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2005 Jan: Detecting Breakouts

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SD-ADX.efs, NormalizedStdev.efs,StochOf_NormStdev.efs, VolatilityModifiedFVE2.efs  
EFSLibrary - Discussion Board  

File Name:

  • SD-ADX.efs
  • NormalizedStdev.efs
  • StochOf_NormStdev.efs
  • VolatilityModifiedFVE2.efs

Description:
These indicators are based on the January 2005 article, Detecting Breakouts in Low-Priced Stocks: Los Vegas Or Los Nasdaq?, by Markos Katsanos.

Formula Parameters:

SD-ADX.efs

  • Period for SD: 30
  • Period for ADX: 25
  • Color: Magenta
  • Thickness: 2

NormalizedStdev.efs

  • Length: 30
  • Color: Aqua
  • Thickness: 2

StochOf_NormStdev.efs

  • Normalized Stdev Period: 30
  • Stoch \%K Length: 150
  • Stoch \%K Smoothing: 1
  • Stoch \%D Length: 10
  • Upper Band: 80
  • Lower Band: 20
  • Band's Color: Black
  • Display Bands: True - [True, False]
  • %K Color: Red
  • %K Thickness: 2
  • %D Color: Blue
  • %D Thickness: 1
  • %D Display: Off - [On, Off]

VolatilityModifiedFVE2.efs

  • Periods for FVE: 14
  • EMA Periods for FVE: 40
  • Coef for Cutoff: 0.1
  • FVE Color: Green
  • FVE Thickness: 2
  • FVE EMA Color: Blue
  • FVE EMA Thickness: 1
  • EMA Display: Off - [On, Off]

Notes:
The related article is copyrighted material. If you are not a subscriber of Stocks & Commodities, please visit www.traders.com.

Download File:
SD-ADX.efs
NormalizedStdev.efs
StochOf_NormStdev.efs
VolatilityModifiedFVE2.efs



EFS Code:

SD-ADX.efs

/*****************************************************************
Provided By : eSignal (c) Copyright 2004
Description:  SD*Adx - by Markos Katsanos from Detecting Breakouts

Version 1.0

Notes:

Formula Parameters:                 Defaults:
Period for SD                       30
Period for ADX                      25
Color                               magenta
Thickness                           2
*****************************************************************/

function preMain() {
    setStudyTitle("SD*Adx ");
    setCursorLabelName("SD*Adx");
    setDefaultBarThickness(2);
    addBand(1.3, PS_SOLID, 1, Color.navy, "band");
    setShowTitleParameters(false);
    
    // Formula Parameters
    var fp1 = new FunctionParameter("nPeriod", FunctionParameter.NUMBER);
        fp1.setName("Period for SD");
        fp1.setLowerLimit(5);
        fp1.setUpperLimit(80);
        fp1.setDefault(30);
    var fp2 = new FunctionParameter("nDI", FunctionParameter.NUMBER);
        fp2.setName("Period for ADX");
        fp2.setLowerLimit(5);
        fp2.setUpperLimit(80);
        fp2.setDefault(25);

    // Study Parameters
    var sp1 = new FunctionParameter("cColor", FunctionParameter.COLOR);
        sp1.setName("Color");
        sp1.setDefault(Color.magenta);
    var sp2 = new FunctionParameter("nThick", FunctionParameter.NUMBER);
        sp2.setName("Thickness");
        sp2.setDefault(2);
}

var bEdit = true;
var aPrice = null;
var vStudyMA = null;
var vStudyADX = null;
var nC = null;

function main(nPeriod, nDI, cColor, nThick) {
    if (bEdit == true) {
        aPrice = new Array(nPeriod);
        vStudyMA = new MAStudy(nPeriod, 0, "Close", MAStudy.SIMPLE);
        vStudyADX = new ADXDMStudy(nDI, nDI);
        setDefaultBarFgColor(cColor, 0);
        setDefaultBarThickness(nThick, 0);
        bEdit = false;
    }
    
    var nState = getBarState();
    if (nState == BARSTATE_NEWBAR && nC != null) {
        aPrice.pop();
        aPrice.unshift(nC);
    }

    nC = close(0);
    aPrice[0] = nC;
    
    
    var vMA = vStudyMA.getValue(MAStudy.MA);
    if (vMA == null) return;
    
    var vADX = vStudyADX.getValue(ADXDMStudy.ADX);
    if (vADX == null) return;
    
