Demande de conversion système MAMA Amibroker

This topic has 11 replies, 2 voices, and was last updated 6 years ago by carlvan.

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11/12/2018 at 1:18 PM #84687

carlvan

Bonjour, et merci d’avance pour toute aide! Le but ici est de convertir
1: la formule AFL (Amibroker) de l’indicateur MAMA/FAMA, qui est plus réactive, mais très proche, de la version ProRealCode
2: les signaux d’achats compris dans la formule, qui génèrent les flèches achat-vente sur le graphique
Demande additionnelle: j’aimerais automatiser le système pour du trading automatique, ce serait formidable d’avoir ça en plus
Note: le système est “stop and reverse”, ce qui signifie tout le temps dans le marché: un signal “sell” signifie une sortie de la position longue et une entrée short.
Voici la formule AFL:

_SECTION_BEGIN("MAMA");
SetPositionSize(500, spsShares);

prc = ( High + Low ) / 2;
fastlimit = 0.5;
slowlimit = 0.05;
pi=4*atan(1);
RTD=180/pi;
DTR=pi/180;

Cyclepart=Param("Alpha",0.5,0.1,1,0.1);

Smooth[0] = Period = Detrender[0] = I1[0] = Q1[0] = 0;
phase[0]=deltaphase[0]=MAMA[0]=FAMA[0]=0;
for ( i = 6; i < BarCount; i++ )
{
Smooth[i] = ( 4 * prc[i] + 3 * prc[i-1] + 2 * prc[i-2] + prc[i-3] ) / 10;
AmpCorr[i] = 0.075 * Period[i-1] + 0.54;
Detrender[i] = ( 0.0962 * Smooth[i] + 0.5769 * Smooth[i-2] - 0.5769 * Smooth[i-4] - 0.0962 * Smooth[i-6] ) * AmpCorr[i];
Q1[i] = ( 0.0962 * Detrender[i] + 0.5769 * Detrender[i-2] - 0.5769 * Detrender[i-4] - 0.0962 * Detrender[i-6] ) * AmpCorr[i];
I1[i] = Detrender[i-3];
if (I1[i] != 0) phase[i] = DTR*360/atan(q1[i]/I1[i]);
deltaphase[i]=phase[i-1]-phase[i];
if (deltaphase[i] <1) deltaphase[i]=1;
alpha[i]=fastlimit[i]/deltaphase[i];
if (alpha[i] < slowlimit[i]) alpha[i]=slowlimit[i]; MAMA[i]=alpha[i] * prc [i] +(1-alpha[i])*MAMA[i-1]; FAMA[i]=Cyclepart*alpha[i] * prc [i] +(1-Cyclepart*alpha[i])*FAMA[i-1]; } Plot( MAMA, "MAMA", colorTurquoise, styleLine|styleThick ); Plot( FAMA, "FAMA", colorYellow, styleLine|styleThick ); PlotOHLC(O,H,L,C,"MAMA",IIf(MAma>fama,colorblue,colorRed),styleBar|styleThick,0,0,0,0,2);
_SECTION_END();

_SECTION_BEGIN("SYSTEM");
BuySetupValue=ValueWhen(Cross(MAMA,FAMA),H,1);
SellsetupValue=ValueWhen(Cross(FAMA,MAMA),L,1);
Buysetup =Cross(MAMA,FAMA) ;
Sellsetup = Cross(FAMA,MAMA);
Longa = Flip(Buysetup,Sellsetup);
shrta = Flip(Sellsetup,Buysetup);
Buy=Longa AND Cross(C,BuySetupValue);
Sell=shrta AND Cross(SellsetupValue,C);
Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);
Short=Sell;
Cover=Buy;
t1= Flip(Buy,Sell);
t2= Flip(Sell,Buy);
BPrice=ValueWhen(t1 AND Ref(t1,-1)==0,C,1);
SPrice=ValueWhen(t2 AND Ref(t2,-1)==0,C,1);
GraphXSpace = 5;
dist = 1.5*ATR(20);
for( i = 0; i < BarCount; i++ )
{
if( Buy[i] ) PlotText( "" + C[ i ], i, L[ i ]-dist[i], colorLime );
if( Sell[i] ) PlotText( "" + C[ i ], i, H[ i ]+dist[i], colorYellow );
}
_SECTION_END();

AlertIf(Buy,"SOUND H:\\Users\\Carl\\Documents\\Enregistrements audio\\Buy NQ.m4a","BUY NQ",1 );
AlertIf(Sell,"SOUND H:\\Users\\Carl\\Documents\\Enregistrements audio\\Sell NQ.m4a","SELL NQ",2 );

