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Thanks to Johan (johsun) for the meat of this code.
One of the difficult parts, for me, of being a trend follower
(trading intermediate term trends of weeks to months in duration) is
getting a sell signal on an individual holding and then finding new
buy candidates as the trend in the overall market continues. I have
found that buying stocks that are making new highs and that have been
outperforming the market (and their industry groups) for the duration
of the existing intermediate trend is about as good a "continuation
pattern" as any.
So here's an exploration that finds stocks that are in tight rising
channels (compared to an index - or any other symbol) and are also
making new closing highs. With this exploration, I'm trying to locate
stocks that are outperforming an index on a volatility-adjusted basis
along an existing trend (as measured by the linear regression line of
a broad market index starting from a technical low point), and are
making new highs after some/minor consolidation (by the definition of
a tight rising channel, you won't have very much consolidation along
the channel/trend). The idea was inspired by Gary Smith's book "How I
Trade for a Living".
If anyone wants to embelish this code to enable Periods to be
determined with the BeginValue and EndValue markers on the chart,
please post.
///////////////////////////////////////////////////////////////
Periods = 125;
/* i'd actually like to be able to define the Periods of the linear
regression segment with the BeginValue and EndValue markers on a
chart if anyone knows how this could be done */
Sym = ParamStr( "Comparison Symbol:", "DWC--X" );
/* replace DWC--X with your own symbol to serve as a comparison for
defining your "tight rising channel" */
end = LinearReg( C, periods ); start = LinRegIntercept( C,
periods ); slope = LinRegSlope( C, periods );
endF = LinearReg(Foreign("SYM","Close"), periods);
startF = LinRegIntercept(Foreign("SYM","Close"), periods);
slopeF = LinRegSlope(Foreign("SYM","Close"), periods);
for( n = x = 0; n < periods; n++ )
x = x + abs( Ref( C, - n ) - ( end - n * slope ) );
for( nF = xF = 0; nF < periods; nF++ )
xF = xF + abs( Ref( Foreign("SYM","Close"), - nF ) - ( endF - nF *
slopeF ) );
Direction = end - start; Volatility = x; ER =
(Direction / Volatility)*100;
DirectionF = endF - startF; VolatilityF = xF;
ERf = (DirectionF / VolatilityF)*100;
/* ER stands for Efficiency Ratio, the standard version of which (as
defined by Perry Kaufman) is (Close - Ref(Close, -periods)) / Sum(abs
(ROC(C,1), periods)) */
Filter = EMA(V,252) * EMA(C,107) >= 1800000 AND EMA(V,252) >= 50000
AND (Direction/start) >= .92 * (DirectionF/startF)
AND ER >= ERf
AND C > Ref(HHV(C,36),-1)
AND Ref(C,-1) < Ref(HHV(H,36),-2)
AND (L-Ref(H,-1))/Ref(H,-1) < .08;
/* The filter weeds out stocks with low average daily turnover, those
whose linear regression rate of change is not within 8% of the
comparison symbol's, and those with a lower Efficiency Ratio than the
comparison symbol's. The filter also selects stocks that are making
new 36-bar closing highs, but whose previous close was lower than the
highest high price of the prior 36 bars. Finally, the final bar's low
should not have gapped up more than 8% from the previous bar's high.*/
AddTextColumn(SectorID( mode = 1 ),"Sector");
AddTextColumn(IndustryID( mode = 1 ),"Industry");
///////////////////////////////////////////////////////////////
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