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Thanks for the quick reply Prashanth.
Anil Desai
----- Original Message -----
Sent: Tuesday, June 14, 2005 10:28
PM
Subject: Re: [amibroker] Complete AFL
code for "Flags and Pennants" Trading System
Hello Anil,
Its only a word wrap which has
caused the problem.
Attached is the code
file.
Cheers
Prashanth
----- Original Message -----
Sent: Tuesday, June 14, 2005 10:10
PM
Subject: Re: [amibroker] Complete AFL
code for "Flags and Pennants" Trading System
I am getting a syntex error on
R (underlined for identification) in the following
line.
What should I do.
LOWER FLAG TRENDLINE
Anil
----- Original Message -----
Sent: Tuesday, June 14, 2005 6:42
PM
Subject: [amibroker] Complete AFL
code for "Flags and Pennants" Trading System
Below is the complete AFL code for Markos Katsano's
'Flags and
Pennants' Trading System. Markos articles appeared in
the April and
May 2005 TASC issues. The May 2005 issue had the
Metastock code for
the trading system. I've simply translated
the Metastock code to
AFL. To check for accuracy, I attempted to
run the AFL code against
the examples illustrated in the
articles. My AFL translation DID NOT
pick up the 'flags and
pennants' shown in the examples. That makes
me suspect that my
translation is not absolutely correct. However, I
backtested the
AFL code against a small database of stocks (over a 5
year period) and
the backtest/scan was able to pick out 'flags and
pennants' breakouts
with no problems. For e.g., LJPC went on to make
a 77% profit in
a mth after being identified as making a breakout by
the code.
Another e.g is IDEV which went on to make 82% in less than
5
wks.......there are many more. Of course, some breakouts failed
but the AFL sell rules quickly eliminated them. This system
works
best on small caps and you would need more than 300 bars of data
for
the trading rules to work (one of the indicators, VFI, needs more
than a year of data). Also, the 'flags and pennants' don't occur
too
frequently so you would need to scan a large database of stocks
(at
least a 1000) to get a decent number of buy signals or to get a
large
sample size for valid backtesting. More signals are picked
up during
overall market bull periods. Some small caps have 3-4
'flags and
pennants' occurring over a period of 1-2 years.
BOTTOM
LINE - THE CODE WORKS AND IS A GREAT SCAN FOR BREAKOUT STOCKS
BUT
WOULD, PROBABLY, NEED TO BE TWEAKED BY AN 'METASTOCK TO AFL'
GURU. I've included the Metastock code below the AFL for
afficianados to find my errors, if any. All comments are
welcome.
Also - Markos Katsanos uses the FVE, VFI, Stoch and ADX
indicator
to 'strengthen' his system. I don't believe its really
necessary to
include those to find 'flags and pennants'. You can
remove the
sections - "FVE indicator code", "VFI indicator code" and
Buy
Conditions 6 and 7 and still have a great system (call it 'F&P
Lite'). You would then need only 2 mths of data to run the
system.
Enough talk - here's the AFL code........
*****************************************************************
//
Translation of Markos Katsanos Metastock Code for 'Flags and
Pennants'
Trading System
ZZ = Zig(C,17);
X = BarsSince(ZZ<Ref(ZZ,-1)
AND Ref(ZZ,-1)> Ref(ZZ,-2));
X1 = LastValue(X) + 1;
X2 = X1 +
1;
SD = StDev(C,X2);
// FVE indicator code
PERIOD =
22;
COEFF = 0.1;
intRA = log(H) - log(L);
VINTRA = StDev(intRA,
PERIOD);
intER = log(Avg)-log(Ref(Avg,-1));
VINTER =
StDev(intER,PERIOD);
CUTOFF = COEFF*(VINTER + VINTRA)*C;
MF = C -
(H+L)/2 + Avg - Ref(Avg,-1);
MFV =
IIf(MF>CUTOFF,V,IIf(MF<-CUTOFF,-V,0));
FVE =
Sum(MFV,PERIOD)/MA(V,PERIOD)/PERIOD*100;
// VFI indicator
code
PERIOD1 = 130;
COEF = 0.2;
VCoef = 2.5;
VINTER1 =
StDev(intER, 30);
Cutoff1 = COEF * VINTER1 * C;
VAVE = Ref(MA(V,
PERIOD1), -1);
VMAX = VAVE * VCoef;
Vc = Min (V, VMAX);
MF1 = Avg
- Ref(Avg, -1);
VCP = IIf( MF1 > Cutoff1, Vc, IIf (MF1 <
