FVEStrategy.efs
EFSLibrary - Discussion Board
File Name: FVEStrategy.efs
Description:
FVE Strategy
Formula Parameters:
- Samples - number of bars to calculate FVE: 50
- FVEenterl - lower entry level of FVE: -20
- FVEenteru - upper entry level of FVE: 10
- MA - number of bars to calculate MA: 40
- LRPeriod - number of bars to calculate Linear regression: 20
- Bangle - the angle to buy: 30
- Sangle - the angle to sell: -30
- LRC - number of bars to calculate Linear regression slope: 30
- UB - limit for Linear regression rising: 0.1
- LB - limit for Linear regression falling: -0.5
- BarToExitOn - number of bars to exit position: 70
Notes:
This is a strategy based on FVE (Finite Volume Elements) indicator.
Download File:
FVEStrategy.efs
EFS Code:
/*********************************
Provided By:
eSignal (Copyright c eSignal), a division of Interactive Data
Corporation. 2008. 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:
FVE Strategy
Version: 1.0 10/14/2008
Notes:
This is a strategy based on FVE (Finite Volume Elements) indicator.
Formula Parameters: Default:
Samples - number of bars to calculate FVE 50
FVEenterl - lower entry level of FVE -20
FVEenteru - upper entry level of FVE 10
MA - number of bars to calculate MA 40
LRPeriod - number of bars to calculate Linear regression 20
Bangle - the angle to buy 30
Sangle - the angle to sell -30
LRC - number of bars to calculate Linear regression slope 30
UB - limit for Linear regression rising 0.1
LB - limit for Linear regression falling -0.5
BarToExitOn - number of bars to exit position 70
**********************************/
var fpArray = new Array();
var bInit = false;
function preMain(){
setPriceStudy(false);
setShowCursorLabel(false);
setShowTitleParameters( false );
setStudyTitle("FVE Strategy");
setColorPriceBars(true);
var x=0;
fpArray[x] = new FunctionParameter("Samples", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Number Of Bars To Calculate FVE");
setLowerLimit(1);
setDefault(50);
}
fpArray[x] = new FunctionParameter("FVEenterl", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Lower Entry Level Pf FVE");
setLowerLimit(-100);
setDefault(-20);
}
fpArray[x] = new FunctionParameter("FVEenteru", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Upper Entry Level Of FVE");
setLowerLimit(1);
setDefault(10);
}
fpArray[x] = new FunctionParameter("MA", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Length To Calculate MA");
setLowerLimit(1);
setDefault(40);
}
fpArray[x] = new FunctionParameter("LRPeriod", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Length To Calculate Linear Regression");
setLowerLimit(1);
setDefault(20);
}
fpArray[x] = new FunctionParameter("Bangle", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("The Angle To Buy");
setLowerLimit(0);
setDefault(30);
}
fpArray[x] = new FunctionParameter("Sangle", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("The Angle To Sell");
setLowerLimit(-100);
setDefault(-30);
}
fpArray[x] = new FunctionParameter("LRC", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Length Linear Regression Slope");
setLowerLimit(1);
setDefault(30);
}
fpArray[x] = new FunctionParameter("UB", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Limit Ror Linear Regression Rising");
setLowerLimit(0);
setDefault(0.1);
}
fpArray[x] = new FunctionParameter("LB", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Limit For Linear Regression Falling");
setLowerLimit(-100);
setDefault(-0.5);
}
fpArray[x] = new FunctionParameter("BarToExitOn", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Length To Exit Position");
setLowerLimit(1);
setDefault(70);
}
}
var EMA_1 = 0;
var EMA = 0;
var VolumePlusMinusArray = new Array();
var FVEArray = new Array();
var BarsSinceEntry = 0;
var xTP = null;
function main(Samples, FVEenterl, FVEenteru, MA, LRPeriod, Bangle, Sangle, LRC, UB, LB, BarToExitOn){
var nState = getBarState();
var TP = 0,
TP1 = 0,
MF = 0,
Cintra = .1,
Cinter = .1,
CutOff = 0,
VolumePlusMinus = 0,
FVE = 0,
Fvesum = 0,
FveFactor = 0,
Intra = 0,
Inter = 0,
Vintra = 0,
Vinter = 0,
i = 0,
VolSum = 0;
K = 2 / (MA + 1),
vHL = high(0) - low(0),
vVar = vHL * 0.25,
vAddVar = vVar * 0.35,
Condition1 = false,
Condition2 = false,
Condition3 = false,
Condition4 = false,
