Join our facebook group for Amibroker afl code discussion https://www.facebook.com/groups/603980776889348

Stochastic-Crossover-Trading-System

Stochastic-Crossover-Trading-System
Stochastic-Crossover-Trading-System

//www.aflcode.com
SetBarsRequired(200, 0);

// Ehlers formulas
// from Ehlers, John F. Cybernetic Analysis for Stocks and Futures. Wiley. 2004. 
// Chapter 1, p. 1. Code on p. 7.

function InverseFisher(array)
{
e2y = exp(2 * array);
return (e2y - 1)/(e2y + 1);
}

function Normalize(array, arraylen)
// Figure 1.7 on p. 7
{
MaxH = HHV(array, arraylen);
MinL = LLV(array, arraylen);
Value1[0] = array[0]; // Initialize as array

for(i = 1; i < BarCount; i++)
{
Value1[i] = .5 * 2 * ((array[i] - MinL[i]) / (MaxH[i] - MinL[i]) - .5) + .5 * Value1[i-1];
if (Value1[i] > .9999) Value1[i] = .9999;
if (Value1[i] < -.9999) Value1[i] = -.9999;
}
return Value1;
}

function Fisher(array)
// Figure 1.7 on p. 7
{
F = array;
F = .25 * log((1+ array)/(1 - array)) + .5 * Ref(F, -1);
return F;
}

Med = (H+L)/2;

// Fisher Transform
FisherXform = Fisher(Normalize(Med, 10));
Plot(FisherXform, "Fisher Transform", colorRed, styleLine);
Plot(Ref(FisherXform, -1), "", colorBlue, styleLine);
PlotGrid(2);
PlotGrid(-2);
Previous
Next Post »