Bollinger-Keltner Squeeze AFL exploration

SetFormulaName( "NMN Bollinger Entry" );
SetChartOptions( 1, chartShowDates | chartWrapTitle );

_SECTION_BEGIN( "Bollinger Parameters" );
P 		= ParamField( "Bollinger Band on", 3 );
Pd1 	= Param( "BB 1 Period", 10, 3, 100, 1 );
W1 		= Param( "BB 1 Width", 1.35, 0, 50, 0.01 );
Pd2 	= Param( "BB 2 Period", 15, 3, 100, 1 );
W2 		= Param( "BB 2 Width", 2, 0, 50, 0.01 );
BBArea	= ParamToggle( "Adaptive Band", "On|Off" );

Plot( P, "Price Chart", IIf( O < C, colorBrightGreen, colorRed ), styleCandle );

Plot( bb1t = BBandTop( P, Pd1, W1 ), "Inner-Top Bollinger", colorLightOrange, styleLine );
Plot( bb1 = BBandBot( P, Pd1, W1 ), "Inner-Btm Bollinger", colorLightOrange, styleLine );

Plot( bb2t = BBandTop( P, Pd2, W2 ), "Outer-Top Bollinger", colorLightGrey, styleLine );
Plot( bb2 = BBandBot( P, Pd2, W2 ), "Outer-Btm Bollinger", colorLightGrey, styleLine );

if ( BBArea == 0 )
{
    PlotOHLC( bb1t, bb1t, bb1, bb1, "", ColorBlend( colorLightGrey, colorWhite, 0.65 ), styleCloud | styleNoRescale, Null, Null, Null, -1 );
    PlotOHLC( bb2t, bb2t, bb2, bb2, "", ColorBlend( colorGreen, colorWhite, 0.65 ), styleCloud | styleNoRescale, Null, Null, Null, -1 );
}

_SECTION_END();

_SECTION_BEGIN( "Candle-Bollinger positions" );

Zmat		= Param( "Z grp maturity(T+10)", 10, 1, 30, 1 )  ;
nonZmat	= Param( "Non-Z grp maturity(T+3)", 3, 1, 30, 1 )  ;
DCT			= Param( "Down Candle triggger", 1.5, 0.01, 10, 0.01 );
UCT			= Param( "Up Candle triggger", 1.5, 0.01, 10, 0.01 );

DnCandle 	= ( O >= C );
UpCandle 	= NOT DnCandle; // ( O < C )

OpenAboveBB1 		= O > bb1;
OpenBelowBB1 		= O < bb1;
CloseAboveBB1 	= C > bb1;
CloseBelowBB1 	= C < bb1;

CloseBelowBB2		= C < bb2;
CloseAboveBB2		= C > bb2;

OpenBelowBB2 		= O < bb2;
OpenAboveBB2		= O > bb2;

OpenBetweenBB		= ( bb1 > O ) AND ( bb2 < O );
CloseBetweenBB	= ( bb1 > C ) AND ( bb2 < C );

CandleBetweenBB	= OpenBetweenBB AND CloseBetweenBB ;

DnCandleAcrossBB	= ( O > bb1 ) AND ( bb2 > C ) ;
UpCandleAcrossBB = ( C > bb1 ) AND ( bb2 > O ) ;

CandleBelowBB2	= OpenBelowBB2 AND CloseBelowBB2 ;

TotallyBelowBB1	= ( H < bb1 ) AND ( H > bb2 ) ; // without the 2nd condn. its same as 'TotallyBelowBB2'
TotallyBelowBB2	= ( H < bb2 );
TotallyBetweenBB	= ( H < bb1 ) AND ( L > bb2 );

CandleBody = IIf( DnCandle, ( O - C ), ( C - O ) ); //CandleBody = IIf(CandleBody==0,0.000001,CandleBody);
FullCandle = ( H - L );
CandleWick = FullCandle - CandleBody;
TopWick	=	H - IIf( DnCandle, O, C ) ;
BtmWick	=	IIf( DnCandle, C, O ) - L ;

LastIsDnCandle = Ref( DnCandle, -1 );
LastIsUpCandle = Ref( UpCandle, -1 );

