|
PureBytes Links
Trading Reference Links
|
|
Hello Jim,
It is not a joke, I am not familiar with Wealth lab coding....
This formula is supposed to represent Jesse Livermore's trading rules /
style....
I was / am interested in testing it...
Thanks
Anthony
----- Original Message -----
Sent: Saturday, March 12, 2005 1:30
PM
Subject: [amibroker] Re: OT: convert
Wealth lab fromula to Amibroker
Anthony,
That looks like a lot of work (or is it
a joke?).
Anyway's perhaps someone would be willing if you published the WL
stats, like win rate etc.....
If somone does, please post it
here.
Regards
Jim
--- In amibroker@xxxxxxxxxxxxxxx,
"Anthony Faragasso" <ajf1111@x...>
wrote:
> Anyone able to convert this wealth lab formula to
Amibroker ?
>
> Thank you
> Anthony
> var Bar
: integer;
> var SecondaryRally, NaturalRally, SecondaryReaction,
DnTrend :
float;
> var ResumeUpTrend, ResumeDnTrend,
UseRule10 : boolean;
> var Thresh , threshold, HalfThresh
,NaturalReaction,
NaturalRallyBL, NaturalReactionRL, UpTrendRL, UpTrend,
DnTrendBL :
float;
> var MA10_10, MA10_Now ,
State, ATRvalue :
integer;
> var PtsPctATR, tradetrends :
integer;
> { Install AutoStops }
> {InstallStopLoss(
12 ); }
> threshold := 2;
> PtsPctATR :=
2; {0=Points, 1=Precent, 2=ATR}
>
tradetrends := 1; {0=trends and reactions, 1=trends
only}
> {State = 0 Uptrend
}
> {State = 1 Dntrend
}
> {State = 2
NatRally}
> {State = 3
SecRally}
> {State = 4
NatReact}
> {State = 5
SecReact}
> if (PtsPctATR = 0)
then
> begin
>
Thresh := threshold;
> HalfThresh :=
thresh/2;
> end;
> for Bar := 1 to 21
do
> begin
> if (Bar = 1)
then
> begin
>
AddCommentary('Init');
> SecondaryRally :=
PriceClose(bar);
> NaturalRally :=
PriceClose(bar);
> UpTrend :=
PriceClose(bar);
> SecondaryReaction :=
PriceClose(bar);
> NaturalReaction :=
PriceClose(bar);
> DnTrend :=
PriceClose(bar);
> ResumeUpTrend :=
false;
> ResumeDnTrend :=
false;
> UseRule10 := false; {if true
try/test futures only}
> end;
> if (Bar
<= 21) then
> begin {1}
>
MA10_Now := SMASeries( #Close, 10 );
>
MA10_10 := SMASeries( OffSetSeries( #Close, -10 ), 10 );
>
>
> if (Bar = 21)
then
> begin {2}
>
> if @MA10_Now[Bar] > @MA10_10[Bar]
then
>
begin
>
AddCommentary('InUpTrend');
> State
:= 0;
> UpTrend :=
PriceClose(bar);
>
end
>
else
>
begin
>
AddCommentary('InDnTrend');
>
DnTrend := PriceClose(bar);;
> State
:= 1;
> end;
> end
{2}
> end; {1}
> end;
>
> {Main Loop}
> for Bar := 22 to BarCount
- 1 do
> begin {3}
>
> if
(PtsPctATR = 1) then
>
begin
> Thresh := threshold *
(PriceClose(bar-1)/100);
> HalfThresh :=
Thresh/2;
> end
> else if
(PtsPctATR = 2) then
>
begin
> Thresh := threshold * ATR(Bar,
14);
> HalfThresh :=
Thresh/2;
> AddCommentary('ATR thresh ' +
FloatToStr(Thresh));
>
AddCommentary('State ' +
IntToStr(State));
> AddCommentary('Price '
+ FloatToStr(PriceClose(bar)));
>
AddCommentary('Nat Reaction ' +
FloatToStr(NaturalReaction));
>
end;
> case State
of
> 0:
> { If
InUpTrend then}
> begin
{4}
> if (PriceClose(bar) >
(NaturalReaction + Thresh))
then
>
NaturalReactionRL := NaturalReaction; {Rule
4b}
>
AddCommentary('InUpTrend');
>
> if
ResumeUpTrend then { Rule 10 logic.
