Jeff: Here's my first attempt to translate BNS into QP. It's really the reason I
was focusing on slope and CCI. This scan looks for positive slopes for
CCI(13), MACD (5,35,4) and Stochastics (8,3). It all looks for strong
"persistence,," the percentage of days over 6 monts that Chaikin's
Money Flow is greater than 0. All my scans recently have reflected my
pursuit of a formula for BNS. This formula leaves a lot out, but it's a start
at least. The period for slope is 3, because BNS is looking for quick
moves up, I think.
//BNS, translated to QP by Brooke
//loosely based on system developed by Bill Sandusky
//based on John Sugas' formula for cci
//and Bob Jagow's formula for slope
output="ccicross.lst";
input="epscomb.lst";
issuetype=common;
exchange nyse,nasdaq,amex;
daystoload = 250;
Integer ia, Sa, Sx, Sxx;
float cci, cciprev, cciprev2, cciprev3, Symacd, Sxymacd, Systoch, Sxystoch, ccislope, ccislopeprev, macdslope, stochslope, Sxy, Sxyb, Sy, Syb, B, C, D, E, F, G, H, I, J, K, L, M, N, O, P, Q, R, S, T, U, V, W, X, Y, Z, Za, Zb, Zc, aa, bb, cc, dd, ee, ff, gg, hh, ii, jj, kk, ll, mm, nn, oo, pp;
B :=(high(0)+low(0)+close(0))/3 ;
C :=(high(-1)+low(-1)+close(-1))/3 ;
D :=(high(-2)+low(-2)+close(-2))/3 ;
E :=(high(-3)+low(-3)+close(-3))/3 ;
F :=(high(-4)+low(-4)+close(-4))/3 ;
G :=(high(-5)+low(-5)+close(-5))/3 ;
H :=(high(-6)+low(-6)+close(-6))/3 ;
I :=(high(-7)+low(-7)+close(-7))/3 ;
J :=(high(-8)+low(-8)+close(-8))/3 ;
K :=(high(-9)+low(-9)+close(-9))/3 ;
L :=(high(-10)+low(-10)+close(-10))/3 ;
M :=(high(-11)+low(-11)+close(-11))/3 ;
N :=(high(-12)+low(-12)+close(-12))/3 ;
O :=(high(-13)+low(-13)+close(-13))/3 ;
P :=(high(-14)+low(-14)+close(-14))/3 ;
Q :=(high(-15)+low(-15)+close(-15))/3 ;
R :=(high(-16)+low(-16)+close(-16))/3 ;
S :=(high(-17)+low(-17)+close(-17))/3 ;
T :=(high(-18)+low(-18)+close(-18))/3 ;
U :=(high(-19)+low(-19)+close(-19))/3 ;
V :=(high(-20)+low(-20)+close(-20))/3 ;
W :=(high(-21)+low(-21)+close(-21))/3 ;
X :=(high(-22)+low(-22)+close(-22))/3 ;
Y :=(high(-23)+low(-23)+close(-23))/3 ;
Z :=(high(-24)+low(-24)+close(-24))/3 ;
Za :=(high(-25)+low(-25)+close(-25))/3 ;
Zb :=(high(-26)+low(-26)+close(-26))/3 ;
Zc :=(high(-27)+low(-27)+close(-27))/3 ;
aa :=(B+C+D+E+F+G+H+I+J+K+L+M+N)/13 ;
bb :=(C+D+E+F+G+H+I+J+K+L+M+N+O)/13 ;
cc :=(D+E+F+G+H+I+J+K+L+M+N+O+P)/13 ;
