Trade Directional Trend Index (Trade DTI)

DTI_Trade.efs                                                                                             EFSLibrary - Discussion Board

File Name: DTI_Trade.efs

Description:
Trade Directional Trend Index (Trade DTI)

 

Formula Parameters:
r : 14
s : 10
u : 5

 

Notes:
This is one of the techniques described by William Blau in his book
"Momentum, Direction and Divergence" (1995). His book focuses on three
key aspects of trading: momentum, direction and divergence. Blau, who
was an electrical engineer before becoming a trader, thoroughly examines
the relationship between price and momentum in step-by-step examples.
From this grounding, he then looks at the deficiencies in other oscillators
and introduces some innovative techniques, including a fresh twist on Stochastics.
On directional issues, he analyzes the intricacies of ADX and offers a unique
approach to help define trending and non-trending periods.

 

Download File:
DTI_Trade.efs




EFS Code:

/*********************************
Provided By:  
    eSignal (Copyright c eSignal), a division of Interactive Data 
    Corporation. 2009. 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:        
    Trade Directional Trend Index (Trade DTI)

Version:            1.0  03/19/2009

Formula Parameters:                     Default:
    r                                    14
    s                                    10
    u                                    5

Notes:
    This is one of the techniques described by William Blau in his book 
    "Momentum, Direction and Divergence" (1995). His book focuses on three 
    key aspects of trading: momentum, direction and divergence. Blau, who 
    was an electrical engineer before becoming a trader, thoroughly examines 
    the relationship between price and momentum in step-by-step examples. 
    From this grounding, he then looks at the deficiencies in other oscillators 
    and introduces some innovative techniques, including a fresh twist on Stochastics. 
    On directional issues, he analyzes the intricacies of ADX and offers a unique 
    approach to help define trending and non-trending periods.

**********************************/

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

function preMain() {
    setPriceStudy(false);
    setStudyTitle("Trade Directional Trend Index");
    setCursorLabelName("DTI Trade", 0);
    setCursorLabelName("DTI", 1);
    setDefaultBarFgColor(Color.green, 0);
    setDefaultBarFgColor(Color.blue, 1);
    setPlotType(PLOTTYPE_DOT, 0);
    setDefaultBarThickness(2, 0);
    addBand(0, PS_SOLID, 1, Color.red);    

    var x=0;    
    fpArray[x] = new FunctionParameter("r", FunctionParameter.NUMBER);
	with(fpArray[x++]){
        setLowerLimit(1);		
        setDefault(14);
    }

    fpArray[x] = new FunctionParameter("s", FunctionParameter.NUMBER);
	with(fpArray[x++]){
        setLowerLimit(1);		
        setDefault(10);
    }

    fpArray[x] = new FunctionParameter("u", FunctionParameter.NUMBER);
	with(fpArray[x++]){
        setLowerLimit(1);		
        setDefault(5);
    }
}

var nDTI_Ref = 0;
var nDTI = 0;
var xHMU = null;
var xLMD = null;
var xPrice = null;
var xPriceAbs = null;
var xuXA = null;
var xuXAAbs = null;

function main(r, s, u) {
var nVal4 = 0;
var nVal5 = 0;
var nDTI_Trade = 0;
var nBarState = getBarState();
    if(nBarState == BARSTATE_ALLBARS) {
        if (r == null) r = 14;
        if (s == null) s = 10;
        if (u == null) u = 5;
    }
    if (nBarState == BARSTATE_NEWBAR) {
        nDTI_Ref = nDTI;
    }
    if ( bInit == false ) { 
        xHMU = efsInternal("Calc_HMU");
        xLMD = efsInternal("Calc_LMD");
        xPrice = efsInternal("Calc_Price", xHMU, xLMD);
        xPriceAbs = efsInternal("Calc_PriceAbs", xPrice);
        xuXA = ema(u, ema(s, ema(r, xPrice)));
        xuXAAbs = ema(u, ema(s, ema(r, xPriceAbs)));
        bInit = true; 
    } 

    if (getCurrentBarCount() < Math.max(Math.max(r, s), u)) return;

    var Val1 = 100 * xuXA.getValue(0);
    var Val2 = xuXAAbs.getValue(0);
    if (Val2 != 0) nDTI = Val1 / Val2;
    else nDTI = 0;
    
    if (((nDTI - nDTI_Ref) > 0) && (nDTI > 0)) nVal4 = nDTI;
    else Val4 = 0;
    if (((nDTI - nDTI_Ref) < 0) && (nDTI < 0)) nVal5 = nDTI;
    else Val5 = 0;
    nDTI_Trade = nVal4 + nVal5;
    if (nDTI_Trade == null) return;
    
    return new Array(nDTI_Trade, nDTI);
}

function Calc_PriceAbs(xPrice) {
var nRes = 0;
    nRes = Math.abs(xPrice.getValue(0));
    if (nRes == null) nRes = 1;
    return nRes;
}

function Calc_Price(xHMU, xLMD) {
var nRes = 0;
    nRes = xHMU.getValue(0) - xLMD.getValue(0);
    if (nRes == null) nRes = 1;
    return nRes;
}

var xHmom = null;
var xHInit = false;

function Calc_HMU() {
var nRes = 0;
var nHmom = 0;
    if (xHInit == false) {
        xHmom = mom(1,high());
        xHInit = true;
    }
    nHmom = xHmom.getValue(0);
    if (nHmom == null) return;
    if (nHmom > 0) {
        nRes = nHmom;
    }
    else nRes = 0;
    return nRes;
}

var xLmom = null;
var xLInit = false;

function Calc_LMD() {
var nRes = 0;
var nLmom = 0;
    if (xLInit == false) {
        xLmom = mom(1,low());
        xLInit = true;
    }
    nLmom = xLmom.getValue(0);
    if (nLmom == null) return;
    if (nLmom < 0) {
        nRes = -(nLmom);
    }
    else nRes = 0;
    return nRes;
}