Amibroker AFL code by Markos Katsanos — November 2018

The Amibroker AFL code below is from Markos Katsanos’ November 2018 article “The Stiffness Indicator”:

Stiffness IndicatorAmibroker[源码]

1. //STIFFNESS INDICATOR
   
2. //Copyright Markos Katsanos 2018
   
3. Period = Param("Stiffness Period", 60, 2, 1000, 1 );
   
4. MAB=Param("Moving Average Period",100,2,1000,1); // MA DAYS
   
5. SM=Param("Smooth Coeff.",3,1,20,1); //
   
6. STIFFCRIT=Param("STIFFCritical",90,70,100,5);  // STIFFNESS CRITICAL
   
7. NSTD=Param("Min SD",.2,0,2,.5); //Number of Standard Deviations
   
8. //STIFFNESS
   
9. MA2=MA(C,MAB)-NSTD*StDev(C,MAB);
   
10. CLMA=C>MA2;
    
11. PENS=Sum(CLMA,PERIOD);
    
12. STIF=PENS*100/PERIOD; STIFFNESS=EMA(STIF,SM);
    
13. 
    
14. Plot(stiffness,"STIFFNESS",colorRed ,styleHistogram );
    
15. Plot(STIFFCRIT,"STIFFCritical",colorGreen,styleThick);

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Stiffness Strategy

1. //STIFFNESS STRATEGY
   
2. //Copyright Markos Katsanos 2018
   
3. 
   
4. PosQty = 500;
   
5. SetOption( "MaxOpenPositions", PosQty );
   
6. SetPositionSize( 10000, spsValue );  
   
7. 
   
8. SetTradeDelays( 1, 1, 1, 1 );
   
9. BuyPrice = OPEN;
   
10. SellPrice = OPEN;
    
11. 
    
12. timeexit =Optimize("exit",4,4,4,1); //MONTHS
    
13. MAB=Optimize("MAB",100,50,120,10); // MA DAYS
    
14. PERIOD=Optimize(" STIFF PERIOD",60,40,80,10); // STIFFNESS PERIOD
    
15. STIFFCRIT=Optimize("STIFFCRIT",90,90,95,5);  // STIFFNESS CRITICAL
    
16. STIFFSELL=Optimize("STIFFSELL",50,50,60,10);  // stiffness sell
    
17. 
    
18. //STIFFNESS
    
19. MA2=MA(C,MAB)-.2*StDev(C,MAB);
    
20. CLMA=C>MA2;
    
21. PENS=Sum(CLMA,PERIOD);
    
22. STIF=PENS*100/PERIOD; STIFFNESS=EMA(STIF,3);
    
23. 
    
24. SPY = Foreign("SPY","C");
    
25. 
    
26. BUY = EMA(SPY,100)>=Ref(EMA(SPY,100),-2)  AND Cross(STIFFNESS,STIFFCRIT) ;
    
27. 
    
28. Sell =Cross(STIFFSELL,STIFFNESS);
    
29. ApplyStop( stopTypeNBar, stopModeBars, timeexit*21 ); // time exit

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Stiffness Exploration

1. //STIFFNESS EXPLORATION
   
2. //Copyright Markos Katsanos 2018
   
3. 
   
4. MAB=100; // MA DAYS
   
5. PERIOD=60;// STIFFNESS PERIOD
   
6. STIFFCRIT=90;// STIFFNESS CRITICAL
   
7. 
   
8. //STIFFNESS
   
9. MA2=MA(C,MAB)-.2*StDev(C,MAB);
   
10. CLMA=C>MA2;
    
11. PENS=Sum(CLMA,PERIOD);
    
12. STIF=PENS*100/PERIOD; STIFFNESS=EMA(STIF,3);
    
13. 
    
14. SPY = Foreign("SPY","C");
    
15.         
    
16. FILTER = EMA(SPY,100)>=Ref(EMA(SPY,100),-2) AND Cross(STIFFNESS,STIFFCRIT) ;
    
17. 
    
18. AddColumn(C,"Price",1.2);               
    
19. AddColumn(Volume,"Volume",1.0);
    
20. AddColumn(MA(Volume,2)/MA(Volume,50),"V/Vave",1.2);
    
21. AddColumn(RSI(6),"RSI",1);
    
22. AddColumn(STIFFNESS,"STIFFNESS",1.2);
    
23. AddColumn(C+8*ATR(50),"PROFIT TARGET",1.2);

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