/***************************************Provided By : eSignal (c) Copyright 2006Description: Using The TICK To Identify The Intraday Trend by David BeanVersion 2.0 05/17/2006Version 1.0 Notes:* May 2006 Issue of Active Trader Magazine* Study requires version 7.9.1 or higher.* Study must be used on a 15 minute or lower interval only.* Study is configured for futures contracts only.* If used in any time zone other than US Eastern Standard time, the Start Time and End Time parameters need to be modified to local time.* Study parameters are set for Emini S&P futures contract (ES #F=2) and Eastern Standard time.* Study is compatible for real time use and Back Testing with the Strategy Analyzer.* Study requires a time template that includes the bars based on the specified Start Time and End Time parameters. Version 2.0 Notes:* Logic corrected for real time processing on intervals less than 15 min for stop and limit entries.* Display enhancements to show the 830 (15 min interval) $Tick high and low as well as a blue line showing the entry price level when a trade is taken.Formula Parameters: Defaults:Local Start Time of Entry Bar 945R Multiplier 5Contract's Point Value 50Local End Time of Trading Session 1615***************************************/function preMain() { setPriceStudy(true); setStudyTitle("Bean TICK Strategy "); setCursorLabelName("Position", 0); setCursorLabelName("Stop", 1); setDefaultBarThickness(1, 0); setDefaultBarThickness(2, 1); setDefaultBarFgColor(Color.grey, 0); setDefaultBarFgColor(Color.red, 1); setPlotType(PLOTTYPE_DOT, 0); setPlotType(PLOTTYPE_FLATLINES, 1); setColorPriceBars(true); setDefaultPriceBarColor(Color.grey); setShowTitleParameters(false); setDefaultFont("Arial", 12 , Color.blue, Text.BOLD|Text.FRAME|Text.RIGHT) var fp1 = new FunctionParameter("nStart", FunctionParameter.NUMBER); fp1.setName("Local Start Time of Entry Bar"); fp1.setDefault(945); var fp2 = new FunctionParameter("nR", FunctionParameter.NUMBER); fp2.setName("R Multiplier"); fp2.setLowerLimit(1); fp2.setDefault(5); var fp3 = new FunctionParameter("nPoints", FunctionParameter.NUMBER); fp3.setName("Contract's Point Value"); fp3.setLowerLimit(0); fp3.setDefault(50); var fp5 = new FunctionParameter("nEnd", FunctionParameter.NUMBER); fp5.setName("Local End Time of Trading Session"); fp5.setDefault(1615);}var bVersion = null;var bInit = false;var xAvgRange = null;var sPosition = "Flat";var nStop = null;var bBT = true; // allow back testingvar bNewDay = false;var bEntryBar = false;function main(nStart, nR, nPoints, nEnd) { if (bVersion == null) bVersion = verify(); if (bVersion == false) return; if (getInterval() > 15) { drawTextAbsolute(5, 35, "This study requires a chart interval of 15 minutes or lower.", Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT, null, 13, "error"); return; } var nState = getBarState(); var nTime = (hour(0)*100) + minute(0); if (bInit == false) { xAvgRange = efsInternal("calcAR", inv(15)); bInit = true; } if (day(0) != day(-1)) { bNewDay = true; } if (bNewDay == true) { if (nTime >= nStart) { bEntryBar = true; bNewDay = false; } } if (isLastBarOnChart() == true) bBT = false; // Exit if (sPosition != "Flat") { var nBarTime = (hour(0)*100) + minute(0); var nO = open(0); var nH = high(0); var nL = low(0); var nStopLimit = nStop; if (sPosition == "Long" && nL <= nStop) { // Exit 1 if (nO < nStop) nStopLimit = nO; if (bBT == true) Strategy.doSell("Long Stop", Strategy.STOP, Strategy.THISBAR, Strategy.ALL, nStopLimit); doPriceBarColors(); sPosition = "Flat"; Alert.playSound("train.wav"); drawShape(Shape.DIAMOND, BelowBar1, Color.khaki, "exit"+rawtime(0)); } else if (sPosition == "Short" && nH >= nStop) { // Exit 1 if (nO > nStop) nStopLimit = nO; if (bBT == true) Strategy.doCover("Short Stop", Strategy.STOP, Strategy.THISBAR, Strategy.ALL, nStopLimit); doPriceBarColors(); sPosition = "Flat"; Alert.playSound("train.wav"); drawShape(Shape.DIAMOND, AboveBar1, Color.khaki, "exit"+rawtime(0)); } else if (nBarTime >= (nEnd-getInterval()) ) { // Exit 2 if (bBT == true) { if (sPosition == "Long") Strategy.doSell("End of Day", Strategy.CLOSE, Strategy.THISBAR); if (sPosition == "Short") Strategy.doCover("End of Day", Strategy.CLOSE, Strategy.THISBAR); } doPriceBarColors(); sPosition = "Flat"; Alert.playSound("train.wav"); drawShape(Shape.DIAMOND, AboveBar1, Color.khaki); } else if (day(0) != day(-1) ) { // Exit 2 (lack of bars due to