Amibroker 20 percent flipper strategy

[phil23au]

Hi everyone,

I have just started to learn and look into Amibroker to create a trading strategy that would suit me. I have read about the "20% flipper" strategy that sends a buy signal when a stock has bounced off a low by moving 20%.

I don't know how to write this in AFL language so I am wondering if anyone has done this before and to help me with some code?

I know how to do an index filter and size positioning but I just don't know the array that will help measure this 20 percent change of a particular low or reversal in price.

Thanks for your help in advance

Phil

 

[wombat40]

This 20 flipper has been dun to death m8...a lot of blokes wrote up there own code to it with variations...probly better than the original...I bought it from the chartist and been using it last few years on us equities..has over 100 lines of code..so many ways to do it i guess.
But its got a mod. extra stop in it as well...found the original form. was too simplistic ..You wont get too many blokes givin away there afl on ere' i think...

 

[Newt]

https://www.aussiestockforums.com/forums/showthread.php?t=25311&page=4

Check out post #68......

 

[Wysiwyg]

https://www.aussiestockforums.com/forums/showthread.php?t=25311&page=4

Check out post #68......

Any rise of 20% from a low price is a random entry. If someone has a rule on what the low price is then the idea could progress.

 

[Habakkuk]

In the above thread there was an idea mentioned by rnr to use the ZigZag indicator.
I first thought because it looks into the future, it was of no use.
But upon reflection, it just *might* work. All we are looking for is the previous pivot low. That won't change.

20% up from that is the flipper entry.
The ZigZag indicator has/needs only one parameter, a percentage, please correct me if I'm wrong.
That would be just about perfect. Anything else like LLV(L, x) needs another parameter, adding an extra degree of freedom.

I haven't done anything about it, mainly because I believe the flipper has an entry as well as an exit without any predictive value. There is no money in it (in my opinion).

How then did Nick get such terrific returns? I'm not sure, but I guess the survivorship bias comes into it, notwithstanding the inclusion of delisted stocks. Also, possibly because there would be so many smallcaps and microcaps, many of them would have performed well during the bull market. But there was also the GFC and other nasty periods in those 14 years.

If you end up coding the 20% flipper, you would only need to backtest it starting in 2011. It would be interesting to see what has happened, remembering that "the 20% Flipper is yet to have a losing year."

If you need the AllOrds constituents from 2011 let me know.

 

[Newt]

It certainly seems like you need a lot of volatility and a strong bull market doesn't hurt any long strategy either!
The last couple of years in the Aussie markets have been challenging for the Flipper and similar strategies I'd argue.

Many people swear by its performance on something like the Russell 3000 however.

 

[rnr]

does the Martin Zweig version differ greatly?

The basic difference between Martin Zweig's 4% Rule and the Unholy Grails 20% Flipper is basically the percentage value (i.e. 16% ).

A 20% change from high to low isn't a rule.

Wrong, this is the Exit Rule.

In Amibroker Zig uses future data.

I agree that the last leg of the Zig function is dynamic and when used in system testing it references future data. It is however possible to establish when a Peak or Trough has been locked in which is essential when using the Zig function for system testing.

Any rise of 20% from a low price is a random entry.

How can it be random when it is so well defined?

If someone has a rule on what the low price is then the idea could progress.

The rules for the this system (ignoring filter type rules) are

BUY = A 20% rise above any low.
EXIT = A 20% fall from any high.

Can we move on now as I think Habakkuk is on the right path.

In an attempt to reduce the number of posts on this subject I have included/referenced some posts made by the same member on the thread titled "Unholy Grails - Amibroker" which covers the same topic.

 

[Newt]

I'm glad if Habakkuk has been helped.
What about the OP - Phil - have we confused the heck out you yet?

 

[Wysiwyg]

The basic difference between Martin Zweig's 4% Rule and the Unholy Grails 20% Flipper is basically the percentage value (i.e. 16% ).

Thanks for the link. It states use the weekly low, take your pick, this week, one or two weeks ago. I'll try that out of curiosity.

Quote Originally Posted by Wysiwyg View Post
A 20% change from high to low isn't a rule.

Wrong, this is the Exit Rule.

Right thank you very much! To this --- Red line is a HiLo ZigZag Indicator set at 20%.

My response was to the posters suggestion of using a 20% zig-zag indicator to define the low.

Quote Originally Posted by Wysiwyg View Post
Any rise of 20% from a low price is a random entry.

How can it be random when it is so well defined?

Once a low is defined by some rule. See first reply above about a weekly low.

 

[Captain_Chaza]

As a Man of the Sea
I find these 20% rules hard to accept
All Ships are different in Size Weight and Design
and will handle the Same Seas and Weather conditions VERY DIFFERENTLY
EG
Heavyweights : Both Large and Medium etc etc
Middle Weights: Both Large and Medium etc etc
Small Weighted: Both-Small and Smaller etc etc

Crikey When the DOW hit -20$ off the top
most shares had already fallen ~ 30% and - 50%
and the MOST money had already been lost

Some sort of volatility multiplier should be formulated IMHO
Otherwise
Each and Every ship Handles the Seas and Weather conditions in a unique way
There is no easy way to judge how sea-worthy a craft is without surveying how she Handles the Waters

I wish you well on your journey of discovery and will follow closely

PS: Do you know why The Bear is the Symbol of a BEAR market
and The Bull is the Symbol of a BULL market?


Well
The Bear's paws strikes Downwards when it fights
and The Bull's horns thrust upwards