/***************************************Provided By : eSignal (c) Copyright 2006Description: Trading Trends with Bollinger Bands Z - by Jacinta ChanVersion 1.0 01/05/2006Notes:* March 2006 Issue of Stocks and Commodities Magazine* This study is configured for Back Testing and real- time usage.* This study uses the z-score indicator and plots as a price study.* Study requires version 7.9.1 or higher.Formula Parameters: Defaults:Price Source Close [Open, High, Low, Close, HL/2, HLC/3, OHLC/4]Number of Periods 20Number of Standard Deviations 1***************************************/function preMain() { setPriceStudy(true); setStudyTitle("Bollinger Band Z"); setShowTitleParameters(false); setCursorLabelName("Upper BB", 0); setCursorLabelName("Lower BB", 1); setCursorLabelName("BBZ", 2); setDefaultBarThickness(2, 0); setDefaultBarThickness(2, 1); setComputeOnClose(); setColorPriceBars(true); setDefaultPriceBarColor(Color.grey); var fp1 = new FunctionParameter("sPrice", FunctionParameter.STRING); fp1.setName("Price Source"); fp1.addOption("Open"); fp1.addOption("High"); fp1.addOption("Low"); fp1.addOption("Close"); fp1.addOption("HL/2"); fp1.addOption("HLC/3"); fp1.addOption("OHLC/4"); fp1.setDefault("Close"); var fp2 = new FunctionParameter("nLength", FunctionParameter.NUMBER); fp2.setName("Number of Periods"); fp2.setLowerLimit(1); fp2.setDefault(20); var fp3 = new FunctionParameter("nStdev", FunctionParameter.NUMBER); fp3.setName("Number of Standard Deviations"); fp3.setLowerLimit(0); fp3.setDefault(1);}var bVersion = null;var bInit = false;var xUprBB = null; // Upper Bollinger Band Seriesvar xLwrBB = null; // Lower Bollinger Band Seriesvar xStdev = null; // Standard Deviation Seriesvar xPrice = null; // Price Source Seriesvar xMA = null; // Moving Average Seriesvar xZ = null; // Z-score Seriesvar nCntr = 0; // bar counter for shape tagIDs in doSignals()var cLong = Color.green; // price bar color for long positionvar cShort = Color.red; // price bar color for short positionvar cFlat = Color.black; // price bar color for no positionvar vColor = Color.grey; // current bar colorfunction main(sPrice, nLength, nStdev) { if (bVersion == null) bVersion = verify(); if (bVersion == false) return; if (bInit == false) { xMA = sma(nLength); switch (sPrice) { case "Open" : xPrice = open(); break; case "High" : xPrice = high(); break; case "Low" : xPrice = low(); break; case "Close" : xPrice = close(); break; case "HL/2" : xPrice = hl2(); break; case "HLC/3" : xPrice = hlc3(); break; case "OHLC/4" : xPrice = ohlc4(); break; default: xPrice = close(); } xUprBB = upperBB(nLength, nStdev, xPrice); xLwrBB = lowerBB(nLength, nStdev, xPrice); xStdev = efsInternal("Stdev", nLength, xPrice); xZ = efsInternal("calcZ", xPrice, xMA, xStdev, nStdev) bInit = true; } var nState = getBarState(); var Z = xZ.getValue(0); var Z_1 = xZ.getValue(-1); if (Z_1 == null) return; if (nState == BARSTATE_NEWBAR) { nCntr++; bExit = false; } doSignals(Z, Z_1); setPriceBarColor(vColor); if (getCurrentBarIndex() < 0) doBackTest(Z, Z_1); return new Array(xUprBB.getValue(0), xLwrBB.getValue(0), Z.toFixed(2));}/***** Support Functions *****/var bExit = false; // Flags an exit trade to prevent re-entry on // the same bar.function doBackTest(z, z_1) { // long exit if (Strategy.isLong()) { if (z_1 >= 1 && z < 1) { Strategy.doSell("Long Stop", Strategy.CLOSE, Strategy.THISBAR); bExit = true; } } // short