    if (aPrice[nPeriod-1] == null) return;  // array not complete
    
    var nSD = Stdev(nPeriod);
    var nSDC = (nSD/vMA);
    
    return (nSDC*vADX);
}


// Support Functions

function Stdev(nLength) {
    var sumX = 0;
    var sumX2 = 0;
    for (i = 0; i < nLength; ++i) {
        sumX += aPrice[i];
        sumX2 += (aPrice[i] * aPrice[i]);
    }
    var meanX = (sumX/nLength);
    var stdev = Math.sqrt((sumX2/nLength) - (meanX*meanX));

    return stdev;
}

NormalizedStdev.efs

/*****************************************************************
Provided By : eSignal (c) Copyright 2004
Description: Normalized Standard Deviation - Markos Katsanos

Version 1.0

Notes:

Formula Parameters:                     Defaults:
Length                                  30
Color                                   aqua
Thickness                               2
*****************************************************************/

function preMain() {
    setStudyTitle("Normalized Standard Deviation ");
    setCursorLabelName("N-Stdev",0);
    
    // Formula Parameters
    var fp1 = new FunctionParameter("Length", FunctionParameter.NUMBER);
        fp1.setName("Period");
        fp1.setLowerLimit(1);		
        fp1.setDefault(30);

    // Study Parameters
    var sp1 = new FunctionParameter("cColor", FunctionParameter.COLOR);
        sp1.setName("Color");
        sp1.setDefault(Color.aqua);
    var sp2 = new FunctionParameter("nThick", FunctionParameter.NUMBER);
        sp2.setName("Thickness");
        sp2.setDefault(2);
} 

var bEdit = true;
var aValue = null;
var vStudy = null;

function main(Length, cColor, nThick) {
    if (bEdit == true) {
        setDefaultBarFgColor(cColor, 0);
        setDefaultBarThickness(nThick, 0);
        bEdit = false;
    }
    
    if (aValue == null) aValue = new Array(Length);
    if (vStudy == null) vStudy = new MAStudy(Length, 0, "Close", MAStudy.SIMPLE);
    
    var nMA = vStudy.getValue(MAStudy.MA);
    if (nMA == null) return;
    
    var nState = getBarState();
    var nSum = 0;
    var ySum = 0;
    var Basis = 0;
    var vStdDev = 0;
    
    if (nState == BARSTATE_NEWBAR) {
        aValue.pop();
        aValue.unshift(close(0));
    }
    
    aValue[0] = close(0);
    
    if (aValue[Length-1] == null) return;
    
    for(i = 0; i < Length; i++){
        nSum += (aValue[i]);
    }
    Basis=nSum/Length;
    
    for(i = 0; i < Length; i++){
        ySum += (aValue[i]-Basis)*(aValue[i]-Basis);
    }
    vStdDev=Math.sqrt(ySum/(Length)); 

    return (vStdDev/nMA);
}

StochOf_NormStdev.efs

/*****************************************************************
Provided By : eSignal. (c) Copyright 2004
Description:  Stochastic of Normalized Standard Deviation - Markos Katsanos

Version 1.0

Notes:

Formula Parameters:                 Defaults:
Normalized Stdev Period             30
Stoch \%K Length                    150
Stoch \%K Smoothing                 1
Stoch \%D Length                    10
Upper Band                          80
Lower Band                          20
Band's Color                        black
Display Bands                       True - [True, False]
%K Color                            red
%K Thickness                        2
%D Color                            blue
%D Thickness                        1
%D Display                          Off - [On, Off]
*****************************************************************/


function preMain() {
    setStudyTitle("Stochastic of Normalized Stdev");
    setCursorLabelName("Stoch of SD \%K", 0);
    setCursorLabelName("Stoch of SD \%D", 1);

    setDefaultBarFgColor(Color.navy, 0);
    setDefaultBarFgColor(Color.aqua, 1);
    
    setStudyMax(120);
    setStudyMin(-5);
    
    // Primary Study Parameters
    var fp1 = new FunctionParameter("Length", FunctionParameter.NUMBER);
        fp1.setName("Normalized Stdev Period");
        fp1.setLowerLimit(1);		
        fp1.setDefault(30);

