Hello,
I have a long-only simple moving average crossover strategy with one added constraint; trades should take place only when the ticker price is in the specified range. I calculate the trading ranges for different tickers in the morning before the trading session at NSE opens. For eg. in the attached picture, I want to enter a trade only when Asianpaint price is between 437 and 440 (these values are specific to Asianpaint). I have written following AFL to implement the strategy.
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SetBarsRequired(sbrAll,sbrAll);
timeperiod = 10;
UpperLimit = 440;
LowerLimit = 437;
Buy = Cross(Close, MA(Close,timeperiod)) AND (Close>LowerLimit) AND (Close<UpperLimit);
SellTemp = Cross(MA(Close,timeperiod),Close) OR (Close>UpperLimit);
Sell = ExRem(SellTemp,Buy);
Short=Cover=0;
-----------------------
Trade Entry Condition:
Enter into a long trade if price crosses above MA and price is in the specified range.
Trade Exit Condition:
Exit the trade If either the price goes below moving average or the price hits the target (i.e. UpperLimit).
----------------------
My Problem: In the above AFL, same price range is shared by all the tickers. But I want to define different trading ranges for different tickers.
P.S. On a more general note, I haven't been able to figure out how to define variables/parameters in AFL that can take different values for different tickers. Any pointers in this direction on this will be very appreciated.
Love for all.
I have a long-only simple moving average crossover strategy with one added constraint; trades should take place only when the ticker price is in the specified range. I calculate the trading ranges for different tickers in the morning before the trading session at NSE opens. For eg. in the attached picture, I want to enter a trade only when Asianpaint price is between 437 and 440 (these values are specific to Asianpaint). I have written following AFL to implement the strategy.
------------------------
SetBarsRequired(sbrAll,sbrAll);
timeperiod = 10;
UpperLimit = 440;
LowerLimit = 437;
Buy = Cross(Close, MA(Close,timeperiod)) AND (Close>LowerLimit) AND (Close<UpperLimit);
SellTemp = Cross(MA(Close,timeperiod),Close) OR (Close>UpperLimit);
Sell = ExRem(SellTemp,Buy);
Short=Cover=0;
-----------------------
Trade Entry Condition:
Enter into a long trade if price crosses above MA and price is in the specified range.
Trade Exit Condition:
Exit the trade If either the price goes below moving average or the price hits the target (i.e. UpperLimit).
----------------------
My Problem: In the above AFL, same price range is shared by all the tickers. But I want to define different trading ranges for different tickers.
P.S. On a more general note, I haven't been able to figure out how to define variables/parameters in AFL that can take different values for different tickers. Any pointers in this direction on this will be very appreciated.
Love for all.
