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AFL of the week: A profitable trend following system
2016-02-28 00:02:38 admin
This strategy is based on MACD, RSI, Stochastic and Exponential moving average. Combination of all these indicators assures good returns with minimum whipsaws. In
the chart, uptrends are represented by blue colour and downtrends are represented by red colour.
Read our article on AFL tutorial here.
AFL Overview
Paramter
Value
Buy Condition
Sell Condition
Stop Loss
2.5%
Targets
No fixed target, Stop and reverse when AFL gives opposite signal
Position Size
300(fixed)
Initial Equity
200000
Brokerage
50 per order
Margin
10%
AFL Code
//-----------------------------------------------------//
// Formula Name:
Trend following trading System
// Author/Uploader: Trading Tuitions
// E-mail:
support@tradingtuitions.com
// Website:
www.tradingtuitions.com
//-----------------------------------------------------_SECTION_BEGIN("Trend following Trading system");
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(300,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, SelectedVa
SD = StochD(8, 3, 3);
MH = MACD(8, 21) - Signal(8, 21, 5);
trendup = IIf(MH > 0 OR (MH > 0 AND MH > Ref(MH, -1)) AND RSI(3) >50 AND SD < 80 AND SD > Ref(SD, -1) AND ValueWhen(C,O<C), colorBl
trendcolor = IIf(MH < 0 OR (MH < 0 AND MH < Ref(MH, -1)) AND RSI(3) <50 AND SD > 20 AND SD < Ref(SD, -1) AND ValueWhen(C,O>C), colo
EMA20=EMA(Close,100);
Buy=MH > 0 OR (MH > 0 AND MH > Ref(MH, -1)) AND RSI(3) >50 AND SD < 80 AND SD > Ref(SD, -1) AND ValueWhen(C,O<C);
Sell=MH < 0 OR (MH < 0 AND MH < Ref(MH, -1)) AND RSI(3) <50 AND SD > 20 AND SD < Ref(SD, -1) AND ValueWhen(C,O>C);
Buy = Buy AND Close>EMA20;
Sell=Sell AND Close<EMA20;
Buy=ExRem(Buy,Sell);
Sell=ExRem(Sell,Buy);
Short = Sell;
Cover = Buy;
StopLoss=2.5;
ApplyStop(Type=0,Mode=1,Amount=StopLoss);
/* Plot Buy and Sell Signal Arrows */
AFL Screenshot
Backtest Report
Paramter
Value
NSE BankNifty
Initial Capital
200000
Final Capital
5370094.50
Backtest Period
09-06-2000 to 26-02-2016
Timeframe
Daily
Net Profit %
2585.05%
Annual Return %
22.58%
Number of Trades
110
Winning Trade %
28.18%
30.73 periods
12
-56.04%
-62.51%
Equity Curve
Disclaimer:
All the AFLs posted in this section are for learning purpose. Trading Tuitions does not necessarily own these AFLs and we dont have any intellectual property rights on
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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