    // Stoch Parameters
    var fp2 = new FunctionParameter("nKlength2", FunctionParameter.NUMBER);
        fp2.setName("Stoch \%K Length");
        fp2.setLowerLimit(1);
        fp2.setDefault(150);
    var fp3 = new FunctionParameter("nKsmooth2", FunctionParameter.NUMBER);
        fp3.setName("Stoch \%K Smoothing");
        fp3.setLowerLimit(1);
        fp3.setDefault(1);
    var fp4 = new FunctionParameter("nDlength2", FunctionParameter.NUMBER);
        fp4.setName("Stoch \%D Length");
        fp4.setLowerLimit(1);
        fp4.setDefault(10);

    // Study Parameters
    var sp1 = new FunctionParameter("nBand1", FunctionParameter.NUMBER);
        sp1.setName("Upper Band");
        sp1.setDefault(80);
    var sp2 = new FunctionParameter("nBand2", FunctionParameter.NUMBER);
        sp2.setName("Lower Band");
        sp2.setDefault(20);
    var sp3 = new FunctionParameter("cBands", FunctionParameter.COLOR);
        sp3.setName("Band's Color");
        sp3.setDefault(Color.black);  
    var sp4 = new FunctionParameter("bBands", FunctionParameter.STRING);
        sp4.setName("Display Bands");
        sp4.addOption("On");
        sp4.addOption("Off");
        sp4.setDefault("On");   
    var sp5 = new FunctionParameter("cK", FunctionParameter.COLOR);
        sp5.setName("\%K Color");
        sp5.setDefault(Color.red);
    var sp6 = new FunctionParameter("nThickK", FunctionParameter.NUMBER);
        sp6.setName("\%K Thickness");
        sp6.setDefault(2);
    var sp7 = new FunctionParameter("cD", FunctionParameter.COLOR);
        sp7.setName("\%D Color");
        sp7.setDefault(Color.blue);
    var sp8 = new FunctionParameter("nThickD", FunctionParameter.NUMBER);
        sp8.setName("\%D Thickness");
        sp8.setDefault(1);
    var sp9 = new FunctionParameter("bD", FunctionParameter.STRING);
        sp9.setName("\%D Display");
        sp9.addOption("On");
        sp9.addOption("Off");
        sp9.setDefault("Off");
}

// Primary Study: Normalized Stdev
var aNormStdev = null;
var aValue = null;
var vStudy = null;

// Stoch of Primary Study
var bEdit = true;
var study = null;
var vK2 = null;     
var vD2 = null;
var aStochK2 = null;

function main(Length, nKlength2, nKsmooth2, nDlength2, nBand1, nBand2, 
            cBands, bBands, cK, nThickK, cD, nThickD, bD) {
    var nState = getBarState();
    
    if (bEdit == true) {
        if (bBands == "On") {
            addBand(nBand1, PS_SOLID, 1, cBands, "Upper");
            addBand(nBand2, PS_SOLID, 1, cBands, "Lower");
        } else if (bBands == "Off") {
            removeBand("Upper");
            removeBand("Lower");
        }
        setDefaultBarFgColor(cK, 0);
        setDefaultBarFgColor(cD, 1);
        setDefaultBarThickness(nThickK, 0);
        setDefaultBarThickness(nThickD, 1);
        if (aStochK2 == null) aStochK2 = new Array(Math.round(nDlength2));
        bEdit = false;
    }

    if (nState == BARSTATE_NEWBAR) {
        if (vK2 != null) {
            aStochK2.pop();
            aStochK2.unshift(vK2);
        }
    }
    
    //primary study code: Stoch of Normalized Stdev
    if (aNormStdev == null) aNormStdev = new Array(nKlength2);
    if (aValue == null) aValue = new Array(Length);
    if (vStudy == null) vStudy = new MAStudy(Length, 0, "Close", MAStudy.SIMPLE);
    
    var nMA = vStudy.getValue(MAStudy.MA);
    if (nMA == null) return;
    
    var nSum = 0;
    var ySum = 0;
    var Basis = 0;
    var vStdDev = 0;
    
    if (nState == BARSTATE_NEWBAR) {
        aValue.pop();
        aValue.unshift(close(0));
        aNormStdev.pop();
        aNormStdev.unshift(0);
    }
    
    aValue[0] = close(0);
    
    if (aValue[Length-1] == null) return;
    
    for(i = 0; i < Length; i++){
        nSum += (aValue[i]);
    }
    Basis=nSum/Length;
    
    for(i = 0; i < Length; i++){
        ySum += (aValue[i]-Basis)*(aValue[i]-Basis);
    }
    vStdDev = (Math.sqrt(ySum/(Length)))/nMA; 
    aNormStdev[0] = vStdDev;
    
