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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

Preferred Timeframe Daily, Hourly

Indicators Used

MACD, Stochastic, RSI, EMA

RSI period 3 greater than 50, Difference between MACD and
MACD signal line is greater than 0 and also greater than that of

Buy Condition

previous candle, Stochastic %D line is less than 80 and greater

than that of previous candle, Closing price greater than EMA
period 100.
RSI period 3 less than 50, Difference between MACD and
MACD signal line is less than 0 and also less than that of

Sell Condition

previous candle, Stochastic %D line is greater than 20 and less

than that of previous candle, Closing price less than EMA
period 100.

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 */

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);
Plot( C, "Close", trendcolor, styleCandle | styleThick );
Plot(EMA20,"EMA",colorBlue);
_SECTION_END();

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%

Average holding Period

30.73 periods

Max consecutive losses

12

Max system % drawdown

-56.04%

Max Trade % drawdown

-62.51%

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 30 and margin requirement of 10% for Bank Nifty:

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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