Hello All, Firstly my trade setup: I use Bill Williams profitunity system for trend indication, KAMA - Kauffman adaptive moving average for entry exit and pivot points and trendlines for understanding overall structure. Yes this is no holy grail, I get fair share of false triggers, but still I am happy with this . I trade only in Nifty futures/options, applying the studies to Nifty spot. (Yes I know, many experts here would differ on this) For positional trades, when I am not in front of screen, I am happy with kite. For dedicated intraday trading I sit in front of Pi. Now; Zerodha has made available the Profitunity alligator and the pivot points, BUT for KAMA I’m stuck with Metastock (Sorry, never had opportunity to try out Amibroker). So for that alone, I spend my entire time copy pasting 5min bar data from Pi to Metastock, just to see if a trade is triggered, very very cumbersome! I would love to automate my entire strategy and leave it on Full-on Autopilot, but reading through many of zerodhas blogs I realized its not easy, and definetly not free!! Now all I have to do is write a Alert/EA in Pi for KAMA, as I already have the formula in Metastock, it was easy to start with:- ****************** Metastock Formula for KAMA- If(Cum(1)=5, Ref(C,-1)+(Pwr((Abs((C-Ref(C,-4))/Sum(Abs(ROC(C,1,$)),4)))((2/3)-(2/31))+(2/31),2))(C-Ref(C,-1)), PREV+(Pwr((Abs((C-Ref(C,-4))/Sum(Abs(ROC(C,1,$)),4)))((2/3)-(2/31))+(2/31),2))(C-PREV)) ****************** To get basic understanding of the formula: http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:kaufman_s_adaptive_moving_average Learning Tradescript(Simple coding language in Pi) was fairly easy, BUT my desperate attempt at writing this formula/Alert came to an abrupt halt at the last step where to compute KAMA we need the previous days KAMA value!!! ….and for computing previous days KAMA value we need day before yesterdays KAMA value……and so on. However my futile attempt resulted in this… ****************** # very basic attempt to code KAMA in Pi SET ERperiods = 10 SET EMAfast = 2 SET EMAslow = 30 Set close10 = ref(Close, 10) Set close9 = ref(Close, 9) Set close8 = ref(Close, 8) Set close7 = ref(Close, 7) Set close6 = ref(Close, 6) Set close5 = ref(Close, 5) Set close4 = ref(Close, 4) Set close3 = ref(Close, 3) Set close2 = ref(Close, 2) Set close1 = ref(Close, 1) SET change = abs(close- close10) SET volatility = ABS(close-close1) + ABS(close1-close2) + ABS(close2-close3) + ABS(close3-close4) + ABS(close4-close5) + ABS(close5-close6) + ABS(close6-close7) + ABS(close7-close8) + ABS(close8-close9) + ABS(close9-close10) SET ER = ABS(Change/volatility) SET SC = [ER * (2/(EMAfast+1) - 2/(EMAslow+1)) + 2/(EMAslow+1)]^2 SET KAMA = KAMAp + SC * (close-KAMAp) #SET KAMAp = REF(KAMA, 1) ****************************** Stuck at this stage, any help would be great help! Regards, Khaleel
i have verified the KAMA condition from the above given link, it is not possible to save the values or code it in tradescript,
If you can use amibroker you can subscribe to pi bridge and can connect with pi
Check this KAMA Trading System AFL for Amibroker
// Two adjustable parameter "Buy sensitivity" and "Buy Finetune" provided to adjust entry points.
// Two adjustable parameter "Sell sensitivity" and "Sell Finetune" provided to adjust Exit points.
