ATR_TrailingStops.efs
EFSLibrary - Discussion Board
File Name:
- ATR_TrailingStops.efs
- Modified_ATR.efs
- Modified_ATR_TrailingStops.efs
Description:
Average True Range Trailing Stops, by Sylvain Vervoort
Formula Parameters:
ATR_TrailingStops.efs
- ATR Period : 5
- ATR Multiplication : 3.5
- Long or Short : Long
- Show Line Trailing Stop : True
- Show Labels : True
- Show Arrows : True
- Display Cursor Labels : True
- Line Color : Red
Modified_ATR.efs
- ATR Period : 5
- Line Color : Red
Modified_ATR_TrailingStops.efs
- ATR Period : 5
- ATR Multiplication : 3.5
- Long or Short : Long
- Show Line Trailing Stop : True
- Show Labels : True
- Show Arrows : True
- Display Cursor Labels : True
- Line Color : Red
Notes:
The related article is copyrighted material. If you are not a subscriber of Stocks & Commodities, please visit www.traders.com.
Download File:
ATR_TrailingStops.efs
Modified_ATR.efs
Modified_ATR_TrailingStops.efs
EFS Code:
/*********************************
Provided By:
eSignal (Copyright c eSignal), a division of Interactive Data Corporation. 2009.
All rights reserved. This sample eSignal Formula Script (EFS) is for educational
purposes only and may be modified and saved under a new file name. eSignal is not
responsible for the functionality once modified. eSignal reserves the right to modify
and overwrite this EFS file with each new release.
Description:
Average True Range Trailing Stops, by Sylvain Vervoort
Version: 1.0 04/09/2009
Formula Parameters:
Default:
ATR Period 5
ATR Multiplication 3.5
Long or Short Long Show Line Trailing Stop True Show Labels True Show Arrows
True Display Cursor Labels True Line Color Red
Notes:
The related article is copyrighted material.
If you are not a subscriber of Stocks & Commodities, please visit www.traders.com.
**********************************/
var fpArray = new Array();
function preMain(){
setPriceStudy(true);
setStudyTitle("ATR Trailing Stops");
setCursorLabelName("ATR Trailing Stop", 0);
setShowTitleParameters(false);
setDefaultBarFgColor(Color.red, 0);
setPlotType(PLOTTYPE_LINE, 0);
setDefaultBarThickness(2, 0);
askForInput();
var x = 0;
fpArray[x] = new FunctionParameter("nATRPeriod", FunctionParameter.NUMBER);
with(fpArray[x++]) {
setName("ATR Period");
setLowerLimit(1);
setUpperLimit(100);
setDefault(5);
}
fpArray[x] = new FunctionParameter("nATRMultip", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("ATR Multiplication");
setLowerLimit(1);
setUpperLimit(10);
setDefault(3.5);
}
fpArray[x] = new FunctionParameter("bShowTS", FunctionParameter.BOOLEAN);
with(fpArray[x++]){
setName("Show Line Trailing Stop");
addOption("true");
addOption("false");
setDefault("true");
}
fpArray[x] = new FunctionParameter("bShowL", FunctionParameter.BOOLEAN);
with(fpArray[x++]){
setName("Show Labels");
addOption("true");
addOption("false");
setDefault("true");
}
fpArray[x] = new FunctionParameter("bShowArrows", FunctionParameter.BOOLEAN);
with(fpArray[x++]){
setName("Show Arrows");
addOption("true");
addOption("false");
setDefault("true");
}
fpArray[x] = new FunctionParameter("ViewValue", FunctionParameter.BOOLEAN);
with(fpArray[x++]){
setName("Display Cursor Labels");
setDefault(true);
}
fpArray[x] = new FunctionParameter("sStrategy", FunctionParameter.STRING);
with(fpArray[x++]){
setName("Long or Short");
addOption("Long");
addOption("Short");
setDefault("Long");
}
fpArray[x] = new FunctionParameter("cColor", FunctionParameter.COLOR);
with(fpArray[x++]){
setName("Line Color");
