HaOpen = AMA( Ref( HaClose, -1 ), 0.5 ); HaHigh = Max( H, Max( HaClose, HaOpen ) ); HaLow = Min( L, Min( HaClose, HaOpen ) ); X=Haopen Haclose, colorRed, IIf( X,7,14));
Plot(60,"", Color2, styleHistogram|styleOwnScale|styleNoLabel, 0, 100 );
Plot( 61,"",colorBlack,styleOwnScale|styleArea|styleNoLabel,0, 100 );
PlotText("2 WEEK TREND", textoffset, 81.40, colorWhite);
CondB2=Haopen > Haclose;CONDS2=Haopen < Haclose; event4=condS2; PlotShapes( IIf(event4 ,shapeDigit3,0) ,5, 0,81.40); event5=CondB2; PlotShapes( IIf(event5 ,shapeDigit3,0) , 4, 0,81.4); TimeFrameRestore(); TimeFrameSet(20*inDaily) ; HaClose =EMA((O+H+L+C)/4,3); HaOpen = AMA( Ref( HaClose, -1 ), 0.5 ); HaHigh = Max( H, Max( HaClose, HaOpen ) ); HaLow = Min( L, Min( HaClose, HaOpen ) ); X=Haopen Haclose, colorRed, IIf( X,7,14));
Plot(80,"", Color4, styleHistogram|styleOwnScale|styleNoLabel, 0, 100 );
Plot( 81,"",colorBlack,styleOwnScale|styleArea|styleNoLabel,0, 100 );
PlotText("MONTHLY TREND", textoffset, 81.55, colorWhite);
CondB3=Haopen > Haclose;CONDS3=Haopen < Haclose; event6=condS3; PlotShapes( IIf(event6 ,shapeDigit4,0) ,5, 0,81.65); event7=CondB3; PlotShapes( IIf(event7 ,shapeDigit4,0) , 4, 0,81.65); TimeFrameRestore(); Sell=CondB AND CondB1 AND CondB2 OR Condb3; Buy= CondS AND CondS1 AND CondS2 OR Conds3; //Cover= Cond1 AND Cond2 OR Cond2 AND Cond3 OR Cond1 AND Cond3 ; //Sell= Cond4 AND Cond5 OR Cond5 AND Cond6 OR Cond4 AND Cond6; Buy=ExRem (Buy,Sell);Sell=ExRem(Sell,Buy); PlotShapes(shapeCircle*Buy, colorGreen,0,81.85); PlotShapes(shapeCircle*Sell, colorRed,0,81.85); GraphXSpace = 15; //...................................... _SECTION_END(); _SECTION_END(); If stocks continue to trade above 15 day sma ones you get 10% return then second entry possible on 21 day. Seasionality for Amibroker (AFL) I have collect it from my friend. It can identify monthly, weekly and daily trend. _SECTION_BEGIN("seasionality"); // Define label bar (x) position location #pragma nocache blankRightBars = 5; //insert actual blank right bars specified in Preferences barsInView = Status("lastvisiblebarindex") - Status("firstvisiblebarindex") - blankRightBars; Offset = Param("Offset Bar", 0.95, 0, 1, 0.01); textOffset = BarCount - (Offset * barsInView); TimeFrameSet( inDaily) ; HaClose =EMA((O+H+L+C)/4,3); HaOpen = AMA( Ref( HaClose, -1 ), 0.5 ); HaHigh = Max( H, Max( HaClose, HaOpen ) ); HaLow = Min( L, Min( HaClose, HaOpen ) ); X=Haopen Haclose, colorRed, IIf( X,7,14));
Plot(20,"", Color,styleHistogram|styleOwnScale|styleNoLabel, 0, 100 );
Plot( 21,"",colorBlack,styleOwnScale|styleArea|styleNoLabel,0, 100 );
PlotText("DAILY TREND", textoffset, 81.05, colorWhite);
