Range Filter – Trading Strategy – Amibroker – Better Trend Following Indicator

Range Filter is a non-ATR-based trend following strategy inspired by Tradingview Pinescript coder – DonovanWall. According to him, Range Filter is an experimental study designed to filter out minor price action for a clearer view of trends. Here is the Amibroker Trend Following Strategy code based on the Range Filter.

How Range Filter is Calculated?

1), a smooth average price range is calculated for the basis of the filter and multiplied by a specified amount.
2)the filter is calculated by gating price movements that do not exceed the specified range.
3)the target ranges are plotted to display the prices that will trigger filter movement.

Strategy Timeframe : 15mins

Trading Symbol: Nifty Futures

Trading Commissions Used : 0.02% per leg

Historical Data Backtesting Period: 2011 – 2022

Position Sizing : 1 Lot (Fixed Lot)

Equity Curve

Drawdown Curve

Backtesting Report

Absolute Profit Table (in Thousands)

Range Filter – Amibroker AFL Code

//Coded by Rajandran R - www.marketcalls.in / www.algomojo.com
//Code Inspired from Tradingview Pinescript
//Original Coded by : DonovanWall
//Tradingview Source Code : https://in.tradingview.com/script/lut7sBgG-Range-Filter-DW/
//Coded Date : 23rd - Aug 2022

_SECTION_BEGIN("Range Filter - Trading Strategy");

SetPositionSize(1*RoundLotSize,spsShares);


src = ParamField("Source",3);

// Sampling Period

per = param("Sampling Period",15,5,200,5);

// Range Multiplier

mult = param("Range Multiplier",2.5,1,5,0.5);


upward = 0;
dnward = 0;

// Smooth Average Range

function smoothrange(x, t, m)
{

	wper = t * 2 - 1;
    avrng = ema(abs(x - Ref(x,-1)), t);
    smoothrng = ema(avrng, wper) * m;
    return smoothrng;

}

smrng = smoothrange(src, per, mult);

// Range Filter

function rngfilter(x, r)
{

	rngfilt = x;
	//rngfilt := x > nz(rngfilt[1]) ? x - r < nz(rngfilt[1]) ? nz(rngfilt[1]) : x - r : x + r > nz(rngfilt[1]) ? nz(rngfilt[1]) : x + r
    for(i=1;i<BarCount;i++)
    {
    
    if(x[i] > rngfilt[i-1])
    {
		if((x[i] - r[i]) < rngfilt[i-1])
		{
		rngfilt[i] = rngfilt[i-1];
		}
		else
		{
			rngfilt[i] = x[i]-r[i];
		
		}
    }
    else
    {
	  
		if((x[i] + r[i])  > rngfilt[i-1])
		{
		
		
		rngfilt[i] = rngfilt[i-1];
		
		
		}
		else
		{
		rngfilt[i] =  x[i] + r[i];
		}
		}
    }//end of for loop
 return rngfilt;
}

filt = rngfilter(src, smrng);
upward = 0;
downward = 0;
// Filter Direction

for(i=1;i<BarCount;i++)
{

if(filt[i] > filt[i-1])
{
upward[i] = upward[i-1] + 1;
}
else{

 if(filt[i] < filt[i-1])
 {
	upward[i] = 0;
 
 }
 
 else
 {
 upward[i] = upward[i-1];
 }
 
 }
  


}//end of for loop


for(i=1;i<BarCount;i++)
{

if(filt[i] < filt[i-1])
{
downward[i] = downward[i-1] + 1;
}
else{

 if(filt[i] < filt[i-1])
 {
	dnward[i] = 0;
 
 }
 
 else
 {
 dnward[i] = dnward[i-1];
 }
  


}//end of for loop



}//end of range filter function

// Target Bands

hband = filt + smrng;
lband = filt - smrng;

Plot(hband,"H-Band",colorBlue,styleLine);
Plot(lband,"L-Band",colorRed,styleLine);

longCond = (src > filt and src > Ref(src,-1) and upward > 0) or (src > filt and src < Ref(src,-1) and upward > 0);
shortCond = (src < filt and src <  Ref(src,-1) and downward > 0) or (src < filt and src > Ref(src,-1) and downward > 0);



Buy = ExRem(longCond,shortCond);
Sell = ExRem(shortCond,longCond);
Short = Sell;
Cover = Buy;

Buy = Ref(Buy,-1);
Sell = Ref(Sell,-1);
Short = Ref(Short,-1);
Cover = Ref(Cover,-1);

BuyPrice = ValueWhen(Buy,Open);
SellPrice = ValueWhen(Sell,Open);
ShortPrice = ValueWhen(Short,Open);
CoverPrice = ValueWhen(Cover,Open);



buycontinue = Flip(Buy,Sell);
shortcontinue = Flip(Short,Cover);

barcolor =  IIf(buycontinue,colorGreen,colorRed);


for( i = 0; i < BarCount; i++ ) 
 { 
if( Buy[i] ) PlotText("Buy",i,L[i],colorWhite,colorLime,-70);
if( Short[i] ) PlotText("Short",i,H[i],colorWhite,colorRed,70);
//if( Sell[i] ) PlotText( "Selln@" + C[ i ], i, H[ i ]+dist[i], colorRed, colorYellow ); 
 } 


