btVolumeFlowIndicator.efs
File Name: btVolumeFlowIndicator.efs
Description:
Based on Volume Flow Indicator Performance by Markos Katsanos. This article appeared in the July 2004 issue of Stock & Commodities.
Formula Parameters:
- VFI Length: 26
- MA of VFI Length: 50
- MA of VFI Type: EMA [SMA, EMA]
-
Back Test #: 1 [1,2,3,4]
- 1 Indicator Level
- 2 Divergence
- 3 Break from base
- 4 Indicator Direction - BT 2 Linear Regression Length: 120
- BT 3 Linear Regression Length: 30
- BT 4 SMA Length: 11
- BT 4 LMA Length: 25
- Initial Account Size: 10000
Notes:
The related article is copyrighted material. If you are not a subscriber of Stocks & Commodities, please visit www.traders.com.
The btVolumeFlowIndicator.efs is written for back testing with the Strategy Analyzer. The formula includes all four tests for the VFI as described in the article. When running the Strategy Analyzer, the user needs to configure the Formula Parameters in the Back Testing window (Tools-->Back Testing) before running the test. The formula also includes logic for taking short positions. However, if the user wants to exclude short trades they can uncheck the option in the Back Testing window, Allow Shorts, to exclude short trades for the test. On the chart, the bars where long positions were triggered are designated with a dark green background and the short positions are red. For those tests that have exit conditions, the bar where the exit signal is triggered will be have a gray background.
Download File:
btVolumeFlowIndicator.efs
EFS Code:
/*****************************************************************
Provided By : eSignal. (c) Copyright 2004
Study: Back Testing Volume Flow Indicator by Markos Katsanos
Version: 1.0
5/4/2004
Formula Parameters: Default:
VFI Length 26
MA of VFI Length 50
MA of VFI Type EMA
SMA
EMA
Back Test # 1
1 Indicator Level
2 Divergence
3 Break from base
4 Indicator Direction
BT 2 Linear Regression Length 120
BT 3 Linear Regression Length 30
BT 4 SMA Length 11
BT 4 LMA Length 25
Initial Account Size 10000
*****************************************************************/
function preMain() {
setStudyTitle("Back Test Volume Flow Indicator ");
setShowTitleParameters(false);
setCursorLabelName("VFI", 0);
setCursorLabelName("VFI MA", 1);
setDefaultBarFgColor(Color.green, 0);
setDefaultBarFgColor(Color.blue, 1);
setDefaultBarThickness(2, 0);
setDefaultBarThickness(2, 1);
addBand(0, PS_SOLID, 2, Color.black, "zero");
var fp0 = new FunctionParameter("nVFIlength", FunctionParameter.NUMBER);
fp0.setName("VFI Length");
fp0.setLowerLimit(1);
fp0.setDefault(26);
var fp1 = new FunctionParameter("nVFImaLen", FunctionParameter.NUMBER);
fp1.setName("MA of VFI Length");
fp1.setLowerLimit(1);
fp1.setDefault(50);
var fp1a = new FunctionParameter("sVFImaType", FunctionParameter.STRING);
fp1a.setName("MA of VFI Type");
fp1a.addOption("SMA");
fp1a.addOption("EMA");
fp1a.setDefault("EMA");
var fp2 = new FunctionParameter("nTest", FunctionParameter.NUMBER);
fp2.setName("Back Test #: ");
fp2.setLowerLimit(1);
fp2.setUpperLimit(4);
fp2.addOption(1); // Indicator Level
fp2.addOption(2); // Divergence
fp2.addOption(3); // Break from base
fp2.addOption(4); // Indicator Direction
fp2.setDefault(1);
var fp3 = new FunctionParameter("nLRlength", FunctionParameter.NUMBER);