}
> begin
{6}
>
if (PriceClose(bar) > (UpTrendRL + HalfThresh))
then
>
begin
>
ResumeUpTrend := false; {Rule
10a}
>
State := 4;
{InNatReact}
>
NaturalReaction :=
PriceClose(bar);
>
UpTrend :=
PriceClose(bar);
>
end
>
else if (PriceClose(bar) < (UpTrendRL - HalfThresh))
then
>
begin
>
ResumeUpTrend := false; {Rule
10b}
>
State := 4;
{InNatReact}
>
NaturalReaction :=
PriceClose(bar);
>
end;
> end
{6}
>
else if (PriceClose(bar) < (UpTrend - Thresh)) then
{start
NaturalReaction}
>
begin {Rules 4a,
6a}
>
State := 4;
{InNatReact}
>
UpTrendRL := UpTrend; {pivot point, rule
8}
>
NaturalReaction :=
PriceClose(bar);
>
ResumeUpTrend :=
false;
>
end
>
else if (PriceClose(bar) > UpTrend) then {remain in
uptrend higher high
price}
>
UpTrend :=
PriceClose(bar);
>
end; {4
InUpTrend}
>
2:
> {Natural Rally
State}
> begin
{7}
>
> if
(PriceClose(bar) > (NaturalReaction + thresh))
then
>
NaturalReactionRL := NaturalReaction; {Rule
4b}
>
if (PriceClose(bar) > UpTrend) then {resume
UpTrend}
>
begin {rules 6d,
6f}
>
State := 0;
{InUpTrend}
>
AddCommentary(' Set to
InUpTrend');
>
UpTrend :=
PriceClose(bar);
>
if UseRule10 then ResumeUpTrend :=
true;
>
end
>
else if (PriceClose(bar) > (NaturalRallyBL +
HalfThresh))
then
>
begin {Rules
5a}
>
AddCommentary('Set to
InUpTrend');
>
State := 0;
{InUpTrend}
>
UpTrend :=
PriceClose(bar);
>
if UseRule10 then ResumeUpTrend :=
true;
>
end
>
else if (PriceClose(bar) < DnTrend) then {Start
DnTrend}
>
begin {Rule
6b}
>
AddCommentary('InNatRally start
dntrend');
>
State := 1;
{InDnTrend}
>
DnTrend :=
PriceClose(bar);
>
NaturalRallyBL := PriceClose(bar); {rule
4D}
>
end
>
else if (PriceClose(bar) < (NaturalRally - Thresh))
then
>
begin
>
if (PriceClose(bar) < NaturalReaction) then
{start Natural
Reaction}
>
begin {rule 4d,
6b}
>
State := 4;
{InNatReact}
>
AddCommentary('InNatRally start nat
reaction');
>
NaturalReaction :=
PriceClose(bar);
>
NaturalRallyBL := PriceClose(bar); {rule 4D}
{Pivot pt, Rule
9b}
>
end
>
else {start
secondaryreaction}
>
begin {rule
6h}
>
AddCommentary('InNatRally start sec
reaction');
>
State := 5;
{InSecReact}
>
SecondaryReaction :=
PriceClose(bar);
>
end;
>
if (PriceClose(bar) > NaturalRally)
then
>
NaturalRally :=
PriceClose(bar);
>
AddCommentary(' none of the
above');
>
end;
>
end; {7
InNatRally}
>
3: { Secondary Rally
State}
>
begin
>
if (PriceClose(bar) > UpTrend)
then
>
begin {rules 6d,
6f}
>
AddCommentary('InSecRally');
>
State := 0;
{InUpTrend}
>
UpTrend :=
PriceClose(bar);
>
if UseRule10 then ResumeUpTrend :=
true;
>
end
>
else if (PriceClose(bar) > (NaturalRallyBL +
halfthresh))
then
>
begin {rules
5a}
>
State := 0;
{InUpTrend}
>
UpTrend :=
PriceClose(bar);
>
if UseRule10 then ResumeUpTrend :=
true;
>
end
>
else if (PriceClose(bar) > NaturalRally)
then
>
begin {rule
6g}
>
State := 2;
{InNatRally}
>
NaturalRally :=
PriceClose(bar);
>
end
>
else if (PriceClose(bar) < DnTrend) then
{start
DnTrend}
>
begin {rule
6b}
>
State := 1;
{InDnTrend}
>
DnTrend :=
PriceClose(bar);
>
