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AFL of the week: Support Resistance based Trading System
2016-02-20 16:02:48 admin

This is a breakout strategy where buy/sell signal is generated when price crosses a dynamic support/resistance. The calculation of support/resistance is based on highest
high value and lowest low value for a particular lookback period. This strategy seems to work well in Trending markets.
Read our article on AFL tutorial here.

AFL Overview

Paramter

Value

Preferred Timeframe Daily, Hourly

Indicators Used

None

Buy Condition

Price crosses above dynamic resistance.

Sell Condition

Price crosses below dynamic support.

Stop Loss

2%

Targets

No fixed target, Stop and reverse when AFL gives opposite signal

Position Size

150 (fixed)

Initial Equity

200000

Brokerage

50 per order

Margin

10%

AFL Code
//-----------------------------------------------------//
// Formula Name:
Support Resistance based Trading System
// Author/Uploader: Trading Tuitions
// E-mail:
support@tradingtuitions.com
// Website:
www.tradingtuitions.com
//------------------_SECTION_BEGIN("Dynamic Support Resistance");
SetTradeDelays( 1, 1, 1, 1 );
SetOption( "InitialEquity", 200000);
SetOption("FuturesMode" ,True);
SetOption("MinShares",1);
SetOption("CommissionMode",2);
SetOption("CommissionAmount",50);
SetOption("AccountMargin",10);
SetOption("RefreshWhenCompleted",True);
SetPositionSize(150,spsShares);
SetOption( "AllowPositionShrinking", True );
BuyPrice=Open;
SellPrice=Open;
ShortPrice=Open;
CoverPrice=Open;
SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C ));
Plot( Close, "Price", colorWhite, styleCandle );

period=Optimize("Swing",3,1,25,1);
res=HHV(H,period); //resistance
sup=LLV(L,period); //support
DynamicPivot=IIf(ValueWhen(IIf(C>Ref(res,-1),1,IIf(C<Ref(sup,-1),-1,0))!=0,IIf(C>Ref(res,-1),1,IIf(C<Ref(sup,-1),-1,0)),1)==1,sup,r
//If current close breaks the resistance then dynamic pivot level would be last support, if close breaks the support then dynamic p
Plot(DynamicPivot, "DynamicPivot", colorBlue, styleStaircase);
Buy = Cross(C,DynamicPivot) ;
Sell = Cross(DynamicPivot,C) ;
Short = Sell;
Cover = Buy;
StopLoss=2;
ApplyStop(Type=0,Mode=1,Amount=StopLoss);
/* Plot Buy and Sell Signal Arrows */
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(Cover, shapeSquare, shapeNone),colorGreen, 0, L, Offset=-40);
PlotShapes(IIf(Cover, shapeSquare, shapeNone),colorLime, 0,L, Offset=-50);
PlotShapes(IIf(Cover, shapeUpArrow, shapeNone),colorWhite, 0,L, Offset=-45);
PlotShapes(IIf(Sell, shapeSquare, shapeNone),colorRed, 0, H, Offset=40);
PlotShapes(IIf(Sell, shapeSquare, shapeNone),colorOrange, 0,H, Offset=50);
PlotShapes(IIf(Sell, shapeDownArrow, shapeNone),colorWhite, 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);

_SECTION_END();

AFL Screenshot

Backtest Report

Paramter

Value
NSE Nifty

Initial Capital

200000

Final Capital

1275626.60

Backtest Period

01-Jan-2007 to 19-02-2016

Timeframe

Daily

Net Profit %

537.81%

Annual Return %

22.48%

Number of Trades

243

Winning Trade %

41.56%

Average holding Period

8.93 periods

Max consecutive losses

Max system % drawdown

-28.78%

Max Trade % drawdown

-60.73%

Download the detailed backtest report here.

Please note that you can expect even better results if you allow compounding of your returns.

Equity Curve

Additional Amibroker settings for backtesting

Goto Symbol>Information, and specify the lot size and margin requirement. The below screenshot shows lot size of 75 and margin requirement of 10% for NSE Nifty:

Disclaimer:
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them. We might copy useful AFLs from public forums and post it in this section in a presentable format. The intent is not to copy anybodys work but to share knowledge. If
you find any misleading or non-reproducible content then please inform us at support@tradingtuitions.com
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