/*********************************Provided By: Interactive Data Corporation (Copyright ???? 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: Slope Divergence: Capitalizing On Uncertainty by Perry KaufmanFormula Parameters: Default:Fast Mom trueMom Period 10Dvg Period1 5Dvg Period2 8Dvg Period3 13Entry Number 1Big Point Value 1Long Only falseVariable Size falseFutures falseLong Position Color aquaShort Position Color purple Exit Position Color greyVersion: 1.00 04/04/2014Notes: 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("TheThreePeriodDivergence"); setPriceStudy(true); var x = 0; fpArray[x] = new FunctionParameter("fpFastMom", FunctionParameter.BOOLEAN); with(fpArray[x++]) { setName("Fast Mom"); setDefault(true); } fpArray[x] = new FunctionParameter("fpMomPeriod", FunctionParameter.NUMBER); with(fpArray[x++]) { setName("Mom Period"); setDefault(10); setLowerLimit(1); } fpArray[x] = new FunctionParameter("fpDvgPeriod1", FunctionParameter.NUMBER); with(fpArray[x++]) { setName("Dvg Period1"); setDefault(5); setLowerLimit(1); } fpArray[x] = new FunctionParameter("fpDvgPeriod2", FunctionParameter.NUMBER); with(fpArray[x++]) { setName("Dvg Period2"); setDefault(8); setLowerLimit(1); } fpArray[x] = new FunctionParameter("fpDvgPeriod3", FunctionParameter.NUMBER); with(fpArray[x++]) { setName("Dvg Period3"); setDefault(13); setLowerLimit(1); } fpArray[x] = new FunctionParameter("fpEntryNumber", FunctionParameter.NUMBER); with(fpArray[x++]) { setName("Entry Number"); setDefault(1); setLowerLimit(1); setUpperLimit(3); } fpArray[x] = new FunctionParameter("fpBPValue", FunctionParameter.NUMBER); with(fpArray[x++]) { setName("Big Point Value"); setDefault(1); setLowerLimit(1); } fpArray[x] = new FunctionParameter("fpLongOnly", FunctionParameter.BOOLEAN); with(fpArray[x++]) { setName("Long Only"); setDefault(false); } fpArray[x] = new FunctionParameter("fpVariableSize", FunctionParameter.BOOLEAN); with(fpArray[x++]) { setName("Variable Size"); setDefault(false); } fpArray[x] = new FunctionParameter("fpFutures", FunctionParameter.BOOLEAN); with(fpArray[x++]) { setName("Futures"); setDefault(false); } fpArray[x] = new FunctionParameter("fpLongColor", FunctionParameter.COLOR); with(fpArray[x++]) { setName("Long Position Color"); setDefault(Color.cyan); } fpArray[x] = new FunctionParameter("fpShortColor", FunctionParameter.COLOR); with(fpArray[x++]) { setName("Short Position Color"); setDefault(Color.magenta); } fpArray[x] = new FunctionParameter("fpExitColor", FunctionParameter.COLOR); with(fpArray[x++]) { setName("Exit Position Color"); setDefault(Color.grey); } }var bInit = false;var bVersion = null;var xClose = null;var xOpen = null;var xDay = null;var xMonth = null;var xYear = null;var xATR = null;var nATRperiod = 20;var xMom = null;var xMomSlope1 = 0;var xPriceSlope1 = 0;var xMomSlope2 = 0;var xPriceSlope2 = 0; var xMomSlope3 = 0;var xPriceSlope3 = 0;var nMaxDivergences = 3;var nInvestment = 25000;var nSize = 1;var nFuturesInvest = 25000;var