Simple Coding Help - No Promise.
- Thread starter Happy_Singh
- Start date
Hi All.
Can some expert who knows back testing will pl.help me to find out which time frame (either 5,15,30 or hourly) is more profitable for the following AFL?
Thanks & regards.
Can some expert who knows back testing will pl.help me to find out which time frame (either 5,15,30 or hourly) is more profitable for the following AFL?
Thanks & regards.
Code:
_SECTION_BEGIN("MA Diff");
T=26;
KMA=((C-MA(C,T))/MA(C,T))*100;
Graph0=KMA;
Graph0Style=2+4;
Graph0BarColor=IIf(KMA>0,5,4);
GraphXSpace=5;
_SECTION_END();
_SECTION_BEGIN("Price");
SetChartOptions(0,chartShowArrows|chartShowDates);
Plot( C, "Close", ParamColor("Color", colorBlack ), styleNoTitle | ParamStyle("Style") | GetPriceStyle() );
_SECTION_END();
//------------------------------------------------------------------------------
_SECTION_BEGIN("ZIG-ZAG");
P = ParamField( "Price field" );
change = Param("% change",5,0.1,25,0.1);
_SECTION_END();
_SECTION_BEGIN("EMA");
P = ParamField("Price field",-1);
Periods = Param("Periods", 15, 2, 300, 1, 10 );
_SECTION_END();
_SECTION_BEGIN("MACD Exploration");
r1 = Param( "Fast avg", 12, 2, 200, 1 );
r2 = Param( "Slow avg", 26, 2, 200, 1 );
r3 = Param( "Signal avg", 9, 2, 200, 1 );
Z=Param("zig",1,0,10,0.1);
Cond1 = Cross(MACD(r1,r2),Signal(r1,r2,r3));
Cond3 = Zig(C,z)>Ref(Zig(C,z),-4);
Buy = Cond1 AND Cond3;
Cond4 = Cross(Signal(r1,r2,r3),MACD(r1,r2));
Cond6 = Zig(C,z)<Ref(Zig(C,z),-4);
Sell = Cond4 AND Cond6;
Trigger = WriteIf(Buy, "Buy", "") + WriteIf(Sell, "Sell", "");
_N(Title = StrFormat("{{NAME}} {{DATE}} {{INTERVAL}}: O=%1.2f, H=%1.2f, L=%1.2f, C=%1.2f, V=%1.0f\n{{VALUES}}", O, H, L, C, V));
BG = IIf(Buy, colorPaleGreen, IIf(Sell, colorRose, colorDefault));
FG = IIf(Buy, colorDarkGreen, IIf(Sell, colorDarkRed, colorDefault));
if(Status("action") == actionIndicator)
{
Plot(C, "", colorGrey50, styleBar);
//PlotShapes(IIf(Buy, shapeCircle, shapeNone),colorBlue, 0,L, Offset=-60);
//PlotShapes(IIf(Sell, shapeCircle, shapeNone),colorBlue, 0,H, Offset=-30);
}
//------------------------------------------------------------------------------------------------
if(Status("action") == actionExplore)
Filter = Buy OR Sell;
SetOption("NoDefaultColumns", True);
AddTextColumn(Name(), "Symbol", 77, FG, BG, 120);
AddColumn(DateTime(), "Date", formatDateTime, FG, BG, 100);
AddColumn(TimeNum() ,"Time",1);
AddColumn( C, "Close", 1.3 );
AddColumn( H, "High", 1.3 );
AddColumn(V, "Volume");
AddColumn(Ref(V,-1),"P-Vol");
AddColumn(V/Ref(V,-1)*100,"Increase in Vol");
AddColumn( Buy, "Buy", 1 );
AddColumn( Sell, "Sell", 1 );
shape = Buy * shapeHollowUpTriangle + Sell * shapeHollowDownTriangle;