setDefault(Color.red);
}
}
var bInit = false;
var bVersion = null;
var xATRTrailingStop = null;
var xClose = null;
function main(nATRPeriod, nATRMultip, sStrategy, bShowTS, bShowL, bShowArrows, ViewValue, cColor){
var nClose = 0;
var nClose1 = 0;
var nATRTS = 0;
var nATRTS1 = 0;
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
if (bInit == false) {
setShowCursorLabel(ViewValue);
setDefaultBarFgColor(cColor, 0);
xClose = close();
xATRTrailingStop = efsInternal("ATRTrailingStop", nATRPeriod, nATRMultip, xClose);
bInit = true;
}
if (getCurrentBarIndex() == 0) return;
nClose = xClose.getValue(0);
nClose1 = xClose.getValue(-1);
nATRTS = xATRTrailingStop.getValue(0);
nATRTS1 = xATRTrailingStop.getValue(-1);
if (nATRTS1 == null) return;
if (nClose1 < nATRTS1 && nClose > nATRTS1){
if (bShowArrows) drawShape(Shape.UPARROW, BelowBar1, Color.green);
if (sStrategy == "Long"){
if (bShowL) drawTextRelative(0, BelowBar2, " LONG", Color.white, Color.green, Text.PRESET | Text.CENTER | Text.FRAME, "Arial Black", 10, "b" + (getCurrentBarCount()), -5);
Strategy.doLong("Long", Strategy.MARKET, Strategy.NEXTBAR);
}
else{
if (bShowL) drawTextRelative(0, BelowBar2, " EXIT", Color.white, Color.green, Text.PRESET | Text.CENTER | Text.FRAME, "Arial Black", 10, "b" + (getCurrentBarCount()), -5);
if (Strategy.isShort()) Strategy.doCover("Exit Short", Strategy.MARKET, Strategy.NEXTBAR);
}
}
if (nClose1 > nATRTS1 && nClose < nATRTS1){
if (bShowArrows) drawShape(Shape.DOWNARROW, AboveBar1, Color.red);
if (sStrategy == "Long"){
if (bShowL) drawTextRelative(0, AboveBar2, " EXIT", Color.white, Color.red, Text.PRESET | Text.CENTER | Text.FRAME, "Arial Black", 10, "b" + (getCurrentBarCount()), -5);
if (Strategy.isLong()) Strategy.doSell("Exit Long", Strategy.MARKET, Strategy.NEXTBAR);
}
else{
if (bShowL) drawTextRelative(0, AboveBar2, "SHORT", Color.white, Color.red, Text.PRESET | Text.CENTER | Text.FRAME, "Arial Black", 10, "b" + (getCurrentBarCount()), -5);
Strategy.doShort("Short", Strategy.MARKET, Strategy.NEXTBAR);
}
}
if (bShowTS == false) return;
return xATRTrailingStop.getValue(0);
}
var xATR = null;
var nRef = 0;
var bSecondInit = false;
function ATRTrailingStop(nATRPeriod, nATRMultip, xSClose){
var nClose = 0;
var nClose1 = 0;
var nLoss = 0;
var nRes = 0;
var nRef = ref(-1);
if (bSecondInit == false){
xATR = atr(nATRPeriod);
bSecondInit = true;
}
nClose = xSClose.getValue(0);
nClose1 = xSClose.getValue(-1);
nLoss = nATRMultip * xATR.getValue(0);
if (nLoss == null || nClose1 == null) return;
if (nClose > nRef && nClose1 > nRef){
nRes = Math.max(nRef, nClose - nLoss);
}
else{
if (nClose < nRef && nClose1 < nRef){
nRes = Math.min(nRef, nClose + nLoss);
}
else{
if (nClose > nRef){
nRes = nClose - nLoss;
}
else{
nRes = nClose + nLoss;
}
}
}
return nRes;
}
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;
}
/*********************************
/*********************************
Provided By: eSignal (Copyright c eSignal), a division of Interactive Data Corporation. 2009.
All rights reserved. This sample eSignal Formula Script (EFS) is for educational purposes only
and may be modified and saved under a new file name. eSignal is not responsible for the
functionality once modified. eSignal reserves the right to modify and overwrite this EFS file with each new release.
Description:
Modified Average True Range, by Sylvain Vervoort
Version: 1.0 04/09/2009
Formula Parameters:
Default:
ATR Period 5
Line Color Red
Notes:
The related article is copyrighted material.
