CondensedCandlesticks.efs
File Name: CondensedCandlesticks.efs
Description:
Candlesticks, Condensed by David Cline
Formula Parameters:
CondensedCandlesticks.efs
- Weight Periods: 10
- Segment Count: 6
- Report Mode: Include all candles
Notes:
The related article is copyrighted material. If you are not a subscriber of Stocks & Commodities, please visit www.traders.com.
Download File:
CondensedCandlesticks.efs
CondensedCandlesticks.efs
EFS Code:
CondensedCandlesticks.efs
/*********************************
Provided By:
Interactive Data Corporation (Copyright В© 2014)
All rights reserved. This sample eSignal Formula Script (EFS)
is for educational purposes only. Interactive Data Corporation
reserves the right to modify and overwrite this EFS file with
each new release.
Description:
Candlesticks, Condensed by David Cline
Formula Parameters: Default:
Weight Periods 10
Segment Count 6
Report Mode Include all candles
Version: 1.00 12/08/2014
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("CondensedCandlesticks");
setPriceStudy(true);
setCursorLabelName("Bar Signature", 0);
setComputeOnClose(true);
var x = 0;
fpArray[x] = new FunctionParameter("fpPeriods", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Weight Periods");
setLowerLimit(1);
setDefault(10);
}
fpArray[x] = new FunctionParameter("fpSegCount", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Segment Count");
setLowerLimit(1);
setDefault(6);
}
fpArray[x] = new FunctionParameter("fpRepMode", FunctionParameter.STRING);
with(fpArray[x++]){
setName("Report Mode");
addOption("Include all candles");
addOption("Include the top and bottom 10 candles");
setDefault("Include all candles");
}
}
var bInit = false;
var bVersion = null;
var xOpen = null;
var xHigh = null;
var xLow = null;
var xClose = null;
var candlePatterns = {};
var nSegmentDivisor = null;
var fCandles = new File("Candles.csv");
//The Script outputs the results of the analysis of Candles signatures
//to the file "C:\Users\User_name\Documents\Interactive Data\FormulaOutput\Candles.csv"
function main(fpPeriods, fpSegCount, fpRepMode){
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
nSegmentDivisor = 100.0 / fpSegCount;
if (!bInit){
xOpen = open();
xHigh = high();
xLow = low();
xClose = close();
xRange = efsInternal('calc_Range', xHigh, xLow);
xAverageRange = sma(fpPeriods, xRange);
bInit = true;
}
if (getBarState() == BARSTATE_ALLBARS)
candlePatterns = {};
var nCandleRange = xRange.getValue(-1);
var nAverageRange = xAverageRange.getValue(0);
if (nAverageRange == null || nCandleRange == null)
return;
var nRangeMultiplier = nCandleRange / nAverageRange;
if (nRangeMultiplier > 1) nRangeMultiplier = 1;
var nCandleRange = nCandleRange / 100;
var nPrOpen = xOpen.getValue(-1);
var nPrHigh = xHigh.getValue(-1);
var nPrLow = xLow.getValue(-1);
var nPrClose = xClose.getValue(-1);
var nClose = xClose.getValue(0);
var nStartClose = xClose.getValue(-fpPeriods + 1);
if (nPrOpen == null || nPrHigh == null ||
nPrLow == null || nPrClose == null ||
nStartClose == null)
return;
var nHO = Math.round((((nPrHigh - nPrOpen) / nCandleRange) * nRangeMultiplier ) / nSegmentDivisor);
var nHC = Math.round((((nPrHigh - nPrClose) / nCandleRange) * nRangeMultiplier ) / nSegmentDivisor);