exit if (Strategy.isShort()) { if (z_1 <= -1 && z > -1) { Strategy.doCover("Short Stop", Strategy.CLOSE, Strategy.THISBAR); bExit = true; } } // long entry if (!Strategy.isLong() && bExit == false) { if (z_1 <= 1 && z > 1) Strategy.doLong("Long Entry", Strategy.CLOSE, Strategy.THISBAR); } // short entry if (!Strategy.isShort() && bExit == false) { if (z_1 >= -1 && z < -1) Strategy.doShort("Short Entry", Strategy.CLOSE, Strategy.THISBAR); } return;}function doSignals(z, z_1) { // long entry if (z_1 <= 1 && z > 1) { drawShape(Shape.UPARROW, BelowBar1, Color.green, "upEntry"+nCntr); Alert.playSound("ding.wav"); vColor = cLong; } // short entry if (z_1 >= -1 && z < -1) { drawShape(Shape.DOWNARROW, AboveBar1, Color.green, "dnEntry"+nCntr); Alert.playSound("ding.wav"); vColor = cShort; } // long exit if (z_1 >= 1 && z < 1) { drawShape(Shape.DIAMOND, AboveBar1, Color.maroon, "upExit"+nCntr); Alert.playSound("train.wav"); vColor = cFlat; } // short exit if (z_1 <= -1 && z > -1) { drawShape(Shape.DIAMOND, BelowBar1, Color.maroon, "dnExit"+nCntr); Alert.playSound("train.wav"); vColor = cFlat; } return;}function Stdev(n, source) { if (source.getValue(-n) == null) return null; var sumX = 0; var sumX2 = 0; for (i = 0; i < n; ++i) { sumX += source.getValue(-i); sumX2 += (source.getValue(-i) * source.getValue(-i)) } var meanX = (sumX/n); var stdev = Math.sqrt((sumX2/n) - (meanX*meanX)); return stdev;}function calcZ(c, m, s, n) { if (c.getValue(0) == null || m.getValue(0) == null || s.getValue(0) == null) return null; var z = (c.getValue(0) - m.getValue(0)) / (s.getValue(0) * n); return z;}function verify() { var b = false; if (getBuildNumber() < 730) { drawTextAbsolute(5, 35, "This study requires version 7.9.1 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;}/***************************************Provided By : eSignal (c) Copyright 2006Description: Trading Trends with Bollinger Bands Z - by Jacinta ChanVersion 1.0 01/05/2006Notes:* March 2006 Issue of Stocks and Commodities Magazine* This study is configured for Back Testing and real- time usage.* This study uses the z-score indicator and plots as a non-price study.* Study requires version 7.9.1 or higher.Formula Parameters: Defaults:Price Source Close [Open, High, Low, Close, HL/2, HLC/3, OHLC/4]Number of Periods 20Number of Standard Deviations 1***************************************/function preMain() { setStudyTitle("BBZ Oscillator"); setShowTitleParameters(false); setCursorLabelName("BBZ", 0); setDefaultBarThickness(2, 0); setComputeOnClose(); setColorPriceBars(true); setDefaultPriceBarColor(Color.grey); setPlotType(PLOTTYPE_HISTOGRAM, 0); addBand(0, PS_SOLID, 1, Color.black, "0"); addBand(1, PS_SOLID, 2, Color.red, "1"); addBand(-1, PS_SOLID, 2, Color.red, "-1"); var fp1 = new FunctionParameter("sPrice", FunctionParameter.STRING); fp1.setName("Price Source"); fp1.addOption("Open"); fp1.addOption("High"); fp1.addOption("Low"); fp1.addOption("Close"); fp1.addOption("HL/2"); fp1.addOption("HLC/3"); fp1.addOption("OHLC/4"); fp1.setDefault("Close"); var fp2 = new FunctionParameter("nLength", FunctionParameter.NUMBER); fp2.setName("Number of Periods"); fp2.setLowerLimit(1); fp2.setDefault(20); var fp3 = new FunctionParameter("nStdev", FunctionParameter.NUMBER); fp3.setName("Number of Standard Deviations"); fp3.setLowerLimit(0); fp3.setDefault(1);}var bVersion = null;var bInit = false;var xStdev = null; // Standard