CondB=Haopen > Haclose;CONDS=Haopen < Haclose; event1=condS; PlotShapes( IIf(event1 ,shapeDigit1,0) ,5, 0,81.0); event2=CondB; PlotShapes( IIf(event2 ,shapeDigit1,0) , 4, 0,81.0); TimeFrameRestore(); TimeFrameSet( inWeekly) ; HaClose =EMA((O+H+L+C)/4,3); HaOpen = AMA( Ref( HaClose, -1 ), 0.5 ); HaHigh = Max( H, Max( HaClose, HaOpen ) ); HaLow = Min( L, Min( HaClose, HaOpen ) ); X=HaOpen Haclose, colorRed, IIf( X,7,14));
Plot(40,"", Color, styleHistogram|styleOwnScale|styleNoLabel, 0, 100 );
Plot( 41,"",colorBlack,styleOwnScale|styleArea|styleNoLabel,0, 100 );
PlotText(" WEEKLY TREND", textoffset, 81.20, colorWhite);
CondB1=Haopen > Haclose;CONDS1=Haopen < Haclose; event3=condS1; PlotShapes( IIf(event3 ,shapeDigit2,0) ,5, 0,81.20); event4=CondB1; PlotShapes( IIf(event4 ,shapeDigit2,0) , 4, 0,81.2); TimeFrameRestore(); TimeFrameSet( 10*inDaily) ; HaClose =EMA((O+H+L+C)/4,3); HaOpen = AMA( Ref( HaClose, -1 ), 0.5 ); HaHigh = Max( H, Max( HaClose, HaOpen ) ); HaLow = Min( L, Min( HaClose, HaOpen ) ); X=Haopen Haclose, colorRed, IIf( X,7,14));
Plot(60,"", Color2, styleHistogram|styleOwnScale|styleNoLabel, 0, 100 );
Plot( 61,"",colorBlack,styleOwnScale|styleArea|styleNoLabel,0, 100 );
PlotText("2 WEEK TREND", textoffset, 81.40, colorWhite);
CondB2=Haopen > Haclose;CONDS2=Haopen < Haclose; event4=condS2; PlotShapes( IIf(event4 ,shapeDigit3,0) ,5, 0,81.40); event5=CondB2; PlotShapes( IIf(event5 ,shapeDigit3,0) , 4, 0,81.4); TimeFrameRestore(); TimeFrameSet(20*inDaily) ; HaClose =EMA((O+H+L+C)/4,3); HaOpen = AMA( Ref( HaClose, -1 ), 0.5 ); HaHigh = Max( H, Max( HaClose, HaOpen ) ); HaLow = Min( L, Min( HaClose, HaOpen ) ); X=Haopen Haclose, colorRed, IIf( X,7,14));
Plot(80,"", Color4, styleHistogram|styleOwnScale|styleNoLabel, 0, 100 );
Plot( 81,"",colorBlack,styleOwnScale|styleArea|styleNoLabel,0, 100 );
PlotText("MONTHLY TREND", textoffset, 81.55, colorWhite);
CondB3=Haopen > Haclose;CONDS3=Haopen < Haclose; event6=condS3; PlotShapes( IIf(event6 ,shapeDigit4,0) ,5, 0,81.65); event7=CondB3; PlotShapes( IIf(event7 ,shapeDigit4,0) , 4, 0,81.65); TimeFrameRestore(); Sell=CondB AND CondB1 AND CondB2 OR Condb3; Buy= CondS AND CondS1 AND CondS2 OR Conds3; //Cover= Cond1 AND Cond2 OR Cond2 AND Cond3 OR Cond1 AND Cond3 ; //Sell= Cond4 AND Cond5 OR Cond5 AND Cond6 OR Cond4 AND Cond6; Buy=ExRem (Buy,Sell);Sell=ExRem(Sell,Buy); PlotShapes(shapeCircle*Buy, colorGreen,0,81.85); PlotShapes(shapeCircle*Sell, colorRed,0,81.85); GraphXSpace = 15; //...................................... _SECTION_END(); _SECTION_END(); OBV in isolation may not make much sense intraday, All this simple but effective indicator does is to create the shadows of the OBV in the form of 9 WMA and 21 WMA and the crossover of the OBV and shadows tells you to go long or short.As they say “Coming events cast their shadows before” _SECTION_BEGIN("OBV"); Plot( OBV(), _DEFAULT_NAME(), IIf( C > O, ParamColor("Up Color", colorGreen ), ParamColor("Down Color", colorRed ) ), ParamStyle( "Style") );