    // end of primary study code
    
    // Stoch of Normalized Stdev
    vK2 = StochK2(Math.round(nKlength2), Math.round(nKsmooth2));
    if (vK2 == null) return;
    aStochK2[0] = vK2;
    
    if (aStochK2[Math.round(nDlength2) - 1] == null) return;
    
    vD2 = StochD2(Math.round(nDlength2));
    if (vD2 == null) return;
    
    if (bD == "On") {
        return new Array(vK2, vD2);
    } else {
        return new Array(vK2, vD2.toFixed(4));
    }
}


/*********************/
/***** Functions *****/
/*********************/

function StochHH(nInputOffset, nInputLength) {
    var nOffset = nInputOffset;
    var nLength = nInputLength;
    var hh = 0;
    var i = 0;
    
    for(i = 0; i < nLength; i++) {
        if(i == 0) {
            hh = aNormStdev[i+nOffset];
        } else {
            hh = Math.max(hh, aNormStdev[i+nOffset]);
        }
    }
    return hh;
}


function StochLL(nInputOffset, nInputLength) {
    var nOffset = nInputOffset;
    var nLength = nInputLength;
    var ll = 0;
    var i = 0;
    
    for(i = 0; i < nLength; i++) {
        if(i == 0) {
            ll = aNormStdev[i+nOffset];
        } else {
            ll = Math.min(ll, aNormStdev[i+nOffset]);
        }
    }
    return ll;
}


function StochK2(inputLength, inputSmoothing) {
    var percentK;
    var StochK;
    var ll, hh;
    var sum = 0;
    var i = 0;
    var nOffset = 0;
    var nDO;
    var nLength = inputLength;
    var nSmoothing = inputSmoothing;

    for(i = 0; i < nSmoothing; i++) {
        nDO = i + nOffset;
        StochK = aNormStdev[nDO];
        
        ll = StochLL(nDO, nLength);
        if(ll == null) return null;
        
        hh = StochHH(nDO, nLength);
        if(hh == null) return null;
        
        percentK = ((StochK - ll) / (hh - ll)) * 100;
        
        sum += percentK;
    }

    sum /= nSmoothing;
    return sum;
}


function StochD2(nInputLength) {
    var sum = 0;
    var i = 0;
    for (i = 0; i < nInputLength; ++i) {
        sum += aStochK2[i];
    }
    sum /= nInputLength;
    return sum;
}

VolatilityModifiedFVE2.efs

/*******************************************************************
Description	: This Indicator plots the Volatility modified FVE formula
Provided By	: TS Support, LLC for eSignal

Version 2.0

Notes:
* Original formula code has been modified by eSignal for 
    real time calculations and additional parameters. 11/8/2004

Formula Parameters:                 Defaults:
Periods for FVE                     14
EMA Periods for FVE                 40
Coef for Cutoff                     0.1
FVE Color                           green
FVE Thickness                       2
FVE EMA Color                       blue
FVE EMA Thickness                   1
EMA Display                         Off - [On, Off]
********************************************************************/

function preMain(){
    setStudyTitle("Volatility Finite Volume Elements2");
    setCursorLabelName("FVE",0);
    setDefaultBarFgColor(Color.green,0);
    setCursorLabelName("FVE EMA",1);
    setDefaultBarFgColor(Color.blue,1);
    setDefaultBarThickness(2);
    addBand(0, PS_SOLID, 2, Color.black);
    setShowTitleParameters(false);
    
    // Formula Parameters
    var fp1 = new FunctionParameter("Samples", FunctionParameter.NUMBER);
        fp1.setName("Periods for FVE");
        fp1.setLowerLimit(5);
        fp1.setDefault(14);
    var fp2 = new FunctionParameter("Perma", FunctionParameter.NUMBER);
        fp2.setName("EMA Periods for FVE");
        fp2.setLowerLimit(1);
        fp2.setDefault(40);
    var fp3 = new FunctionParameter("Coef", FunctionParameter.NUMBER);
        fp3.setName("Coef for Cutoff");
        fp3.setLowerLimit(0);
        fp3.setDefault(.1);
    