If you are not a subscriber of Stocks & Commodities, please visit www.traders.com.
**********************************/
var fpArray = new Array();
function preMain(){
setPriceStudy(false);
setStudyTitle("Modified ATR");
setCursorLabelName("Modified ATR", 0);
setShowTitleParameters(false);
setDefaultBarFgColor(Color.red, 0);
setPlotType(PLOTTYPE_LINE, 0);
setDefaultBarThickness(2, 0);
askForInput();
var x = 0;
fpArray[x] = new FunctionParameter("nATRPeriod", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("ATR Period");
setLowerLimit(1);
setUpperLimit(100);
setDefault(5);
}
fpArray[x] = new FunctionParameter("cColor", FunctionParameter.COLOR);
with(fpArray[x++]){
setName("Line Color");
setDefault(Color.red);
}
}
var bInit = false;
var bVersion = null;
var xATR_Modif = null;
function main(nATRPeriod, cColor){
var nATR_Modif = 0;
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
if (bInit == false) {
setDefaultBarFgColor(cColor, 0);
xATR_Modif = efsInternal("Calc_ATRMod", nATRPeriod);
bInit = true;
}
nATR_Modif = xATR_Modif.getValue(0);
if (nATR_Modif == null) return;
return nATR_Modif;
}
var xHigh_Low = null;
var xATR_ModifTmp = null;
var nRef = 0;
var bSecondInit = false;
function Calc_ATRMod(nATRPeriod, nATRMultip){
var nRes = 0;
if (bSecondInit == false){
xHigh_Low = efsInternal("Calc_High_Low");
xATR_ModifTmp = efsInternal("Calc_ATRModResult", nATRPeriod, xHigh_Low, sma(nATRPeriod, xHigh_Low)) bSecondInit = true;
}
nRes = xATR_ModifTmp.getValue(0);
if (nRes == null) return;
return nRes;
}
function Calc_High_Low(){
var nRes = high(0) - low(0);
if (nRes == null) return;
return nRes;
}
var bThirdInit = false;
var xClose = null;
var xHigh = null;
var xLow = null;
function Calc_ATRModResult(nATRPeriod, xHigh_Low, xMA_High_Low){
var nHiLo = 0;
var nHref = 0;
var nLref = 0;
var ndiff1 = 0;
var ndiff2 = 0;
var nHigh_Low = 0;
var nMA_High_Low = 0;
var nAtrMod = 0;
if (bThirdInit == false){
xClose = close();
xHigh = high();
xLow = low();
bThirdInit = true;
}
var nClose = xClose.getValue(0);
var nClose1 = xClose.getValue(0);
var nHigh = xHigh.getValue(0);
var nHigh1 = xHigh.getValue(0);
var nLow = xLow.getValue(0);
var nLow1 = xLow.getValue(0);
nHigh_Low = xHigh_Low.getValue(0);
nMA_High_Low = xMA_High_Low.getValue(0) * 1.5;
if (nHigh_Low == null || nMA_High_Low == null) return;
if (nHigh_Low < nMA_High_Low){
nHiLo = nHigh_Low;
}
else{
nHiLo = nMA_High_Low;
}
if (nLow <= nHigh1) {
nHref = nHigh - nClose1;
}
else{
nHref = (nHigh - nClose1) - (nLow - nHigh1) / 2;
}
if (nHigh >= nLow1) {
nLref = nClose1 - nLow;
}
else{
nLref = (nClose1 - nLow) - (nLow1 - nHigh) / 2;
}
ndiff1 = Math.max(nHiLo, nHref);
ndiff2 = Math.max(ndiff1, nLref);
nAtrMod = (ndiff2 + (nATRPeriod - 1) * ref(-1)) / nATRPeriod;
if (nAtrMod == null) return;
return nAtrMod;
}
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;
}
/*********************************
Provided By: eSignal (Copyright c eSignal), a division of Interactive Data Corporation. 2009.