nStockInvest = 10000;var bTrend1Up = false;var bTrend2Up = false;var bTrend3Up = false;var bTrend1Down = false;var bTrend2Down = false;var bTrend3Down = false;var nEntrySize = 0;var nTotalPL = 0;var nLongPL = 0;var nShortPL = 0;var nPrevPosition = 0;var fLog = new File("divergence_PL.csv");function main(fpFastMom, fpMomPeriod, fpDvgPeriod1, fpDvgPeriod2, fpDvgPeriod3, fpEntryNumber, fpBPValue, fpLongOnly, fpVariableSize, fpFutures, fpLongColor, fpShortColor, fpExitColor) { if (bVersion == null) bVersion = verify(); if (bVersion == false) return; if (!bInit) { xClose = close(); xOpen = open(); xDay = day(); xMonth = month(); xYear = year(); xATR = atr(nATRperiod); if (fpFastMom) xMom = stochK(fpMomPeriod, 1, 3) else xMom = stochD(fpMomPeriod, 1, 3) xPriceSlope1 = efsInternal("LinearRegression_Slope", xClose, fpDvgPeriod1); xMomSlope1 = efsInternal("LinearRegression_Slope", xMom, fpDvgPeriod1); xPriceSlope2 = efsInternal("LinearRegression_Slope", xClose, fpDvgPeriod2); xMomSlope2 = efsInternal("LinearRegression_Slope", xMom, fpDvgPeriod2); xPriceSlope3 = efsInternal("LinearRegression_Slope", xClose, fpDvgPeriod3); xMomSlope3 = efsInternal("LinearRegression_Slope", xMom, fpDvgPeriod3); bInit = true; } if (getBarState() == BARSTATE_ALLBARS) { fLog.open("wt"); fLog.writeln("Date, TotalPL, LongPL, ShortPL"); fLog.close(); nInvestment = 25000; nEntrySize = 0; nSize = 1; if (fpFutures) nInvestment = nFuturesInvest else nInvestment = nStockInvest; nLongPL = nInvestment; nShortPL = nInvestment; nTotalPL = nInvestment; nPrevPosition = 0; } if (getCurrentBarIndex() == 0) return; var nNextClose = xClose.getValue(1); var nClose = xClose.getValue(0); var nNextOpen = xOpen.getValue(1); var nDay = xDay.getValue(0); var nMonth = xMonth.getValue(0); var nYear = xYear.getValue(0); var nATR = xATR.getValue(0); var nPriceSlope1 = xPriceSlope1.getValue(0); var nMomSlope1 = xMomSlope1.getValue(0); var nPriceSlope2 = xPriceSlope2.getValue(0); var nMomSlope2 = xMomSlope2.getValue(0); var nPriceSlope3 = xPriceSlope3.getValue(0); var nMomSlope3 = xMomSlope3.getValue(0); if (nPriceSlope1 == null || nMomSlope1 == null || nPriceSlope2 == null || nMomSlope2 == null || nPriceSlope3 == null || nMomSlope3 == null || nATR == null) return; if (fpVariableSize) if (fpFutures) nSize = nInvestment / (nATR * fpBPValue) else nSize = nInvestment / nClose; var bEnterToday = false; var bExitToday = false; var bDvgBuy1 = false; var bDvgSell1 = false; if (nPriceSlope1 > 0 && nMomSlope1 < 0) bDvgBuy1 = true; if (nPriceSlope1 < 0 && nMomSlope1 > 0) bDvgSell1 = true; var bDvgBuy2 = false; var bDvgSell2 = false; if (nPriceSlope2 > 0 && nMomSlope2 < 0) bDvgBuy2 = true; if (nPriceSlope2 < 0 && nMomSlope2 > 0) bDvgSell2 = true; var bDvgBuy3 = false; var bDvgSell3 = false; if (nPriceSlope3 > 0 && nMomSlope3 < 0) bDvgBuy3 = true; if (nPriceSlope3 < 0 && nMomSlope3 > 0) bDvgSell3 = true; var nBuys = 0; if (bDvgBuy1) nBuys++; if (bDvgBuy2) nBuys++; if (bDvgBuy3) nBuys++; var nSells = 0; if (bDvgSell1) nSells++; if (bDvgSell2) nSells++; if (bDvgSell3) nSells++; bTrend1Up = nPriceSlope1 > 0 && nMomSlope1 > 0; bTrend2Up = nPriceSlope2 > 0 && nMomSlope2 > 0; bTrend3Up = nPriceSlope3 > 0 && nMomSlope3 > 0; trend1down = nPriceSlope1 < 0 && nMomSlope1 < 0; trend2down = nPriceSlope2 < 0 && nMomSlope2 < 0; trend3down = nPriceSlope3 < 0 && nMomSlope3 < 0; var nPriceSlopeUp = 0; var nPriceSlopeDown = 0; if (nPriceSlope1 >= 0) nPriceSlopeUp++; else nPriceSlopeDown++; if (nPriceSlope2 >= 0) nPriceSlopeUp++; else nPriceSlopeDown++; if (nPriceSlope3 >= 0) nPriceSlopeUp++; else nPriceSlopeDown++; var nMomSlopeUp = 0; var nMomSlopeDown = 0; if (nMomSlope1 >= 0) nMomSlopeUp++; else nMomSlopeDown++; if (nMomSlope2 >= 0) nMomSlopeUp++; else nMomSlopeDown++; if (nMomSlope3 >= 0) nMomSlopeUp++; else nMomSlopeDown++; if (Strategy.isInTrade()) if ((nPriceSlopeUp == nMaxDivergences && nMomSlopeUp == nMaxDivergences) || (nPriceSlopeDown == nMaxDivergences && nMomSlopeDown == nMaxDivergences)) { if (Strategy.isLong()) { Strategy.doSell("XLall", Strategy.MARKET, Strategy.NEXTBAR, Strategy.ALL); drawShapeRelative(1, AboveBar1, Shape.DOWNTRIANGLE, null, fpExitColor, Text.PRESET, getCurrentBarIndex()+"XLall_Shape"); drawTextRelative(1, AboveBar2, "XLall", fpExitColor, null, Text.PRESET|Text.CENTER, null, null, getCurrentBarIndex()+"XLall_Text"); drawTextRelative(1, AboveBar3, "0", fpExitColor, null, Text.PRESET|Text.CENTER, null, null, getCurrentBarIndex()+"XLall_Size"); } else if (Strategy.isShort()) { Strategy.doCover("XSall", Strategy.MARKET, Strategy.NEXTBAR, Strategy.ALL); drawShapeRelative(1, BelowBar1, Shape.UPTRIANGLE, null, fpExitColor, Text.PRESET, getCurrentBarIndex()+"XSall_Shape"); drawTextRelative(1, BelowBar2, "XSall", fpExitColor, null, Text.PRESET|Text.CENTER, null, null, getCurrentBarIndex()+"XSall_Text"); drawTextRelative(1, BelowBar3, "0", fpExitColor, null, Text.PRESET|Text.CENTER, null, null, getCurrentBarIndex()+"XSall_Size"); } bExitToday = true; } if ((!Strategy.isInTrade() || Strategy.isShort()) && (nBuys >= fpEntryNumber)) { if (Strategy.isShort()) { Strategy.doCover("RevShort", Strategy.CLOSE, Strategy.THISBAR, Strategy.ALL); drawShapeRelative(0, BelowBar1, Shape.UPTRIANGLE, null, fpExitColor, Text.PRESET, getCurrentBarIndex()+"RevShort_Shape"); drawTextRelative(0, BelowBar2, "RevShort", fpExitColor, null, Text.PRESET|Text.CENTER, null, null, getCurrentBarIndex()+"RevShort_Text"); drawTextRelative(0, BelowBar3, "0", fpExitColor, null, Text.PRESET|Text.CENTER, null, null, getCurrentBarIndex()+"RevShort_Size"); } if (nSize >= 1) { Strategy.doLong("NewBuy", Strategy.MARKET, Strategy.NEXTBAR, nSize); drawShapeRelative(1, BelowBar1, Shape.UPTRIANGLE, null, fpLongColor, Text.PRESET, getCurrentBarIndex()+"NewBuy_Shape"); drawTextRelative(1, BelowBar2, "NewBuy", fpLongColor, null, Text.PRESET|Text.CENTER, null, null, getCurrentBarIndex()+"NewBuy_Text"); drawTextRelative(1, BelowBar3, nSize.toFixed(), fpLongColor, null, Text.PRESET|Text.CENTER, null, null, getCurrentBarIndex()+"NewBuy_Size"); nEntrySize = nSize; bEnterToday = true; } } else if ((!Strategy.isInTrade() || Strategy.isLong()) && (!fpLongOnly) && (nSells >= fpEntryNumber)) { if (Strategy.isLong()) { Strategy.doSell("RevLong", Strategy.CLOSE, Strategy.THISBAR, Strategy.ALL); drawShapeRelative(0, AboveBar1, Shape.DOWNTRIANGLE, null, fpExitColor, Text.PRESET, getCurrentBarIndex()+"RevLong_Shape"); drawTextRelative(0, AboveBar2, "RevLong", fpExitColor, null, Text.PRESET|Text.CENTER, null, null, getCurrentBarIndex()+"RevLong_Text"); drawTextRelative(0, AboveBar3, "0", fpExitColor, null, Text.PRESET|Text.CENTER, null, null, getCurrentBarIndex()+"RevLong_Size"); } if (nSize >= 1) { Strategy.doShort("NewSell", Strategy.MARKET, Strategy.NEXTBAR, nSize); drawShapeRelative(1, AboveBar1, Shape.DOWNTRIANGLE, null, fpShortColor, Text.PRESET, getCurrentBarIndex()+"NewSell_Shape"); drawTextRelative(1, AboveBar2, "NewSell", fpShortColor, null, Text.PRESET|Text.CENTER, null, null, getCurrentBarIndex()+"NewSell_Text"); drawTextRelative(1, AboveBar3, nSize.toFixed(), fpShortColor, null, Text.PRESET|Text.CENTER, null, null, getCurrentBarIndex()+"NewSell_Size"); nEntrySize = nSize; bEnterToday = true; } } var nTodayLongPL = 0; var nTodayShortPL = 0; if (Strategy.isLong()) if (bEnterToday) { nTodayLongPL = 1 * nEntrySize * (nNextClose - nNextOpen) * fpBPValue; nLongPL += nTodayLongPL; } else { nTodayLongPL = 1 * nEntrySize * (nNextClose - nClose) * fpBPValue; nLongPL += nTodayLongPL; } else if (Strategy.isShort()) if (bEnterToday) { nTodayShortPL = -1 * nEntrySize * (nNextClose - nNextOpen) * fpBPValue; nShortPL += nTodayShortPL; } else { nTodayShortPL = -1 * nEntrySize * (nNextClose - nClose) * fpBPValue; nShortPL += nTodayShortPL; } if (!Strategy.isInTrade() && bExitToday) if (nPrevPosition > 0) { nTodayLongPL = nPrevPosition * nEntrySize * (nNextOpen - nClose) * fpBPValue; nLongPL += nTodayLongPL; } else { nTodayShortPL = nPrevPosition * nEntrySize * (nNextOpen - nClose) * fpBPValue; nShortPL += nTodayShortPL } var nTodayPL = nTodayLongPL + nTodayShortPL; nTotalPL += nTodayPL; nInvestment += nTodayPL; if (Strategy.isLong()) nPrevPosition = 1; if (Strategy.isShort()) nPrevPosition = -1; var sADate = nMonth + "/" + nDay + "/" + nYear; fLog.open("at"); fLog.writeln(sADate + ", " + formatPriceNumber(nTotalPL) + ", " + formatPriceNumber(nLongPL) + ", " + formatPriceNumber(nShortPL)); fLog.close(); return;}function LinearRegression_Slope(xSourse, nPeriod){ if (getCurrentBarCount() < nPeriod) return; var nPer = 1; var nTime = 0; var nTSq = 0; var nPrice = 0; var nTimePrice = 0; var nVal = 0; var nSlope = 0; for (var i = 0; i < nPeriod; i++) { nTime += nPer; nVal = xSourse.getValue(-(nPeriod - 1) + i); nPrice += nVal; nTimePrice += (nVal * nPer); nTSq += (nPer * nPer); nPer++; } nPer--; nSlope = ((nPer * nTimePrice) - (nTime * nPrice)) / ((nPer * nTSq) - (nTime * nTime)); return nSlope;}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;} |
