Volume Based Volatility Expert - Amibroker AFL Code

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Volume Based Volatility Expert

Period = Param("Period for FVE", 24, 5, 80, 1 );
Coeff = Param("Coeff for Cutoff", 0.1, 0, 2, 0.01 );
intra=log(H)-log(L);
Vintra = StDev(intra, period );
inter = log(Avg)-log(Ref(Avg,-1));
Vinter = StDev(inter,period);
Cutoff = Coeff * (Vinter+Vintra)*C;
MF = C- (H+L)/2 + Avg - Ref( Avg, -1 );
VC = IIf( MF > Cutoff, V,
IIf( MF < -Cutoff, -V, 0 ));
FVE = 100 * Sum( VC, Period )/(MA( V, Period ) * Period );
Plot( FVE, "Modified FVE", colorYellow, styleThick );
// volatility color-coded volume bars:
BarColor =
IIf( MF > Cutoff,  colorGreen, /* up volume */
IIf( MF < -Cutoff, colorRed, /* down volume */
                   colorBlue /*otherwise*/ ));
Plot( Volume, "Volume", BarColor, styleHistogram | styleThick | styleOwnScale );
/* Trading system */
SetTradeDelays(0,0,0,0);
PositionSize = 10000; // fixed position size - remove to enable compounding
RoundLotSize = 10;
BuyPrice = Close; SellPrice = Close;
RAD_TO_DEG = 180/3.1415926; // radians to degrees
LinRegAngleFVE = RAD_TO_DEG * atan( LinRegSlope( FVE, 20 ) );
Buy = FVE < 10 AND
FVE > -20 AND
LinRegAngleFVE > 30 AND
FVE > EMA( FVE, 40 ) AND
LinRegSlope( C, 30 ) < Ref(C, -30 ) *0.6/100 AND
LinRegSlope( C, 30 ) > -Ref( C, -30 ) * 0.3/100;
Sell = LinRegAngleFVE < -30;
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