BBGap = ( bb1 - bb2 );

BB_Candle_ratio	= BBGap / CandleBody ;
Candle_BB_ratio	= CandleBody / BBGap ;
WickCandleRatio	= CandleWick / CandleBody ;
CandleWickRatio	= CandleBody / CandleWick ;
WickTopBtmRatio	= TopWick / BtmWick ;

bb1topcut	= IIf( DnCandle, ( O - bb1 ), ( C - bb1 ) );
bb2topcut	= IIf( DnCandle, ( O - bb2 ), ( C - bb2 ) );

bb1cut 	= bb1topcut / CandleBody ;
CandleCutByBB1 = IIf( DnCandle, ( bb1 > C ) AND ( bb1 < O ), ( bb1 > O ) AND ( bb1 < C ) ) ;
bb1cutHi 	= ( abs( bb1cut ) <= ( Param( "High cut by BB1 (in %)", 30, 1, 100, 1 ) / 100 ) ) AND CandleCutByBB1 ;
bb1cutLo 	= ( abs( bb1cut ) >= ( Param( "Low cut by BB1 (in %)", 50, 1, 100, 1 ) / 100 ) ) AND CandleCutByBB1 ;

bb2cut 	= bb2topcut / CandleBody ;
CandleCutByBB2 = IIf( DnCandle, ( bb2 > C ) AND ( bb2 < O ), ( bb2 > O ) AND ( bb2 < C ) );
bb2cutHi 	= abs( bb2cut ) <= ( Param( "High cut by BB2 (in %)", 50, 1, 100, 1 ) / 100 ) AND CandleCutByBB2 ;
bb2cutLo 	= abs( bb2cut ) >= ( Param( "Low cut by BB2 (in %)", 60, 1, 100, 1 ) / 100 ) AND CandleCutByBB2 ;

// Down candle 'buy' logic-parts
DnCandle_below_both_BB 	= DnCandle AND OpenBelowBB2 AND CloseBelowBB2 ;
DnCandle_above_both_BB	= DnCandle AND CloseAboveBB1 AND OpenAboveBB1 ;
DnCandle_between_BB 		= DnCandle AND CandleBetweenBB ;
DnCandle_Across_BB 		= DnCandleAcrossBB AND ( CandleBody > ( BBGap * DCT ) ) ;
//DnCandleSpansBB			= ( O > bb1 ) AND ( C < bb2 ) ;

// Up Candle 'buy' logic-parts
UpCandleBelowBothBB		=	UpCandle AND OpenBelowBB2 ;//( bb1 > O ) AND ( bb2 > O );
UpCandleAboveBothBB		=	UpCandle AND OpenAboveBB1 ;
UpCandle_between_BB 		= 	UpCandle AND ( ( bb1 > C ) AND ( bb2 < C ) ) AND ( ( bb1 > O ) AND ( bb2 < O ) );
UpCandleBetweenBB			=	UpCandle AND ( bb1 > O ) AND ( bb2 < O ) AND ( bb2 > C );
UpCandle_Across_BB		=	UpCandleAcrossBB AND ( CandleBody > ( BBGap * UCT ) ) ;

/*--------------------------------------------
					TRADE LOGICS
 ---------------------------------------------*/

Buy0 = ( DnCandle AND bb1cut < 0.7 AND bb1cut > 0.0 AND WickCandleRatio > 0.75 AND WickCandleRatio < 1.0 ) OR
       ( ( CandleBetweenBB OR CandleBelowBB2 ) AND ( CandleBody > 1 ) AND ( BBGap < 100 ) AND ( IIf( DnCandle, TopWick<BtmWick AND BtmWick > CandleBody * 2, TopWick > BtmWick AND TopWick > CandleBody * 2 ) ) ) OR
       ( UpCandle AND ( TopWick > BtmWick ) AND ( TopWick > CandleBody * 2 ) AND ( ( CandleCutByBB1 AND C > bb2 ) OR CandleBetweenBB OR CandleBelowBB2 ) ) OR
       ( UpCandle AND bb1cutHi AND bb2cutHi );
Buy1 = DnCandle AND bb1cutHi AND BBGap <= CandleBody  ;
Buy2 = OpenBelowBB1 AND DnCandle_Across_BB ;
Buy3 = DnCandle_Across_BB AND ( ( bb1cut < .5 ) AND ( bb2cut > .5 ) ) ;
Buy4 = DnCandle AND bb2cutHi ;

