/***************************************Provided By : eSignal (c) Copyright 2007Description: Closing-Price Divergences by Clive CorcoranVersion 1.0 1/18/2007Notes:* March 2007 Issue of Active Trader Magazine* Study requires version 8.0 or later.* This study is designed for back testing, not real time analysis.* This study is intended for Equities only.* The Starting Equity amount entered for the study will also need to be entered into the Strategy Analyzer settings.Formula Parameters: Default:Starting Equity 100000Position Size (%of Equity) 2*************************************************/function preMain() { setPriceStudy(true); setStudyTitle("Price-Close Location Divergence"); setCursorLabelName("65th Percentile", 0); setCursorLabelName("35th Percentile", 1); setCursorLabelName("Closing Bias", 2); setCursorLabelName("Close Stop 3%", 3); setCursorLabelName("IntraBar Stop 5%", 4); setCursorLabelName("Target1 5%", 5); setCursorLabelName("Target2 7%", 6); setCursorLabelName("long count", 7); setCursorLabelName("short count", 8); setDefaultBarFgColor(Color.blue, 0); setDefaultBarFgColor(Color.blue, 1); setDefaultBarFgColor(Color.magenta, 2); setDefaultBarFgColor(Color.red, 3); setDefaultBarFgColor(Color.red, 4); setDefaultBarFgColor(Color.green, 5); setDefaultBarFgColor(Color.green, 6); //setDefaultBarThickness(2, 3); setPlotType(PLOTTYPE_FLATLINES, 3); setPlotType(PLOTTYPE_FLATLINES, 4); setPlotType(PLOTTYPE_FLATLINES, 5); setPlotType(PLOTTYPE_FLATLINES, 6); setDefaultFont("Arial", 12, null, Text.BOLD|Text.FRAME|Text.CENTER); var fp1 = new FunctionParameter("Equity", FunctionParameter.NUMBER); fp1.setName("Starting Equity"); fp1.setLowerLimit(1); fp1.setDefault(100000); var fp2 = new FunctionParameter("PosSize", FunctionParameter.NUMBER); fp2.setName("Position Size (%of Equity)"); fp2.setLowerLimit(0.1); fp2.setDefault(2);}// Global Variablesvar xRankC = null;var xBiasC = null;var aLongCount = new Array(21);var aShortCount = new Array(21);for (var i = 0; i < 21; i++) { aLongCount[i] = 0; aShortCount[i] = 0;}var nEquity = null; // Starting Equityvar nPS = null; // Position size as % of Equityvar vPosition = 0; // 0=flat, 1=long, -1=shortvar nEntryPrice = null;var nStop1 = null;var nStop2 = null;var nTarget1 = null;var nTarget2 = null;var bTargetBreach = false;var nLotSize = null;var nLongCount = 0;var nShortCount = 0;var nLongCount_1 = 0;var nShortCount_1 = 0;var bInit = false; // initialization flagvar bBT = true;function main(Equity, PosSize) { var nState = getBarState(); if (getCurrentBarIndex() >= -1) bBT = false; // disable back testing functions if (getCurrentBarIndex() == 0) return; if(bInit == false) { nEquity = Equity; nPS = PosSize; xRankC = efsInternal("calcPercentiles"); xBiasC = efsInternal("calcBias"); bInit = true; // Prevents this code block from executing again. } //if (getCurrentBarCount() < 21) return; // Retrieve previous bar's values of Donchian Series for back testing conditions. //var n = x.getValue(-1); var x35th = getSeries(xRankC, 0); var x65th = getSeries(xRankC, 1); var nBias = xBiasC.getValue(0); var nBias_1 = xBiasC.getValue(-1); var n35th_1 = x35th.getValue(-1); var n65th_1 = x65th.getValue(-1); var bLong = false; var bShort = false; var bExitTrade = false; var nExitPrice = null; // Validate the study variables to ensure they contain valid data. if(n35th_1 == null || n65th_1 == null || nBias_1 == null) { return; // Exit