/***************************************Provided By : eSignal (c) Copyright 2006Description: Harnessing The (Mis)Behavior Of Markets by Rick MartinelliVersion 1.0 04/06/2006Notes:* June 2006 Issue of Stocks and Commodities Magazine* Study requires version 7.9.1 or higher.Formula Parameters: Defaults:Standard Deviation Periods 7Mean Periods 21***************************************/function preMain() { setStudyTitle("Brownian Motion "); setCursorLabelName("Normalized W", 0); setCursorLabelName("White Noise", 1); setDefaultBarThickness(4, 0); setDefaultBarThickness(2, 1); setDefaultBarFgColor(Color.navy, 0); setDefaultBarFgColor(Color.red, 1); setPlotType(PLOTTYPE_HISTOGRAM, 0); setPlotType(PLOTTYPE_HISTOGRAM, 1); addBand(8, PS_SOLID, 2, Color.maroon, 8); addBand(6, PS_SOLID, 2, Color.maroon, 6); addBand(4, PS_SOLID, 2, Color.maroon, 4); addBand(2, PS_SOLID, 2, Color.maroon, 2); addBand(0, PS_SOLID, 2, Color.maroon, 0); addBand(-2, PS_SOLID, 2, Color.maroon, -2); addBand(-4, PS_SOLID, 2, Color.maroon, -4); addBand(-6, PS_SOLID, 2, Color.maroon, -6); addBand(-8, PS_SOLID, 2, Color.maroon, -8); var fp1 = new FunctionParameter("nStdev", FunctionParameter.NUMBER); fp1.setName("Standard Deviation Periods"); fp1.setLowerLimit(1); fp1.setDefault(7); var fp2 = new FunctionParameter("nMean", FunctionParameter.NUMBER); fp2.setName("Mean Periods"); fp2.setLowerLimit(1); fp2.setDefault(21);}var bVersion = null;var bInit = false;var xW = null;var xW_mean = null;var xW_stdev = null;function main(nStdev, nMean) { if (bVersion == null) bVersion = verify(); if (bVersion == false) return; if (getCurrentBarCount() <= Math.max(nStdev, nMean)) return null; if (bInit == false) { xW = efsInternal("calcW"); xW_mean = sma(nMean, xW); xW_stdev = efsInternal("calcStdev", xW, nStdev); bInit = true; } var nNormP = xW.getValue(0); var nWhiteNoise = (xW.getValue(0) - xW_mean.getValue(0)) / xW_stdev.getValue(0); return new Array(nNormP, nWhiteNoise);}function calcW() { return (close(0) - close(-1));}function calcStdev(xSrc, n) { var sumX = 0; var sumX2 = 0; if (xSrc.getValue(-n) == null) return; for (i = 0; i < n; ++i) { sumX += xSrc.getValue(-i); sumX2 += (xSrc.getValue(-i) * xSrc.getValue(-i)) } var meanX = (sumX/n); var stdev = Math.sqrt((sumX2/n) - (meanX*meanX)); return stdev;}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: Harnessing The (Mis)Behavior Of Markets by Rick MartinelliVersion 1.0 04/06/2006Notes:* June 2006 Issue of Stocks and Commodities Magazine* Study requires version 7.9.1 or higher.Formula Parameters: Defaults:Alpha Cutoff 1***************************************/function preMain() { setStudyTitle("Trading System "); setCursorLabelName("Fortune", 0); setDefaultBarThickness(2, 0); setDefaultBarFgColor(Color.navy, 0); var fp1 = new FunctionParameter("nCutoff", FunctionParameter.NUMBER); fp1.setName("Alpha Cutoff"); fp1.setLowerLimit(0); fp1.setDefault(1);}var bVersion = null;var bInit = false;var xW = null;var xSigma = null;var xDeltaP = null;var xAlpha = null;var xA_factor = null;var nSum = 0;function main(nCutoff) { if (bVersion == null) bVersion = verify(); if (bVersion == false) return; if (bInit == false) { xW = efsInternal("calcW"); xDeltaP = efsInternal("calcDeltaP", xW); xSigma = efsInternal("calcStdev", xW, 7); xAlpha = efsInternal("calcAlpha", xDeltaP, xSigma); xA_factor = efsInternal("calcA_factor", xAlpha, nCutoff); addBand(0, PS_SOLID, 2, Color.magenta, 0); bInit = true; } var nState = getBarState(); var nP_1 = close(-1); var nFortune = 0; var nA_factor_1 = xA_factor.getValue(-1); var nA_factor_2 = xA_factor.getValue(-2); if (nP_1 == null || nA_factor_2 == null || xSigma.getValue(0) == null || xAlpha.getValue(0) == null) return 0; if (nState == BARSTATE_NEWBAR) { nSum += (nA_factor_2 * xW.getValue(-1)); } if (nSum != 0) { nFortune = ((nSum + (nA_factor_1 * xW.getValue(0))) / nP_1); } return nFortune;}function calcW() { return (close(0) - close(-1));}function