Buy5 = TotallyBelowBB2 AND ( BBGap >= 30 ) AND GapDown();
Buy6 = ( TotallyBelowBB2 OR ( UpCandle AND CloseBelowBB2 ) ) AND ( BBGap <= CandleBody );

Buy7 = ( bb1cut < 0 AND bb2cut > 0 AND bb2cut <= 1.0 ) OR ( UpCandle_Across_BB AND bb2cut > 0.6 ) ;
Buy8 = DnCandle_below_both_BB AND ( ( BBGap <= CandleBody ) OR ( CandleBody == 0 ) );

Buy  = NMNBE_Buy	 = Buy0 OR Buy1 OR Buy2 OR Buy3 OR Buy4 OR Buy5 OR Buy6 OR Buy7 OR Buy8;
Sell = NMNBE_Sell = IIf( GroupID( 1 ) == "Z", Ref( Buy, -Zmat ), Ref( Buy, -nonZmat ) );

// back log : 4 day maturity profit/loss
Clog			= ( 100 * ( C - Ref( C, -nonZmat ) ) / Ref( C, -nonZmat ) );
//MaturedSince	= IIf( GroupID( 1 ) == "Z", Ref( C, -Zmat ), Ref( C, -nonZmat ) );
MaturedSince	= IIf( GroupID( 1 ) == "Z", Ref( Avg, -Zmat ), Ref( Avg, -nonZmat ) );
sYield 		= IIf( Buy, C - HHV( O, 15 ), C * .995 - MaturedSince * 1.005 );
Ypercent		= ( sYield / MaturedSince ) * 100 ;
YpcStr			= NumToStr( Ypercent, 8.2 ) + " %" ;// Yield percent on holding period.
Yrate			= Ypercent / IIf( GroupID( 1 ) == "Z", 11, 4 ); // Yield percent per day.
YrateStr		= NumToStr( Yrate, 8.2 ) + " %" ;
Strength 		= Buy0 + Buy1 + Buy2 + Buy3 + Buy4 + Buy5 + Buy6 + Buy7 + Buy8; // - Sell;
Trade 			= WriteIf(  Buy == True, "Buy", WriteIf( Sell == True, "Sell", "N" ) );
LossTrade		= ( IIf( UpCandle, O, C ) * 0.995 ) < ( MaturedSince * 1.005 ); // after all commissions
//LossTrade		= ( Avg * 0.995 ) < ( MaturedSince * 1.005 );

// Signals
// [Indicator]

shape0 = Buy0 * shapeUpTriangle ;
shape1 = Buy1 * shapeSmallUpTriangle ;
shape2 = Buy2 * shapeSmallUpTriangle ;
shape3 = Buy3 * shapeSmallUpTriangle ;
shape4 = Buy4 * shapeSmallUpTriangle ;
shape5 = Buy5 * shapeSmallUpTriangle ;
shape6 = Buy6 * shapeSmallUpTriangle ;
shape7 = Buy7 * shapeSmallUpTriangle ;
shape8 = Buy8 * shapeSmallUpTriangle ;
sellshape = Sell * IIf( LossTrade, shapeHollowDownArrow, shapeSmallDownTriangle ) ;

shape0color = colorViolet;
shape1color = colorBrightGreen;
shape2color = colorViolet;
shape3color = colorGreen;
shape4color = colorRed;
shape5color = colorPink;
shape6color = colorLavender;
shape7color = colorAqua;
shape8color = colorDarkRed;
sellshapecolor = IIf( LossTrade, colorYellow, colorAqua );

BuySellLetter	= IIf( Buy AND Sell, colorWhite, IIf( Buy, colorDarkGreen, IIf( Sell, colorRed, colorDefault ) ) );
BuyBG			= IIf( Buy AND Sell, colorViolet, IIf( Buy, colorPaleGreen, colorDefault ) ) ; //IIf( Buy, colorPaleGreen, IIf( Sell, colorDarkRed, colorDefault ) );
SellBG			= IIf( Buy AND Sell, colorViolet, IIf( Sell, colorDarkRed, colorDefault ) ) ; //IIf( Buy, colorPaleGreen, IIf( Sell, colorDarkRed, colorDefault ) );