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(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);
_SECTION_END();

_SECTION_BEGIN("MAMA");

SetPositionSize(500, spsShares);

prc = ( High + Low ) / 2;

fastlimit = 0.5;

slowlimit = 0.05;

pi=4*atan(1);

RTD=180/pi;

DTR=pi/180;

Cyclepart=Param("Alpha",0.5,0.1,1,0.1);

Smooth[0] = Period = Detrender[0] = I1[0] = Q1[0] = 0;

phase[0]=deltaphase[0]=MAMA[0]=FAMA[0]=0;

for ( i = 6; i < BarCount; i++ )

{

Smooth[i] = ( 4 * prc[i] + 3 * prc[i-1] + 2 * prc[i-2] + prc[i-3] ) / 10;

AmpCorr[i] = 0.075 * Period[i-1] + 0.54;

Detrender[i] = ( 0.0962 * Smooth[i] + 0.5769 * Smooth[i-2] - 0.5769 * Smooth[i-4] - 0.0962 * Smooth[i-6] ) * AmpCorr[i];

Q1[i] = ( 0.0962 * Detrender[i] + 0.5769 * Detrender[i-2] - 0.5769 * Detrender[i-4] - 0.0962 * Detrender[i-6] ) * AmpCorr[i];

I1[i] = Detrender[i-3];

if (I1[i] != 0) phase[i] = DTR*360/atan(q1[i]/I1[i]);

deltaphase[i]=phase[i-1]-phase[i];

if (deltaphase[i] <1) deltaphase[i]=1;

alpha[i]=fastlimit[i]/deltaphase[i];

if (alpha[i] < slowlimit[i]) alpha[i]=slowlimit[i]; MAMA[i]=alpha[i] * prc [i] +(1-alpha[i])*MAMA[i-1]; FAMA[i]=Cyclepart*alpha[i] * prc [i] +(1-Cyclepart*alpha[i])*FAMA[i-1]; } Plot( MAMA, "MAMA", colorTurquoise, styleLine|styleThick ); Plot( FAMA, "FAMA", colorYellow, styleLine|styleThick ); PlotOHLC(O,H,L,C,"MAMA",IIf(MAma>fama,colorblue,colorRed),styleBar|styleThick,0,0,0,0,2);

_SECTION_END();

_SECTION_BEGIN("SYSTEM");

BuySetupValue=ValueWhen(Cross(MAMA,FAMA),H,1);

SellsetupValue=ValueWhen(Cross(FAMA,MAMA),L,1);

Buysetup =Cross(MAMA,FAMA) ;

Sellsetup = Cross(FAMA,MAMA);

Longa = Flip(Buysetup,Sellsetup);

shrta = Flip(Sellsetup,Buysetup);

Buy=Longa AND Cross(C,BuySetupValue);

Sell=shrta AND Cross(SellsetupValue,C);

Buy = ExRem(Buy,Sell);

Sell = ExRem(Sell,Buy);

Short=Sell;

Cover=Buy;

t1= Flip(Buy,Sell);

t2= Flip(Sell,Buy);

BPrice=ValueWhen(t1 AND Ref(t1,-1)==0,C,1);

SPrice=ValueWhen(t2 AND Ref(t2,-1)==0,C,1);

GraphXSpace = 5;

dist = 1.5*ATR(20);

for( i = 0; i < BarCount; i++ )

{

if( Buy[i] ) PlotText( "" + C[ i ], i, L[ i ]-dist[i], colorLime );

if( Sell[i] ) PlotText( "" + C[ i ], i, H[ i ]+dist[i], colorYellow );

}

_SECTION_END();

AlertIf(Buy,"SOUND H:\\Users\\Carl\\Documents\\Enregistrements audio\\Buy NQ.m4a","BUY NQ",1 );

AlertIf(Sell,"SOUND H:\\Users\\Carl\\Documents\\Enregistrements audio\\Sell NQ.m4a","SELL NQ",2 );

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(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);

_SECTION_END();

Merci encore pour toute aide,

Carl V.

carlvan

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11/12/2018 at 4:07 PM #84697

Nicolas

Voilà déjà l’indicateur des 2 moyennes mobiles, y compris coloration des chandeliers telle que dans le code Amibroker:

Period=20

prc = ( High + Low ) / 2
fastlimit = 0.5
slowlimit = 0.05
pi=4*atan(1)
//RTD=180/pi
DTR=pi/180
 