All rights reserved. This sample eSignal Formula Script (EFS) is for educational purposes
only and may be modified and saved under a new file name. eSignal is not responsible for
the functionality once modified. eSignal reserves the right to modify and overwrite this
EFS file with each new release.Description: Modified Average True Range Trailing Stops,
by Sylvain Vervoort
Version: 1.0 04/09/2009
Formula Parameters:
Default:
ATR Period 5
ATR Multiplication 3.5
Long or Short Long
Show Line Trailing Stop True Show Labels True Show Arrows True Display Cursor Labels True Line Color Red
Notes:
The related article is copyrighted material.
If you are not a subscriber of Stocks & Commodities, please visit www.traders.com.
**********************************/
var fpArray = new Array();
function preMain(){
setPriceStudy(true);
setStudyTitle("Modified ATR Trailing Stops");
setCursorLabelName("Modified ATR TS", 0);
setShowTitleParameters(false);
setDefaultBarFgColor(Color.red, 0);
setPlotType(PLOTTYPE_LINE, 0);
setDefaultBarThickness(2, 0);
askForInput();
var x = 0;
fpArray[x] = new FunctionParameter("nATRPeriod", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("ATR Period");
setLowerLimit(1);
setUpperLimit(100);
setDefault(5);
}
fpArray[x] = new FunctionParameter("nATRMultip", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("ATR Multiplication");
setLowerLimit(1);
setUpperLimit(10);
setDefault(3.5);
}
fpArray[x] = new FunctionParameter("bShowTS", FunctionParameter.BOOLEAN);
with(fpArray[x++]){
setName("Show Line Trailing Stop");
addOption("true");
addOption("false");
setDefault("true");
}
fpArray[x] = new FunctionParameter("bShowL", FunctionParameter.BOOLEAN);
with(fpArray[x++]){
setName("Show Labels");
addOption("true");
addOption("false");
setDefault("true");
}
fpArray[x] = new FunctionParameter("bShowArrows", FunctionParameter.BOOLEAN);
with(fpArray[x++]){
setName("Show Arrows");
addOption("true");
addOption("false");
setDefault("true");
}
fpArray[x] = new FunctionParameter("ViewValue", FunctionParameter.BOOLEAN);
with(fpArray[x++]){
setName("Display Cursor Labels");
setDefault(true);
}
fpArray[x] = new FunctionParameter("sStrategy", FunctionParameter.STRING);
with(fpArray[x++]){
setName("Long or Short");
addOption("Long");
addOption("Short");
setDefault("Long");
}
fpArray[x] = new FunctionParameter("cColor", FunctionParameter.COLOR);
with(fpArray[x++]){
setName("Line Color");
setDefault(Color.red);
}
}
var bInit = false;
var bVersion = null;
var xATRTrailingStop = null;
var xClose = null;
function main(nATRPeriod, nATRMultip, sStrategy, bShowTS, bShowL, bShowArrows, ViewValue, cColor){
var nClose = 0;
var nClose1 = 0;
var nATRTS = 0;
var nATRTS1 = 0;
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
if (bInit == false) {
setShowCursorLabel(ViewValue);
setDefaultBarFgColor(cColor, 0);
xClose = close();
xATRTrailingStop = efsInternal("ModifiedATRTrailingStop", nATRPeriod, nATRMultip, xClose);
bInit = true;
}
if (getCurrentBarIndex() == 0) return;
nClose = xClose.getValue(0);
nClose1 = xClose.getValue(-1);
nATRTS = xATRTrailingStop.getValue(0);
nATRTS1 = xATRTrailingStop.getValue(-1);
if (nATRTS1 == null) return;
if (nClose1 < nATRTS1 && nClose > nATRTS1){
if (bShowArrows) drawShape(Shape.UPARROW, BelowBar1, Color.green);
if (sStrategy == "Long"){