fp3.setName("BT 2 Linear Regression Length");
fp3.setLowerLimit(1);
fp3.setDefault(120);
var fp4 = new FunctionParameter("nLRlength3", FunctionParameter.NUMBER);
fp4.setName("BT 3 Linear Regression Length");
fp4.setLowerLimit(1);
fp4.setDefault(30);
var fp5 = new FunctionParameter("nSMAlength", FunctionParameter.NUMBER);
fp5.setName("BT 4 SMA Length");
fp5.setLowerLimit(1);
fp5.setDefault(11);
var fp6 = new FunctionParameter("nLMAlength", FunctionParameter.NUMBER);
fp6.setName("BT 4 LMA Length");
fp6.setLowerLimit(1);
fp6.setDefault(25);
var fp7 = new FunctionParameter("nAcctStart", FunctionParameter.NUMBER);
fp7.setName("Initial Account Size");
fp7.setLowerLimit(1);
fp7.setDefault(10000);
}
var nTyp = null; // Current typical price
var nTyp1 = null; // Previous typical price
var nTypChg = 0; // Current typical price change
var vVol = null; // Current volume
var nVolSum = 0; // Cumulative volume sum
var nVolAdj = 0; // Current adjusted volume
var nVolMA = null; // Current Vol MA
var nVolMA1 = null; // Previous Vol MA
var aTypPrice = null; // Array of changes in typical price
var aVolume = null; // Volume array
var VFI = null; // Current VFI
var aVFI = null; // Array of VFI values for EMA calc
var aEMA = null; // Array of VFI 3EMA values
var nTestNum = 1; // Back Test Number
var bEdit = false;
// globals for EMA
var vEMA = new Array(5);
var vEMA1 = new Array(5);
var dPercent = new Array(0, 0, 0, 0, 0);
var bPrimed = new Array(false, false, false, false, false);
//[0] = VFI, [1] = (LRSI-LRS), [2] = ShortMA VFI, [3] = LongMA VFI, [4] = EMA of VFI
// globals for back testing
var nAccount = 10000;
var nEntry = null;
var bLong = false;
var bShort = false;
var bExit = false;
var aDivPrice = null;
var aDivVFI = null;
var aLRS_LRS1 = new Array(3);
var vDivergence = null;
var vDivergence1 = null;
var aVFItest3 = null;
var aLMA = null;
var aSMA = null;
var aClose = null;
function main(nVFIlength, nVFImaLen, sVFImaType, nTest, nLRlength, nLRlength3,
nSMAlength, nLMAlength, nAcctStart) {
var nState = getBarState();
var vInter = 0;
var nCutoff = 0;
var vMAofEMA = null;
var dSum = 0;
var i = 0;
if (bEdit == false) {
if (aTypPrice == null) aTypPrice = new Array(nVFIlength);
if (aVolume == null) aVolume = new Array(nVFIlength);
if (aEMA == null) aEMA = new Array(nVFImaLen);
nTestNum = nTest;
var sTestText = "";
if (aVFI == null) {
if (nTestNum == 1) {
aVFI = new Array(7);
sTestText = "Test 1: Indicator Level";
}
if (nTestNum > 1) {
aVFI = new Array(3);
if (nTestNum == 2) {
sTestText = "Test 2: Divergence";
}
}
if (nTestNum == 3) {
addBand(-2, PS_SOLID, 2, Color.black, "zero");
aVFItest3 = new Array(20);
sTestText = "Test 3: Break From Base";
}
if (nTestNum == 4) {
aSMA = new Array(nSMAlength);
aLMA = new Array(nLMAlength);
sTestText = "Test 4: Indicator Direction";
}
}
if (nTestNum == 4) {
setCursorLabelName("SMA VFI", 0);
setCursorLabelName("LMA VFI", 1);
setDefaultBarFgColor(Color.navy, 0);
}
drawTextAbsolute(1, 15, sTestText, Color.navy, null,
Text.RELATIVETOTOP|Text.RELATIVETOLEFT|Text.LEFT|Text.BOLD,
null, 12, "TestNum");
nAccount = nAcctStart;
bEdit = true;
}
if (nState == BARSTATE_NEWBAR) {
if (nTyp != null) {
aTypPrice.pop();
aTypPrice.unshift(nTypChg);
nTyp1 = nTyp;
}
if (nVol != null) {
aVolume.pop();
aVolume.unshift(nVol);