low volume) if (bBT == true) { if (sPosition == "Long") Strategy.doSell("End of Day", Strategy.MARKET, Strategy.THISBAR); if (sPosition == "Short") Strategy.doCover("End of Day", Strategy.MARKET, Strategy.THISBAR); } doPriceBarColors(); sPosition = "Flat"; Alert.playSound("train.wav"); drawShape(Shape.DIAMOND, AboveBar1, Color.khaki); } } else { if (nState == BARSTATE_NEWBAR) nStop = null; } if (nTime >= nStart+15) bEntryBar = false; // Entry if (bEntryBar == true && sPosition == "Flat") { var sTagH = "tickH" + day(0)+month(0)+year(0); var sTagL = "tickL" + day(0)+month(0)+year(0); var nEntryPrice = close(0); var nTickHigh_1 = high( -1, sym("$TICK,15")); var nTickLow_1 = low( -1, sym("$TICK,15")); var nTickClose_1 = close( -1, sym("$TICK,15")); var nOpen_1 = open( -1, inv(15)); var nHigh_1 = high( -1, inv(15)); var nLow_1 = low( -1, inv(15)); var nClose_1 = close( -1, inv(15)); var nAvgRange_1 = xAvgRange.getValue(-1); var nDailyOpen = open( 0, inv("D")); var nDailyLow_1 = low( -1, inv("D")); var nDailyClose_1 = close( -1, inv("D")); var sRule = 0; if (nTickHigh_1 == null || nTickLow_1 == null || nAvgRange_1 == null) return; // draw $Tick high and low values drawText("$Tick H: " + nTickHigh_1, AboveBar4, null, null, sTagH); drawText("$Tick L: " + nTickLow_1, BelowBar4, null, null, sTagL); // Long Entry if (nTickLow_1 > -350) { if (nTickHigh_1 > 750) { // Rule 1 sPosition = "Long"; sRule = 1; } else if (nTickClose_1 > 500) { // Rule 2 sPosition = "Long"; sRule = 2; } else if (nClose_1 > (nOpen_1 + nAvgRange_1) ) { // Rule 3 sPosition = "Long"; sRule = 3; } if (sPosition == "Long") { if (bBT == true) Strategy.doLong("Rule " + sRule, Strategy.MARKET, Strategy.THISBAR); nEntryPrice = open(0); drawShape(Shape.UPARROW, BelowBar2, Color.green, rawtime(0)); drawText(sRule, BelowBar3, Color.green, Text.CENTER|Text.BOLD, rawtime(0)); drawLineRelative(0, nEntryPrice, -2, nEntryPrice, PS_SOLID, 2, Color.blue, rawtime(0)); Alert.playSound("pop.wav"); } } // Short Entry if (sPosition == "Flat" && nTickHigh_1 < 750) { if (nDailyOpen > (nDailyLow_1 - (2*nAvgRange_1)) && nTickLow_1 < -350 && low(0) <= nDailyOpen && high(0) >= nDailyOpen) { // Rule 1 sPosition = "Short"; sRule = 1; } else if (nDailyOpen > (nDailyLow_1 - (2*nAvgRange_1)) && nTickClose_1 < -100 && low(0) <= nDailyOpen && high(0) >= nDailyOpen) { // Rule 2 sPosition = "Short"; sRule = 2; } else if (nClose_1 > nDailyClose_1 && nTickLow_1 < -350 && low(0) <= nDailyClose_1 && high(0) >= nDailyClose_1) { // Rule 3 sPosition = "Short"; sRule = 3; } else if (nClose_1 > nDailyClose_1 && nTickClose_1 < -100 && low(0) <= nDailyClose_1 && high(0) >= nDailyClose_1) { // Rule 4 sPosition = "Short"; sRule = 4; } else if (nClose_1 < (nOpen_1 - nAvgRange_1) ) { // Rule 5 sPosition = "Short"; sRule = 5; } if (sPosition == "Short") { if (bBT == true) { if (sRule == 1 || sRule == 2) { Strategy.doShort("Rule " + sRule, Strategy.LIMIT, Strategy.THISBAR, Strategy.DEFAULT, nDailyOpen); nEntryPrice = nDailyOpen; } else if (sRule == 3 || sRule == 4) { Strategy.doShort("Rule " + sRule, Strategy.STOP, Strategy.THISBAR, Strategy.DEFAULT, nDailyClose_1); nEntryPrice = nDailyClose_1; } else if (sRule == 5) { Strategy.doShort("Rule " + sRule, Strategy.MARKET, Strategy.THISBAR); nEntryPrice = open(0); } } drawShape(Shape.DOWNARROW, AboveBar2, Color.red, rawtime(0)); drawText(sRule, AboveBar3, Color.red, Text.CENTER|Text.BOLD, rawtime(0)); drawLineRelative(0, nEntryPrice, -2, nEntryPrice, PS_SOLID, 2, Color.blue, rawtime(0)); Alert.playSound("ding.wav"); } } // Set Stop if (sPosition != "Flat") { bEntryBar = false; nStop = (nR * nPoints * xAvgRange.getValue(0)) / nPoints; if (sPosition == "Long") { nStop = open(0) - nStop; } else if (sPosition == "Short") { if (sRule == 1 || sRule == 2) nStop = nDailyOpen + nStop; else if (sRule == 3 || sRule == 4) nStop = nDailyClose_1 + nStop; else if (sRule == 5) nStop = open(0) + nStop; } } } // Color Price Bars doPriceBarColors(); return new Array(sPosition, nStop);}function doPriceBarColors() { if (Strategy.isLong() || sPosition == "Long") setPriceBarColor(Color.green); else if (Strategy.isShort() || sPosition == "Short") setPriceBarColor(Color.red); return;}var xRange = null;function calcAR(nInv) { if (xRange == null) xRange = efsInternal("calcRange"); return sma(27, xRange);}function calcRange() { return high(-1) - low(-1);}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;} |
