Thursday, September 09, 2010

Chaikin Money Flow Crossovers [CMFC]

Descripton
Summary:
This trading system script uses an Chaikin Money Flow indicator to generate trading signals whenever the indicator crosses over or under zero.

Rules:
1. Buy Market - When the Chaikin Money Flow crosses over zero.
2. Sell Market - When the Chaikin Money Flow crosses under zero.
3. Sell Short Market -  When the Chaikin Money Flow crosses under zero.
4. Buy To Cover Market - When the Chaikin Money Flow crosses over zero.


Variables
TypeIdentifierDescription
IntegerArray_CMFKeysUse for holding all of the CMF indicator keys indexed by symbol index.
Boolean_enableShortingUse for indicating whether to enable the trading system script to short symbols.
Number_stopLossUse for the percent distance from the current price in which to place a stop order which would limit the maximum loss.
Number_takeProfitUse for the percent distance from the current price in which to place a limit order which would take profit after a specified gain.
Number_trailingStopUse for placing a trailing stop order which would limit the maximum trailing loss.
Boolean_isPercentUse for indicating whether the trailing stop is measured in percent or absolute value.

OnInitialize
Function Parameters
TypeIdentifierDescription
IndicatorindicatorKeyUse for the underlying indicator key on which to calculate the Chaikin Money Flow indicator.
IntegerperiodsUse for the number of periods in the Chaikin Money Flow calculations. [Default 10]
BooleanenableShortingUse for indicating whether to enable the trading system script to short symbols. [Default False]
NumberstopLossUse for the percent distance from the current price in which to place a stop order which would limit the maximum loss. [Default 0] (0 to ignore).
NumbertakeProfitUse for the percent distance from the current price in which to place a limit order which would take profit after a specified gain. [Default 0] (0 to ignore).
NumbertrailingStopUse for placing a trailing stop order which would limit the maximum trailing loss. [Default 0] (0 to ignore).
BooleanisPercentUse for indicating whether the trailing stop is measured in percent or absolute value. [Default True]
Implementation
	 ' Assign the script parameters to script variables.
	_enableShorting = enableShorting
	_stopLoss = stopLoss
	_takeProfit = takeProfit
	_trailingStop = trailingStop
	_isPercent = isPercent
	
	 ' Use for holding indicator keys based on the specified indicator key, indexed by symbol index.
	Redefine _CMFKeys(SymbolCount() - 1)
	 ' Iterate over all of the account symbols.
	For i As Integer = 0 To SymbolCount() - 1
		 ' Create a CMF indicator for each account symbol, based on the specified indicator.
		_CMFKeys(i) = IndicatorCMF(i,periods)
		 ' Add the indicator to the symbol chart.
		ChartIndicator(i, 0, C_MERGE_LEFT, _CMFKeys(i),C_LINE, 1,0)
	Next

OnSymbolBar
Function Parameters
TypeIdentifierDescription
IntegersymbolIndex
Implementation
	 ' Get the indicator value for the specified symbol index.
	Define values() As Number = IndicatorValues(_CMFKeys(symbolIndex),0, 2)
	
	 ' If the indicator value crosses over zero, generate a buy order.
	If (values(0) > 0 And values(1) < 0) Then
		 ' If a short position exists then generate a buy to cover order.
		If (_enableShorting And PositionExists(C_OPEN, symbolIndex, C_SHORT)) Then
			 ' Generate a buy to cover market order.
			BrokerMarket(C_BUY_TO_COVER,symbolIndex, 0, C_DAY, "Positive crossover.")
		End If
		 ' If no long open positions exist.
		If (Not PositionExists(C_OPEN, symbolIndex, C_LONG))
			 ' Generate a buy market order.
			Define orderIndex As Number = BrokerMarket(C_BUY,symbolIndex, 0, C_DAY, "Positive crossover.")
			 ' Set a stop loss on the order.
			BrokerSetStopLossPercent(orderIndex, _stopLoss, True)
			 ' Set a take profit on the order.
			BrokerSetTakeProfitPercent(orderIndex, _takeProfit, True)
			 ' Set a trailing stop loss on the order.
			BrokerSetTrailingStopLoss(orderIndex, _isPercent, _trailingStop)
		End If
	 ' If the indicator value crosses under zero, generate a sell order.
	ElseIf (values(0) < 0 And values(1) > 0) Then
		 ' If a long open position exists.
		If (PositionExists(C_OPEN, symbolIndex, C_LONG))
			 ' Generate a sell market order.
			BrokerMarket(C_SELL,symbolIndex, 0, C_DAY, "Negative crossover.")
		End If
		 ' If no short open positions exist.
		If (_enableShorting And Not PositionExists(C_OPEN, symbolIndex, C_SHORT)) Then
			 ' Generate a sell short market order.
			Define orderIndex As Number = BrokerMarket(C_SELL_SHORT,symbolIndex, 0, C_DAY, "Negative crossover.")
			 ' Set a stop loss on the order.
			BrokerSetStopLossPercent(orderIndex, _stopLoss, True)
			 ' Set a take profit on the order.
			BrokerSetTakeProfitPercent(orderIndex, _takeProfit, True)
			 ' Set a trailing stop loss on the order.
			BrokerSetTrailingStopLoss(orderIndex, _isPercent, _trailingStop)
		End If
	End If
	
	

OnExchangeBar
Function Parameters
TypeIdentifierDescription
IntegerArraysymbolIndexes
Implementation

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