_SECTION_END();

_SECTION_BEGIN("WMA");
P = ParamField("Price field",-1);
Periods = Param("Periods", 15, 2, 300, 1, 10 );
Plot( WMA( P, Periods ), _DEFAULT_NAME(), ParamColor( "Color", colorCycle ), ParamStyle("Style") );
_SECTION_END();

_SECTION_BEGIN("OBV1");
Plot( OBV(), _DEFAULT_NAME(), IIf( C > O, ParamColor("Up Color", colorGreen ), ParamColor("Down Color", colorBlue ) ), ParamStyle( "Style") );
_SECTION_END();

Sell = Cross(WMA(OBV(),9),OBV());

Short = Sell;

PlotShapes(shapeDownArrow*Sell,colorRed);

_SECTION_BEGIN("WMA1");
P = ParamField("Price field",-1);
Periods = Param("Periods", 15, 2, 300, 1, 10 );
Plot( WMA( P, Periods ), _DEFAULT_NAME(), ParamColor( "Color", colorCycle ), ParamStyle("Style") );
_SECTION_END();

Trade Entry with Bollinger Bands in down-market for Amibroker (AFL)

Bollinger bands are really fantastic in providing with a limiting value or a standard deviation of the price-hikes. It is also found that if two Bollinger Bands of different parameters are overlapped over one another than it gives a finer edge for the trade entry.

There are actually two Bollingers used in the formula, but only the bottom part is drawn as this formula depicts the entries in the down trend of the market only. It possibly can well be extended for the upmarket. If anyone can do that addition it’ll be appreciated to have it here too :)

I have tried to mimic that in the formula below. Please do feel free to change the formula or comment your findings and pitfalls or benefits of this indicator in your trade.

Enjoy the indicator.

Disclaimer: The author and the site do not guarantee any accuracy of this indicator as well as any loss or profit incurring from using it. Please use only for study and entertainment purpose.

SetFormulaName( "NMN Bollinger Entry" );
SetChartOptions( 1, chartShowDates | chartWrapTitle );

_SECTION_BEGIN( "Bollinger Parameters" );
P = ParamField( "Bollinger Band on", 3 );
Pd1 = Param( "BB 1 Period", 10, 3, 100, 1 );
W1 = Param( "BB 1 Width", 1.35, 0, 50, 0.01 );
Pd2 = Param( "BB 2 Period", 15, 3, 100, 1 );
W2 = Param( "BB 2 Width", 2, 0, 50, 0.01 );

Plot( P, "Price Chart", IIf( O < C, colorBrightGreen, colorRed ), styleCandle ); Plot( bb1 = BBandBot( P, Pd1, W1 ), "Inner/Top Bollinger", colorLightOrange, styleLine ); Plot( bb2 = BBandBot( P, Pd2, W2 ), "Outer/Btm Bollinger", colorLightGrey, styleLine ); _SECTION_END(); _SECTION_BEGIN( "Candle-Bollinger positions" ); DCT = Param( "Down Candle triggger", 1.5, 0.01, 10, 0.01 ); UCT = Param( "Up Candle triggger", 1.5, 0.01, 10, 0.01 ); DnCandle = ( O >= C );
UpCandle = NOT DnCandle; // ( O < C ) // Signals OpenAboveBB1 = O > bb1;
OpenBelowBB1 = O < bb1; CloseAboveBB1 = C > bb1;
CloseBelowBB1 = C < bb1; CloseBelowBB2 = C < bb2; CloseAboveBB2 = C > bb2;

OpenBelowBB2 = O < bb2; OpenAboveBB2 = O > bb2;

OpenBetweenBB = ( bb1 > O ) AND ( bb2 < O ); CloseBetweenBB = ( bb1 > C ) AND ( bb2 < C ); CandleBetweenBB = OpenBetweenBB AND CloseBetweenBB ; DnCandleAcrossBB = ( O > bb1 ) AND ( bb2 > C ) ;
UpCandleAcrossBB = ( C > bb1 ) AND ( bb2 > O ) ;

CandleBelowBB2 = OpenBelowBB2 AND CloseBelowBB2 ;

TotallyBelowBB1 = ( H < bb1 ) AND ( H > bb2 ) ; // without the 2nd condn. its same as 'TotallyBelowBB2'
TotallyBelowBB2 = ( H < bb2 ); TotallyBetweenBB = ( H < bb1 ) AND ( L > bb2 );

CandleBody = IIf( DnCandle, ( O - C ), ( C - O ) ); //CandleBody = IIf(CandleBody==0,0.000001,CandleBody);
FullCandle = ( H - L );
CandleWick = FullCandle - CandleBody;
TopWick = H - IIf( DnCandle, O, C ) ;
BtmWick = IIf( DnCandle, C, O ) - L ;

LastIsDnCandle = Ref( DnCandle, -1 );
LastIsUpCandle = Ref( UpCandle, -1 );

