Cow AFL

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chaika
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Cow AFL

Postby chaika » Wed Dec 19, 2007 1:30 pm

Below is an AFL for finding the best cows to milk. It's for use on Yahoo end-of-day data. The statistical computations in the AFL are translated from TRO's stockfetcher code. You can also use this AFL for backetesting. Hope someone finds it useful.

/**********************************/
// Daily Gaps version

SetOption("InitialEquity",100000 );
SetTradeDelays(0,0,0,0);

Multi = 6.25;//Optimize("Multi", 5, 5, 6, 0.2 );
bars = 29;//Optimize("ATR Periods", 25, 25, 30, 1);

pcnt=65;//Optimize("pcnt",65,5,20,5);

positions=25;//Optimize("positions",7,1,21,5);

risk = multi*ATR(bars);

Optimal_shares = (pcnt/100)*Equity()/risk;

SetOption("MaxOpenPositions", positions);

PositionSize = -100/positions;

// Gap statistics

gapped = O - Ref(C,-1);

GapUpp = Sum(gapped>0,1);

GapDwn = Sum(gapped<0,1);

absgap = abs(gapped);

gappedup100 = Sum(GapUpp>0,100);

gappeddn100 = Sum(GapDwn>0,100);

CloseLoR = Ref(C,-1)-L;

CloseHiR = H - Ref(C,-1);

fillup = Sum(CloseLoR>0,1);

filldn = Sum(CloseHiR>0,1);

GapUpfilled = GapUpp*fillup;

GapDnFilled = GapDwn*filldn;

GapUp100f = Sum(gapupfilled>0,100);

GapDn100f = Sum(gapdnfilled>0,100);

gapfilled = GapUp100f + gapdn100f;

//tbars=Optimize("tbars",10,10,40,10);
//bbars=Optimize("bbars",60,10,40,10);
ratio = 2;//Optimize("ratio",1.5,1.9,2.1,0.1);
Cond6=MA(V*C,10)/MA(V*C,20)>ratio;

BAdBuyDay = 4;//Optimize("BadBuyDay",1,1,5,1);

PositionScore = absgap;

// the following line is the trigger if all conditions satisfied
Buy =gapfilled>81 AND O<0.999*Ref(C,-1) AND MA(V,30)>1000000/100 AND C>5;

Short=gapfilled>76 AND O>1.001*Ref(C,-1) AND MA(V,30)>1000000/100 AND C>5;

BuyPrice = O;

ShortPrice = O;

// here we define variables used once in the trade

multi = 6.25;//Optimize("multi",5,5,7,0.25);

ApplyStop( stopTypeLoss, stopModePoint, amount=multi*ATR(29));

YourHold = BarIndex() - ValueWhen(Buy, BarIndex(), 1);//Replace <...> with your 'buy' formula
Multiple = 5;//Optimize("Multiple", 5, 3.5, 4.5, 0.5 ); //How many ATR?fs to be allowed below the highest high since latest "buy" bar
ATRPeriods = 29;//Optimize("ATR Periods", 29, 12, 18, 2); //How many periods to use for the ATR
Plot1 = HHV(Close,YourHold) - (Multiple * ATR(ATRPeriods)); //Chandelier exit line from highest close
Plot2 = HHV(High, YourHold) - (Multiple * ATR(ATRPeriods)); //Chandelier exit line from highest high
Plot(Plot1, "ADRCash", ParamColor( "ADRCash Chandelier", colorBlue ), ParamStyle("Chandelier Style") );


Sell= C>0 OR H>O+EMA(absgap,30);

Cover=C>0 OR L<O-EMA(absgap,30);

SellPrice = C;//IIf(H>O+EMA(absgap,30),O+EMA(absgap,30),C);

CoverPrice = C;//IIf(L<O-EMA(absgap,30),O-EMA(absgap,30),C);

// here we define what gets displayed on the chart
shape = Buy * shapeUpArrow + Sell * shapeDownArrow;
PlotShapes( shape, IIf( Buy , colorYellow, colorRed ), 0, IIf( Buy , Low, High));

Filter = C>5 AND MA(V,30)>1000000/100 AND gapfilled>76; // lists exploration results conforming to our buy criteria


SetOption("NoDefaultColumns", True );
AddTextColumn( Name(), "Symbol", 77 , colorDefault);

AddColumn(Close,"Close",1.2);
AddColumn(Volume*100,"Volume",1.0);
AddColumn(gappedup100,"GappedUp100",1);
AddColumn(gappeddn100,"GappedDn100",1);
AddColumn(gapfilled,"GapFilled",1);
AddColumn(GapUp100f,"GapUp100f",1);
AddColumn(GapDn100f,"GapDn100f",1);
AddColumn(MA(absgap,100),"Avg. Gap",1.2);
/***********************************/

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TheRumpledOne
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Postby TheRumpledOne » Wed Dec 19, 2007 3:48 pm

chaika:

Thanks!!

Are you trying to put SF out of business? LOL!!
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!

Please do NOT PM me with trading or coding questions, post them in a thread.

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TheRumpledOne
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Postby TheRumpledOne » Wed Dec 19, 2007 3:49 pm

Hey if you could do that for the TRO STAT SCAN.... :)
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!



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chaika
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Postby chaika » Thu Dec 20, 2007 12:09 am

All the thanks goes to you TRO for posting about this trading method and being so generous in helping other traders. I don't think this Cow AFL will have much effect on stockfetcher's business. From the relatively small amount of posts here about Amibroker, it doesn't seem to be a tremendously popular platform.

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TheRumpledOne
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Postby TheRumpledOne » Thu Dec 20, 2007 1:21 am

Well, chaika, that's not how some posters in the other thread feel about me. Now my teaching/mentoring skills are being questioned!

"Some people just can't be reached."
- The Captian , Cool Hand Luke
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!



Please do NOT PM me with trading or coding questions, post them in a thread.

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worldastro
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Postby worldastro » Tue Apr 13, 2010 1:02 pm

what is the mining of only down arrow ????

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