calcStdev(xSrc, n) { var sumX = 0; var sumX2 = 0; if (xSrc.getValue(-n) == null) return; for (i = 0; i < n; ++i) { sumX += xSrc.getValue(-i); sumX2 += (xSrc.getValue(-i) * xSrc.getValue(-i)) } var meanX = (sumX/n); var stdev = Math.sqrt((sumX2/n) - (meanX*meanX)); return stdev;}function calcDeltaP(xSrc) { return ((xSrc.getValue(0) + xSrc.getValue(-1)) + sma(3, 0)) - close(0);}function calcAlpha(xSrc1, xSrc2) { return xSrc1.getValue(0) / xSrc2.getValue(0);}function calcA_factor(xSrc, C) { var nA = 0; if (xSrc.getValue(0) > C) nA = 1; else if (xSrc.getValue(0) < -C) nA = -1; return nA;}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: Harnessing The (Mis)Behavior Of Markets by Rick MartinelliVersion 1.0 04/06/2006Notes:* June 2006 Issue of Stocks and Commodities Magazine* Study requires version 7.9.1 or higher.Formula Parameters: Defaults:Account Value 10000***************************************/function preMain() { setStudyTitle("Fortune Indicator "); setCursorLabelName("Fortune", 0); setDefaultBarThickness(2, 0); setDefaultBarFgColor(Color.navy, 0); var fp1 = new FunctionParameter("nDollars", FunctionParameter.NUMBER); fp1.setName("Account Value"); fp1.setLowerLimit(0); fp1.setDefault(10000);}var bVersion = null;var bInit = false;var xW = null;var nSum = 0;var nCntr = 1;function main(nDollars) { if (bVersion == null) bVersion = verify(); if (bVersion == false) return; if (bInit == false) { xW = efsInternal("calcW"); addBand(0, PS_SOLID, 2, Color.magenta, 0); bInit = true; } var nState = getBarState(); var nP_1 = close(-1); var nFortune = 0; if (nP_1 == null) return; if (nState == BARSTATE_NEWBAR) { nCntr++; nSum += xW.getValue(-1); } if (nSum != 0) { nFortune = ((nSum + xW.getValue(0)) / nP_1) * nDollars; } return nFortune;}function calcW() { return (close(0) - close(-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;}/***************************************Provided By : eSignal (c) Copyright 2006Description: Harnessing The (Mis)Behavior Of Markets by Rick MartinelliVersion 1.0 04/06/2006Notes:* June 2006 Issue of Stocks and Commodities Magazine* Study requires version 7.9.1 or higher.Formula Parameters: Defaults:Alpha Cutoff 1***************************************/function preMain() { setStudyTitle("Win/Loss Ratio "); setCursorLabelName("W/L", 0); setDefaultBarThickness(3, 0); setDefaultBarFgColor(Color.navy, 0); setPlotType(PLOTTYPE_HISTOGRAM, 0); var fp1 = new FunctionParameter("nCutoff", FunctionParameter.NUMBER); fp1.setName("Alpha Cutoff"); fp1.setLowerLimit(0); fp1.setDefault(1);}var bVersion = null;var bInit = false;var xW = null;var xSigma = null;var xDeltaP = null;var xAlpha = null;function main(nCutoff) { if (bVersion == null) bVersion = verify(); if (bVersion == false) return; if (bInit == false) { xW = efsInternal("calcW"); xSigma = efsInternal("calcStdev", xW, 7); xDeltaP = efsInternal("calcDeltaP", xW); xAlpha = efsInternal("calcAlpha", xDeltaP, xSigma); addBand(0, PS_SOLID, 2, Color.magenta, 0); bInit = true; } var nState = getBarState(); var nWL = 0; if (xAlpha.getValue(-2) == null) return 0; // Trading $ accumulation if (nState == BARSTATE_NEWBAR) { if (xAlpha.getValue(-2) > nCutoff) { // long signal nWL = (close(-1) - close(-2)) / close(-2); } else if (xAlpha.getValue(-2) < -nCutoff) { // short signal nWL = (close(-2) - close(-1)) / close(-2); } } return nWL;}function calcW() { return (close(0) - close(-1));}function calcStdev(xSrc, n) { var sumX = 0; var sumX2 = 0; if (xSrc.getValue(-n) == null) return; for (i = 0; i < n; ++i) { sumX += xSrc.getValue(-i); sumX2 += (xSrc.getValue(-i) * xSrc.getValue(-i)) } var meanX = (sumX/n); var stdev = Math.sqrt((sumX2/n) - (meanX*meanX)); return stdev;}function calcDeltaP(xSrc) { return ((xSrc.getValue(0) + xSrc.getValue(-1)) + sma(3, 0)) - close(0);}function calcAlpha(xSrc1, xSrc2) { return xSrc1.getValue(0) / xSrc2.getValue(0);}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;} |
