SafeZone指標

maison6579

看到Amibroker版有人貼上SafeZone指標，
上網找了easylanguage版本。

1. [prettyprint]
   
2. { Barry Silberman's version of Alexander Elder's "SafeZone Stop" from book  "Come Into My Trading Room",  page 173.
   
3.   For Tradestation 2000
   
4.   Amendments: (1)  John Lynch:  code for variable lookback period based on prior swing extremes;
   
5.               (2)  John Lynch:  code to indicate stop for next period --- plotted on last bar on chart.
   
6.               (3)  Gary Fritz:  use of TS variable instead of arrays
   
7.               (4)  Eric Svendsen:  Coloured Stop and trend variable
   
8.   
   
9. Notes:  
   
10. A) Set the chart up with one space to the right.  Set plot2's chart style type to point and its color to  
    
11.      your background color if your background is not black (5th line of each Set Plot section).
    
12. B) This is an adaptation of Dr. Elder's stop based on the following  points that he emphasizes in his book:   
    
13. (1)  you may use the slope of a 22 day EMA to define the trend
    
14. (2)  SafeZone is not a mechanical gadget to replace independent thought.
    
15. (3)  Calculate the stops separately for uptrends and downtrends.
    
16. (4)  The lookback period should not go back beyond the last important turning  point.  If the market has      
    
17.      reversed from down to up two weeks ago, then the SafeZone for the current long trades should not      
    
18.      look back more than 10 trading days.
    
19. (5)  An important decision is choosing the coefficient for the SafeZone stop. He says a coefficient     
    
20.      between 2 and 3 provides a margin of safety, but you must research it on your own market data.      
    
21. (6)  You can add it to almost any trading system, including Triple Screen.
    
22. (7)  The excel code that Dr. Elder used in his book kept the stop from declining for 3 days, by which   
    
23.      time either the uptrend resumes or the stop is hit.   This code uses a period of 5. }
    
24.   
    
25.   
    
26. INPUTS:
    
27. Price((H+L)/2), MALength(22), Lookback(15), Trend(3), AutomaticLookBack(True), Multiplelong(2), Multipleshort(2),  
    
28. ColourShort(red), ColourLong(blue);
    
29.   
    
30. VARIABLES:
    
31. MA(0),  Ldiff(0), Lday(0), Sdiff(0), Sday(0), Longsum(0),  Shortsum(0) , Countlong(0), Countshort(0), Avglow(0),  
    
32. Avghigh(0), Longstop(0), Shortstop(0), Lstop(0), Sstop(0), ii(0), LookBackTemp(0);
    
33.   
    
34. {Determine trend by slope of EMA}
    
35. MA = xaverage( Price, MALength );
    
36. Condition1 = MA > MA[Trend];
    
37. Condition2 = MA < MA[Trend];
    
38.   
    
39. {Determine Lookback Period (to prior swing extreme)}
    
40. IF LookBackTemp<LookBack THEN LookBackTemp=LookBackTemp+1;
    
41. IF Condition1<>Condition1[1] THEN BEGIN  
    
42. LookBackTemp=LookBack;
    
43. Value1=MinList(MALength*0.66,LookBack);
    
44. IF Condition1 and AutomaticLookBack THEN IF LowestBar(L,Value1)<LookBack THEN LookBackTemp=LowestBar(L,Value1);
    
45. IF Condition2 and AutomaticLookBack THEN IF HighestBar(H,Value1)<LookBack THEN LookBackTemp=HighestBar(H,Value1);
    
46. END;
    
47.   
    
48. {determine and count number of days with:
    
49.   for longs -  lows being lower than prior lows
    
50.   for shorts -  highs being higher than prior highs}
    
51.   
    
52. Ldiff = IFF(L[1] > L, L[1] - L, 0);   { Difference of lows }
    
53. Lday  = IFF(L[1] > L, 1, 0);          { 1 if this is a "low's" day }
    
54. Sdiff = IFF(H[1] < H, H - H[1], 0);   { Difference of highs }
    
55. Sday  = IFF(H[1] < H, 1, 0);          { 1 if this is a "high's" day }
    
56.   
    
57. {SAFEZONE FOR LONGS}
    
58. {Get average of lows lower than prior low}
    
59. Longsum = summation(Ldiff, Lookbacktemp);                     
    
60. Countlong = summation(Lday, Lookbacktemp);
    
61. IF Countlong <> 0 THEN Avglow = Longsum / Countlong;
    
62.   
    
63. {Calculate stop at "X" times avglow}
    
64. Lstop = LOW - (Multiplelong * Avglow);     
    
65.             
    
66. {Prevent stop from being lowered}
    
67. Longstop = MAXLIST(Lstop, Lstop[1], Lstop[2], Lstop[3], Lstop[4], Lstop[5]);
    
68.   
    
69. {Set Plot}
    
70. IF Condition1 THEN BEGIN
    
71. PLOT1(Longstop[1], "STOP", ColourLong);   
    
72. IF lastbaronchart THEN BEGIN
    
73.   Plot1[-1](Longstop, "STOP", ColourLong);           {Shows tomorrows stop on lastbar+1}
    
74.   Plot2(Longstop, "StopNext");                       {Indicates tomorrows stop: set indicator to point/black}
    
75.   END;
    
76. END;
    
77.   
    
78. {SAFEZONE FOR SHORTS}
    
79. {Get average of highs higher than prior high}
    
80. Shortsum = summation(Sdiff, Lookbacktemp);  
    
81. Countshort = summation(Sday, Lookbacktemp);
    
82. IF Countshort <> 0 THEN Avghigh = Shortsum / Countshort;
    
83.   
    
84. {Calculate stop at "X" times avghigh}
    
85. Sstop = HIGH + (Multipleshort * Avghigh);  
    
86.   
    
87. {Prevent stop from rising}
    
88. Shortstop = MINLIST(Sstop, Sstop[1], Sstop[2], Sstop[3], Sstop[4], Sstop[5]);  
    
89.   
    
90. {Set Plot}
    
91. IF Condition2 THEN BEGIN
    
92. PLOT1(Shortstop[1], "STOP", ColourShort);   
    
93. IF lastbaronchart THEN BEGIN
    
94.   Plot1[-1](Shortstop, "STOP", ColourShort);     {Shows tomorrows stop on lastbar+1}
    
95.   Plot2(Shortstop, "StopNext", Black);           {Indicates tomorrows stop: set indicator to point/black}
    
96.   END;
    
97. END;
    
98. [/prettyprint]

複製代碼

moneymaker

謝謝分享...

coco1234

感謝分享
雖然不瞭解這個策略

daniel

感謝板主的分享,能否再提示一下  這指標的用法??

Soprano

太棒了，先收下來研究，感謝。

kikusui

感謝分享   趕緊來研究        

jazzex

感謝大大分享
快點來研究一下

jetterchen23

謝謝大大分享

  先收下用看看   thx

glaxo

有誰知道怎麼使用嗎
很炫的樣子

jetterchen23

謝謝大大  
先收下來試用看看

moshn1011

好神奇的感覺～~感謝分享