Cyclepart=0.1

if barindex>6 then 
Smooth = ( 4 * prc + 3 * prc[1] + 2 * prc[2] + prc[3] ) / 10
AmpCorr = 0.075 * Period[1] + 0.54
Detrender = ( 0.0962 * Smooth + 0.5769 * Smooth[2] - 0.5769 * Smooth[4] - 0.0962 * Smooth[6] ) * AmpCorr
Q1 = ( 0.0962 * Detrender + 0.5769 * Detrender[2] - 0.5769 * Detrender[4] - 0.0962 * Detrender[6] ) * AmpCorr
I1 = Detrender[3]
if (I1 <> 0) then 
phase = DTR*360/atan(q1/I1)
endif
deltaphase=phase[1]-phase
if (deltaphase <1) then 
deltaphase=1
endif
alpha=fastlimit/deltaphase
if (alpha < slowlimit) then 
alpha=slowlimit 
endif
MAMA=alpha * prc  +(1-alpha)*MAMA[1] 
FAMA=Cyclepart*alpha * prc  +(1-Cyclepart*alpha)*FAMA[1] 
endif

if MAMA>FAMA then 
r=0
g=0
b=255
else
r=255
g=0
b=0
endif
drawcandle(open,high,low,close) coloured(r,g,b)

return MAMA coloured(0,245,255) as "MAMA", FAMA coloured(255,255,0) as "FAMA"

Period=20

prc = ( High + Low ) / 2

fastlimit = 0.5

slowlimit = 0.05

pi=4*atan(1)

//RTD=180/pi

DTR=pi/180

Cyclepart=0.1

if barindex>6 then

Smooth = ( 4 * prc + 3 * prc[1] + 2 * prc[2] + prc[3] ) / 10

AmpCorr = 0.075 * Period[1] + 0.54

Detrender = ( 0.0962 * Smooth + 0.5769 * Smooth[2] - 0.5769 * Smooth[4] - 0.0962 * Smooth[6] ) * AmpCorr

Q1 = ( 0.0962 * Detrender + 0.5769 * Detrender[2] - 0.5769 * Detrender[4] - 0.0962 * Detrender[6] ) * AmpCorr

I1 = Detrender[3]

if (I1 <> 0) then

phase = DTR*360/atan(q1/I1)

endif

deltaphase=phase[1]-phase

if (deltaphase <1) then

deltaphase=1

endif

alpha=fastlimit/deltaphase

if (alpha < slowlimit) then

alpha=slowlimit

endif

MAMA=alpha * prc +(1-alpha)*MAMA[1]

FAMA=Cyclepart*alpha * prc +(1-Cyclepart*alpha)*FAMA[1]

endif

if MAMA>FAMA then

r=0

g=0

b=255

else

r=255

g=0

b=0

endif

drawcandle(open,high,low,close) coloured(r,g,b)

return MAMA coloured(0,245,255) as "MAMA", FAMA coloured(255,255,0) as "FAMA"

1 user thanked author for this post.

carlvan

Nicolas

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11/12/2018 at 7:55 PM #84707

carlvan

Merci beaucoup, cet indicateur est excellent et je suis heureux de pouvoir maintenant l’utiliser sur PRT.

J’espère que vous aurez le temps de convertir aussi les signaux d’achat/vente, ce serait super!

carlvan

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11/12/2018 at 8:13 PM #84711

carlvan

Cher Nicolas, ce qui est curieux c’est que lorsque je mets côte à côte les 2 graphes (amibroker et PRT, avec votre code) avec Nasdaq 2′, les courbes MAMA sont similaires, mais pas du tout la FAMA, qui ne colle pas au MAMA contrairement à la version Amibroker (voir graphe). Pourtant, j’ai relu votre code et il semble effectivement parfaitement calqué sur l’AFL. Bizarre.

carlvan

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11/13/2018 at 8:27 AM #84741

Nicolas

Il faut modifier le paramètre “cyclepart” de mémoire. Je ne sais pas à combien il est réglé sur ton screenshot.

Je m’occupe de la stratégie dès que possible.