Deviation Seriesvar xPrice = null; // Price Source Seriesvar xMA = null; // Moving Average Seriesvar xZ = null; // Z-score Seriesvar nCntr = 0; // bar counter for shape tagIDs in doSignals()var cLong = Color.green; // price bar color for long positionvar cShort = Color.red; // price bar color for short positionvar cFlat = Color.black; // price bar color for no positionvar vColor = Color.grey; // current bar colorfunction main(sPrice, nLength, nStdev) { if (bVersion == null) bVersion = verify(); if (bVersion == false) return; if (bInit == false) { xMA = sma(nLength); switch (sPrice) { case "Open" : xPrice = open(); break; case "High" : xPrice = high(); break; case "Low" : xPrice = low(); break; case "Close" : xPrice = close(); break; case "HL/2" : xPrice = hl2(); break; case "HLC/3" : xPrice = hlc3(); break; case "OHLC/4" : xPrice = ohlc4(); break; default: xPrice = close(); } xStdev = efsInternal("Stdev", nLength, xPrice); xZ = efsInternal("calcZ", xPrice, xMA, xStdev, nStdev) bInit = true; } var nState = getBarState(); var Z = xZ.getValue(0); var Z_1 = xZ.getValue(-1); if (Z_1 == null) return; if (nState == BARSTATE_NEWBAR) { nCntr++; bExit = false; } doSignals(Z, Z_1); setPriceBarColor(vColor); setBarFgColor(vColor); if (getCurrentBarIndex() < 0) doBackTest(Z, Z_1); return Z;}/***** Support Functions *****/var bExit = false; // Flags an exit trade to prevent re-entry on // the same bar.function doBackTest(z, z_1) { // long exit if (Strategy.isLong()) { if (z_1 >= 1 && z < 1) { Strategy.doSell("Long Stop", Strategy.CLOSE, Strategy.THISBAR); bExit = true; } } // short exit if (Strategy.isShort()) { if (z_1 <= -1 && z > -1) { Strategy.doCover("Short Stop", Strategy.CLOSE, Strategy.THISBAR); bExit = true; } } // long entry if (!Strategy.isLong() && bExit == false) { if (z_1 <= 1 && z > 1) Strategy.doLong("Long Entry", Strategy.CLOSE, Strategy.THISBAR); } // short entry if (!Strategy.isShort() && bExit == false) { if (z_1 >= -1 && z < -1) Strategy.doShort("Short Entry", Strategy.CLOSE, Strategy.THISBAR); } return;}function doSignals(z, z_1) { // long entry if (z_1 <= 1 && z > 1) { drawShape(Shape.UPARROW, TopRow2, Color.green, "upEntry"+nCntr); Alert.playSound("ding.wav"); vColor = cLong; } // short entry if (z_1 >= -1 && z < -1) { drawShape(Shape.DOWNARROW, BottomRow2, Color.green, "dnEntry"+nCntr); Alert.playSound("ding.wav"); vColor = cShort; } // long exit if (z_1 >= 1 && z < 1) { drawShapeRelative(0, 1, Shape.DIAMOND, null, Color.maroon, null, "upExit"+nCntr); Alert.playSound("train.wav"); vColor = cFlat; } // short exit if (z_1 <= -1 && z > -1) { drawShapeRelative(0, -1, Shape.DIAMOND, null, Color.maroon, null, "dnExit"+nCntr); Alert.playSound("train.wav"); vColor = cFlat; } return;}function Stdev(n, source) { if (source.getValue(-n) == null) return null; var sumX = 0; var sumX2 = 0; for (i = 0; i < n; ++i) { sumX += source.getValue(-i); sumX2 += (source.getValue(-i) * source.getValue(-i)) } var meanX = (sumX/n); var stdev = Math.sqrt((sumX2/n) - (meanX*meanX)); return stdev;}function calcZ(c, m, s, n) { if (c.getValue(0) == null || m.getValue(0) == null || s.getValue(0) == null) return null; var z = (c.getValue(0) - m.getValue(0)) / (s.getValue(0) * n); return z;}function verify() { var b = false; if (getBuildNumber() < 730) { drawTextAbsolute(5, 35, "This study requires version 7.9.1 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;} |