Condition5 = false;
var IntraArray = new Array();
var InterArray = new Array();
if (nState == BARSTATE_ALLBARS) {
if(Samples == null) Samples = 50;
if(FVEenterl == null) FVEenterl = -20;
if(FVEenteru == null) FVEenteru = 10;
if(MA == null) MA = 40;
if(LRPeriod == null) LRPeriod = 20;
if(Bangle == null) Bangle = 30;
if(Sangle == null) Sangle = -30;
if(LRC == null) LRC = 30;
if(UB == null) UB = .1;
if(LB == null) LB = -.5;
if(BarToExitOn == null) BarToExitOn = 70;
}
if (bInit == false) {
xTP = hlc3();
bInit = true;
}
if(getCurrentBarIndex() == 0) return;
setPriceBarColor(Color.black);
for(i = 0; i < Samples; i++){
IntraArray[i] = Math.log(high(-i)) - Math.log(low(-i));
InterArray[i] = Math.log(xTP.getValue(-i)) - Math.log(xTP.getValue(-i-1));
}
Intra = Math.log(high(0)) - Math.log(low(0));
Vintra = StandardDev(IntraArray, Samples);
Inter = Math.log(xTP.getValue(0)) - Math.log(xTP.getValue(-1));
Vinter = StandardDev(InterArray, Samples);
CutOff = Cintra * Vintra + Cinter * Vinter;
MF = (close(0) - (high(0) + low(0))/2)+ xTP.getValue(0) - xTP.getValue(-1);
if(MF > CutOff * close(0))
FveFactor = 1;
else if(MF < -1 * CutOff * close(0))
FveFactor = -1;
else
FveFactor=0;
VolumePlusMinus = volume(0) * FveFactor;
for(i = Samples - 1; i > 0; i--)
VolumePlusMinusArray[i] = VolumePlusMinusArray[i - 1];
VolumePlusMinusArray[0] = VolumePlusMinus;
for(i = 0; i < Samples; i++){
Fvesum += VolumePlusMinusArray[i];
VolSum += volume(-i);
}
if(VolumePlusMinusArray[Samples - 1] != null){
FVE = (Fvesum / VolSum) * 100;
for(i = LRPeriod - 1; i > 0; i--)
FVEArray[i] = FVEArray[i - 1];
FVEArray[0] = FVE;
if (getBarState() == BARSTATE_NEWBAR)
EMA_1 = EMA;
EMA = K * FVE + (1 - K) * EMA_1;
}
else
return;
if(FVEArray[LRPeriod - 1] != null){
BarsSinceEntry++;
if(FVE > FVEenterl && FVE < FVEenteru){
Condition1 = true;
}
if(LinearReg(FVEArray,LRPeriod,"AngleFC",LRC-1) > Bangle){
Condition2 = true;
}
if(FVE > EMA){
Condition3 = true;
}
if(LinearReg(close(0,-LRC),LRC,"Slope",LRC-1) < UB * LinearReg(close(0,-LRC),LRC,"Value",LRC-1) / 100 && LinearReg(close(0,-LRC),LRC,"Slope",LRC-1) > LB * LinearReg(close(0,-LRC),LRC,"Value",LRC-1) / 100){
Condition4 = true;
}
if(LinearReg(FVEArray,LRPeriod,"AngleFC",LRC-1) < Sangle){
Condition5 = true;
}
if(!Strategy.isLong() && Condition1 && Condition2 && Condition3 && Condition4){
Strategy.doLong("BUY", Strategy.CLOSE, Strategy.THISBAR);
setPriceBarColor(Color.lime);
drawTextRelative(-1, 0, "Long", Color.black, Color.lime, Text.VCENTER | Text.BOLD | Text.PRESET, null, null, "buyTxt" + getValue("time"));
BarsSinceEntry = 0;
}
if(Condition5 && Strategy.isLong()){
Strategy.doSell("FVE EXIT", Strategy.CLOSE, Strategy.THISBAR);
setPriceBarColor(Color.red);
drawTextRelative(-1, 0, "Exit Long", Color.black, Color.red, Text.VCENTER | Text.BOLD | Text.PRESET, null, null, "buyTxt" + getValue("time"));
}
if(BarsSinceEntry == BarToExitOn && Strategy.isLong()){
Strategy.doSell("TimeBarsLX", Strategy.CLOSE, Strategy.THISBAR);
setPriceBarColor(Color.red);
drawTextRelative(-1, 0, "Exit Long", Color.black, Color.red, Text.VCENTER | Text.BOLD | Text.PRESET, null, null, "buyTxt" + getValue("time"));
}
return LinearReg(close(0,-LRC),LRC,"Slope",LRC-1);
}
else
return;
}
function StandardDev(Array, Length, Type){
var i;
var vSum = 0;
var SumSqr = 0;
var StdDev = 0;
for(i = 0; i < Length; i++)
vSum += Array[i];
if(Length != 0)
for(i = 0; i < Length; i++)
SumSqr += (Array[i] - vSum / Length) * (Array[i] - vSum / Length);
StdDev = Math.sqrt(SumSqr / Length);
return StdDev;
}
function LinearReg(Array, Length, Type, TargetB){
var i = 0, num1 = 0, num2 = 0, SumBars = 0, SumSqrBars = 0, SumY = 0, Sum1 = 0, Sum2 = 0, Slope = 0, Intercept = 0;
if(Length == 0)
return 0;
SumBars = Length * (Length - 1) * .5;
SumSqrBars = (Length - 1) * Length * (2 * Length - 1) / 6;
Sum1 = 0;
for(i = 0; i < Length; i++){
Sum1 += i * Array[i];
SumY += Array[i];
}
Sum2 = SumBars * SumY;
Num1 = Length * Sum1 - Sum2;
Num2 = SumBars * SumBars - Length * SumSqrBars;
if(Num2 != 0)
Slope = Num1 / Num2;
else
Slope = 0;
if(Type == "AngleFC")
return Math.atan(Slope);
else if(Type == "Slope")
return Slope;
else if(Type == "Value"){
Intercept = (SumY - Slope * SumBars) / Length;
return Intercept + Slope * (Length - 1 - TargetB);
}
}