    // Study Parameters
    var sp1 = new FunctionParameter("cFVE", FunctionParameter.COLOR);
        sp1.setName("FVE Color");
        sp1.setDefault(Color.green);
    var sp2 = new FunctionParameter("nThickFVE", FunctionParameter.NUMBER);
        sp2.setName("FVE Thickness");
        sp2.setDefault(2);
    var sp3 = new FunctionParameter("cEMA", FunctionParameter.COLOR);
        sp3.setName("FVE EMA Color");
        sp3.setDefault(Color.blue);
    var sp4 = new FunctionParameter("nThickEMA", FunctionParameter.NUMBER);
        sp4.setName("FVE EMA Thickness");
        sp4.setDefault(1);
    var sp5 = new FunctionParameter("bEMA", FunctionParameter.STRING);
        sp5.setName("EMA Display");
        sp5.addOption("On");
        sp5.addOption("Off");
        sp5.setDefault("Off");
}

var bEdit = true;
var EMA_1 = 0;
var EMA = 0;
var VolumePlusMinusArray = null;
var	IntraArray = null;
var InterArray = null;
var TP = 0;
var TP1 = 0;

function main(Samples, Perma, Coef, cFVE, nThickFVE, cEMA, nThickEMA, bEMA) {
    if (bEdit == true) {
        setDefaultBarFgColor(cFVE, 0);
        setDefaultBarFgColor(cEMA, 1);
        setDefaultBarThickness(nThickFVE, 0);
        setDefaultBarThickness(nThickEMA, 1);
        bEdit = false;
    }

	var VolumePlusMinus = 0, FVE = 0, Fvesum = 0, 
        VolSum = 0, FveFactor = 0, Intra = 0, Inter = 0, Vintra = 0, 
        Vinter = 0, CutOff = 0, i = 0, K = 2 / (Perma + 1);
    var nState = getBarState();
	
	if (IntraArray == null) IntraArray = new Array(Samples);
	if (InterArray == null) InterArray = new Array(Samples);
	if (VolumePlusMinusArray == null) VolumePlusMinusArray = new Array(Samples);
	
	if (nState == BARSTATE_NEWBAR) {
        IntraArray.pop();
        IntraArray.unshift(0);
        InterArray.pop();
        InterArray.unshift(0);
        VolumePlusMinusArray.pop();
        VolumePlusMinusArray.unshift(0);
        TP1 = TP;
	}
	
	IntraArray[0] = Math.log(high(0)) - Math.log(low(0));
	InterArray[0] = Math.log((high(0) + low(0) + close(0))/3) - 
        Math.log((high(-1)+ low(-1) + close(-1))/3);
	
	TP = (high(0) + low(0) + close(0))/3;
	
	if (IntraArray[Samples -1] == null) return;
	if (InterArray[Samples -1] == null) return;
	
	Intra = Math.log(high(0)) - Math.log(low(0));
	Vintra = StandardDev(IntraArray, Samples);
	Inter = Math.log(TP) - Math.log(TP1);
	Vinter = StandardDev(InterArray, Samples);
	CutOff = Coef * (Vintra + Vinter) * close(0);	
	MF = close(0) - ((high(0) + low(0))/2) + TP - TP1;
	
	if(MF > CutOff)
		FveFactor = 1;
	else if(MF < -1 * CutOff)
		FveFactor = -1;
	else
		FveFactor=0;
	
	VolumePlusMinus = volume(0) * FveFactor;
    VolumePlusMinusArray[0] = VolumePlusMinus;

    if (VolumePlusMinusArray[Samples-1] == null) return;
	for(i = 0; i < Samples; i++){
		Fvesum += VolumePlusMinusArray[i];
		VolSum += volume(-i);
	}
	
	if(VolumePlusMinusArray[Samples - 1] != null){
		FVE = (Fvesum / (VolSum/Samples)) / Samples * 100;
		if (nState == BARSTATE_NEWBAR) EMA_1 = EMA;
		EMA = K * FVE  + (1 - K) * EMA_1;
		if (bEMA == "On") {
            return new Array(FVE,EMA);
        } else {
            return new Array(FVE,EMA.toFixed(4));
        }
	}
	return null;
}

function StandardDev(Array,Length){
	var i;
	var vSum = 0;
	var SumSqr = 0;
	var StdDev = 0;
	
	for(i = 0; i < Length; i++)
        	vSum += Array[i];

	if(Length != 0)
		for(i = 0; i < Length; i++)
			SumSqr += (Array[i] - vSum / Length) * (Array[i] - vSum / Length);

	StdDev = Math.sqrt(SumSqr / Length);
	return StdDev;
}