2006 Apr: The Average Peak Excursion (APE.efs)

APE.efs, APE_alpha.efs  

EFSLibrary - Discussion Board  

File Name: APE.efs

Description:
These studies are based on the April 2006 article, The Average Peak Excursion, by Chris Young.

 

Formula Parameters:

APE.efs

• n-Day Avg Peak Excursion: 20

APE_alpha.efs

• n-Day Avg Peak Excursion: 20

Notes:
The APE.efs study plots the n-period APE, n-period Peaks and the 1-period APE series as a non-price study. The APE_alpha.efs study is also a non-price study that plots the APE alpha as described in the article. Please note that the APE_alpha.efs formula directly calls APE.efs to perform its calculations. Therefore, both formulas need to be saved to the same folder. The related article is copyrighted material. If you are not a subscriber of Stocks & Commodities, please visit www.traders.com.

 

Download File:
APE.efs
APE_alpha.efs

EFS Code:

APE.efs

/***************************************
Provided By : eSignal (c) Copyright 2006
Description:  The Average Peak Excursion - by Chris Young

Version 1.0  02/06/2006

Notes:
* Apr 2006 Issue of Stocks and Commodities Magazine
* Study requires version 7.9.1 or higher.


Formula Parameters:                 Defaults:
n-Day Avg Peak Excursion            20
***************************************/


function preMain() {
    setStudyTitle("Average Peak Excursion");
    setCursorLabelName("1-Day APE", 0);
    setCursorLabelName("Peak", 1);
    setCursorLabelName("APE", 2);
    setDefaultBarThickness(2, 0);
    setDefaultBarThickness(3, 1);
    setDefaultBarThickness(2, 2);
    setPlotType(PLOTTYPE_LINE, 0);
    setPlotType(PLOTTYPE_HISTOGRAM, 1);
    setDefaultBarFgColor(Color.navy, 0);
    setDefaultBarFgColor(Color.red, 1);
    setDefaultBarFgColor(Color.green, 2);
    
    var fp1 = new FunctionParameter("nDayAPE", FunctionParameter.NUMBER);
        fp1.setName("n-Day Avg Peak Excursion");
        fp1.setLowerLimit(1);
        fp1.setDefault(20);
}

var bVersion = null;
var bInit = false;

var xAPE = null;    // APE series
var xAPEMA = null;
var xA0 = null;     // 1-Day Peak series

function main(nDayAPE) {    
    if (bVersion == null) bVersion = verify();
    if (bVersion == false) return;    

    if (bInit == false) {
        xAPE = efsInternal("calcPeak", nDayAPE);
        xAPEMA = sma(nDayAPE,xAPE);
        xA0 = efsInternal("calcPeak", 1);
        xA0MA = sma(nDayAPE,xA0);
        setCursorLabelName(nDayAPE + "-Day Peak", 1);
        setCursorLabelName(nDayAPE + "-Day APE", 2);
        bInit = true;
    }
    
    return new Array(xA0MA.getValue(0), xAPE.getValue(0), xAPEMA.getValue(0));
}

var xHighest = null;
var xLowest = null;

function calcPeak(nDay) {
    if(xHighest==null) xHighest = highest(nDay, high());
    if(xLowest==null) xLowest = lowest(nDay, low());
    var nO = open(-nDay+1);
    if (nO == null) return null;
    
    var nH = Math.abs((xHighest.getValue(0) - nO) / nO)*100;
    var nL = Math.abs((xLowest.getValue(0)  - nO) / nO)*100;
    
    return Math.max(nH, nL);
}


function verify() {
    var b = false;
    if (getBuildNumber() < 730) {
        drawTextAbsolute(5, 35, "This study requires version 7.9.1 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;
}

APE_alpha.efs

/***************************************
Provided By : eSignal (c) Copyright 2006
Description:  The Average Peak Excursion Alpha - by Chris Young

Version 1.0  02/06/2006

Notes:
* Apr 2006 Issue of Stocks and Commodities Magazine
* This study must reside in the same folder as APE.efs.
    Or add the path information to APE.efs within the efsExternal()
    functions if APE.efs is to be located in another folder.
* Study requires version 7.9.1 or higher.


Formula Parameters:                 Defaults:
n-Day Avg Peak Excursion            20
***************************************/


function preMain() {
    setStudyTitle("Average Peak Excursion Alpha");
    setCursorLabelName("APE Alpha", 0);
    setDefaultBarThickness(2, 0);
    
    var fp1 = new FunctionParameter("nDayAPE", FunctionParameter.NUMBER);
        fp1.setName("n-Day Avg Peak Excursion");
        fp1.setLowerLimit(1);
        fp1.setDefault(20);
}

var bVersion = null;
var bInit = false;
var xAPE_n = null;


function main(nDayAPE) {    
    if (bVersion == null) bVersion = verify();
    if (bVersion == false) return;    

    var nAlpha = null;
    
    if (bInit == false) {
        if (xAPE_n == null) xAPE_n = efsExternal("APE.efs", nDayAPE);
        bInit = true;
    }

    var nAPE1 = getSeries(xAPE_n, 0);
    var nAPEn = getSeries(xAPE_n, 2);
    
    if (nAPEn == null || nAPE1 == null) return;

    nAlpha = Math.log( (nAPEn/nAPE1) ) / Math.log(nDayAPE);
    
    return nAlpha;
}


/***** Support Functions *****/

function verify() {
    var b = false;
    if (getBuildNumber() < 730) {
        drawTextAbsolute(5, 35, "This study requires version 7.9.1 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;
}