the formula if variables contain invalid data. } // Record keeping if (nState == BARSTATE_NEWBAR) { nLongCount_1 = nLongCount; nShortCount_1 = nShortCount; aLongCount.pop(); aLongCount.unshift(0); aShortCount.pop(); aShortCount.unshift(0); // Long count if (close(-1) <= n35th_1 && nBias_1 > 0.10) { aLongCount[0] = 1; } // Short count if (close(-1) >= n65th_1 && nBias_1 < -0.10) { aShortCount[0] = 1; } nLongCount = 0; nShortCount = 0; for (var i = 0; i < 21; i++) { nLongCount += aLongCount[i]; nShortCount += aShortCount[i]; if (i < 5) { if (aLongCount[i] == 1) bLong = true; if (aShortCount[i] == 1) bShort = true; } } if (vPosition == 0) { nStop1 = null; nStop2 = null; nTarget1 = null; nTarget2 = null; bTargetBreach = false; } } // Back Testing logic if (getCurrentBarCount() > 21) { // study primed, begin evaluation if (nState == BARSTATE_NEWBAR) { // Exit Strategy if (vPosition != 0) { // Long Exit if (vPosition == 1) { if (bTargetBreach == false && high(0) > nTarget1) { // Profit Target1 bTargetBreach = true; bExitTrade = true; nExitPrice = Math.max(open(0), nTarget1); drawShapeRelative(0, nExitPrice, Shape.DIAMOND, null, Color.green, null, rawtime(0)); drawText("1", AboveBar2, Color.green, null, rawtime(0)); if (bBT == true) { nEquity += (nExitPrice-nEntryPrice)*Math.round(nLotSize*.65); Strategy.doSell("Target 1", Strategy.LIMIT, Strategy.THISBAR, Math.round(nLotSize*.65), nExitPrice); } } else if (bTargetBreach == true && high(0) > nTarget2) { // Profit Target2 vPosition = 0; bExitTrade = true; nExitPrice = Math.max(open(0), nTarget2); drawShapeRelative(0, nExitPrice, Shape.DIAMOND, null, Color.green, null, rawtime(0)); drawText("2", AboveBar2, Color.green, null, rawtime(0)); if (bBT == true) { nEquity += (nExitPrice-nEntryPrice)*Strategy.getPositionSize(); Strategy.doSell("Target 2", Strategy.LIMIT, Strategy.THISBAR, Strategy.getPositionSize(), nExitPrice); } } } if (vPosition == 1 && bExitTrade == false) { // protective stops if (close(-1) <= nStop1) { vPosition = 0; bExitTrade = true; nExitPrice = open(0); drawShapeRelative(0, nExitPrice, Shape.DIAMOND, null, Color.red, null, rawtime(0)); drawText("1", BelowBar2, Color.red, null, rawtime(0)); if (bBT == true) { nEquity += (nExitPrice-nEntryPrice)*Strategy.getPositionSize(); Strategy.doSell("Close Stop", Strategy.STOP, Strategy.THISBAR, Strategy.getPositionSize(), nExitPrice); } } else if (low(0) <= nStop2) { vPosition = 0; bExitTrade = true; nExitPrice = Math.min(open(0), nStop2); drawShapeRelative(0, nExitPrice, Shape.DIAMOND, null, Color.red, null, rawtime(0)); drawText("2", BelowBar2, Color.red, null, rawtime(0)); if (bBT == true) { nEquity += (nExitPrice-nEntryPrice)*Strategy.getPositionSize(); Strategy.doSell("IntraBar Stop", Strategy.STOP, Strategy.THISBAR, Strategy.getPositionSize(), nExitPrice); } } } // Short Exit if (vPosition == -1) { if (bTargetBreach == false && low(0) < nTarget1) { // Profit Target1 bTargetBreach = true; bExitTrade = true; nExitPrice = Math.min(open(0), nTarget1); drawShapeRelative(0, nExitPrice, Shape.DIAMOND, null, Color.green, null, rawtime(0)); drawText("1", BelowBar2, Color.green, null, rawtime(0)); if (bBT == true) { nEquity += (nEntryPrice-nExitPrice)*Math.round(nLotSize*.65); Strategy.doCover("Target 1", Strategy.LIMIT, Strategy.THISBAR, Math.round(nLotSize*.65), nExitPrice); } } else if (bTargetBreach == true && low(0) < nTarget2) { // Profit