Ultimate Algorithmic Trading System

sl = Param("ShortLen",9,9,100);
il = Param("InterLen",19,19,200);
mmStop = Param("StopDollars",3000,3000,6000);
Buy = MA(C,sl) > MA(C,il) ;
Short = MA(C,sl)< MA(C,il);
Sell = short;
Cover = buy;
ApplyStop(stopTypeLoss,stopModePoint,mmStop/PointValue,0);
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INTRODUCTION TO AMIBROKER’S AFL
The variables sl and il are defaulted to 9 and 19, respectively. The Param
function allows the user to change the variables to values between 9 and 100 and 19
and 200, respectively. The variable mmStop defaults to 3000 but can be changed to
values ranging from 3000 to 6000. The array Buy is filled with 1s when the moving
average of sl (shortLength) is greater than the moving average of il (intermediate-
Length). The Short array is filled when the opposite happens. This is a very simple
double moving average crossover system. The ApplyStop function tells AmiBroker
to stop out on the close any time the current position reaches a loss of $3,000. The
close is checked in this particular case. The ApplyStop function has many different
ways of exiting a position: stop loss, trailing stop, or a profit objective. Here are
three examples:
ApplyStop(stopTypeLoss, stopModePercent,2, True );
/* single-line implementation of Chandelier exit */
ApplyStop(stopTypeTrailing, stopModePoint, 3*ATR(14), True, True );
/* N-bar stop */ ApplyStop( stopTypeNBar, stopModeBars, 5 );
This is a very powerful function and can fulfill almost every possible criterion to exit
an existing position with a stop.
Referring back to MySecondAlgo, you might have noticed these two lines of
code:
Buy = Cross(shortMav,longMav);
Short = Cross(longMav,shortMav);
The keyword Cross is actually a function call. The function gives a ‘‘1’’ or true
on the day that the shortMav crosses above the longMav. Otherwise, the result
is false or zero. To find out when shortMav crosses below longMav, simply reverse
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