PlotShapes( shape, IIf( Buy, colorBlue, colorBlue ), 0, IIf( Buy, Low, High ) );
GraphXSpace = 7;
GraphXSpace = 7;
_SECTION_END();
_SECTION_BEGIN("EMA3");
P = ParamField("Price field",-1);
Periods = Param("Periods", 15, 2, 300, 1, 10 );
_SECTION_END();
_SECTION_BEGIN("Background text");
C13=Param("fonts",20,10,30,1 );
C14=Param("left-right",2.1,1.0,5.0,0.1 );
C15=Param("up-down",12,1,20,1 );
Miny = Status("axisminy");
Maxy = Status("axismaxy");
lvb = Status("lastvisiblebar");
fvb = Status("firstvisiblebar");
pxwidth = Status("pxwidth");
pxheight = Status("pxheight");
GfxSetBkMode(transparent=1);
GfxSetOverlayMode(1);
GfxSelectFont("Tahoma", Status("pxheight")/C13 );
GfxSetTextAlign( 6 );
GfxSetTextColor( ColorRGB (217,217,213));
GfxTextOut( Name(), Status("pxwidth")/C14, Status("pxheight")/C15 );
GfxSelectFont("Tahoma", Status("pxheight")/C13*0.5 );
GfxSetTextColor( ColorRGB (103,103,103));
GfxTextOut( "XYZ", Status("pxwidth")/C14, Status("pxheight")/C15*2.5 );
GfxSelectFont("Tahoma", Status("pxheight")/C13*0.5 );
GfxSetTextColor( ColorRGB (103,103,103));
GfxTextOut( "[email protected]", Status("pxwidth")/C14, Status("pxheight")/C15*4 );
GfxSelectFont("MS Sans Serif", 10, 500, False, False, 0);
//Second phase starts Here
//File: BHS Chart
_SECTION_BEGIN("Trading");
//SetChartBkColor(ParamColor("Outer panel color ",colorLightYellow));
SetChartBkColor(ParamColor("BackGround Color", colorBlack));
pShowtradeLines = ParamToggle("Show Trade Lines", "No|Yes", 1);
pShowMarkers = ParamToggle("Show Markers", "No|Yes", 1);
synch=ParamToggle("Synchronize buy/short with foreign index", "No|Yes", 1);
Volmin=Param("Volume minimum",5000,0,10000000,50);
Volmax=Param("Volume maximum",1000000,0,10000000,50);
priceRL=Param("Price Range Min",150,1,20000,1);
priceRH=Param("Price Range Max",3000,1,20000,1);
PercChangemin=Param("Percentage Change Min set", -25, -100, 100, 0.1);
PercChangemax=Param("Percentage Change Max set", 25, -100, 100, 0.1);
PerctakeProfit=Param("Take Profit Percent Set",0.6,0.3,30,0.1);
PercStoploss=Param("StopLoss Percent Set",0.25,0.2,5,0.1);
PlotOHLC(Open,High,Low,Close,"",colorWhite,styleCandle);
Bars = 0;
xpdh = 90;
{
Plot_Range = (TimeNum() >= 95500 AND TimeNum()<= 235900) AND (DateNum()==LastValue(DateNum()));
FH_Range = (TimeNum() >= 095500 AND TimeNum()<= 103000) AND (DateNum()==LastValue(DateNum()));
FH_Prices = High * FH_Range;
FH_Marker = BarsSince(FH_Range>0);
Num_Bars = 36000 / Interval(1);
TimeFrameSet(inDaily);
TOP_ = Open;
PDH_ = Ref(High,-1);
PDL_ = Ref(Low,-1);
PDO_ = Ref(Open,-1);
PDC_ = Ref(Close,-1);
PDM_ = (PDH_+PDL_)/2;
TimeFrameRestore();
isAll = True;
isRth = TimeNum() >= 095500 AND TimeNum() <= 103000;
isdRth = TimeNum() >= 095500 AND TimeNum() <= 235900;
aRthL = IIf(isRth, L, 1000000);