/*------------------------------------------
				Automatic Analysis
 -------------------------------------------*/
TransmitOrder = False;  // Set to True to really trade online!

bi 	= BarIndex();
cid 	= ( SelectedValue( bi ) - bi[ 0 ] );	// candle identification


Filter = ( Buy OR Sell ) ;//AND Status( "lastbarinrange" ) ; // chooses only the last bar i.e., day or period

AASettings = Status( "action" );

if ( AASettings == actionIndicator )
{
    // [Indicator]

    PlotShapes( shape0, shape0color, 0, L, -42 );
    PlotShapes( shape1, shape1color, 0, L, -12 );
    PlotShapes( shape2, shape2color, 0, L, -16 );
    PlotShapes( shape3, shape3color, 0, L, -20 );
    PlotShapes( shape4, shape4color, 0, L, -24 );
    PlotShapes( shape5, shape5color, 0, L, -28 );
    PlotShapes( shape6, shape6color, 0, L, -32 );
    PlotShapes( shape7, shape7color, 0, L, -34 );
    PlotShapes( shape8, shape8color, 0, L, -38 );

    PlotShapes( sellshape, sellshapecolor, 0, H, -12 );

}
else
    if ( AASettings == actionCommentary )
    {
        // [Commentary]
        printf( "Study of parameters.\n---------------------------\n" );
        printf( "High @ 		= %g\n", H ) ;

        if ( DnCandle[cid] )
        {
            printf( "Open @ 		= %g\n", O ) ;
            printf( "Close @ 		= %g	(4dM	%g)\n", C, sYield ) ;
        }
        else
        {
            printf( "Close @ 		= %g	(4dM	%g)\n", C, sYield ) ;
            printf( "Open @ 		= %g\n", O ) ;
        }

        printf( "Low @ 		= %g\n\n", L ) ;

        printf( "Volume		= %g\n\n", V ) ;

        printf( "Body of the candle		= %g\n", CandleBody );
        printf( "Top Wick Size 		= %g\n", TopWick );
        printf( "Bottom Wick Size		= %g\n", BtmWick );
        printf( "Wick Size 			= %g\n", CandleWick );
        printf( "Full-candle Size 		= %g\n\n", FullCandle );
        printf( "..........................\nCandle type		= " +
                WriteIf( DnCandle, "Down / Red / Black\n\n", "Up / Green / White\n\n" ) );
        printf( "Candle:wick ratio		= 1 : %g\n", CandleWickRatio );
        printf( "Wick:candle ratio		= 1 : %g\n\n", WickCandleRatio );
        printf( "TopWick:BtmWick ratio	= 1 : %g\n\n", WickTopBtmRatio );
        printf( "Gap between Bollingers	= %g\n\n", BBGap );

        printf( "Candle:BBGap ratio	= 1 : %g\n", round( Candle_BB_ratio * 100 ) / 100 );
        printf( "BBGap:Candle ratio = 1 : %g\n\n", round( BB_Candle_ratio * 100 ) / 100 ) ;

        printf( WriteIf( Candle_BB_ratio > 1.0, "The 'candle is larger' than the bollinger gap.\n", "" ) +
                WriteIf( BB_Candle_ratio < 0,   "Candle is away from the Bollinger-gap\n", "" ) +
                WriteIf( BB_Candle_ratio > 1.00, "The Bollinger gap is wide enough to hold the candle in.\n", "" ) +
                WriteIf( CandleBetweenBB, "Candle is inside the bollinger band.\n", "" ) +
                WriteIf( ( DnCandle AND OpenBelowBB2 ) OR ( UpCandle AND CloseBelowBB2 ), "The 'candle is outside' and 'below' the bollinger gap.\n", "" ) +
                WriteIf( ( DnCandle AND CloseAboveBB1 ) OR ( UpCandle AND OpenAboveBB1 ), "The 'candle is outside' and 'above' the bollinger gap.\n", "" ) +
                "..........................\n"
              );