BBGap = ( bb1 - bb2 ); // Gap between the overlapping bollinger-bands

BB_Candle_ratio = BBGap / CandleBody ;
Candle_BB_ratio = CandleBody / BBGap ;
WickCandleRatio = CandleWick / CandleBody ;
CandleWickRatio = CandleBody / CandleWick ;
WickTopBtmRatio = TopWick / BtmWick ;

bb1topcut = IIf( DnCandle, ( O - bb1 ), ( C - bb1 ) );
bb2topcut = IIf( DnCandle, ( O - bb2 ), ( C - bb2 ) );

bb1cut = bb1topcut / CandleBody ;
CandleCutByBB1 = IIf( DnCandle, ( bb1 > C ) AND ( bb1 < O ), ( bb1 > O ) AND ( bb1 < C ) ) ; bb1cutHi = ( abs( bb1cut ) <= ( Param( "High cut by BB1 (in %)", 30, 1, 100, 1 ) / 100 ) ) AND CandleCutByBB1 ; bb1cutLo = ( abs( bb1cut ) >= ( Param( "Low cut by BB1 (in %)", 50, 1, 100, 1 ) / 100 ) ) AND CandleCutByBB1 ;

bb2cut = bb2topcut / CandleBody ;
CandleCutByBB2 = IIf( DnCandle, ( bb2 > C ) AND ( bb2 < O ), ( bb2 > O ) AND ( bb2 < C ) ); bb2cutHi = abs( bb2cut ) <= ( Param( "High cut by BB2 (in %)", 50, 1, 100, 1 ) / 100 ) AND CandleCutByBB2 ; bb2cutLo = abs( bb2cut ) >= ( Param( "Low cut by BB2 (in %)", 60, 1, 100, 1 ) / 100 ) AND CandleCutByBB2 ;

DnCandle_below_both_BB = DnCandle AND OpenBelowBB2 AND CloseBelowBB2 ;
DnCandle_above_both_BB = DnCandle AND CloseAboveBB1 AND OpenAboveBB1 ;
DnCandle_between_BB = DnCandle AND CandleBetweenBB ;
DnCandle_Across_BB = DnCandleAcrossBB AND ( CandleBody > ( BBGap * DCT ) ) ;
//DnCandleSpansBB = ( O > bb1 ) AND ( C < bb2 ) ; // Up Candle 'buy' logic-parts UpCandleBelowBothBB = UpCandle AND OpenBelowBB2 ; UpCandleAboveBothBB = UpCandle AND OpenAboveBB1 ; UpCandle_between_BB = UpCandle AND ( ( bb1 > C ) AND ( bb2 < C ) ) AND ( ( bb1 > O ) AND ( bb2 < O ) ); UpCandleBetweenBB = UpCandle AND ( bb1 > O ) AND ( bb2 < O ) AND ( bb2 > C );
UpCandle_Across_BB = UpCandleAcrossBB AND ( CandleBody > ( BBGap * UCT ) ) ;

/*--------------------------------------------
---------------------------------------------*/

Buy0 = ( DnCandle AND bb1cut < 0.7 AND bb1cut > 0.0 AND WickCandleRatio > 0.75 AND WickCandleRatio < 1.0 ) OR ( ( CandleBetweenBB OR CandleBelowBB2 ) AND ( CandleBody > 1 ) AND ( BBGap < 100 ) AND ( IIf( DnCandle, TopWick CandleBody * 2, TopWick > BtmWick AND TopWick > CandleBody * 2 ) ) ) OR
( UpCandle AND ( TopWick > BtmWick ) AND ( TopWick > CandleBody * 2 ) AND ( ( CandleCutByBB1 AND C > bb2 ) OR CandleBetweenBB OR CandleBelowBB2 ) ) OR
( UpCandle AND bb1cutHi AND bb2cutHi );

Buy1 = DnCandle AND bb1cutHi AND BBGap <= CandleBody ; Buy2 = OpenBelowBB1 AND DnCandle_Across_BB ; Buy3 = DnCandle_Across_BB AND ( ( bb1cut < .5 ) AND ( bb2cut > .5 ) ) ;
Buy4 = DnCandle AND bb2cutHi ;