_SECTION_BEGIN("KAMA System");
SetChartOptions(0,chartShowArrows|chartShowDates);
Title = ("KAMA SYSTEM - " + Name()+" " + Date() +" "+Interval(2) +" "+ EncodeColor(colorLime)+",Open "+Open +" ,High "+H+" ,Low "+L+" ,Close "+C+" "+"{{VALUES}}");
//{{VALUES}}"+ O+ H+ L+C);
//_N(Title =StrFormat("{{Name}} - {{Interval}} {{Date}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
// Buy adjustments
bs=Param("BUY Sensitivity",3,2,20,1);
bf=Param("BUY Finetune",2,0.1,20,0.1);
// Sell Adjustments
ss=Param("SELL Sensitivity",3,2,20,1);
sf=Param("SELL Finetune",1,0.1,20,0.1);
//stock selection parameters
MyCL = Param( "CL", 10, 10, 100, 10 );
MyVK = Param( "VK", 30, 10, 100, 10 );
MyTL = Param( "TL", 300, 100, 1000, 100 );
//stock selection
//TLM = EMA(C*V/100000,100) ;
//include = C> MyCL AND V/1000> MyVK AND C*V/100000 > MyTL AND TLM > 0.333 * MyTL ;
// common
fast = 2/(2+1);
slow = 2/(30+1);
//BUY part
dirb=abs(Close-Ref(Close,-bs));
volb=Sum(abs(Close-Ref(Close,-1)),bs);
ERb=dirb/volb;
scb =( ERb*(fast-slow)+slow)^2;
xb = AMA( C, scb );
flb=bf*StDev(xb-Ref(xb,-1),20);
j=xb-Ref(xb,-3);
//SELL part
dirs=abs(Close-Ref(Close,-ss));
vols=Sum(abs(Close-Ref(Close,-1)),ss);
ERs=dirs/vols;
scs =( ERs*(fast-slow)+slow)^2;
xs = AMA( C, scs );
fls=sf*StDev(xs-Ref(xs,-1),20);
k=Ref(Xs,-3)-Xs;
Buy=Cross(j,flb) ;
Sell=Cross(k,fls);
mycolor=IIf(C>xb,colorLime,colorRed);
Plot( C, "Close", mycolor,styleNoTitle | styleBar|styleThick );
Plot(xb,"KAMA-BUY",colorYellow,1);
Plot(xs,"KAMA-SELL",colorOrange,1);
Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);
shape = Buy * shapeUpArrow +Sell * shapeDownArrow ;
PlotShapes( shape, IIf( Buy, colorGreen, colorYellow ),0, IIf( Buy, Low, High ) );
GraphXSpace = 5;
dist = 1.5*ATR(20);
for( i = 0; i < BarCount; i++ )
{
if( Buy[i] ) PlotText( "Buy\n@" + C[ i ], i, L[ i ]-dist[i], colorLime );
if( Sell[i] ) PlotText( "sell\n@" + C[ i ], i, L[ i ]+dist[i], colorYellow );
}
Filter= Buy OR Sell;
PositionScore=100/C;
PositionSize = - 20;
SetBarsRequired(10000, 10000);
SetFormulaName("KAMA System");
_SECTION_END();
_SECTION_BEGIN("IIR2");
// IIR2.afl
//
// Documentation to describe what the function does.
// Second order smoother
// the function statement
function IIR2( input, f0, f1, f2 )
// the function body
{
result[ 0 ] = input[ 0 ];
result[ 1 ] = input[ 1 ];
for( i = 2; i < BarCount; i++ )
{
result[i] = f0 * input[i] + f1 * result[i-1] + f2 * result[i-2];
}
// the function returns a single value and exits.
return result;
}
// The routine that calls the function.
