This is a breakout strategy where buy/sell signal is generated when price crosses a dynamic support/resistance. The calculation of support/resistance is based on highest high value and lowest low value for a particular lookback period. This strategy seems to work well in Trending markets.
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AFL Overview
| Paramter | Value |
| Preferred Timeframe | Daily, Hourly |
| Indicators Used | None |
| Buy Condition | Price crosses above dynamic resistance. |
| Sell Condition | Price crosses below dynamic support. |
| Stop Loss | 2% |
| Targets | No fixed target, Stop and reverse when AFL gives opposite signal |
| Position Size | 150 (fixed) |
| Initial Equity | 200000 |
| Brokerage | 50 per order |
| Margin | 10% |
AFL Code
Click here to download AFL code for this system.
AFL Screenshot
Backtest Report
| Parameter | Value |
| NSE Nifty | |
| Initial Capital | 200000 |
| Final Capital | 1275626.60 |
| Backtest Period | 01-Jan-2007 to 19-02-2016 |
| Timeframe | Daily |
| Net Profit % | 537.81% |
| Annual Return % | 22.48% |
| Number of Trades | 243 |
| Winning Trade % | 41.56% |
| Average holding Period | 8.93 periods |
| Max consecutive losses | 6 |
| Max system % drawdown | -28.78% |
| Max Trade % drawdown | -60.73% |
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 75 and margin requirement of 10% for NSE Nifty:
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Dear Sir,
Error showing in line 36, 38, 39 & 40.
Kindly have a look.
And thanks for the efforts.
Corrected, please check. HTML behaves weird with > and < symbols 🙁
Thanks a lot. Back testing in daily & hourly tf showing great results.
Bye the way, “The calculation of support/resistance is based on highest high value and lowest low value for a particular lookback period. ”
What is period here? Can we change it to suit lower tf?
Hi Gautam,
The default lookback period is 3 as per the below code:
period=Optimize(“Swing”,3,1,25,1);
You can definitely change it to suit different timeframes and symbols. For ex: Lookback period of 4 works great in BankNifty
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in line 32
Corrected. Please retry
How to make this AFL close all trades at a particular time?
And also open a new trade at the start of the day.
Hi Ethinix,
You’ll have to mention the time in the COVER and SELL conditions.
period=Optimize(“Swing”,3,1,25,1);
From the comments above, I could perceive that 3 is the look back period. What does 1,25,1 inputs signify?
Hi,
Yes, 3 is the default lookback period, which can range from 1 to 25 (in the step of 1). Right click on the chart and then click on parameters to see this in action. Also, read more about this function from the below link:
https://www.amibroker.com/guide/afl/param.html