aRthH = IIf(isdRth, H, Null);
aRthLd = IIf(isdRth, L, 1000000);
TOP = TimeFrameExpand(TOP_,inDaily,expandFirst);
PDH = TimeFrameExpand(PDH_,inDaily,expandFirst);
PDL = TimeFrameExpand(PDL_,inDaily,expandFirst);
PDO = TimeFrameExpand(PDO_,inDaily,expandFirst);
PDC = TimeFrameExpand(PDC_,inDaily,expandFirst);
PDM = TimeFrameExpand(PDM_,inDaily,expandFirst);
FHH = Ref(HHV(High*FH_Range,Num_Bars),-FH_Marker);
FHL = TimeFrameCompress( aRthL, inDaily, compressLow );
FHL = TimeFrameExpand( FHL, inDaily, expandFirst );
DayH = TimeFrameCompress( aRthH, inDaily, compressHigh );
DayH = TimeFrameExpand( DayH, inDaily, expandFirst );
DayL = TimeFrameCompress( aRthLd, inDaily, compressLow );
DayL = TimeFrameExpand( DayL, inDaily, expandFirst );
FC1=((PDH-PDL)*0.433);
FC2=((PDH-PDL)*0.7666);
FC3=((PDH-PDL)*1.355);
FC4=(FHH-FHL);
A=IIf((FC4<=FC1+PDH*0.005),FC1,0);
B=IIf((FC4<=FC2+PDH*0.005 AND FC4>FC1+PDH*0.005),FC2,0);
Cl=IIf((FC4<=FC3 AND FC4>FC2+PDH*0.005),FC3,0);
AF=(A+B+Cl);
//foreign
_SECTION_BEGIN ("foreign Index bar graph");
Vr=ParamList("Index",List = "^NSEI,^NSEBANK,^CNXIT,^NSMIDCP,RELIANCE.NS,SBIN.N S",0);
SetForeign(Vr);
HaC =(O+H+L+C)/4;
HaO = AMA( Ref( HaC, -1 ), 0.5 );
HaH = Max( H, Max( HaC, HaO) );
HaL = Min( L, Min( HaC, HaO) );
BG3=HHV(LLV(HaL,4)+ATR(4),8);
BR3=LLV(HHV(HaH ,4)-ATR(4),8);
co = IIf(Hac>BG3 ,colorBrightGreen,IIf(Hac < BR3,colorRed,colorGrey50));
//Plot(4, "", Co,styleArea+styleOwnScale | styleNoLabel, -1, 100);
RestorePriceArrays();
_SECTION_END();
BuyPrice=(DayL+AF);
BuyTP1=(BuyPrice+(BuyPrice*(PerctakeProfit/100)));
BuyTP2=(C>=BuyTP1);
SellPrice=(DayH-AF);
SellTP1=(SellPrice-(SellPrice*(PerctakeProfit/100)));
SellTP2=(C<=SellTP1);
percchange=(((C-TOP)/TOP)*100);
Vol=(V>=Volmin AND V<=Volmax);
Percentage=(percchange>=PercChangemin AND percchange<=PercChangemax);
prc=(C>=priceRL AND C<=priceRH);
BuyStop1=(BuyPrice-(BuyPrice*(PercStoploss/100)));
BuyStop2=IIf((BuyStop1<=SellPrice) AND SellPrice<=BuyPrice,SellPrice,BuyStop1);
SellStop1=(SellPrice+(SellPrice*(PercStoploss/100)));
SellStop2=IIf((SellStop1>=BuyPrice) AND SellPrice<=BuyPrice, BuyPrice,SellStop1);
BuyStop=IIf((Buy AND NOT BuyTP2),BuyStop2,Null);
BuyTP=IIf(Buy AND NOT BuyStop,BuyTP2,Null);
Bars = BarsSince(TimeNum() >= 95500 AND TimeNum() < 103000);
x0 = BarCount-LastValue(Bars);
x1 = BarCount-1;
TOP_Line = LineArray(x0,LastValue(TOP),x1,LastValue(TOP),0);
PDH_Line = LineArray(x0,LastValue(PDH),x1,LastValue(PDH),0);
PDL_Line = LineArray(x0,LastValue(PDL),x1,LastValue(PDL),0);
PDC_Line = LineArray(x0,LastValue(PDC),x1,LastValue(PDC),0);
PDM_Line = LineArray(x0,LastValue(PDM),x1,LastValue(PDM),0);
FHH_Line = LineArray(x0,LastValue(FHH),x1,LastValue(FHH),0);
FHL_Line = LineArray(x0,LastValue(FHL),x1,LastValue(FHL),0);