        if ( DnCandle[cid] )
        {
            Commentary =  "\nBlack / Red / Down Candle :\n~~~~~~~~~~~~~~~~~~" ;

            if ( CloseAboveBB1[cid] )
                Commentary += "\nCandle closed above Top bollinger." ;
            else
                if ( OpenBelowBB2[cid] )
                    Commentary += "\nCandle opens below Bottom Bollinger,\nthus a 'below bollinger candle'.";
                else
                    if ( CloseBetweenBB[cid] AND OpenAboveBB1[cid] )
                        Commentary += "\nCandle is cut by the top bollinger\nand resides above bottom bollinger.";
                    else
                        if ( OpenBetweenBB[cid] AND CloseBelowBB2[cid] )
                            Commentary += "\nCandle is cut by the bottom bollinger\nand resides below top bollinger.";
                        else
                            if ( OpenAboveBB1[cid] AND CloseBelowBB2[cid] )
                                Commentary += "\nCandle cut by both bollingers.";
                            else
                                Commentary += "\nCandle is lying between the bollingers.";
        }
        else
        {
            Commentary =	  "\nWhite / Green / Up Candle :\n~~~~~~~~~~~~~~~~~~" ;

            if ( OpenAboveBB1[cid] )
                Commentary += "\nCandle started above Top bollinger." ;
            else
                if ( CloseBelowBB2[cid] )
                    Commentary += "\nCandle closed below Bottom Bollinger.";
                else
                    if ( OpenBetweenBB[cid] AND CloseAboveBB1[cid] )
                        Commentary += "\nCandle is cut by the top bollinger\nand starts above bottom bollinger.";
                    else
                        if ( CloseBetweenBB[cid] AND OpenBelowBB2[cid] )
                            Commentary += "\nCandle is cut by the bottom bollinger\nand ends below top bollinger.";
                        else
                            if ( CloseAboveBB1[cid] AND OpenBelowBB2[cid] )
                                Commentary += "\nCandle cut by both bollingers.";
                            else
                                Commentary += "\nCandle is lying between the bollingers.";
        }

        if ( DnCandle_between_BB[cid] )
            Commentary += "\nCandle enclosed inside the Bollingers!";
        else
            if ( DnCandleAcrossBB[cid] OR UpCandleAcrossBB[cid] )
                Commentary += "\nCandle spans across the Bollingers.";

        printf( "\nbb1cut = %g%%	(O - bb1)	= %g", /**/bb1cut , bb1topcut );/** /round( bb1cut*10000 ) / 100, bb1topcut );/**/

        printf( "\nbb2cut = %g%%	(O - bb2)	= %g\n", /**/bb2cut, bb2topcut );/** /round( bb2cut*10000 ) / 100, bb2topcut );/**/

        printf( Commentary + "\n\n" );
    }
    else
        if ( AASettings == actionScan )
        {
            // Scan
        }
        else
            if ( AASettings == actionExplore )
            {
                // Exploration
                /** /
                SetOption( "NoDefaultColumns", True );
                AddTextColumn( GroupID( 1 ), "Cat", formatChar,  IIf( GroupID( 1 ) == "Z", colorWhite, colorDefault ), IIf( GroupID( 1 ) == "Z", colorRed, colorDefault ), -1 );
                AddTextColumn( Name(), "Ticker", formatChar, colorDefault, colorDefault, 100 );
                AddTextColumn( Date(), "Date/Time", formatDateTime, colorDefault, colorDefault, 80 );
                /**/
                AddTextColumn( GroupID( 1 ), "Cat", formatChar,  IIf( GroupID( 1 ) == "Z", colorWhite, colorDefault ), IIf( GroupID( 1 ) == "Z", colorRed, colorDefault ), 30 );
                /** /
                AddColumn( RLS, "Lot", 1,  colorDefault, colorDefault, -1 );
                /**/
                AddColumn( IIf( GroupID( 1 ) == "Z", Ref( C, -10 ), Ref( C, -3 ) ), "Start Price", 3.2, colorBlue, IIf( Sell, colorLavender, colorDefault ), -1 );
                AddColumn( C, "Close", 3.2,
                           IIf( Buy AND Sell, colorWhite, IIf( Avg > C, IIf( Buy, colorGreen, colorRed ), IIf( Avg < C, IIf( Sell, colorGreen, colorRed ), colorDefault ) ) ),
                           IIf( Buy AND Sell, colorViolet, IIf( Buy, colorPaleGreen, colorDefault ) ),
                           -1 );
                AddColumn( Avg, "Avg. Price", 3.2, colorBlue, IIf( Sell, colorLavender, colorDefault ), -1 );
                AddColumn( V, "Total Vol.", 8 ) ;

