AdaptivePriceZone.efs
EFSLibrary - Discussion Board
File Name: AdaptivePriceZone.efs
Description:
These studies are based on the September 2006 article, Trading With An Adaptive Price Zone, by Lee Leibfarth.
Formula Parameters:
AdaptivePriceZone.efs
- Period: 20
- Band Percent: 2
APZ_Strategy.efs
- Period: 20
- Band Percent: 2
- ADX Period: 14
- ADX Smoothing: 14
- ADX Threshold: 30
Notes:
The APZ_Strategy.efs study is compatible for back testing and real time usage. These formulas require eSignal version 8.0.0 or later. The related article is copyrighted material. If you are not a subscriber of Stocks & Commodities, please visit www.traders.com.
Download File:
AdaptivePriceZone.efs
APZ_Strategy.efs
EFS Code:
AdaptivePriceZone.efs
/***************************************
Provided By : eSignal (c) Copyright 2006
Description: Trading With An Adaptive Price Zone
by Lee Leibfarth
Version 1.0 07/06/2006
Notes:
* Sept 2006 Issue of Stocks and Commodities Magazine
* Study requires version 8.0 or higher.
Formula Parameters: Defaults:
Period 20
Band Percent 2
***************************************/
function preMain() {
setPriceStudy(true);
setStudyTitle("Adaptive Price Zone Indicator ");
setCursorLabelName("Upper Band", 0);
setCursorLabelName("Lower Band", 1);
setDefaultBarThickness(2, 0);
setDefaultBarThickness(2, 1);
setDefaultBarStyle(PS_DOT, 0);
setDefaultBarStyle(PS_DOT, 1);
var fp1 = new FunctionParameter("nPeriods", FunctionParameter.NUMBER);
fp1.setName("Period");
fp1.setLowerLimit(1);
fp1.setDefault(20);
var fp2 = new FunctionParameter("nBandPct", FunctionParameter.NUMBER);
fp2.setName("Band Percent");
fp2.setLowerLimit(0);
fp2.setDefault(2);
}
var bVersion = null;
var bInit = false;
var xAPZ = null;
var xAPZ_Upper = null; // Upper Band
var xAPZ_Lower = null; // Lower Band
function main(nPeriods, nBandPct) {
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
if (bInit == false) {
xAPZ = efsInternal("calcAPZ", nPeriods, nBandPct);
bInit = true;
}
if (xAPZ_Upper == null) xAPZ_Upper = getSeries(xAPZ, 0); // Upper Band
if (xAPZ_Lower == null) var xAPZ_Lower = getSeries(xAPZ, 1); // Lower Band
var nAPZ_Upper = xAPZ_Upper.getValue(0);
var nAPZ_Lower = xAPZ_Lower.getValue(0);
if (nAPZ_Upper == null || nAPZ_Lower == null) return;
if (high(0) > nAPZ_Upper) {
drawShape(Shape.CIRCLE, AboveBar1, Color.blue, rawtime(0));
} else if (low(0) < nAPZ_Lower) {
drawShape(Shape.CIRCLE, BelowBar1, Color.blue, rawtime(0));
}
return new Array(nAPZ_Upper, nAPZ_Lower);
}
var xHL = null;
function calcAPZ(nPeriods, nBandPct) {
if (xHL == null) xHL = efsInternal("calcHL");
if (isNaN(xHL.getValue(0))) return;
//nPeriods = Math.round(Math.sqrt(nPeriods));
nPeriods = Math.ceil(Math.sqrt(nPeriods));
var Value1 = ema(nPeriods, ema(nPeriods), 0);
var Value2 = ema(nPeriods, ema(nPeriods, xHL), 0);
if (Value1 == null || Value2 == null) return;
var UpBand = nBandPct * Value2 + Value1;
var DnBand = Value1 - nBandPct * Value2;
if (UpBand == null || DnBand == null) return;
return new Array(UpBand, DnBand);
}
function calcHL() {
return high(0) - low(0);
}
function verify() {
var b = false;
if (getBuildNumber() < 779) {
drawTextAbsolute(5, 35, "This study requires version 8.0 or later.",
Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
null, 13, "error");
drawTextAbsolute(5, 20, "Click HERE to upgrade.@URL=http://www.esignal.com/download/default.asp",
Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
null, 13, "upgrade");
return b;
} else {
b = true;
}
return b;
}
APZ_Strategy.efs
/***************************************
Provided By : eSignal (c) Copyright 2006
Description: Trading With An Adaptive Price Zone
by Lee Leibfarth
Version 1.0 07/06/2006
Notes:
* Sept 2006 Issue of Stocks and Commodities Magazine
* Study requires version 8.0 or higher.
* Study is designed for Back Testing.