BuyPriceline=LineArray(x0,LastValue(BuyPrice),x1,LastValue(BuyPrice),0);
BuyStopline=LineArray(x0,LastValue(BuyStop2),x1,LastValue(BuyStop2),0);
BuyTPline=LineArray(x0,LastValue(BuyTP1),x1,LastValue(BuyTP1),0);
SellPriceline=LineArray(x0,LastValue(SellPrice),x1 ,LastValue(SellPrice),0);
SellStopline=LineArray(x0,LastValue(SellStop2),x1, LastValue(SellStop2),0);
SellTPline=LineArray(x0,LastValue(SellTP1),x1,LastValue(SellTP1),0);
DayHline=LineArray(x0,LastValue(DayH),x1,LastValue (DayH),0);
DayLline=LineArray(x0,LastValue(DayL),x1,LastValue (DayL),0);
Plot(IIf(pShowtradeLines,BuyStopline,Null),"BuySto p",colorBrightGreen,styleDots|styleNoRescale| styleNoLine);
Plot(IIf(pShowtradeLines,SellPriceline,Null),"Shor t Here",colorRed,styleDots|styleNoRescale);
//PlotShapes(IIf(pShowMarkers AND Buy, shapeHollowUpArrow, Null), colorDarkGreen, 0,L,Offset=-30);
if( Status("action") == actionIndicator )
(
Title = EncodeColor(colorWhite)+ "Trading System" + " - " + Name() + " - " + EncodeColor(colorYellow)+ Interval(2) + EncodeColor(colorYellow) +
" - " + Date() +" - "+ EncodeColor(colorYellow) + "-Open="+WriteVal(O,1) + EncodeColor(colorYellow) + "- High= "+ WriteVal(H,1)+ EncodeColor(colorYellow) + "- Low= "+ WriteVal(L,1)+ EncodeColor(colorYellow) + "- Close= "+ WriteVal(C,1)+ EncodeColor(colorYellow) + "- Vol= "+ WriteVal(V,1)+("\n")
+WriteIf(Percchange, " % Change = "+(Percchange)+" ","")+" Previous DayHigh="+WriteVal(PDH,1)+", Previous DayLow="+WriteVal(PDL,1)+", Today High="+WriteVal(DayH,1)+", Todays Low="+WriteVal(DayL,1)+
WriteIf(Hac>BG3,EncodeColor(colorBrightGreen)+"+Up ",
WriteIf(Hac<BR3,EncodeColor(colorRed)+"-Down",EncodeColor(colorLightYellow)+"< Flat >")));
GfxSetOverlayMode( mode = 0 );
GfxSelectPen( colorLightBlue, 3 );
GfxSelectSolidBrush( colorLightYellow );
GfxRoundRect( 20, 55, 180, 175, 15, 15 );
GfxSetBkMode(1);
GfxSelectFont( "Arial", 10, 700, False );
GfxSetTextColor( colorBrown );
GfxSetTextAlign(0);
GfxTextOut( WriteIf(SellPrice, "TRP level: "+(SellPrice),""), 30, 60);
GfxTextOut( WriteIf(BuyPrice, "Buy Above: "+(BuyPrice),""), 30, 75);
GfxTextOut( WriteIf(BuyStop2, "Long SL: "+(BuyStop2),""), 30, 90);
GfxTextOut( WriteIf(BuyTP1 , "Long Target 1: "+(BuyTP1),""), 30, 105);
GfxTextOut( WriteIf(SellPrice, "Sell Below: "+(SellPrice),""), 30, 120);
GfxTextOut( WriteIf(SellStop2, "Short SL: "+(SellStop2),""), 30, 135);
GfxTextOut( WriteIf(SellTP1, "Short Target: "+(SellTP1),""), 30, 150);
AddColumn(V,"Volume",1.0);
AddColumn(Percchange,"Change %",1.2);
AddColumn(BuyPrice,"Buy at",1.2);
AddColumn(BuyStop,"Buy Stop at",1.2);
AddColumn(BuyTP1,"Buy Profit at",1.2);
AddColumn(SellPrice,"Short at",1.2);
AddColumn(SellTP1,"Short profit at",1.2);
}