}
nVolMA1 = nVolMA;
nVolSum += nVolAdj;
if (VFI != null) {
aVFI.pop();
aVFI.unshift(VFI);
}
if (vEMA[0] != null) {
aEMA.pop();
aEMA.unshift(vEMA[0]);
}
}
nVol = volume();
if (nVol == null) return;
aVolume[0] = nVol;
if (aVolume[nVFIlength-1] != null) {
for (i = 0; i < nVFIlength; ++i) {
dSum += aVolume[i];
}
nVolMA = dSum/nVFIlength;
}
nTyp = (high() + low() + close()) / 3;
if (nTyp1 != null) {
nTypChg = (Math.log(nTyp) - Math.log(nTyp1));
aTypPrice[0] = nTypChg;
}
if (nVolMA == null || nVolMA1 == null) return;
if (aTypPrice[nVFIlength-1] != null) {
vInter = StDev(nVFIlength);
nCutoff = (.2 * vInter * close());
} else {
return;
}
nVolAdj = nVol;
//Minimal Change Cutoff
if ((nTyp - nTyp1) >= 0 && (nTyp - nTyp1) < nCutoff) nVolAdj = 0;
if ((nTyp - nTyp1) < 0 && (nTyp - nTyp1) > -nCutoff) nVolAdj = 0;
// Volume curtailment
if (nVolAdj > (2.5*nVolMA1)) nVolAdj = (2.5*nVolMA1);
if (nTyp - nTyp1 < 0) nVolAdj *= -1;
VFI = ((nVolSum + nVolAdj) / nVolMA1);
aVFI[0] = VFI;
if (aVFI[(aVFI.length)-1] != null) {
vEMA[0] = EMA(0, VFI, aVFI.length, aVFI);
aEMA[0] = vEMA[0];
}
if (aEMA[nVFImaLen-1] != null) {
if (sVFImaType == "SMA") {
dSum = 0;
i = 0;
for(i = 0; i < nVFImaLen; ++i) {
dSum += aEMA[i];
}
vMAofEMA = dSum/nVFImaLen;
} else if (sVFImaType == "EMA") {
vEMA[4] = EMA(4, aEMA[0], aEMA.length, aEMA);
vMAofEMA = vEMA[4];
}
}
if (vEMA[0] != null && nTestNum != 4) {
var nLine = 0;
if (nTestNum == 3) nLine = -2
if (vEMA[0] > nLine) {
setBarFgColor(Color.green, 0);
} else {
setBarFgColor(Color.red, 0);
}
}
// Back Testing Section
if (getCurrentBarIndex() < 0 && vEMA != null && vEMA1 != null) { // processing historical data for back testing
// draw entry signals
if (bLong == true) {
setBarBgColor(Color.darkgreen);
//drawShapeRelative(0, vEMA1[0], Shape.UPARROW, null,
// Color.khaki, Shape.TOP|Shape.ONTOP);
}
if (bShort == true) {
setBarBgColor(Color.maroon);
//drawShapeRelative(0, vEMA1[0], Shape.DOWNARROW, null,
// Color.khaki, Shape.BOTTOM|Shape.ONTOP);
}
if (bExit == true) {
setBarBgColor(Color.lightgrey);
//drawShapeRelative(0, vEMA1[0], Shape.DIAMOND, null,
// Color.khaki, Shape.BOTTOM|Shape.ONTOP);
}
bLong = false;
bShort = false;
bExit = false;
var nLotSize = Math.floor(nAccount/open(1));
// Test 1 Indicator Level
if (nTestNum == 1) {
if (vEMA[0] > 0 && vEMA1[0] <= 0 && Strategy.isLong() == false) { // long
if (Strategy.isShort() == true) {
nAccount += ( (vEntry-open(1)) * (-Strategy.getPositionSize()) );
Strategy.doCover("Close Short", Strategy.MARKET, Strategy.NEXTBAR, Strategy.getPositionSize());
nLotSize = Math.floor(nAccount/open(1))
}
bLong = true;
vEntry = open(1);
Strategy.doLong("Crossing Up", Strategy.MARKET, Strategy.NEXTBAR, nLotSize);
} else if (vEMA[0] < 0 && vEMA1[0] >= 0 && Strategy.isShort() == false) { // short
if (Strategy.isLong() == true) {
nAccount += ( (open(1)-vEntry) * (Strategy.getPositionSize()) );
Strategy.doSell("Close Long", Strategy.MARKET, Strategy.NEXTBAR, Strategy.getPositionSize());
nLotSize = Math.floor(nAccount/open(1))
}
bShort = true;
vEntry = open(1);
Strategy.doShort("Crossing Down", Strategy.MARKET, Strategy.NEXTBAR, nLotSize);
}
}
// Test 2 Divergence
if (nTestNum == 2) {
if (aDivPrice == null) aDivPrice = new Array(nLRlength);
if (aDivVFI == null) aDivVFI = new Array(nLRlength);