/* Plot Buy and Sell Signal Arrows */
PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorGreen, 0, L, Offset=-40);
PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorLime, 0,L, Offset=-50);                      
PlotShapes(IIf(Buy, shapeUpArrow, shapeNone),colorWhite, 0,L, Offset=-45); 
PlotShapes(IIf(Sell, shapeSquare, shapeNone),colorRed, 0, H, Offset=40);
PlotShapes(IIf(Sell, shapeSquare, shapeNone),colorOrange, 0,H, Offset=50);                      
PlotShapes(IIf(Sell, shapeDownArrow, shapeNone),colorWhite, 0,H, Offset=-45);


sig=0;
bars=0;
tar1=tar2=tar3=null;

for(i=BarCount-1;i>1;i--)

{

if(Buy[i] == 1)

{

entry = open[i];

sig = 1;  //flag contains 1 when buy is valid

tar1 = entry + (entry * .0050);

tar2 = entry + (entry * .0092);

tar3 = entry + (entry * .0179);

 

bars = i;

i = 0;

}

if(Short[i] == 1)

{

sig = -1; //flag contains -1 wjhen short is valid

entry = open[i];


tar1 = entry - (entry * .0050);

tar2 = entry - (entry * .0112);

tar3 = entry - (entry * .0212);

 

 

bars = i;  // i - holds the value of bar index, computing the barindex value when the signal happened

i = 0;

}

}//for loop



Offset = 20;

Clr = IIf(sig == 1, colorLime, colorRed);


 

//plot target lines

Plot(LineArray(bars-Offset, tar1, BarCount-1, tar1,1), "", Clr, styleLine|styleDots, Null, Null, Offset);

Plot(LineArray(bars-Offset, tar2, BarCount-1, tar2,1), "", Clr, styleLine|styleDots, Null, Null, Offset);

Plot(LineArray(bars-Offset, tar3, BarCount-1, tar3,1), "", Clr, styleLine|styleDots, Null, Null, Offset);






_SECTION_END();


_SECTION_BEGIN("Signal Dashboard");

messageboard = ParamToggle("Message Board","Show|Hide",1);
upcolor = ParamColor("Up Color",colorBlue);
dncolor = ParamColor("Down Color",colorRed);



if (messageboard == 1 )

{

GfxSelectFont( "Tahoma", 13, 100 );

GfxSetBkMode( 1 );

GfxSetTextColor( colorWhite );


//Dashboard color changes dynamically according to the signals continuation
color = IIf(buycontinue, upcolor, IIf(shortcontinue, dncolor, Null));



GfxSelectSolidBrush(SelectedValue(color));


pxHeight = Status( "pxchartheight" ) ;

xx = Status( "pxchartwidth");

Left = 1100;
width = 310;

x = 5;
x2 = 360;
y = pxHeight;

sigstatus = WriteIf(buycontinue,"Buy Signal @ ","Sell Signal @");

 

GfxSelectPen( colorGreen, 1); // broader color
GfxRoundRect( x, y - 98, x2, y , 7, 7 ) ;
GfxTextOut( ( "Marketcalls - Range Filter"),13,y-90);
GfxTextOut( (" "),27,y-100);

if(SelectedValue(Buycontinue))
{
GfxTextOut( ("Last " + sigstatus + " Signal came " + BarsSince(Buy) * Interval()/60 + " mins ago"), 13, y-70) ; // The text format location
GfxTextOut( ("" + sigstatus + " : " + ValueWhen(Buy,BuyPrice)), 13, y-50);
GfxTextOut( ("Profit/Loss : " + NumToStr(Close-ValueWhen(Buy,BuyPrice),1.2)), 13, y-30);
}

if(SelectedValue(Shortcontinue))
{
GfxTextOut( ("Last " + sigstatus + " Signal came " + BarsSince(short) * Interval()/60 + " mins ago"), 13, y-70) ; // The text format location
GfxTextOut( ("" + sigstatus + " : " + ValueWhen(Short,ShortPrice)), 13, y-50);
GfxTextOut( ("Current P/L : " + NumToStr(ValueWhen(Short,ShortPrice)-Close,1.2)), 13, y-30);
}


//GfxTextOut( ("Trailing SL : " + Ref(TrendSL,-1) + " (" + WriteVal(IIf(sig == -1,entry-sl,sl-entry), 2.2) + ")"), 13, y-40);





}


_SECTION_END();

_SECTION_BEGIN("Top Dashboard");

X0 = 10;
Y0 = 20;

procedure DrawData (Text, x1, y1, x2, y2, colorFrom, colorTo)
{
	GfxSetOverlayMode(0);
	GfxSelectFont("Verdana", 8.5, 700);
	GfxSetBkMode(1);
	GfxGradientRect(x1, y1, x2, y2, colorFrom, colorTo);
	GfxDrawText(Text, x1, y1, x2, y2, 32|1|4|16);
}


DrawData (Name(), X0, Y0, X0+150, Y0+20, colorGrey40, colorblack);
DrawData (Date(), X0+155, Y0, X0+320, Y0+20, colorGrey40, colorblack);
DrawData ("Open : " + Open, X0+325, Y0, X0+450, Y0+20, colorGrey40, colorblack);
DrawData ("Close : " + Close, X0+455, Y0, X0+580, Y0+20, colorGrey40, colorblack);
DrawData ("High : " + High, X0+585, Y0, X0+710, Y0+20, colorGrey40, colorblack);
DrawData ("Low : " + Low, X0+715, Y0, X0+840, Y0+20, colorGrey40, colorblack);


_SECTION_END();




_SECTION_BEGIN("Price");
SetChartOptions(0,chartShowArrows|chartShowDates);
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));
Plot( C, "Close", barcolor, styleNoTitle | ParamStyle("Style") | GetPriceStyle() ); 
_SECTION_END();