Buy5 = TotallyBelowBB2 AND ( BBGap >= 30 ) AND GapDown();
Buy6 = ( TotallyBelowBB2 OR ( UpCandle AND CloseBelowBB2 ) ) AND ( BBGap <= CandleBody ); Buy7 = ( bb1cut < 0 AND bb2cut > 0 AND bb2cut <= 1.0 ) OR ( UpCandle_Across_BB AND bb2cut > 0.6 ) ;
WriteIf( BB_Candle_ratio < 0, "Candle is away from the Bollinger-gap\n", "" ) + WriteIf( BB_Candle_ratio > 1.00, "The Bollinger gap is wide enough to hold the candle in.\n", "" ) +
WriteIf( CandleBetweenBB, "Candle is inside the bollinger band.\n", "" ) +
WriteIf( ( DnCandle AND OpenBelowBB2 ) OR ( UpCandle AND CloseBelowBB2 ), "The 'candle is outside' and 'below' the bollinger gap.\n", "" ) +
WriteIf( ( DnCandle AND CloseAboveBB1 ) OR ( UpCandle AND OpenAboveBB1 ), "The 'candle is outside' and 'above' the bollinger gap.\n", "" ) +
"..........................\n"
);

if ( DnCandle[cid] )
{
Commentary = "\nBlack / Red / Down Candle :\n~~~~~~~~~~~~~~~~~~" ;

if ( CloseAboveBB1[cid] )
Commentary += "\nCandle closed above Top bollinger." ;
else
if ( OpenBelowBB2[cid] )
Commentary += "\nCandle opens below Bottom Bollinger,\nthus a 'below bollinger candle'.";
else
if ( CloseBetweenBB[cid] AND OpenAboveBB1[cid] )
Commentary += "\nCandle is cut by the top bollinger\nand resides above bottom bollinger.";
else
if ( OpenBetweenBB[cid] AND CloseBelowBB2[cid] )
Commentary += "\nCandle is cut by the bottom bollinger\nand resides below top bollinger.";
else
if ( OpenAboveBB1[cid] AND CloseBelowBB2[cid] )
Commentary += "\nCandle cut by both bollingers.";
else
Commentary += "\nCandle is lying between the bollingers.";
}
else
{
Commentary = "\nWhite / Green / Up Candle :\n~~~~~~~~~~~~~~~~~~" ;

if ( OpenAboveBB1[cid] )
Commentary += "\nCandle started above Top bollinger." ;
else
if ( CloseBelowBB2[cid] )
Commentary += "\nCandle closed below Bottom Bollinger.";
else
if ( OpenBetweenBB[cid] AND CloseAboveBB1[cid] )
Commentary += "\nCandle is cut by the top bollinger\nand starts above bottom bollinger.";
else
if ( CloseBetweenBB[cid] AND OpenBelowBB2[cid] )
Commentary += "\nCandle is cut by the bottom bollinger\nand ends below top bollinger.";
else
if ( CloseAboveBB1[cid] AND OpenBelowBB2[cid] )
Commentary += "\nCandle cut by both bollingers.";
else
Commentary += "\nCandle is lying between the bollingers.";
}

if ( DnCandle_between_BB[cid] )
Commentary += "\nCandle enclosed inside the Bollingers!";
else
if ( DnCandleAcrossBB[cid] OR UpCandleAcrossBB[cid] )
Commentary += "\nCandle spans across the Bollingers.";

printf( "\nbb1cut = %g%% (O - bb1) = %g", /**/bb1cut , bb1topcut );/** /round( bb1cut*10000 ) / 100, bb1topcut );/**/

printf( "\nbb2cut = %g%% (O - bb2) = %g\n", /**/bb2cut, bb2topcut );/** /round( bb2cut*10000 ) / 100, bb2topcut );/**/

printf( Commentary + "\n\n" );
}
else
if ( AASettings == actionScan )
{
// Scan
}
else
if ( AASettings == actionExplore )
{
// Exploration
AddTextColumn( GroupID( 1 ), "Cat", formatChar, IIf( GroupID( 1 ) == "Z", colorWhite, colorDefault ), IIf( GroupID( 1 ) == "Z", colorRed, colorDefault ), 30 );

AddColumn( IIf( GroupID( 1 ) == "Z", Ref( C, -10 ), Ref( C, -3 ) ), "Start Price", 3.2, colorBlue, colorDefault, -1 );
AddColumn( C, "Close", 3.2, colorBlue, colorDefault, -1 );

AddColumn( V, "Total Vol.", 8 ) ;

AddColumn( Strength, "Strength", 1, colorRed, colorDefault, 40 );
AddTextColumn( WriteIf( Sell, "Sell", "" ), "Sell", 1, BuySellLetter, IIf( Sell, colorDarkRed, colorDefault ), -1 );