var nOL = Math.round((((nPrOpen - nPrLow) / nCandleRange) * nRangeMultiplier ) / nSegmentDivisor);
var stSign = null;
if (nPrOpen > nClose) stSign = '+'
else stSign = '-';
var stCandleSignature = stSign + nHO + ':' + nHC + ':' + nOL;
var nCandleReturn = nStartClose - nClose;
if (candlePatterns.hasOwnProperty(stCandleSignature)){
if (nCandleReturn > 0) candlePatterns[stCandleSignature]['Ups'] += 1
else candlePatterns[stCandleSignature]['Ups'] += 0;
if (nCandleReturn <= 0) candlePatterns[stCandleSignature]['Downs'] += 1
else candlePatterns[stCandleSignature]['Downs'] += 0;
candlePatterns[stCandleSignature]['Total'] += nCandleReturn;
candlePatterns[stCandleSignature]['Count'] += 1;
}
else{
candlePatterns[stCandleSignature] = {};
if (nCandleReturn > 0) candlePatterns[stCandleSignature]['Ups'] = 1
else candlePatterns[stCandleSignature]['Ups'] = 0;
if (nCandleReturn <= 0) candlePatterns[stCandleSignature]['Downs'] = 1
else candlePatterns[stCandleSignature]['Downs'] = 0;
candlePatterns[stCandleSignature]['Total'] = nCandleReturn;
candlePatterns[stCandleSignature]['Count'] = 1;
}
if (getCurrentBarIndex() == -1)
processCandleReturns(fpRepMode);
return stCandleSignature;
}
function calc_Range(xHigh, xLow){
return xHigh.getValue(0) - xLow.getValue(0);
}
function processCandleReturns(stRepMode){
var arrCandlePatterns = [];
for (candle in candlePatterns){
candleMetric = candlePatterns[candle];
candleMetric['PctUp'] = candleMetric['Ups'] / candleMetric['Count'];
candleMetric['AvgReturn'] = candleMetric['Total'] / candleMetric['Count'];
candleMetric['Rank'] = candleMetric['PctUp'] * candleMetric['Ups'] * candleMetric['AvgReturn'];
arrCandlePatterns.push([candle, candlePatterns[candle]]);
}
arrCandlePatterns.sort(function(a, b){
return a[1]['Rank'] - b[1]['Rank'];
});
fCandles.open("wt");
fCandles.writeln("Signature, Rank, Count, Ups, Downs, Total, AvgReturn, PctUp");
if (stRepMode == "Include the top and bottom 10 candles" && arrCandlePatterns.length > 20){
for (i = 0; i < 10; i++){
fCandles.writeln(arrCandlePatterns[i][0] + ", " +
arrCandlePatterns[i][1]['Rank'] + ", " +
arrCandlePatterns[i][1]['Count'] + ", " +
arrCandlePatterns[i][1]['Ups'] + ", " +
arrCandlePatterns[i][1]['Downs'] + ", " +
arrCandlePatterns[i][1]['Total'] + ", " +
arrCandlePatterns[i][1]['AvgReturn'] + ", " +
arrCandlePatterns[i][1]['PctUp']);
}
for (i = arrCandlePatterns.length - 10; i < arrCandlePatterns.length; i++){
fCandles.writeln(arrCandlePatterns[i][0] + ", " +
arrCandlePatterns[i][1]['Rank'] + ", " +
arrCandlePatterns[i][1]['Count'] + ", " +
arrCandlePatterns[i][1]['Ups'] + ", " +
arrCandlePatterns[i][1]['Downs'] + ", " +
arrCandlePatterns[i][1]['Total'] + ", " +
arrCandlePatterns[i][1]['AvgReturn'] + ", " +
arrCandlePatterns[i][1]['PctUp']);
}
}
else
for (i = 0; i < arrCandlePatterns.length; i++)
fCandles.writeln(arrCandlePatterns[i][0] + ", " +
arrCandlePatterns[i][1]['Rank'] + ", " +
arrCandlePatterns[i][1]['Count'] + ", " +
arrCandlePatterns[i][1]['Ups'] + ", " +
arrCandlePatterns[i][1]['Downs'] + ", " +
arrCandlePatterns[i][1]['Total'] + ", " +
arrCandlePatterns[i][1]['AvgReturn'] + ", " +
arrCandlePatterns[i][1]['PctUp']);
fCandles.close();
}
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;
}