if (vDivergence != null) vDivergence1 = vDivergence;
// VFI1 conversion = VFI + Math.abs(Lowest(VFI)) + 10;
var VFI1 = (VFI + Math.abs(Lowest()) + 10).toFixed(2)*1;
var LRS, LRS1;
aDivPrice.pop();
aDivPrice.unshift(close());
aDivVFI.pop();
aDivVFI.unshift(VFI1);
if (aDivPrice[nLRlength-1] != null && aDivVFI[nLRlength-1] != null) {
LRS = (LinearRegressionSlope(aDivPrice) / aDivPrice[nLRlength-1]);
LRS1 = (LinearRegressionSlope(aDivVFI) / aDivVFI[nLRlength-1]);
aLRS_LRS1.pop();
aLRS_LRS1.unshift((LRS1 - LRS));
if (aLRS_LRS1[2] != null) {
vEMA[1] = EMA(1, aLRS_LRS1[0], 3, aLRS_LRS1);
vDivergence = vEMA[1] * 100;
if (vDivergence != null) {
if (Strategy.isInTrade() == false) {
if (vDivergence1 > 100 && vDivergence < vDivergence1 && LRS1 > 0) { // Long entry
bLong = true;
vEntry = open(1);
Strategy.doLong("Long Divergence", Strategy.MARKET, Strategy.NEXTBAR, nLotSize);
} else if (vDivergence1 < -100 && vDivergence > vDivergence1 && LRS1 < 0) { // Short entry
bShort = true;
vEntry = open(1);
Strategy.doShort("Short Divergence", Strategy.MARKET, Strategy.NEXTBAR, nLotSize);
}
} else if (Strategy.isLong()) { // exit long
if (vDivergence < 0 && LRS1 < 0) {
nAccount += ( (open(1)-vEntry) * (Strategy.getPositionSize()) );
bExit = true;
Strategy.doSell("Exit Long", Strategy.MARKET, Strategy.NEXTBAR, Strategy.getPositionSize());
}
} else if (Strategy.isShort()) { // exit short
if (vDivergence > 0 && LRS1 > 0) {
nAccount += ( (vEntry-open(1)) * (-Strategy.getPositionSize()) );
bExit = true;
Strategy.doCover("Exit Short", Strategy.MARKET, Strategy.NEXTBAR, Strategy.getPositionSize());
}
}
}
}
}
}
// Test 3
if (nTestNum == 3) {
if (aClose == null) aClose = new Array(nLRlength3);
var bC1Up = false; // Condition 1
var bC1Dn = false;
var bC2Up = false; // Condition 2
var bC2Dn = false;
var bC3Up = false; // Condition 3
var bC3Dn = false;
var bC4Up = false; // Condition 4
var bC4Dn = false;
// Condition 1
if (vEMA[0] > -2) {
bC1Up = true;
} else if (vEMA[0] < -2) {
bC1Dn = true;
}
// Condition 2
aVFItest3.pop();
aVFItest3.unshift(vEMA[0]);
var nLRangle = null;
if (aVFItest3[19] != null) {
nLRangle = LinearRegressionSlope(aVFItest3)/100;
nLRangle = (Math.atan(nLRangle) / (Math.PI/180));
}
if (nLRangle != null) {
if (nLRangle > 0) bC2Up = true;
if (nLRangle < 0) bC2Dn = true;
}
// Condition 3
if (vEMA[0] > vMAofEMA) bC3Up = true;
if (vEMA[0] < vMAofEMA) bC3Dn = true;
// Condition 4
var LRS = null;
aClose.pop();
aClose.unshift(close());
if (aClose[nLRlength3-1] != null) {
LRS = LinearRegressionSlope(aClose);
if (LRS < (0.006*aClose[nLRlength3-1]) && LRS > 0) bC4Up = true;
if (LRS > (-0.006*aClose[nLRlength3-1]) && LRS < 0) bC4Dn = true;
}
if (Strategy.isInTrade() == false) {
if (bC1Up == true && bC2Up == true && bC3Up == true && bC4Up == true) { // Long entry
bLong = true;
vEntry = open(1);
Strategy.doLong("Long Break", Strategy.MARKET, Strategy.NEXTBAR, nLotSize);
} else if (bC1Dn == true && bC2Dn == true && bC3Dn == true && bC4Up == true) { // Short entry
bShort = true;
vEntry = open(1);
Strategy.doShort("Short Break", Strategy.MARKET, Strategy.NEXTBAR, nLotSize);
}
} else if (Strategy.isLong()) { // exit long
if (nLRangle <= -40 || vEMA[0] < -2) {
nAccount += ( (open(1)-vEntry) * (Strategy.getPositionSize()) );
bExit = true;