AddColumn( sYield, "Avg.Yield", 1.2, IIf( Buy, colorLightGrey, IIf( sYield < 0, colorRed, colorGreen ) ), colorDefault, -1 );
AddTextColumn( YpcStr, "Yield %", 1, IIf( Buy, colorLightGrey, IIf( Ypercent < 0, colorRed, colorGreen ) ), colorDefault, -1 );
AddTextColumn( YrateStr, "Yield rate", 1, IIf( Buy, colorLightGrey, IIf( Yrate < 0, colorRed, colorGreen ) ), colorDefault, -1 );

AddColumn( round( ROC( Close, 4 )*100 ) / 100, "ROC(4)", 1.2, colorDefault, colorDefault, -1 );

}
else
if ( AASettings == actionBacktest )
{
// Backtest
}

_SECTION_END();

Title = "{{NAME}} - {{INTERVAL}} - {{DATE}} - {{VALUES}}" + "\n";

## 18 August 2011

I find many such requests for afls? Do they all elucidate or obfuscate?
Does the requester of the afl know how to use it, the pros and cons,?

IMHO,every one is not master and i think it is not important or necessary but every one has desire/urge to achieve/posses/learn/collect something above all you can't disrespect/deny ..it?Are you?

## 03 August 2011

### Z-Score Indicator

Z-Score Indicator
The Z-Score indicator is used in statistics to determine how far a data element is from the mean.

68% of a given dataset will be 1 standard deviation from the mean or +-1 from the mean. 94% of a given dataset will be +-2 standard deviations from the mean.

This would tell us that if a value in a sample (stock price in for this discussion) is beyond +-2 standard deviations from the mean it would be considered an anomaly or to use other stock technical analysis terms overbought or oversold. This would also tell use that typically 68% of the data should fall within +-1 standard deviation from the mean, in other words moving beyond +-1 standard deviation can prove to be the acceleration of a trend (or jump in price) that may soon reverse.

Z-Score

The chart of the S&P 500 below shows when the Z-Score indicator could have been applied to determine if the trend was about to change.
Z-Score Indicator

How to Plot: Select the Z-Score indicator from the drop down box as shown below. Enter the number of days in the parameter box to the right of the indicator.
Z-Score Indicator

How To Use: Use the Z-Score indicator with indicators such as Momentum and RSI to confirm the turning point in stock prices based on a +-1 or +-2 standard deviations.

If you are an AMIBroker user you can download this formula from the AMIBroker site.

/*-----------------------------------------------------------
MTR Investors Group - www.MTRIG.com

Statistical Z-Score Indicator: Tracks how many standard
deviations the price is from the mean.

MTRIG - Reference
http://blog.mtrig.com/mtrig/blog/page/Z-Score-Indicator.aspx

Z-Score in Wikipedia
http://en.wikipedia.org/wiki/Standard_score
-------------------------------------------------------------*/

periods = Param( "Period", 20, 1,3, 1);

ZScore = ( Close - MA( Close, periods ) ) / StDev( Close, periods );

Plot(ZScore, "Z-Score", colorDarkGrey );
Plot(2, "2", colorBlueGrey);
Plot(0, "0", colorBlueGrey );
Plot(-2, "-2", colorBlueGrey);

priceAxesWidth=0;
dateAxesHeight=0;
TitleHeight=0;

pxwidth = Status("pxwidth");
pxheight = Status("pxheight");

chartwidth = pxwidth-priceAxesWidth;
chartheight = pxheight-dateAxesHeight;

topColor=ParamColor("topColor",ColorRGB(207,254,240) );
centerColor=ParamColor("centerColor", ColorRGB(249,236,164));
botColor=ParamColor("BottomColor", ColorRGB( 253,223,196));
priceAxesColor=ParamColor("priceAxesColor", colorWhite );
dateAxesColor=ParamColor("dateAxesColor", colorWhite);

relPos=Param("centerPosition%",50,0,100,1)/100;
centerHeight=chartheight*Param("centerHeight%",10,0,100,1)/100;
x0=0;
y0=Max(TitleHeight,chartheight*relPos-centerHeight/2);
x1=chartwidth;
y1=Min(chartheight,chartheight*relPos+centerHeight/2);

GfxSetBkMode( 1 );
GfxSetOverlayMode(1);
,priceAxesColor);
,dateAxesColor);