dd :=(E+F+G+H+I+J+K+L+M+N+O+P+Q)/13 ;
ee :=(F+G+H+I+J+K+L+M+N+O+P+Q+R)/13 ;
ff :=(G+H+I+J+K+L+M+N+O+P+Q+R+S)/13 ;
gg :=(H+I+J+K+L+M+N+O+P+Q+R+S+T)/13 ;
hh :=(I+J+K+L+M+N+O+P+Q+R+S+T+U)/13 ;
ii :=(J+K+L+M+N+O+P+Q+R+S+T+U+V)/13 ;
jj :=(K+L+M+N+O+P+Q+R+S+T+U+V+W)/13 ;
kk :=(L+M+N+O+P+Q+R+S+T+U+V+W+X)/13 ;
ll :=(M+N+O+P+Q+R+S+T+U+V+W+X+Y)/13 ;
mm :=(N+O+P+Q+R+S+T+U+V+W+X+Y+Z)/13 ;
nn :=(O+P+Q+R+S+T+U+V+W+X+Y+Z+Za)/13 ;
oo :=(P+Q+R+S+T+U+V+W+X+Y+Z+Za+Zb)/13 ;
pp :=(Q+R+S+T+U+V+W+X+Y+Z+Za+Zb+Zc)/13 ;
cci := (B-aa)/(0.015*(abs(B-aa)+abs(C-bb)+abs(D-cc)+abs(E-dd)+abs(F-ee)+abs(G-ff)+abs(H-gg)+abs(I-hh)+abs(J-ii)+abs(K-jj)+abs(L-kk)+abs(M-ll)+abs(N-mm))/13)+.00001;
cciprev := (C-bb)/(0.015*(abs(C-bb)+abs(D-cc)+abs(E-dd)+abs(F-ee)+abs(G-ff)+abs(H-gg)+abs(I-hh)+abs(J-ii)+abs(K-jj)+abs(L-kk)+abs(M-ll)+abs(N-mm)+abs(O-nn))/13)+.00001;
cciprev2 := (D-cc)/(0.015*(abs(D-cc)+abs(E-dd)+abs(F-ee)+abs(G-ff)+abs(H-gg)+abs(I-hh)+abs(J-ii)+abs(K-jj)+abs(L-kk)+abs(M-ll)+abs(N-mm)+abs(O-nn)+abs(P-oo))/13)+.00001;
cciprev3 := (E-dd)/(0.015*(abs(E-dd)+abs(F-ee)+abs(G-ff)+abs(H-gg)+abs(I-hh)+abs(J-ii)+abs(K-jj)+abs(L-kk)+abs(M-ll)+abs(N-mm)+abs(O-nn)+abs(P-oo)+abs(Q-pp))/13)+.00001;
Set MACD = 5,35,4;
Set Stochastic = 8, 3, 3;
Sa := 3;
Sx := 0;
Sxx := 0;
//Sxy := 0;
//Sy := 0;
for ia = 1 - Sa to 0 do
Sx := Sx + ia;
Sy := cci + cciprev + cciprev2;
Syb:= cciprev + cciprev2 + cciprev3;
Symacd:=macd(0)+macd(-1)+macd(-2);
Systoch:=StochasticPctK(0)+StochasticPctK(-1)+StochasticPctK(-2);
Sxx := Sxx + ia*ia;
Sxy := (0*cci)+(-1*cciprev)+(-2*cciprev2);
Sxyb := (0*cciprev)+(-1*cciprev2)+(-2*cciprev3);
Sxymacd:=(0*macd(0))+(-1*macd(-1))+(-2*macd(-2));
Sxystoch:=(0*StochasticPctK(0))+(-1*StochasticPctK(-1))+(0*StochasticPctK(-2));
next ia;
ccislope := (Sa*Sxy - Sx*Sy)/(Sa*Sxx - Sx*Sx);
ccislopeprev := (Sa*Sxyb - Sx*Syb)/(Sa*Sxx - Sx*Sx);
macdslope:= (Sa*Sxymacd - Sx*Symacd)/(Sa*Sxx - Sx*Sx);
stochslope:= (Sa*Sxystoch - Sx*Systoch)/(Sa*Sxx - Sx*Sx);
if ccislope>0 and
macdslope>0 and
stochslope>0 and
persistence(0)>80 then //Persistence is percentage of days over 6 monts that Chaikin's Money Flow is > 0.
println symbol:-6," BUY: Close: ", close(0):-7:3, ",", " Up: ", close(0)-close(-1):4:3, ","," Volume: ", vol(0):4, ","," CCI: ", cci:-3:4,",", " QRS: ", QRS(0):2, ","," Sharesfloat: ", Sharesfloat:6:3, ", ",Description:-12;
endif; |