Strategy.doSell("Exit Long", Strategy.MARKET, Strategy.NEXTBAR, Strategy.getPositionSize());
}
} else if (Strategy.isShort()) { // exit short
if (nLRangle >= 40 || vEMA[0] > -2) {
nAccount += ( (vEntry-open(1)) * (-Strategy.getPositionSize()) );
bExit = true;
Strategy.doCover("Exit Short", Strategy.MARKET, Strategy.NEXTBAR, Strategy.getPositionSize());
}
}
}
// Test 4
if (nTestNum == 4) {
aSMA.pop();
aSMA.unshift(vEMA[0]);
aLMA.pop();
aLMA.unshift(vEMA[0]);
if (aSMA[nSMAlength-1] != null) {
vEMA[2] = EMA(2, vEMA[0], nSMAlength, aSMA);
}
if (aLMA[nLMAlength-1] != null) {
vEMA[3] = EMA(3, vEMA[0], nLMAlength, aLMA);
}
if (vEMA[2] > vEMA[3] && vEMA1[2] < vEMA1[3] && Strategy.isLong() == false) { // long
if (Strategy.isShort() == true) {
nAccount += ( (vEntry-open(1)) * (-Strategy.getPositionSize()) );
Strategy.doCover("Close Short", Strategy.MARKET, Strategy.NEXTBAR, Strategy.getPositionSize());
nLotSize = Math.floor(nAccount/open(1))
}
bLong = true;
vEntry = open(1);
Strategy.doLong("Crossing Up", Strategy.MARKET, Strategy.NEXTBAR, nLotSize);
} else if (vEMA[2] < vEMA[3] && vEMA1[2] > vEMA1[3] && Strategy.isShort() == false) { // short
if (Strategy.isLong() == true) {
nAccount += ( (open(1)-vEntry) * (Strategy.getPositionSize()) );
Strategy.doSell("Close Long", Strategy.MARKET, Strategy.NEXTBAR, Strategy.getPositionSize());
nLotSize = Math.floor(nAccount/open(1))
}
bShort = true;
vEntry = open(1);
Strategy.doShort("Crossing Down", Strategy.MARKET, Strategy.NEXTBAR, nLotSize);
}
}
}
// End of Back Testing
if (nTestNum != 4) {
return new Array(vEMA[0], vMAofEMA);
} else {
return new Array(vEMA[2], vEMA[3]);
}
}
/*********************
**********************
****** Functions *****
**********************
**********************/
function StDev(nLength) {
var sumX = 0;
var sumX2 = 0;
for (i = 0; i < nLength; ++i) {
sumX += aTypPrice[i];
sumX2 += (aTypPrice[i] * aTypPrice[i])
}
var meanX = (sumX/nLength);
var stdev = Math.sqrt((sumX2/nLength) - (meanX*meanX));
return stdev;
}
function EMA(nNum, nItem, nLength, aArray) {
var nBarState = getBarState();
var dSum = 0.0;
if(nBarState == BARSTATE_ALLBARS || bPrimed[nNum] == false) {
dPercent[nNum] = (2.0 / (nLength + 1.0));
bPrimed[nNum] = false;
}
if (nBarState == BARSTATE_NEWBAR) {
vEMA1[nNum] = vEMA[nNum];
}
if(bPrimed[nNum] == false) {
for(i = 0; i < nLength; i++) {
dSum += aArray[i];
}
bPrimed[nNum] = true;
return (dSum / nLength);
} else {
return (((nItem - vEMA1[nNum]) * dPercent[nNum]) + vEMA1[nNum]);
}
}
function Lowest() {
var vLowVFI = VFI;
for (var i = 0; i < aVFI.length; ++i) {
if (aVFI[i] != null) {
vLowVFI = Math.min(vLowVFI, aVFI[i]);
}
}
return vLowVFI;
}
function LinearRegressionSlope(aArray, nLength) {
var nIndex = getCurrentBarIndex();
var i = 0;
if (nLength == null) nLength = aArray.length;
// y = Ax + B;
// A = SUM( (x-xAVG)*(y-yAVG) ) / SUM( (x-xAVG)^2 )
// A = slope
// B = yAVG - (A*xAVG);
if (aArray[nLength-1] != null) {
var xSum = 0;
var ySum = 0;
i = 0;
for (i = 0; i < nLength; ++i) {
xSum += i;
ySum += aArray[i];
}
var xAvg = xSum/nLength;
var yAvg = ySum/nLength;
var aSum1 = 0;
var aSum2 = 0;
i = 0;
for (i = 0; i < nLength; ++i) {
aSum1 += (i-xAvg) * (aArray[i]-yAvg);
aSum2 += (i-xAvg)*(i-xAvg);
}
var A = (aSum1 / aSum2);
var B = yAvg - (A*xAvg);
}
var vSlope = (-A.toFixed(8)*100);
return vSlope;
}