RE: [Komunitas AmiBroker] Saran AFL

Tambahan dikit keterangan Pak Wisnu : pada dasarnya system ini adalah Golden Cross (Sinyal BUY ) dan Dead Cross (Sinyal SELL) antara EMA 20 dan EMA 50

 

From: amibroker-4-bei@yahoogroups.com [mailto:amibroker-4-bei@yahoogroups.com] On Behalf Of Wisnu Mobile
Sent: Thursday, May 19, 2011 10:33 AM
To: amibroker-4-bei@yahoogroups.com
Subject: Re: [Komunitas AmiBroker] Saran AFL

 

 

Pak/Bu JJ,

 

Sepertinya belum ada yang membantu. Saya comment general saja - tidak sempat cek detil, sedang ROAD trip keluar kota.

 

1. Sistem ini trend-following system yang relatif baik. Kalau diikuti patuh, dengan filter stock yang baik (FA baik dan liquids), performance nya baik.

 

2. Karena semua BUY condition menggunakan nilai CLOSE, sistem HANYA boleh digunakan untuk EOD - signal sekarang beli/jual besok AT OPEN.

 

3. Untuk bisa dibacktest dengan benar, perlu ditambahkan:

 

a. SetTradeDelays (1,1,1,1); //Untuk menunda backtest entry/exit 1 hari setelah signal keluar.

 

b. Strategi MM yang baik (silahkan digoogle, AmiBroker AFL PositionScore PositionSize,  untuk mengerti definisi dan cara menggunakannya).

 

4. Ketika saya melihat sistem yang tersebar luas, SERINGKALI, filternya HANYA buy/sell. Artinya sistem akan memberitahu kita stocks yang SUDAH memenuhi kondisi beli atau jual. Means little in actual trading. Sistem2 ini, jadinya confirmatory. Coba bangun filter yang memberitahu kita, bahwa ada stocks yang SEDANG mendekati titik beli atau jual. Lebih meaningful.

 

Salam.

 

On Wed, May 18, 2011 at 11:38 PM, jemi juventini <jemijuventini@yahoo.com> wrote:

 

Dear para senior, Mohon saran atas AFL yang saya lampirkan ini. Thank's Formula : _SECTION_BEGIN("Chart Display"); GraphXSpace = 10; SetBarsRequired( 1,1); Param_systemTitle = ParamStr("System Title?","Golden and Dead Cross"); if(ParamToggle("Show System Title?","No|Yes",1)) {     GfxSelectFont("Arial",10,600);     GfxSetTextColor(colorBlue);     GfxSetBkMode(1);     GfxTextOut(Param_systemTitle,15,25); } SetChartOptions(0,chartShowArrows|chartShowDates); SetChartBkColor(colorLightGrey); SetBarFillColor( IIf( C>O, colorWhite, colorBlack ) ); Plot( C, "Close", ParamColor("Candle Color", colorBlack), styleCandle|styleNoTitle); _N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) )); //plot tool tip if( ParamToggle("Tooltip shows", "All Values|Only Prices" ) ) {  ToolTip=StrFormat("Open: %g\nHigh:  %g\nLow:   %g\nClose:  %g (%.1f%%)\nVolume: "+NumToStr( V, 1 ), O, H, L, C, SelectedValue( ROC( C, 1 ))); }     _SECTION_END(); _SECTION_BEGIN("Volume"); Plot( Volume, _DEFAULT_NAME(), ParamColor("Color", colorGrey50), ParamStyle( "Style", styleHistogram | styleOwnScale, maskHistogram), 2 ); _SECTION_END();     _SECTION_BEGIN("Trading System");   ///Defining Trend with Moving Average///       x=Param("Short EMA",20,1,200,1); y=Param("Long EMA", 50,1,200,1); EMA1= EMA(C,x); EMA2=EMA(C,y);     goldencross= Cross(EMA1, EMA2); //moving average bullish deadcross= Cross(EMA2, EMA1); //moving average bearish   _SECTION_END();     //////Defining Buy or Sell Conditions///////// //BuyCondition  =   ValueWhen(PL,C)<=ValueWhen(PL,L,2) AND C>ValueWhen(PL,L,2) AND BarsSince(PL)<BarsSince(PH) AND BarsSince(PL)<=Param_buyDelay AND ValueWhen(PL,C)>=LLV(C,Param_lookbackBuy) AND IIf(MH_Buy,MH>ValueWhen(PL,MH,2),True) AND IIf(SD_Buy,SD<20,True) AND IIf(BB_Buy,BB_BuyValue,True) AND IIf(SMA_Buy,SMA_BuyValue,True) AND IIf(EMA_Buy,EMA_BuyValue,True) AND IIf(Price_Buy,C<=Price_UpperBuyValue AND C>=Price_LowerBuyValue,True) AND IIf(Volume_Buy,V>=Volume_BuyValue,True) AND IIf(RS_Buy,RS_BuyValue,True); BuyCondition    = goldencross  ; //SellCondition =   ValueWhen(PH,C)>=ValueWhen(PH,H,2) AND C<=ValueWhen(PH,H,2) AND BarsSince(PH)<BarsSince(PL) AND BarsSince(PH)<=Param_sellDelay AND ValueWhen(PH,C)<=HHV(C,Param_lookbackSell) AND    IIf(MH_Sell,MH<ValueWhen(PH,MH,2),True) AND IIf(SD_Sell,SD>80,True) AND IIf(BB_Sell,BB_SellValue,True) AND IIf(SMA_Sell,SMA_SellValue,True) AND IIf(EMA_Buy,EMA_SellValue,True) AND IIf(Price_Sell,C<=Price_UpperSellValue AND C>=Price_LowerSellValue,True) AND    IIf(Volume_Sell,V>=Volume_SellValue,True) AND IIf(RS_Sell,RS_SellValue,True); SellCondition = deadcross ;     Buy = BuyCondition; Short = SellCondition;   _SECTION_END();   _SECTION_BEGIN("Exploration"); PlotShapes(IIf(Buy,shapeSmallUpTriangle,shapeNone),colorBlue,0,L,-25); PlotShapes(IIf(Short,shapeSmallDownTriangle,shapeNone),colorOrange,0,H,-25);   SetOption("NoDefaultColumns",True); bkColour = IIf(BuyCondition ,colorGreen,colorRed); //bkColour = IIf(BuyCondition OR Cover,colorGreen,colorRed); txtColour = colorWhite; AddTextColumn(Name() ,"  Ticker  ",1.2,txtColour,bkColour,75); AddTextColumn(FullName() ,"  Full Name  ",1.2,txtColour,bkColour,100); AddColumn(DateTime(),"  Date / Time  ",formatDateTime,txtColour,bkColour,125); AddColumn(C,"  Close  ",1.2,txtColour,bkColour,75); AddColumn(ROC( C,1)," % Change ",1.2,txtColour,bkColour,50); AddColumn(V,"  Volume  ",1.0,txtColour,bkColour,100);   Filter = Buy OR Short;     AddColumn( IIf( BuyCondition, 66, 83 ), "Buy/Sell?", formatChar,txtColour,bkColour,40);   Var = WriteIf(goldencross,"GoldenCross",WriteIf(deadcross,"DeadCross","")); AddTextColumn( Var , "Remark", 1.2 , colorBlack, IIf( goldencross, colorLime,IIf(deadcross,colorOrange,colorWhite)),60);   _SECTION_END();

 

 

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