Target2 vPosition = 0; bExitTrade = true; nExitPrice = Math.min(open(0), nTarget2); drawShapeRelative(0, nExitPrice, Shape.DIAMOND, null, Color.green, null, rawtime(0)); drawText("2", BelowBar2, Color.green, null, rawtime(0)); if (bBT == true) { nEquity += (nEntryPrice-nExitPrice)*Math.abs(Strategy.getPositionSize()); Strategy.doCover("Target 2", Strategy.LIMIT, Strategy.THISBAR, Math.abs(Strategy.getPositionSize()), nExitPrice); } } } if (vPosition == -1 && bExitTrade == false) { // protective stops if (close(-1) >= nStop1) { vPosition = 0; bExitTrade = true; nExitPrice = open(0); drawShapeRelative(0, nExitPrice, Shape.DIAMOND, null, Color.red, null, rawtime(0)); drawText("1", AboveBar2, Color.red, null, rawtime(0)); if (bBT == true) { nEquity += (nEntryPrice-nExitPrice)*Math.abs(Strategy.getPositionSize()); Strategy.doCover("Close Stop", Strategy.STOP, Strategy.THISBAR, Math.abs(Strategy.getPositionSize()), nExitPrice); } } else if (high(0) >= nStop2) { vPosition = 0; bExitTrade = true; nExitPrice = Math.max(open(0), nStop2); drawShapeRelative(0, nExitPrice, Shape.DIAMOND, null, Color.red, null, rawtime(0)); drawText("2", AboveBar2, Color.red, null, rawtime(0)); if (bBT == true) { nEquity += (nEntryPrice-nExitPrice)*Math.abs(Strategy.getPositionSize()); Strategy.doCover("IntraBar Stop", Strategy.STOP, Strategy.THISBAR, Math.abs(Strategy.getPositionSize()), nExitPrice); } } } } // Entry Strategy if (vPosition == 0 && bExitTrade == false) { // Long Signal //if (bLong == true && aLongCount[0] > aLongCount[1]) { if (bLong == true && nLongCount == 5 && nLongCount_1 == 4) { vPosition = 1; drawShape(Shape.UPARROW, BelowBar1, Color.green, rawtime(0)); if (bBT == true) { nLotSize = getLotSize(open(0)); Strategy.doLong("Long Trigger", Strategy.MARKET, Strategy.THISBAR, nLotSize); } nEntryPrice = open(0); nStop1 = nEntryPrice - (0.03*nEntryPrice); nStop2 = nEntryPrice - (0.05*nEntryPrice); nTarget1 = nEntryPrice + (0.05*nEntryPrice); nTarget2 = nEntryPrice + (0.07*nEntryPrice); } // Short Signal //if (vPosition == 0 && bShort == true && aShortCount[0] > aShortCount[1]) { if (vPosition == 0 && bShort == true && nShortCount == 5 && nShortCount_1 == 4) { vPosition = -1; drawShape(Shape.DOWNARROW, AboveBar1, Color.red, rawtime(0)); if (bBT == true) { nLotSize = getLotSize(open(0)); Strategy.doShort("Short Trigger", Strategy.MARKET, Strategy.THISBAR, nLotSize); } nEntryPrice = open(0); nStop1 = nEntryPrice + (0.03*nEntryPrice); nStop2 = nEntryPrice + (0.05*nEntryPrice); nTarget1 = nEntryPrice - (0.05*nEntryPrice); nTarget2 = nEntryPrice - (0.07*nEntryPrice); } } } } return new Array(x65th, x35th, nBias.toFixed(2), nStop1, nStop2, nTarget1, nTarget2, nLongCount+"", nShortCount+"");}var aClose = new Array(21);function calcPercentiles() { var nState = getBarState(); var n35 = null; var n65 = null; var aSort = new Array(21); if (nState == BARSTATE_NEWBAR) { aClose.pop(); aClose.unshift(close(0)); } aClose[0] = close(0); if (aClose[20] == null) return; for (var i = 0; i < 21; i++) { aSort[i] = aClose[i]; } aSort.sort(compareNumbers); n35 = aSort[7]; n65 = aSort[13]; return new Array(n35, n65);}function compareNumbers(a, b) { return a - b;} function calcBias() { var c_0 = close(0); var c_1 = close(-1); var nATR = atr(1, 0); if (close(-1) == null || nATR == null) return; return (c_0 - c_1) / nATR;}function getLotSize(Price) { return ((nPS/100) * nEquity) / Price;} |