SmoothedClose = IIR2(Close, 0.2, 1.4, -0.6 );
//Plot( Close, "Price", 2, styleCandle );
Plot( SmoothedClose, "function example", colorRed );
//Figure 8.1 IIR2
_SECTION_END();
_SECTION_BEGIN("GSMA");
SetBarsRequired(100000,0);
PI = 3.1415926;
function jIIR2( input, f0, f1, f2 )
{
result[ 0 ] = input[ 0 ];
result[ 1 ] = input[ 1 ];
for( i = 2; i < BarCount; i++ )
{
result[ i ] = f0 * input[ i ] +
f1 * result[ i - 1 ] +
f2 * result[ i - 2 ];
}
return result;
}
function GSMA( input, Period )
{
N = 0;
an = 2 * PI / Period;
c0 = b0 = 1;
c1 = b1 = b2 = a1 = a2 = gamma1 = 0;
beta1 = 2.415 * ( 1- cos( an ) );
alpha = -beta1 + sqrt( beta1 ^ 2 + 2 * beta1 );
alpha1 = ( cos( an ) + sin( an ) - 1 )/cos( an );
{
fo = alpha ^ 2;
f1 = 2 * ( 1- alpha ); f2 = -( 1 - alpha )*( 1 - alpha );
}
return jIIR2( input, fo,f1,f2);
}
period=Param("period",13,1,40,1);
//Plot( Close, "Price", colorBlack, styleCandle );
Plot( GSMA( C,period), "GSMA", colorLime );
// Linear Regression Line with 2 Standard Deviation Channels Plotted Above and Below
// Written by Patrick Hargus, with critical hints from Marcin Gorzynski, Amibroker.com Technical Support
// Designed for use with AB 4.63 beta and above, using drag and drop feature.
// Permits plotting a linear regression line of any price field available on the chart for a period determined by the user.
// 2 Channels, based on a standard deviation each determined by the user, are plotted above and below the linear regression line.
// A look back feature is also provided for examining how the indicator would have appeared on a chart X periods in the past.
P = ParamField("Price field",-1);
Daysback = Param("Period for Liner Regression Line",21,1,240,1);
shift = Param("Look back period",0,0,240,1);
// =============================== Math Formula =============================================================
x = Cum(1);
lastx = LastValue( x ) - shift;
aa = LastValue( Ref(LinRegIntercept( p, Daysback), -shift) );
bb = LastValue( Ref(LinRegSlope( p, Daysback ), -shift) );
y = Aa + bb * ( x - (Lastx - DaysBack +1 ) );
// ==================Plot the Linear Regression Line ==========================================================
LRColor = ParamColor("LR Color", colorCycle );
LRStyle = ParamStyle("LR Style");
LRLine = IIf( x > (lastx - Daysback) AND BarIndex() < Lastx, y, Null );
Plot( LRLine , "LinReg", LRCOLOR, LRSTYLE ); // styleDots );
// ========================== Plot 1st SD Channel ===============================================================
SDP = Param("Standard Deviation", 1.5, 0, 6, 0.1);
SD = SDP/2;
width = LastValue( Ref(SD*StDev(p, Daysback),-shift) ); // THIS IS WHERE THE WIDTH OF THE CHANELS IS SET
SDU = IIf( x > (lastx - Daysback) AND BarIndex() < Lastx, y+width , Null ) ;
SDL = IIf( x > (lastx - Daysback) AND BarIndex() < Lastx, y-width , Null ) ;
SDColor = ParamColor("SD Color", colorCycle );
SDStyle = ParamStyle("SD Style");
Plot( SDU , "Upper Lin Reg", SDColor,SDStyle );
Plot( SDL , "Lower Lin Reg", SDColor,SDStyle );
// ========================== Plot 2d SD Channel ===============================================================
SDP2 = Param("2d Standard Deviation", 2.0, 0, 6, 0.1);
SD2 = SDP2/2;
width2 = LastValue( Ref(SD2*StDev(p, Daysback),-shift) ); // THIS IS WHERE THE WIDTH OF THE CHANELS IS SET
SDU2 = IIf( x > (lastx - Daysback) AND BarIndex() < Lastx, y+width2 , Null ) ;
SDL2 = IIf( x > (lastx - Daysback) AND BarIndex() < Lastx, y-width2 , Null ) ;
SDColor2 = ParamColor("2 SD Color", colorCycle );
SDStyle2 = ParamStyle("2 SD Style");
Plot( SDU2 , "Upper Lin Reg", SDColor2,SDStyle2 );
Plot( SDL2 , "Lower Lin Reg", SDColor2,SDStyle2 );
// ============================ End Indicator Code ==============================================================
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