Commodity Selection Index

CSI.efs                                                                                                             EFSLibrary - Discussion Board

File Name: CSI.efs

Description:
Commodity Selection Index 

 

Formula Parameters:
PointValue: 50
Margin : 3000
Commission: 10
Length : 14

 

Notes:
The Commodity Selection Index ("CSI") is a momentum indicator. It was
developed by Welles Wilder and is presented in his book New Concepts in
Technical Trading Systems. The name of the index reflects its primary purpose.
That is, to help select commodities suitable for short-term trading.
A high CSI rating indicates that the commodity has strong trending and volatility
characteristics. The trending characteristics are brought out by the Directional
Movement factor in the calculation--the volatility characteristic by the Average
True Range factor.
Wilder's approach is to trade commodities with high CSI values (relative to other
commodities). Because these commodities are highly volatile, they have the potential
to make the "most money in the shortest period of time." High CSI values imply
trending characteristics which make it easier to trade the security.
The Commodity Selection Index is designed for short-term traders who can handle
the risks associated with highly volatile markets.

 

Download File:
CSI.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:        
    Commodity Selection Index

Version:            1.0  12/15/2008

Formula Parameters:                     Default:
    PointValue                           50
    Margin                               3000    
    Commission                           10
    Length                               14

Notes:
    The Commodity Selection Index ("CSI") is a momentum indicator. It was 
    developed by Welles Wilder and is presented in his book New Concepts in 
    Technical Trading Systems. The name of the index reflects its primary purpose. 
    That is, to help select commodities suitable for short-term trading.
    A high CSI rating indicates that the commodity has strong trending and volatility 
    characteristics. The trending characteristics are brought out by the Directional 
    Movement factor in the calculation--the volatility characteristic by the Average 
    True Range factor.
    Wilder's approach is to trade commodities with high CSI values (relative to other 
    commodities). Because these commodities are highly volatile, they have the potential 
    to make the "most money in the shortest period of time." High CSI values imply 
    trending characteristics which make it easier to trade the security.
    The Commodity Selection Index is designed for short-term traders who can handle 
    the risks associated with highly volatile markets.

**********************************/
var fpArray = new Array();
var bInit = false;

function preMain() {
    setStudyTitle("Commodity Selection Index"); 
    setCursorLabelName("CSI", 0);
    setDefaultBarFgColor(Color.green, 0);

    var x=0;
    fpArray[x] = new FunctionParameter("PointValue", FunctionParameter.NUMBER);
	with(fpArray[x++]){
        setLowerLimit(1);		
        setDefault(50);
    }
    fpArray[x] = new FunctionParameter("Margin", FunctionParameter.NUMBER);
	with(fpArray[x++]){
        setLowerLimit(1);		
        setDefault(3000);
    }
    fpArray[x] = new FunctionParameter("Commission", FunctionParameter.NUMBER);
	with(fpArray[x++]){
        setLowerLimit(1);		
        setDefault(10);
    }
    fpArray[x] = new FunctionParameter("Length", FunctionParameter.NUMBER);
	with(fpArray[x++]){
        setLowerLimit(1);		
        setDefault(14);
    }    
}

var xATR = null;
var xADX = null;
var xCSI = null;

function main(PointValue, Margin, Commission, Length){
var nState = getBarState();
    if (nState == BARSTATE_ALLBARS) {
        if (PointValue==null) PointValue = 50;
        if (Margin==null) Margin = 3000;    
        if (Commission==null) Commission = 10;
        if (Length==null) Length = 14;
    }    

    var K = 100 * ((PointValue / Math.sqrt(Margin) / (150 + Commission)));

    if(bInit==false){
        xATR = atr(Length);
        xADX = adx(Length, Length);
        xCSI = efsInternal("calcCSI", K, Length, xATR, xADX)
        bInit = true;
    }

    if (getCurrentBarCount() < Length) return; 

    return xCSI.getValue(0);
}

function calcCSI(K, Length, xATR, xADXR){
    if (xADXR.getValue(-Length) == null) return;
    var nADXR = (xADXR.getValue(0) + xADXR.getValue(-Length)) * 0.5;
    var nCSI = K * xATR.getValue(0) * nADXR;
    return nCSI;
}