ATR Volatility trading system

[paragcpatil]

Hello Friend,

You know about ATR Volatility trading system is available on marketcalls. This system is made for daily base ( only go for long , no short - cover ) . I have slightly modified and added new condition here . You can download here and checkout backtest report of nifty spot.

//------------------------------------------------------------------------------
//
// ATR trading system for short terms tradings. You can use it with Absolute
// Strength Index for confirmation of signals.
//
//------------------------------------------------------------------------------

_SECTION_BEGIN("ATR Volatility Revised Edition");


GraphXSpace = 15;

SetChartOptions(0,chartShowArrows|chartShowDates);

SetChartBkColor(ParamColor("bkcolor",ColorRGB(0,0, 0)));

GfxSetBkMode(0);

GfxSetOverlayMode(1);

SetBarFillColor(IIf(C>O,ParamColor("Candle UP Color", colorGreen),IIf(C<=O,ParamColor("Candle Down Color", colorRed),colorLightGrey)));

Plot(C,"\nPrice",IIf(C>O,ParamColor("Wick UP Color", colorDarkGreen),IIf(C<=O,ParamColor("Wick Down Color", colorDarkRed),colorLightGrey)),64,0,0,0,0);

///////////////////////////////////////////////////////////////
R = RSI(9);
SK = StochK(10, 3);
SD = StochD(10, 3, 3);
MH = MACD(12, 26) - Signal(12, 26, 9);

//Conditions for Buying


Cond1 = ValueWhen(C,O<C);
Cond2 = R > 53;

Cond3 = SD < 100 AND SD > Ref(SD, -1);
Cond4 = MH > 0 OR (MH < 0 AND MH > Ref(MH, -1));

//Conditions for Selling

Cond5 = ValueWhen(C,O>C);

Cond6 = R < 40;

Cond7 = SD > 20 AND SD < Ref(SD, -1);
Cond8 = MH < 0 OR (MH > 0 AND MH < Ref(MH, -1));

Buy1 = Cover= Cond1 AND Cond2 AND Cond3 AND Cond4 ;
Sell1 = Short= Cond5 AND Cond6 AND Cond7 AND Cond8 ;


/////////////////////////////////////////////////////////////////

n=Param( "period", 15, 5 , 20, 1 );
k=Param( "factor", 0.9, 0.5 , 2.5, 0.1 );

f=ATR(n);

/*R Resistance */
R[0] = C[0];
/*S Support */
S[0] = C[0];

for( i = n+1; i < BarCount; i++ )
{

R=R[i-1];
S=S[i-1];
if (( S[i-1]<=C[i-1]) AND (C[i-1] <=R[i-1] ) AND (C[i-1]+k*f[i-1])<=RV)

R = C[i-1]+k*f[i-1];

if (( S[i-1]<=C[i-1]) AND (C[i-1]<=R[i-1] ) AND (C[i-1]-k*f[i-1])>=SV)

S= C[i-1]-k*f[i-1];






if ( C[i-1] >R[i-1] )
{
R = C[i-1]+k*f[i-1];
S= C[i-1]-k*f[i-1];
RV=R;
SV=S;
}
if ( C[i-1] <S[i-1] )
{
R = C[i-1]+k*f[i-1];
S= C[i-1]-k*f[i-1];
RV=R;
SV=S;

}


Buy=Close>R AND Buy1;
Sell=Close<S AND Sell1;

Cump=IIf(Close>R,1,0);
Vanz=IIf(Close<S,1,0);
}

Buy = ExRem( Buy, Sell );
Sell = ExRem( Sell, Buy );

iBuy = Flip( Buy, Sell );
iSell =Flip( Sell, Buy );



Plot(IIf(iSell,R,Null), "Rez:",colorRed,styleDots|styleNoLine);
Plot(IIf(iBuy,S,Null), "Sup:",colorGreen,styleDots|styleNoLine);

Short=Sell;

Cover=Buy;