                AddColumn( Strength, "Strength", 1, colorRed, colorDefault, 40 );
//                AddTextColumn( Trade, "Trade", 1, BuySellLetter,  IIf(Buy, colorPaleGreen,colorDefault), -1 );
                AddTextColumn( WriteIf( Buy, "Buy", "" ), "Buy", 1, BuySellLetter,  BuyBG, -1 );
                AddTextColumn( WriteIf( Sell, "Sell", "" ), "Sell", 1,  BuySellLetter, SellBG, -1 );
                AddColumn( sYield, "Avg.Yield", 1.2, IIf( Buy, colorLightGrey, IIf( sYield < 0, colorRed, colorGreen ) ), colorDefault, -1 );
                AddTextColumn( YpcStr, "Yield %", 1, IIf( Buy, colorLightGrey, IIf( Ypercent < 0, colorRed, colorGreen ) ), colorDefault, -1 );
                AddTextColumn( YrateStr, "Yield rate", 1, IIf( Buy, colorLightGrey, IIf( Yrate < 0, colorRed, colorGreen ) ), colorDefault, -1 );
                AddColumn( round( ROC( Close, 4 )*100 ) / 100, "ROC(4)", 1.2, colorDefault, colorDefault, -1 );
//                AddColumn( Clog, "4d M(%)", 1.2, colorDefault, colorDefault, -1 );
            }
            else
                if ( AASettings == actionBacktest )
                {
                    // Backtest
                }

_SECTION_END();

//_N("{{NAME}} - {{INTERVAL}} - {{DATE}} - {{VALUES}}" + "\n");

//Title = //_N("{{NAME}} - {{INTERVAL}} - {{DATE}} - {{VALUES}}" + "\n") +
//    "{{NAME}} - {{INTERVAL}} - {{DATE}} - {{VALUES}}" + "\n" +
//    " bb1cut = " + floor( bb1cut * 100 ) + "%" + WriteIf( bb1cutHi, " (Hi)", WriteIf( bb1cutLo, " (Lo)", "" ) ) + "\n" +
//    " bb2cut = " + floor( bb2cut * 100 ) + "%" + WriteIf( bb2cutHi, " (Hi)", WriteIf( bb2cutLo, " (Lo)", "" ) );

_N( Title = StrFormat( "PE(NMN):Bollinger Entry - {{NAME}} - {{INTERVAL}} {{DATE}}, Open %g, High %g, Low %g, Close %g (%.1f%%), Vol " + WriteVal( V, 1.0 ) + ", {{VALUES}}\n" +
                       " bb1cut = %g%%" + WriteIf( bb1cutHi, " (Hi)", WriteIf( bb1cutLo, " (Lo)", "" ) ) +
                       "\nbb2cut = %g%%" + WriteIf( bb2cutHi, " (Hi)", WriteIf( bb2cutLo, " (Lo)", "" ) ),
                       O, H, L, C, SelectedValue( ROC( C, 1 ) ), floor( bb1cut * 100 ), floor( bb2cut * 100 ) ) );

_SECTION_BEGIN( "SAR" );
acc = Param( "Acceleration", 0.02, 0, 1, 0.001 );
accm = Param( "Max. acceleration", 0.2, 0, 1, 0.001 );
Plot( SAR( acc, accm ), _DEFAULT_NAME(), ParamColor( "Color", colorBlue ), ParamStyle( "Style", styleDots | styleNoLine, maskDefault | styleDots | styleNoLine ) );
_SECTION_END();