// intraday-breakout-scanner.afl // Part 24 - Project: Intraday Breakout Scanner // // WHAT THIS IS // A repeatable intraday exploration that lists symbols whose price has crossed // above the high of their session opening range, while a daily trend gate and // a session volume-pace gate were both satisfied. // // WHAT THIS IS NOT // Evidence of anything. Every threshold below was chosen because it is round, // not because it was measured. There is no exit rule, no position sizing, no // cost model and no test. A list of symbols that satisfied a definition is a // list of symbols that satisfied a definition. Parts 27 to 31 are where a // rule set is turned into something that can be tested and can fail. // // HOW TO RUN IT // Formula Editor -> paste -> name it -> Send to Analysis // Apply to: Filter, and choose a watch list you can actually stream // Range: 1 recent day(s) (so today's whole candidate list rebuilds) // Settings: Periodicity = the intraday interval you intend to scan // Press Explore. To repeat it, open the Settings drop-down, tick // "Auto repeat Scan/Explore" and set an interval (a plain number is minutes; // type 5s or 5sec for seconds). // // With no live feed: run exactly the same thing over a historical intraday // database with Range = From-To covering one past session, and then again // under Tools -> Bar Replay. The two must agree. See the lesson. // // ASSUMPTIONS DECLARED UP FRONT // - Intraday database; the scan periodicity divides ORMinutes exactly. // - Bars stamped with the START of the interval (AmiBroker's default). // - Session times are in the database's own clock, not necessarily exchange // time. A configured time shift moves every threshold below. // - Daily values are the daily compression of this database and inherit its // Intraday Settings. // - Volume is present and non-zero. On a symbol with no volume every pace // test below is meaningless rather than merely wrong. SetBarsRequired( sbrAll, sbrAll ); // --------------------------------------------------------------------------- // Definition. Every number here is an assumption you are asked to change. // --------------------------------------------------------------------------- StartHour = 9; // session start, hour StartMinute = 30; // session start, minute EndHour = 16; // session end, hour EndMinute = 0; // session end, minute ORMinutes = 30; // length of the opening range LastEntryHour = 15; // no candidate reported after this time LastEntryMin = 0; BufferFrac = 0.10; // breakout must clear the OR high by this fraction of // the OR range, so that one tick through does not count MinVolumePace = 1.20; // session volume pace required (see the lesson: this is // NOT "20% above average volume") TrendLen = 50; // daily moving average used as the trend gate VolDays = 20; // completed days in the volume baseline MinTurnover = 5000000; // previous day close x volume, in the quote currency MinORRangePct = 0.30; // reject a range too tight to mean anything MaxORRangePct = 6.00; // reject a range so wide the symbol is in disarray // --------------------------------------------------------------------------- // Session geometry, in minutes since midnight. TimeNum() is decimal-packed and // cannot be used for arithmetic; Hour() and Minute() can. // --------------------------------------------------------------------------- BarLengthMin = Interval() / 60; SessionStartMin = 60 * StartHour + StartMinute; SessionEndMin = 60 * EndHour + EndMinute; CutoffMin = 60 * LastEntryHour + LastEntryMin; SessionMinutes = SessionEndMin - SessionStartMin; BarMin = 60 * Hour() + Minute(); InSession = BarMin >= SessionStartMin AND BarMin < SessionEndMin; PrevInSess = Nz( Ref( InSession, -1 ) ); SessionOpen = InSession AND NOT PrevInSess; InOR = InSession AND BarMin < SessionStartMin + ORMinutes; AfterOR = InSession AND BarMin >= SessionStartMin + ORMinutes; // --------------------------------------------------------------------------- // Opening range, frozen with past bars only. // --------------------------------------------------------------------------- ORHigh = ValueWhen( InOR, HighestSince( SessionOpen, High ) ); ORLow = ValueWhen( InOR, LowestSince( SessionOpen, Low ) ); ORRange = ORHigh - ORLow; ORRangePct = IIf( Close > 0, 100 * ORRange / Close, Null ); // ORHigh carries yesterday's value until today's range has closed, so nothing // below may look at it unless AfterOR is true. ORUsable = AfterOR AND NOT IsNull( ORHigh ) AND ORRange > 0 AND ORRangePct >= MinORRangePct AND ORRangePct <= MaxORRangePct; // --------------------------------------------------------------------------- // Context gates, all built from COMPLETED daily bars. // --------------------------------------------------------------------------- SessionVolume = SumSince( SessionOpen, Volume, True ); ElapsedMin = BarMin - SessionStartMin + BarLengthMin; TimeFrameSet( inDaily ); BaselineVolume = Ref( MA( Volume, VolDays ), -1 ); DailyTrendUp = Ref( Close > MA( Close, TrendLen ), -1 ); TimeFrameRestore(); BaselineVolume = TimeFrameExpand( BaselineVolume, inDaily, expandFirst ); DailyTrendUp = TimeFrameExpand( DailyTrendUp, inDaily, expandFirst ); ExpectedVolume = BaselineVolume * ElapsedMin / SessionMinutes; VolumePace = IIf( ExpectedVolume > 0, SessionVolume / ExpectedVolume, Null ); // Negative shift, so both of these are the previous COMPLETED daily bar. PrevDayClose = TimeFrameGetPrice( "C", inDaily, -1 ); PrevDayVolume = TimeFrameGetPrice( "V", inDaily, -1 ); PrevTurnover = PrevDayClose * PrevDayVolume; // --------------------------------------------------------------------------- // Setup, trigger, and one report per session. // --------------------------------------------------------------------------- Setup = ORUsable AND Nz( DailyTrendUp ) AND Nz( VolumePace ) >= MinVolumePace AND Nz( PrevTurnover ) >= MinTurnover AND BarMin <= CutoffMin; BreakLevel = ORHigh + BufferFrac * ORRange; Trigger = Setup AND Cross( Close, BreakLevel ); // One report per symbol per session: ExRem suppresses further triggers until the // next session opens. Trigger = ExRem( Trigger, SessionOpen ); // Setting Buy lets the same file run under the Scan action, which is what Part 25 // attaches an alert to. There is deliberately no Sell, no stop and no exit: this // file is not a strategy and must not be sent to the back-tester as one. Buy = Trigger; // --------------------------------------------------------------------------- // Exploration output. // --------------------------------------------------------------------------- AboveLevelPct = IIf( ORHigh > 0, 100 * ( Close - ORHigh ) / ORHigh, Null ); MinutesIn = BarMin - SessionStartMin; SignalAgeSec = DateTimeDiff( Now( 5 ), DateTime() ); DefinitionTag = "OR" + NumToStr( ORMinutes, 1.0, False ) + "m from " + NumToStr( StartHour, 1.0, False ) + ":" + NumToStr( StartMinute, 1.0, False ) + " buf " + NumToStr( 100 * BufferFrac, 1.0, False ) + "% pace>=" + NumToStr( MinVolumePace, 1.2, False ) + " MA" + NumToStr( TrendLen, 1.0, False ) + "d"; Filter = Trigger; AddColumn( Close, "Close", 1.2 ); AddColumn( ORHigh, "OR high", 1.2 ); AddColumn( ORLow, "OR low", 1.2 ); AddColumn( ORRangePct, "OR range %", 1.2 ); AddColumn( AboveLevelPct, "Above OR high %", 1.2 ); AddColumn( VolumePace, "Volume pace", 1.2 ); AddColumn( PrevTurnover / 1000000, "Prev turnover (m)", 1.1 ); AddColumn( MinutesIn, "Minutes into session", 1.0 ); AddColumn( SignalAgeSec, "Signal age (s)", 1.0 ); AddTextColumn( DefinitionTag, "Definition" ); // Column 11 is "Signal age (s)". Ascending puts the freshest row first - which // is the only ordering that does not quietly encourage you to act on the oldest // signal in the list. SetSortColumns( 11 ); // COUNT only, on the first numeric column: how many candidates this run produced. AddSummaryRows( 16, 1.0, 3 );