if (bShowL) drawTextRelative(0, BelowBar2, " LONG", Color.white, Color.green, Text.PRESET | Text.CENTER | Text.FRAME, "Arial Black", 10, "b" + (getCurrentBarCount()), -5);
Strategy.doLong("Long", Strategy.MARKET, Strategy.NEXTBAR);
}
else{
if (bShowL) drawTextRelative(0, BelowBar2, " EXIT", Color.white, Color.green, Text.PRESET | Text.CENTER | Text.FRAME, "Arial Black", 10, "b" + (getCurrentBarCount()), -5);
if (Strategy.isShort()) Strategy.doCover("Exit Short", Strategy.MARKET, Strategy.NEXTBAR);
}
}
if (nClose1 > nATRTS1 && nClose < nATRTS1){
if (bShowArrows) drawShape(Shape.DOWNARROW, AboveBar1, Color.red);
if (sStrategy == "Long"){
if (bShowL) drawTextRelative(0, AboveBar2, " EXIT", Color.white, Color.red, Text.PRESET | Text.CENTER | Text.FRAME, "Arial Black", 10, "b" + (getCurrentBarCount()), -5);
if (Strategy.isLong()) Strategy.doSell("Exit Long", Strategy.MARKET, Strategy.NEXTBAR);
}
else {
if (bShowL) drawTextRelative(0, AboveBar2, "SHORT", Color.white, Color.red, Text.PRESET | Text.CENTER | Text.FRAME, "Arial Black", 10, "b" + (getCurrentBarCount()), -5);
Strategy.doShort("Short", Strategy.MARKET, Strategy.NEXTBAR);
}
}
if (bShowTS == false) return;
return xATRTrailingStop.getValue(0);
}
var xHigh_Low = null;
var xATR_Modif = null;
var nRef = 0;
var bSecondInit = false;
function ModifiedATRTrailingStop(nATRPeriod, nATRMultip, xSClose){
var nBarState = getBarState();
var nClose = 0;
var nClose1 = 0;
var nLoss = 0;
var nRes = 0;
var nRef = ref(-1);
if (bSecondInit == false){
xHigh_Low = efsInternal("Calc_High_Low");
xATR_Modif = efsInternal("Calc_ATRMod", nATRPeriod, nATRMultip, xSClose, xHigh_Low, sma(nATRPeriod, xHigh_Low)) bSecondInit = true;
}
nClose = xSClose.getValue(0);
nClose1 = xSClose.getValue(-1);
nLoss = nATRMultip * xATR_Modif.getValue(0);
if (nLoss == null) return;
if (nClose > nRef && nClose1 > nRef){
nRes = Math.max(nRef, nClose - nLoss);
}
else{
if (nClose < nRef && nClose1 < nRef){
nRes = Math.min(nRef, nClose + nLoss);
}
else{
if (nClose > nRef){
nRes = nClose - nLoss;
}
else{
nRes = nClose + nLoss;
}
}
}
return nRes;
}
function Calc_High_Low(){
var nRes = high(0) - low(0);
if (nRes == null) return;
return nRes;
}
var bThirdInit = false;
var xHigh = null;
var xLow = null;
function Calc_ATRMod(nATRPeriod, nATRMultip, xTClose, xHigh_Low, xMA_High_Low){
var nHiLo = 0;
var nHref = 0;
var nLref = 0;
var ndiff1 = 0;
var ndiff2 = 0;
var nHigh_Low = 0;
var nMA_High_Low = 0;
var nAtrMod = 0;
if (bThirdInit == false){
xHigh = high();
xLow = low();
bThirdInit = true;
}
var nClose = xTClose.getValue(0);
var nClose1 = xTClose.getValue(0);
var nHigh = xHigh.getValue(0);
var nHigh1 = xHigh.getValue(0);
var nLow = xLow.getValue(0);
var nLow1 = xLow.getValue(0);
nHigh_Low = xHigh_Low.getValue(0);
nMA_High_Low = xMA_High_Low.getValue(0) * 1.5;
if (nHigh_Low == null || nMA_High_Low == null) return;
if (nHigh_Low < nMA_High_Low){
nHiLo = nHigh_Low;
}
else{
nHiLo = nMA_High_Low;
}
if (nLow <= nHigh1){
nHref = nHigh - nClose1;
}
else{
nHref = (nHigh - nClose1) - (nLow - nHigh1) / 2;
}
if (nHigh >= nLow1) {
nLref = nClose1 - nLow;
}
else{
nLref = (nClose1 - nLow) - (nLow1 - nHigh) / 2;
}
ndiff1 = Math.max(nHiLo, nHref);
ndiff2 = Math.max(ndiff1, nLref);
nAtrMod = (ndiff2 + (nATRPeriod - 1) * ref(-1)) / nATRPeriod;
if (nAtrMod == null) return;
return nAtrMod;
}
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;
}