2016 Dec:Pair Trading With A Twist by Domenico D'Errico

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Pair_Trading.efs  EFSLibrary - Discussion Board
  

File Name: Pair_Trading.efs

Description:
Pair Trading With A Twist by Domenico D'Errico


Formula Parameters:
Pair_Trading.efs

Correlating symbol: SPY
Fast MA: 4
Slow MA: 40
BG Color Condition: Trend Following

Notes:
The related article is copyrighted material. If you are not a subscriber
of Stocks & Commodities, please visit www.traders.com.

Download File:
Pair_Trading.efs

Pair_Trading.efs



EFS Code:





/*********************************Provided By:  eSignal (Copyright c eSignal), a division of Interactive Data Corporation. 2016. 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 responsiblefor the functionality once modified.  eSignal reserves the right to modify and overwrite this EFS file with each new release.Description:            Pair Trading With A Twist by Domenico D'ErricoVersion:            1.00  10/10/2016Formula Parameters:                     Default:Correlating symbol: SPYFast MA: 4Slow MA: 40BG Color Condition: Trend FollowingNotes:The related article is copyrighted material. If you are not a subscriberof Stocks & Commodities, please visit www.traders.com.**********************************/var fpArray = new Array();function preMain(){    if (isWatchList()){        setCursorLabelName("Trend Following",0);        setCursorLabelName("Mean Rev",1);        setCursorLabelName("Trend&Pullback",2);        setDefaultBarFgColor(Color.white,0);        setDefaultBarFgColor(Color.white,1);        setDefaultBarFgColor(Color.white,2);    }    else {        setDefaultPrecision(4);        setCursorLabelName("Fast MA", 1);        setCursorLabelName("Slow MA", 2);        setDefaultBarFgColor(Color.RGB(255,106,0), 1);        setDefaultBarFgColor(Color.RGB(255,0,110), 2);        setDefaultBarThickness(3,0);    }    setIntervalsBackfill(true);    var x = 0;    fpArray[x] = new FunctionParameter("Leg2", FunctionParameter.STRING);        with (fpArray[x++]){        setName("Correlating symbol");        addOption(" ");        addOption("SPY");        setDefault("SPY");        }    fpArray[x] = new FunctionParameter("FastMA", FunctionParameter.NUMBER);        with (fpArray[x++]){        setName("Fast MA");        setLowerLimit(1);        setDefault(4);        }    fpArray[x] = new FunctionParameter("SlowMA", FunctionParameter.NUMBER);        with (fpArray[x++]){        setName("Slow MA");        setLowerLimit(1);        setDefault(40);        }        fpArray[x] = new FunctionParameter("BgCColor", FunctionParameter.STRING);        with (fpArray[x++]){        setName("BG Color Condition");        addOption("Trend Following");        addOption("Mean Reverting");        addOption("Trend Pullback");        setDefault("Trend Following");        }}var bVersion = null;var bInit = false;var xFastSMA = null;var xRatioClose = null;var xSlowSMA = null;var sTFStrategy = null;var sMRStrategy = null;var sTBStrategy = null;var upColor = null;var sTBStrategy_1 = null;function main (Leg2, FastMA, SlowMA, BgCColor){    if (bVersion == null) bVersion = verify();    if (bVersion == false) return;        if (getBarState() == BARSTATE_ALLBARS)        bInit = false;        if (getCurrentBarCount() <= SlowMA) return;        if (!bInit){        sTFStrategy = null;        sMRStrategy = null;        sTBStrategy = null;        upColor = Color.RGB(0,60,0);                var sSpread = getSymbol() + " / " + Leg2;        xRatioClose = close(sym(sSpread));        if (!isWatchList())            setCursorLabelName(sSpread, 0);                xFastSMA = sma(FastMA, xRatioClose);        xSlowSMA = sma(SlowMA, xRatioClose);                bInit = true;    }    if(getBarState() == BARSTATE_NEWBAR)        sTBStrategy_1 = sTBStrategy;    var nFastSMA = xFastSMA.getValue(0);    var nSlowSMA = xSlowSMA.getValue(0);    var nRatioClose = xRatioClose.getValue(0);    if (nFastSMA > nSlowSMA)        sTFStrategy = "UP";    else if (nFastSMA < nSlowSMA)        sTFStrategy = null;    if (nRatioClose < nFastSMA)        sMRStrategy = "Mean Rev UP";    else if (nRatioClose > nFastSMA)        sMRStrategy = null;    if (sTBStrategy_1 == null){        if (nFastSMA > nSlowSMA && nRatioClose < nFastSMA)            sTBStrategy = "UP";        else sTBStrategy = sTBStrategy_1    }    if (sTBStrategy_1 != null){        if (nFastSMA < nSlowSMA && nRatioClose > nFastSMA)        sTBStrategy = null;        else sTBStrategy = sTBStrategy_1;    }           if (isWatchList()){        if (sTFStrategy != null) setBarBgColor(upColor,0);        if (sMRStrategy != null) setBarBgColor(upColor,1);        if (sTBStrategy != null) setBarBgColor(upColor,2);                return [sTFStrategy, sMRStrategy, sTBStrategy];    }    else {        if ((BgCColor == "Trend Following" && sTFStrategy != null) ||             (BgCColor == "Mean Reverting" && sMRStrategy != null) ||             (BgCColor == "Trend Pullback" && sTBStrategy != null))             setBarBgColor(upColor,0);        return [nRatioClose, nFastSMA, nSlowSMA];    }}function verify(){    var b = false;    if (getBuildNumber() < 2455){                drawTextAbsolute(5, 35, "This study requires version 11.3 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;}