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();

Merci encore pour toute aide,

Carl V.

MAMAFAMA.jpg