-Cutoff1, -Vc, 0));
VFI = Sum(VCP, PERIOD1)/VAVE;
// Buy
Conditions
Buy = X1<21 AND X1>2 AND //CONDITION
1
Ref(LinRegSlope(C,13)/Ref(C,-13)*100, -X1)>2.2 //CONDITION
2
AND Ref(LinRegSlope(C,X2)/Ref(C,-X2),-1)*100<.2
AND
LinRegSlope(C,X1)/Ref(C,-X1)>-1.2 //CONDITION 3
AND
Ref(LinRegSlope(V,X2)/Ref(V,-X2),-1)*100<-2 //CONDITION 4
AND
Ref(LinRegSlope(SD,X1),-1)<0 //CONDITION 5
AND StochK(20,3)>55
AND ADX(10)>30 //CONDITION 6
AND FVE>10 AND VFI>-3 //CONDITION
7
AND C>Ref(C,-1) AND C>O; //CONDITION 8
//SELL
ORDER
D1 = ApplyStop(stopTypeNBar,stopModeBars, 24, True); D2 =
LastValue
(D1);
zz = Zig(Ref(C,-D2),17);
X =
BarsSince(ZZ<Ref(ZZ,-1) AND Ref(ZZ,-1)> Ref(ZZ,-2));
X1 =
LastValue(X) + 1; //FLAG DURATION
C1 = LLV(C,(D2+40)); //POLE
BASE
C2 = Ref(HHV(C,22),-D2); //POLE TOP
BREAK1 =
ApplyStop(stopTypeNBar,stopModePercent, 45, True);
POLE =
(C2-C1)/C1*100; //POLE HEIGHT %
// EXIT CONDITIONS
Sell =
BREAK1 > 1.94*(POLE^0.724) //EXIT CONDITION 1 PROFIT TARGET
OR
C<Ref(LLV(C,X1), -D2) //EXIT CONDITION 2 STOP LOSS ON BREAKING OF
LOWER FLAG TRENDLINE
OR (D2>14 AND BREAK1<.25*POLE) //EXIT
CONDITION 3 - INACTIVITY
OR (D2>3 AND C<.9*HHV(C,4)) //EXIT
CONDITION 4 - TRAILING STOP LOSS
OR D2>24; //EXIT CONDITION 5 - TIME
EXIT
****************************************************************
****************************************************************
//MARKOS
KATSANOS METASTOCK CODE FOR DETECTING BREAKOUTS IN FLAGS
AND
PENNANTS//
//Enter Long
ZZ: = Zig(C,17,%);
X: =
BarsSince(ZZ<Ref(ZZ,-1) AND Ref(ZZ,-1)> Ref(ZZ,-2));
X1: =
LastValue(X) + 1; //FLAG DURATION
X2: = X1 + 1;
SD: =
StDev(C,X2);
PERIOD: = 22;
COEFF: = 0.1;
INTRA: = log(H) -
log(L);
VINTRA: = StDev(INTRA, PERIOD);
INTER: =
log(Typical())-log(Ref(Typical(),-1));
VINTER: =
StDev(INTER,PERIOD);
CUTOFF: = COEFF*(VINTER + VINTRA)*C;
MF = C -
(H+L)/2 + Typical() - Ref(Typical(),-1);
FVE =
Sum(If(MF>CUTOFF,+V,IF(MF<-CUTOFF,-V,0)),PERIOD)/Mov
(V,PERIOD,S)/PERIOD*100;
X1<21
AND X1>2 AND //CONDITION 1
Ref(LinRegSlope(C,13)/Ref(C,-13)*100,
-X1)>2.2 //CONDITION 2
AND
Ref(LinRegSlope(C,X2)/Ref(C,-X2),-1)*100<.2
AND
LinRegSlope(C,X1)/Ref(C,-X1)>-1.2 //CONDITION 3
AND
Ref(LinRegSlope(V,X2)/Ref(V,-X2),-1)*100<-2 //CONDITION 4
AND
Ref(LinRegSlope(SD,X1),-1)<0 //CONDITION 5
AND Stoch(20,3)>55 AND
ADX(10)>30 //CONDITION 6
AND FVE>10 AND Fml("VFI")>-3
//CONDITION 7 //AFL GURUS - CODE FOR VFI
IS BELOW
AND
C>Ref(C,-1) AND C>O; //CONDITION 8
//SELL ORDER
D1: =
Simulation.CurrentPositionAge; D2: = LastValue(D1);
zz: =
Zig(Ref(C,-D2),17,%);
X: = BarsSince(ZZ<Ref(ZZ,-1) AND
Ref(ZZ,-1)> Ref(ZZ,-2));
X1: = LastValue(X) + 1; //FLAG
DURATION
c1: = LLV(C,(D2+40)); //POLE BASE
c2: = Ref(HHV(C,22),-D2);
//POLE TOP
BREAK1: =
Simulation.CurrentPositionPerformance*100;
POLE: = (C2-C1)/C1*100;
//POLE HEIGHT %
//EXIT CONDITIONS
BREAK1 >
1.94*Power(Pole,.724) //EXIT CONDITION 1 PROFIT TARGET - (in
article he
has profit target as 1.94*pole^0.724)//
OR C<Ref(LLV(C,X1), -D2)
//EXIT CONDITION 2 STOP LOSS ON BREAKING OF
LOWER FLAG TRENDLINE
OR
(D2>14 AND BREAK1<.25*POLE) //EXIT CONDITION 3 - INACTIVITY
OR
(D2>3 AND C<.9*HHV(C,4)) //EXIT CONDITION 4 - TRAILING STOP
LOSS
OR D2>24; //EXIT CONDITION 5 - TIME EXIT
//METASTOCK
CODE FOR VFI FORMULA//
PERIOD: = Input("PERIOD FOR
VFI",5,1300,130);
COEF: = .2;
VCOEF: = Input("MAX VOLUME
CUTOFF",0,50,2.5);
INTER: =
Log(Typical())-Log(Ref(Typical(),-1));
VINTER: =
Stdev(INTER,30);
CUTOFF: = COEF*VINTER*C;
VAVE: =
Ref(Mov(V,PERIOD,S),-1);
VMAX: = VAVE*VCOEF;
VC: =
If(V<VMAX,V,VMAX);
MF: = Typical()-Ref(Typical(),-1);
VFI: =
Sum(If(MF>CUTOFF,+VC,If(MF<-CUTOFF,-VC,0)),PERIOD)/VAVE;
Mov(VFI,3,E);
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
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
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
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
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