NaturalRallyBL := PriceClose(bar); {rule
4d, pivot pt, rule
9b}
>
end
>
else if (PriceClose(bar) > SecondaryRally)
then {record higher
high}
>
SecondaryRally := PriceClose(bar); {rule
3,
6g}
>
end;
{InSecRally}
>
{ DOWN TREND
STATE}
>
1:
>
begin {9}
>
>
if (PriceClose(bar) < (NaturalRally - Thresh))
then
>
NaturalRallyBL := NaturalRally; {rule
4d}
>
if ResumeDnTrend then {Rule 10 logic best works
with
futures}
>
begin
>
if (PriceClose(bar) < (DnTrendBL -
HalfThresh))
then
>
begin
>
ResumeDnTrend := false; {rule
10a}
>
DnTrend := PriceClose(bar); {rule 2,
6b}
>
end
>
else if (PriceClose(bar) > (DnTrendBL +
HalfThresh)) then {DnTrend
Over}
>
{return to
NaturalRally}
>
begin
>
AddCommentary('return to
NaturalRally');
>
ResumeDnTrend :=
false;
>
State := 2;
{InNatRally}
>
NaturalRally :=
PriceClose(bar);
>
end;
>
end
>
else if (PriceClose(bar) > (DnTrend +
Thresh)) then {Start
NaturalRally}
>
begin { rules 4c,
6c}
>
AddCommentary('return to
NaturalRally');
>
State := 2;
{InNatRally}
>
NaturalRally :=
PriceClose(bar);
>
DnTrendBL := DnTrend; {Pivot Pt, Rule
8}
>
ResumeDnTrend :=
false;
>
end
>
else if (PriceClose(bar) < DnTrend) then
{remain in down trend,
record lower
lows}
>
DnTrend := PriceClose(bar); {Rule 2,
6b}
>
end; {9
InDnTrend}
>
4:
>
{ Natural Reaction State
}
>
begin {Nat Reaction
State}
>
if (PriceClose(bar) < (NaturalRally -
Thresh))
then
>
NaturalRallyBL := NaturalRally; {Rule
4d}
>
if (PriceClose(bar) < DnTrend) then {resume
DnTrend}
>
begin {Rule 6b,
6e}
>
AddCommentary('InNatReact -
InDnTrend1');
>
State := 1;
{InDnTrend}
>
DnTrend :=
PriceClose(bar);
>
if UseRule10 then ResumeDnTrend :=
true;
>
end
>
else if (PriceClose(bar) <
(NaturalReactionRL - halfthresh ))
then
>
{resume
DnTrend}
>
begin {rules
5b}
>
AddCommentary('InNatReact -
InDnTrend2');
>
State := 1;
{InDnTrend}
>
DnTrend :=
PriceClose(bar);
>
if UseRule10 then ResumeDnTrend :=
true;
>
end
>
else if (PriceClose(bar) > UpTrend) then
{start
UpTrend}
>
begin {rule
6d}
>
AddCommentary('InNatReact -
InUpTrend1');
>
State := 0;
{InUpTrend}
>
UpTrend :=
PriceClose(bar);
>
NaturalReactionRL := PriceClose(bar);
{rule 4b, pvt point, rule
9c}
>
end
>
else if (PriceClose(bar) >
NaturalReaction + Thresh)
then
>
begin
>
if (PriceClose(bar) > NaturalRally)
then {start Natural
Rally}
>
begin {rules 4b,
6d}
>
State := 2; {In Nat
Rally}
>
NaturalRally :=
PriceClose(bar);
>
NaturalReactionRL := PriceClose
(bar); {rule 4b, pvt point, rule
9c}
>
end
>
else {start
SecondaryRally}
>
begin {rule
6g}
>
State := 3; {In Sec
Rally}
>
SecondaryRally :=
PriceClose(bar);
>
end;
>
end
>
else if (PriceClose(bar) <
NaturalReaction) then {remain in
NaturalReaction , record lower
lows}
>
NaturalReaction := PriceClose(bar);
{rule 3, 6a,
6b}
>
end;
{InNatReact}
>
5:
>
begin
>
AddCommentary('InSecReact');
>
if (PriceClose(bar) < DnTrend) then
{resume
DnTrend}
>
begin {rules 6b,
6e}
>
State := 1;
{InDnTrend}
>
DnTrend :=
PriceClose(bar);
>
if UseRule10 then ResumeDnTrend :=
true;
>
end
>
else if (PriceClose(bar) <
