MultiPairIndicator.efs
EFSLibrary - Discussion Board
File Name: MultiPairIndicator.efs
Description:
Pair Trading. Developing A Multi-Level Strategy by Vladimir Vladimirovich Voznjuk
Formula Parameters:
MultiPairIndicator.efs
- Symbol 1: 6J #F
- Symbol 2: 6E #F
- One-way Pair: false
- Lower Band: -0.01
- Upper Band: 0.01
- Signal Method: Levels
- Buy Color: blue
- Sell 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:
MultiPairIndicator.efs
MultiPairIndicator.efs
EFS Code:
MultiPairIndicator.efs
/*********************************
Provided By:
eSignal (Copyright c eSignal), a division of Interactive Data
Corporation. 2012. 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:
Pair Trading. Developing A Multi-Level Strategy by Vladimir Vladimirovich Voznjuk
Version: 1.00 16/07/2012
Formula Parameters: Default:
Symbol 1 6J #F
Symbol 2 6E #F
One-way Pair false
Lower Band -0.01
Upper Band 0.01
Signal Method Levels
Buy Color blue
Sell 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()
{
setStudyTitle("MultiPair Indicator");
setIntervalsBackfill(true);
var x = 0;
fpArray[x] = new FunctionParameter("gSymbol1", FunctionParameter.STRING);
with(fpArray[x++])
{
setName("Symbol 1");
setDefault("6J #F");
}
fpArray[x] = new FunctionParameter("gSymbol2", FunctionParameter.STRING);
with(fpArray[x++])
{
setName("Symbol 2");
setDefault("6E #F");
}
fpArray[x] = new FunctionParameter("gOneWay", FunctionParameter.BOOLEAN);
with(fpArray[x++])
{
setName("One-way Pair");
setDefault(false);
}
fpArray[x] = new FunctionParameter("gLower", FunctionParameter.NUMBER);
with(fpArray[x++])
{
setName("Lower Band");
setDefault(-0.01);
}
fpArray[x] = new FunctionParameter("gUpper", FunctionParameter.NUMBER);
with(fpArray[x++])
{
setName("Upper Band");
setDefault(0.01);
}
fpArray[x] = new FunctionParameter("gMethod", FunctionParameter.STRING);
with(fpArray[x++])
{
setName("Signal Method");
addOption("Levels");
addOption("Zero line");
setDefault("Levels");
}
fpArray[x] = new FunctionParameter("gBuyColor", FunctionParameter.COLOR);
with(fpArray[x++])
{
setName("Buy Color");
setDefault(Color.blue);
}
fpArray[x] = new FunctionParameter("gSellColor", FunctionParameter.COLOR);
with(fpArray[x++])
{
setName("Sell Color");
setDefault(Color.red);
}
}
var bInit = false;
var bVersion = null;
var xSymbol2Open = null;
var xSymbol2Close = null;
var xSymbol1Open = null;
var xSymbol1Close = null;
var vInterval = null;
function main(gSymbol1, gSymbol2, gOneWay, gLower, gUpper, gMethod,gBuyColor,gSellColor)
{
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
if (!bInit)
{
vInterval = getInterval();
xSymbol2Open = open(sym(gSymbol2+","+vInterval));
xSymbol2Close = close(sym(gSymbol2+","+vInterval));
xSymbol1Open = open(sym(gSymbol1+","+vInterval));
xSymbol1Close = close(sym(gSymbol1+","+vInterval));
addBand(gLower,PS_SOLID,1,gBuyColor,0);
addBand(gUpper,PS_SOLID,1,gSellColor,1);
addBand(0,PS_SOLID,1,Color.lime,2);
bInit = true;
}
var vSymbol2Open_0 = xSymbol2Open.getValue(0);
var vSymbol2Open_1 = xSymbol2Open.getValue(-1);
var vSymbol2Close_0 = xSymbol2Close.getValue(0);
var vSymbol2Close_1 = xSymbol2Close.getValue(-1);
var vSymbol1Open_0 = xSymbol1Open.getValue(0);
var vSymbol1Open_1 = xSymbol1Open.getValue(-1);
var vSymbol1Close_0 = xSymbol1Close.getValue(0);
var vSymbol1Close_1 = xSymbol1Close.getValue(-1);
if (vSymbol2Open_1 == null || vSymbol2Close_1 == null || vSymbol1Open_1 == null || vSymbol1Close_1 == null)
return;
var vRes_0 = 0;
var vRes_1 = 0;
if (gOneWay)
{
vRes_0 = (vSymbol2Close_0 - vSymbol2Open_0)+(vSymbol1Close_0 - vSymbol1Open_0);
vRes_1 = (vSymbol2Close_1 - vSymbol2Open_1)+(vSymbol1Close_1 - vSymbol1Open_1);
}
else
{
vRes_0 = (vSymbol2Close_0 - vSymbol2Open_0)-(vSymbol1Close_0 - vSymbol1Open_0);
vRes_1 = (vSymbol2Close_1 - vSymbol2Open_1)-(vSymbol1Close_1 - vSymbol1Open_1);
}
var nBarsCount = getCurrentBarCount();
if (gMethod == "Levels")
{
if (vRes_0>gUpper && vRes_1<gupper) {="" drawshaperelative(0,="" toprow2="" ,="" shape.downarrow,="" null,="" gsellcolor,="" shape.preset,="shape.preset," ldn="ldn" +nbarscount);="" }="" else="" removeshape(="removeshape(" if="" (vres_0="(vres_0"><glower="" &&="" vres_1="">gLower)
{
drawShapeRelative(0, BottomRow2 , Shape.UPARROW, null, gBuyColor, Shape.PRESET,"LUp"+nBarsCount);
}
else
{
removeShape("LUp"+nBarsCount);
}
}
if (gMethod == "Zero line")
{
if (vRes_1<0 && vRes_0>0)
{
drawShapeRelative(0, BottomRow2 , Shape.UPARROW, null, gBuyColor, Shape.PRESET,"ZUp"+nBarsCount);
}
else
{
removeShape("ZUp"+nBarsCount);
}
if (vRes_1>0 && vRes_0<0)
{
drawShapeRelative(0, TopRow2 , Shape.DOWNARROW, null, gSellColor, Shape.PRESET,"ZDn"+nBarsCount);
}
else
{
removeShape("ZDn"+nBarsCount);
}
}
return vRes_0;
}
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;
}