_SECTION_END();
_SECTION_BEGIN("short signal");
HaClose=(O+H+L+C)/4;
HaOpen = AMA( Ref( HaClose, -1 ), 0.5 );
HaHigh = Max( H, Max( HaClose, HaOpen ) );
HaLow = Min( L, Min( HaClose, HaOpen ) );
BG2=HHV(LLV(Low,4)+ATR(4),8);
BR2=LLV(HHV(High,4)-ATR(4),8);
SetBarFillColor( IIf(O <C, colorSeaGreen,colorOrange) );
k = Optimize("K",Param("K",1.75,1,5,0.25),1,5,0.25);
Per= Optimize("atr",Param("atr",10,3,30,1),3,30,1);
j=HaClose;
nm= (H-L);
rfsctor = WMA(nm, PER);
revers = K * rfsctor;
Trend = 1;
NW[0] = 0;
for(i = 1; i < BarCount; i++)
{
if(Trend[i-1] == 1)
{
if(j[i] < NW[i-1])
{
Trend[i] = -1;
NW[i] = j[i] + Revers[i];
}
else
{
Trend[i] = 1;
if((j[i] - Revers[i]) > NW[i-1])
{
NW[i] = j[i] - Revers[i];
}
else
{
NW[i] = NW[i-1];
}
}
}
if(Trend[i-1] == -1)
{
if(j[i] > NW[i-1])
{
Trend[i] = 1;
NW[i] = j[i] - Revers[i];
}
else
{
Trend[i] = -1;
if((j[i] + Revers[i]) < NW[i-1])
{
NW[i] = j[i] + Revers[i];
}
else
{
NW[i] = NW[i-1];
}
}
}
}
Plot(NW, "", IIf(Trend == 1, 6, 4), 4);
Buy=Cross(j,nw);
Short=Cross(nw,j);
Sell=Cross(nw,j);
Cover=Cross(j,nw);
Buy=ExRem(Buy,Sell);
Sell=ExRem(Sell,Buy);
Short=ExRem(Short,Cover);
Cover=ExRem(Cover,Short);
//dist = 1.5*ATR(15);
for( i = 0; i < BarCount; i++ )
{
if( Buy[i] ) PlotText( "Buy@" + O[ i ], i, L[ i ]-Trend[i], colorDarkBlue, colorYellow );
if( Sell[i] ) PlotText( "Sell@" +H[ i ], i-4, L[ i ]+Trend[i], colorRed, colorYellow );
}
PlotShapes(IIf(Buy, shapeUpArrow, shapeNone),colorWhite, 0,halow,-30);
PlotShapes(IIf(Sell, shapeHollowDownTriangle, shapeNone),colorWhite, 0,hahigh,-15);
PlotShapes(IIf(Cover, shapeHollowUpTriangle, shapeNone),colorWhite, 0,halow,-15);
PlotShapes(IIf(Short, shapeDownArrow, shapeNone),colorWhite, 0,hahigh,-30);
//-----------end--------------
_SECTION_BEGIN("MACD SIGNAL RIBBON");
uptrend= Signal(29)<MACD(13);
downtrend= Signal(29)>MACD(13);
Plot( 2, /* defines the height of the ribbon in percent of pane width */"ribbon",
IIf( uptrend, colorBlue, IIf( downtrend, colorRed, 0 )), /* choose color */
styleOwnScale|styleArea|styleNoLabel, -0.5, 100 );
_SECTION_END();
_SECTION_BEGIN("ema");
Lk = EMA(Close,22);
Plot (lk," ",colorBrightGreen,styleLine);
GfxSelectFont("Georgia", Status("pxheight")/76);
GfxSetTextAlign( 6 );
GfxSetTextColor(colorGold);
GfxSetBkMode(0);
GfxTextOut( Name(), Status("pxwidth")/2, Status("pxheight")/10 );
cx=Param("cxposn",785,0,500,1);
cy=Param("cyposn",39,0,500,1);
GfxSetBkColor(ColorRGB(200,50,100));
GfxSelectFont( "tohomabold",24,50, False);
GfxSetTextColor( colorYellow);
GfxSetTextColor( ColorHSB( 100, 10, 400) );
GfxTextOut("LTP. "+C+" ", cx, cy );
_SECTION_END();
_SECTION_BEGIN("Title");
DDayO = TimeFrameGetPrice("O", inDaily);
DHiDay = TimeFrameGetPrice("H", inDaily);
DLoDay = TimeFrameGetPrice("L", inDaily);