Nicolas

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11/13/2018 at 1:17 PM #84757

carlvan

Exact, j’avais oublié ce paramètre important: maintenant les courbes sont identiques sur le graphique – merci!

carlvan

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11/15/2018 at 12:02 PM #84910

carlvan

Cher Nicolas, as-tu réussi à convertir les signaux achat/vente pour le MAMA/FAMA indicator? Entre temps, j’ai découvert ton code pour ALMA hi-lo: excellent pour l’intraday, très réactif. Merci de partager ce travail intensif et créatif.

carlvan

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11/15/2018 at 12:34 PM #84914

Nicolas

et voilà ! ci-dessous le code de la stratégie, achat/vente selon les croisements de ces 2 moyennes mobiles :

defparam cumulateorders=false

Period=20

prc = ( High + Low ) / 2
fastlimit = 0.5
slowlimit = 0.05
pi=4*atan(1)
//RTD=180/pi
DTR=pi/180
 
Cyclepart=0.1

if barindex>6 then
Smooth = ( 4 * prc + 3 * prc[1] + 2 * prc[2] + prc[3] ) / 10
AmpCorr = 0.075 * Period[1] + 0.54
Detrender = ( 0.0962 * Smooth + 0.5769 * Smooth[2] - 0.5769 * Smooth[4] - 0.0962 * Smooth[6] ) * AmpCorr
Q1 = ( 0.0962 * Detrender + 0.5769 * Detrender[2] - 0.5769 * Detrender[4] - 0.0962 * Detrender[6] ) * AmpCorr
I1 = Detrender[3]
if (I1 <> 0) then
phase = DTR*360/atan(q1/I1)
endif
deltaphase=phase[1]-phase
if (deltaphase <1) then
deltaphase=1
endif
alpha=fastlimit/deltaphase
if (alpha < slowlimit) then
alpha=slowlimit
endif
MAMA=alpha * prc  +(1-alpha)*MAMA[1]
FAMA=Cyclepart*alpha * prc  +(1-Cyclepart*alpha)*FAMA[1]
endif

if not longonmarket and MAMA crosses over FAMA then 
buy at market 
endif 
if not shortonmarket and MAMA crosses under FAMA then
sellshort at market 
endif

defparam cumulateorders=false

Period=20

prc = ( High + Low ) / 2

fastlimit = 0.5

slowlimit = 0.05

pi=4*atan(1)

//RTD=180/pi

DTR=pi/180

Cyclepart=0.1

if barindex>6 then

Smooth = ( 4 * prc + 3 * prc[1] + 2 * prc[2] + prc[3] ) / 10

AmpCorr = 0.075 * Period[1] + 0.54

Detrender = ( 0.0962 * Smooth + 0.5769 * Smooth[2] - 0.5769 * Smooth[4] - 0.0962 * Smooth[6] ) * AmpCorr

Q1 = ( 0.0962 * Detrender + 0.5769 * Detrender[2] - 0.5769 * Detrender[4] - 0.0962 * Detrender[6] ) * AmpCorr

I1 = Detrender[3]

if (I1 <> 0) then

phase = DTR*360/atan(q1/I1)

endif

deltaphase=phase[1]-phase

if (deltaphase <1) then

deltaphase=1

endif

alpha=fastlimit/deltaphase

if (alpha < slowlimit) then

alpha=slowlimit

endif

MAMA=alpha * prc +(1-alpha)*MAMA[1]

FAMA=Cyclepart*alpha * prc +(1-Cyclepart*alpha)*FAMA[1]

endif

if not longonmarket and MAMA crosses over FAMA then

buy at market

endif

if not shortonmarket and MAMA crosses under FAMA then

sellshort at market

endif

il n’y pas de stoploss / takeprofit.

Nicolas

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11/15/2018 at 12:35 PM #84915

carlvan

Merci infiniment, Nicolas!

carlvan

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11/15/2018 at 1:31 PM #84927

carlvan

Bonjour à nouveau nicolas. Je me permets de revenir vers toi concernant le code car il y a encore une petite différence avec le code original AFL: dans ce code, il faut effectivement que MAMA crosses over FAMA, ET qu’il y ait ensuite un close > que le high de cette bar “MAMA cross FAMA”.

En fait, la bar “MAMA cross FAMA” est la bar de setup et il faut ensuite qu’elle soit cassée en clôture. Je ne maîtrise pas assez (c’est peu dire!) le language Prorealcode que pour ajouter cette condition. Merci pour toute aide complémentaire.

carlvan

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11/15/2018 at 3:25 PM #84935

Nicolas

On peut essayer comme ceci:

if not longonmarket and MAMA[1] crosses over FAMA[1] and Close>High[1] then 
buy at market 
endif 
if not shortonmarket and MAMA[1] crosses under FAMA[1] and close<Low[1] then
sellshort at market 
endif

if not longonmarket and MAMA[1] crosses over FAMA[1] and Close>High[1] then

buy at market

endif

if not shortonmarket and MAMA[1] crosses under FAMA[1] and close<Low[1] then

sellshort at market

endif

Nicolas

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11/15/2018 at 3:35 PM #84936

carlvan

Makes sense, et ok si close dépasse high[1] juste après MAMA cross FAMA. Merci encore Nicolas.

carlvan

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