Refer
http://www.traderji.com/amibroker/9...rthiks-315-pullback-strategy.html#post1098781
Also found one on the net.Remember this is not perfect.Don't keep searching for the Holy Grail.
Source:http://algoji.com/mean-reversion-strategy/
http://www.traderji.com/amibroker/9...rthiks-315-pullback-strategy.html#post1098781
Also found one on the net.Remember this is not perfect.Don't keep searching for the Holy Grail.
Source:http://algoji.com/mean-reversion-strategy/
Code:
_SECTION_BEGIN("AlgoJi.com Mean_Revert");
SetPositionSize(1,spsShares);
SetChartOptions( 0, chartShowArrows | chartShowDates );
_N( Title = StrFormat( "{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ) );
Plot( C, "Close", ParamColor( "Color", colorBlack ), styleNoTitle | ParamStyle( "Style" ) | GetPriceStyle() );
SetBarsRequired(10000,0);
FastEMAPeriod = Param("FastEMAPeriod",15,1,100,1);
SlowEMAPeriod =Param("SlowEMAPeriod",180,1,200,1);
per1= 15;
per2= 2;
EMA1= EMA(C,FastEMAPeriod);
EMA2= EMA(C,SlowEMAPeriod);
uptrend= EMA1>EMA2; dwntrend= EMA1<EMA2;
bbtop= BBandTop(C,per1,per2);
bbot= BBandBot(C,per1,per2);
supp= Cross(C,bbot); ress= Cross(bbtop,C);
Ll= LLV(L,5); Hh= HHV(H,5);
Buy=Sell=Short=Cover=Null;
sl=sls=tgt=tgts=0;
for(i=200; i<BarCount; i++)
{
if(sl==0 AND uptrend[i] AND supp[i])
{ Buy[i]=1; sl= Ll[i]; tgt= H[i];}
if((L[i]<sl OR ress[i]) AND sl>0)
{ if(L[i]<sl)SellPrice[i]= sl; Sell[i]= 1; sl=tgt=0;}
if(sls==0 AND dwntrend[i] AND ress[i])
{ Short[i]=1; sls= Hh[i]; tgts= L[i];}
if( (H[i]>sls OR supp[i]) AND sls>0)
{ if(H[i]>sls)CoverPrice[i]=sls; Cover[i]=1; sls=tgts=0; }
}
Plot( EMA1, "EMA Fast", colorRed, styleLine | styleNoRescale );
Plot( EMA2, "EMA Slow", colorBlue, styleLine | styleNoRescale );
Plot(bbtop, "Band Top", colorBlack, styleLine);
Plot(bbot, "Band Bottom", colorBlack, styleLine);
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( Sell, shapeDownArrow, shapeNone ), colorRed, 0, H, 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 );
PlotShapes( IIf( Cover, shapeUpArrow, shapeNone ), colorBlue, 0, L, Offset = -45 );
_SECTION_END();
Thanx amit ji for ur help...
its a strategy to be plotted in scanner or exploration..
not finding any holy Grail...