(NaturalReactionRL - halfthresh))
then
>
begin {rules
5b}
>
State := 1;
{InDnTrend}
>
DnTrend :=
PriceClose(bar);
>
if UseRule10 then ResumeDnTrend :=
true;
>
end
>
else if (PriceClose(bar) > UpTrend) then
{start
UpTrend}
>
begin {rules
6d}
>
State := 0;
{InUpTrend}
>
UpTrend :=
PriceClose(bar);
>
NaturalReactionRL := PriceClose(bar);
{rule 4b, pivot point, rule
9c}
>
end
>
else if (PriceClose(bar) <
NaturalReaction)
then
>
begin {rules
6h}
>
State := 4;
{InNatReact}
>
NaturalReaction :=
PriceClose(bar);
>
end
>
else if (PriceClose(bar) <
SecondaryReaction) then {record lower
lows}
>
SecondaryReaction := PriceClose
(bar); {rule
6h}
>
end;
{InSecReact}
>
else
>
begin
>
AddCommentary('Never get here!
');
>
end;
>
end;
> { Paint it }
> case State
of
> 0:
>
begin
> SetBarColor( Bar, #blue
);
> end;
>
1:
>
begin
> SetBarColor( Bar, #Red
); {Down Trend}
>
end;
> 2:
>
begin
> SetBarColor( Bar, #Black
);
> end;
>
3:
>
begin
> SetBarColor( Bar, #Green
);
> end;
>
4:
>
begin
> SetBarColor( Bar, #yellow
);
> end;
>
5:
>
begin
> SetBarColor( Bar, #purple
);
> end
>
else
> AddCommentary('not
important to show! ');
> end;
> if (tradetrends = 1)
then
> { Trend Rules }
>
begin
> if (State = 0) then
{uptrend}
>
begin
> if (not
lastpositionactive())
then
>
begin
>
buyAtMarket( Bar+1,
'LE');
>
end;
> if
positionshort(lastposition)
then
>
coverAtMarket( Bar+1,LastPosition, 'SXL');
>
end;
>
> if (State = 1) then
{downtrend}
>
begin
> if (not
lastpositionactive())
then
>
begin
>
shortAtMarket( Bar+1,
'SE');
>
end;
> if
positionlong(lastposition)
then
>
SellAtMarket( Bar+1, Lastposition,
'LXS');
> end;
>
> end
> else
> { Trend plus
Rules = trade trends, rallies, reactions}
>
begin
> if ((State = 0) or (State = 2) or (State
= 3)) then
>
begin
> if (not
lastpositionactive())
then
>
begin
>
buyAtMarket( Bar+1,
'LE');
>
end;
> if
positionshort(lastposition)
then
>
coverAtMarket( Bar+1,LastPosition, 'SXL');
>
end;
>
> if ((State = 1) or (State = 4)
or (State = 5)) then
>
begin
> if (not
lastpositionactive())
then
>
begin
>
shortAtMarket( Bar+1,
'SE');
>
end;
> if
positionlong(lastposition)
then
>
SellAtMarket( Bar+1, Lastposition,
'LXS');
>
end;
> end;
>
> end;
>
>
> No virus found in this outgoing message.
> Checked by
AVG Anti-Virus.
> Version: 7.0.308 / Virus Database: 266.7.2 - Release
Date: 3/11/2005
Please note that this group is
for discussion between users only.
To get support from AmiBroker please
send an e-mail directly to
SUPPORT {at} amibroker.com
For other
support material please check also:
http://www.amibroker.com/support.html
No virus found in this incoming message.
Checked by AVG
Anti-Virus.
Version: 7.0.308 / Virus Database: 266.7.2 - Release Date:
3/11/2005
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
| Yahoo! Groups Sponsor |
ADVERTISEMENT
![click here]() | |
![]() |
Yahoo! Groups Links
|
No virus found in this outgoing message.
Checked by AVG Anti-Virus.
Version: 7.0.308 / Virus Database: 266.7.2 - Release Date: 3/11/2005
|