Buy=ExRem(Buy,Sell); Sell=ExRem(Sell,Buy);
Short=ExRem(Short,Cover); Cover=ExRem(Cover,Short);

SetOption("AllowSameBarExit", False);
SetOption("AllowPositionShrinking", True);
SetOption("FuturesMode", True);
SetOption("InterestRate",0);
SetOption("MaxOpenPositions",1);
RoundLotSize= 2;
SetOption("MinShares",RoundLotSize);
SetOption("PriceBoundChecking",False);
SetOption("AccountMargin",True);
SetOption("ReverseSignalForcesExit",False);
SetOption("UsePrevBarEquityForPosSizing",True);
SetOption("GenerateReport",1);
SetOption("MaxOpenLong",1);
SetOption("MaxOpenShort",1);
PositionSize = C*RoundLotSize*50.5;


SetOption("RefreshWhenCompleted",True);


//End of Settings for Backtester




BuyPrice=ValueWhen(Buy,C);

SellPrice=ValueWhen(Sell,C);

ShortPrice=ValueWhen(Short,C);

CoverPrice=ValueWhen(Cover,C);





Title = EncodeColor(colorWhite)+ "ATR Volatility System code from www.marketcalls.in" + " - " + Name() + " - " + EncodeColor(colorRed)+ Interval(2) + EncodeColor(colorWhite) +

" - " + Date() +" - "+"\n" +EncodeColor(colorRed) +"Op-"+O+" "+"Hi-"+H+" "+"Lo-"+L+" "+

"Cl-"+C+" "+ "Vol= "+ WriteVal(V)+"\n"+

EncodeColor(colorLime)+

WriteIf (Buy , " GO LONG / Reverse Signal at "+C+" ","")+

WriteIf (Sell , " EXIT LONG / Reverse Signal at "+C+" ","")+"\n"+EncodeColor(colorYellow)+

WriteIf(Sell , "Total Profit/Loss for the Last Trade Rs."+(C-BuyPrice)+"","")+

WriteIf(Buy , "Total Profit/Loss for the Last trade Rs."+(SellPrice-C)+"","");



PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorGreen, 0, L, Offset=-40);

PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorLime, 0,L, Offset=-50);

PlotShapes(IIf(Buy, shapeUpArrow, shapeNone),colorWhite, 0,L, Offset=-45);

PlotShapes(IIf(Short, shapeSquare, shapeNone),colorRed, 0, H, Offset=40);

PlotShapes(IIf(Short, shapeSquare, shapeNone),colorOrange, 0,H, Offset=50);

PlotShapes(IIf(Short, shapeDownArrow, shapeNone),colorWhite, 0,H, Offset=-45);

//Magfied Market Price

FS=Param("Font Size",30,11,100,1);

GfxSelectFont("Times New Roman", FS, 700, True );

GfxSetBkMode( colorWhite );

GfxSetTextColor( ParamColor("Color",colorGreen) );

Hor=Param("Horizontal Position",940,1,1200,1);

Ver=Param("Vertical Position",12,1,830,1);

GfxTextOut(""+C, Hor , Ver );

YC=TimeFrameGetPrice("C",inDaily,-1);

DD=Prec(C-YC,2);

xx=Prec((DD/YC)*100,2);

GfxSelectFont("Times New Roman", 11, 700, True );

GfxSetBkMode( colorBlack );

GfxSetTextColor(ParamColor("Color",colorYellow) );

GfxTextOut(""+DD+" ("+xx+"%)", Hor , Ver+45 );




_SECTION_END();

Download Report

 

[jahan]

Hello,

u didn't added the Commissions and Slippage.....include these things and Backtest again....u will get entirely different results.

there is no option in Amibroker to add slippage but u can add Commissions.....slippages are normally 2-3 times the total Brokerage for intraday... as u tested in daily time-frame....may be ur slippage is less than 1.5 times the total brokerage/commissions.

Regards,