Formula Parameters: Defaults:
Period 20
Band Percent 2
ADX Period 14
ADX Smoothing 14
ADX Threshold 30
***************************************/
function preMain() {
setPriceStudy(true);
setStudyTitle("Adaptive Price Zone Strategy ");
setShowTitleParameters(false);
setCursorLabelName("Upper Band", 0);
setCursorLabelName("Lower Band", 1);
setCursorLabelName("ADX", 2);
setDefaultBarFgColor(Color.blue, 0);
setDefaultBarFgColor(Color.blue, 1);
setDefaultBarFgColor(Color.green, 2);
setDefaultBarThickness(2, 0);
setDefaultBarThickness(2, 1);
setDefaultBarStyle(PS_DOT, 0);
setDefaultBarStyle(PS_DOT, 1);
setDefaultFont("Ariel", 12);
var fp1 = new FunctionParameter("nPeriods", FunctionParameter.NUMBER);
fp1.setName("Period");
fp1.setLowerLimit(1);
fp1.setDefault(20);
var fp2 = new FunctionParameter("nBandPct", FunctionParameter.NUMBER);
fp2.setName("Band Percent");
fp2.setLowerLimit(0);
fp2.setDefault(2);
var fp3 = new FunctionParameter("nADXPeriods", FunctionParameter.NUMBER);
fp3.setName("ADX Period");
fp3.setLowerLimit(1);
fp3.setDefault(14);
var fp4 = new FunctionParameter("nADXSmoothing", FunctionParameter.NUMBER);
fp4.setName("ADX Smoothing");
fp4.setLowerLimit(1);
fp4.setDefault(14);
var fp5 = new FunctionParameter("nADXThreshold", FunctionParameter.NUMBER);
fp5.setName("ADX Threshold");
fp5.setLowerLimit(0);
fp5.setDefault(30);
}
var bVersion = null;
var bInit = false;
var bBackTest = true;
var vPosition = null;
var xAPZ = null;
var xAPZ_Upper = null; // Upper Band
var xAPZ_Lower = null; // Lower Band
function main(nPeriods, nBandPct, nADXPeriods, nADXSmoothing, nADXThreshold) {
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
if (bInit == false) {
xAPZ = efsInternal("calcAPZ", nPeriods, nBandPct);
bInit = true;
}
if (xAPZ_Upper == null) xAPZ_Upper = getSeries(xAPZ, 0); // Upper Band
if (xAPZ_Lower == null) var xAPZ_Lower = getSeries(xAPZ, 1); // Lower Band
var nAPZ_Upper = xAPZ_Upper.getValue(0);
var nAPZ_Lower = xAPZ_Lower.getValue(0);
var nAPZ_Upper_1 = xAPZ_Upper.getValue(-1);
var nAPZ_Lower_1 = xAPZ_Lower.getValue(-1);
var nADX_0 = adx(nADXPeriods, nADXSmoothing, 0);
var nADX_1 = adx(nADXPeriods, nADXSmoothing, -1);
if (nAPZ_Upper_1 == null || nAPZ_Lower_1 == null || nADX_1 == null) return;
if (getCurrentBarIndex() == 0) bBackTest = false;
if (vPosition != null && nADX_1 > nADXThreshold) { // Exit signal
if (vPosition == "long") {
drawText("Sell", AboveBar3, Color.red, Text.BOLD|Text.CENTER, "t"+rawtime(0));
drawShape(Shape.DOWNARROW, AboveBar2, Color.red, "s"+rawtime(0));
vPosition = null;
Alert.playSound("ding.wav");
if (bBackTest == true) {
Strategy.doSell("Sell", Strategy.MARKET, Strategy.THISBAR);
}
} else if (vPosition == "short") {
drawText("Cover", BelowBar3, Color.red, Text.BOLD|Text.CENTER, "t"+rawtime(0));
drawShape(Shape.UPARROW, BelowBar2, Color.red, "s"+rawtime(0));
vPosition = null;
Alert.playSound("ding.wav");
if (bBackTest == true) {
Strategy.doCover("Cover", Strategy.MARKET, Strategy.THISBAR);
}
}
} else if (nADX_1 <= nADXThreshold) { // Entry signal
if (vPosition != "short" && high(-1) >= nAPZ_Upper_1) { // Short signal
vPosition = "short";
drawText("Short", AboveBar3, Color.blue, Text.BOLD|Text.CENTER, "t"+rawtime(0));
drawShape(Shape.DOWNARROW, AboveBar2, Color.blue, "s"+rawtime(0));
Alert.playSound("pop.wav");
if (bBackTest == true) {
Strategy.doShort("Short", Strategy.MARKET, Strategy.THISBAR);
}
}
if (vPosition != "long" && low(-1) <= nAPZ_Lower_1) { // Long signal
vPosition = "long";
drawText("Long", BelowBar3, Color.blue, Text.BOLD|Text.CENTER, "t"+rawtime(0));
drawShape(Shape.UPARROW, BelowBar2, Color.blue, "s"+rawtime(0));
Alert.playSound("pop.wav");
if (bBackTest == true) {
Strategy.doLong("Long", Strategy.MARKET, Strategy.THISBAR);
}
}
}
return new Array(nAPZ_Upper, nAPZ_Lower, nADX_0.toFixed(6));
}
var xHL = null;
function calcAPZ(nPeriods, nBandPct) {
if (xHL == null) xHL = efsInternal("calcHL");
if (isNaN(xHL.getValue(0))) return;
//nPeriods = Math.round(Math.sqrt(nPeriods));
nPeriods = Math.ceil(Math.sqrt(nPeriods));
var Value1 = ema(nPeriods, ema(nPeriods), 0);
var Value2 = ema(nPeriods, ema(nPeriods, xHL), 0);
if (Value1 == null || Value2 == null) return;
var UpBand = nBandPct * Value2 + Value1;
var DnBand = Value1 - nBandPct * Value2;
if (UpBand == null || DnBand == null) return;
return new Array(UpBand, DnBand);
}
function calcHL() {
return high(0) - low(0);
}
function verify() {
var b = false;
if (getBuildNumber() < 779) {
drawTextAbsolute(5, 35, "This study requires version 8.0 or later.",
Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
null, 13, "error");
drawTextAbsolute(5, 20, "Click HERE to upgrade.@URL=http://www.esignal.com/download/default.asp",
Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
null, 13, "upgrade");
return b;
} else {
b = true;
}
return b;
}