gfr = TimeFrameGetPrice("C", inDaily, -1);//close
Title = EncodeColor(colorYellow)+" * Trading System * "+EncodeColor(ColorRGB(220,10,150)) +" "+ Interval(2) + " " + Date() +
EncodeColor(ColorRGB(200,150,120)) + " \n Open " + O +
", High : " + H +
", Low : " + L+ EncodeColor(colorGreen) +
" * Prevvious Day Close : " + EncodeColor(colorBrightGreen) + gfr +EncodeColor(colorPink)+
" ToDay Open : " +DDayO + EncodeColor(colorYellow)+ " \n High : " +DHiDay + " Low : "+ DLoDay +" Previous DayHigh="+WriteVal(PDH,1)+", Previous DayLow="+WriteVal(PDL,1)+", Today High="+WriteVal(DayH,1)+", Todays Low="+WriteVal(DayL,1)+
WriteIf(Hac>BG3,EncodeColor(colorBrightGreen)+"+Up ",
WriteIf(Hac<BR3,EncodeColor(colorRed)+"-Down",EncodeColor(colorLightYellow)+"< Flat >"));
_SECTION_END();
Hi Ami Experts...
I am facing Problem in Exporting the USDINR and other currency futures data. When I use the below given AFL for Exporting the Intraday data in 1 minute TF , for all instruments the output file is fine but when I export the USDINR data , the output data is faulty. The data should have 4 decimal places as in case of currency futures but it is showing only 2 decimal places thus creating a faulty data.
Like the quote should be 67.0175 but the output shows it as 67.01
Please help ...
Thanks.
I am facing Problem in Exporting the USDINR and other currency futures data. When I use the below given AFL for Exporting the Intraday data in 1 minute TF , for all instruments the output file is fine but when I export the USDINR data , the output data is faulty. The data should have 4 decimal places as in case of currency futures but it is showing only 2 decimal places thus creating a faulty data.
Like the quote should be 67.0175 but the output shows it as 67.01
Code:
fmkdir( "C:\\SaveData" );
Buy = ( (DateNum() >= 1151222) AND (DateNum() <= 1160204) );
//if we want to export data for a single Day, we modify the Second line like this
//Buy = ( (DateNum() == 1070129));
for( i = 0; i < BarCount; i++ )
if( Buy[i] )
{
//fh = fopen( "C:\\SaveData\\intraday.csv", "a");//if we want to export all data in a single file//
fh = fopen( "C:\\SaveData\\"+Name()+".csv", "a");// if we want to export data in an individual file//
if( fh )
{
y = Year();
m = Month();
d = Day();
r = Hour();
e = Minute();
for( i = 0; i < BarCount; i++ )
if( Buy[i] )
{
fputs( Name() + "," , fh );
ds = StrFormat("%02.0f/%02.0f/%02.0f%02,",
d[ i ], m[ i ], y[ i ] );
fputs( ds, fh );
ts = StrFormat("%02.0f:%02.0f,",
r[ i ],e[ i ]);
fputs( ts, fh );
qs = StrFormat("%.2f,%.2f,%.2f,%.2f,%.0f\n",
O[ i ],H[ i ],L[ i ],C[ i ],V[ i ] );
fputs( qs, fh );
}
fclose( fh );
}
}Please help ...
Thanks.
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