NonLinearExits.efs EFSLibrary - Discussion Board
File Name: NonLinearExits.efs
Description:
NonLinear Exits
Formula Parameters:
Fraction of ATR for entry : 1
Length of channel for breakout : 20
Length of moving average : 30
Length of ATR, short-term : 10
Length of ATR, long-term : 200
Number of bars from entry to exit : 20
Constants for nonlinear exits a0 : 1
Constants for nonlinear exits a2 : 1
Constants for nonlinear exits a3 : 0.02
Constants for nonlinear exits b0 : 1
Constants for nonlinear exits b2 : 1
Constants for nonlinear exits b3 : 0.02
Notes:
This system illustrates different kinds of nonlinear
exits based on volatility, as given by the average
true range (ATR).
Mike Bryant
Breakout Futures
www.breakoutfutures.com/Newsletters/Newsletter0608.htm
www.BreakoutFutures.com
Download File:
NonLinearExits.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:
NonLinear Exits
Version: 1.01 11/16/2009
Formula Parameters: Default:
Fraction of ATR for entry 1
Length of channel for breakout 20
Length of moving average 30
Length of ATR, short-term 10
Length of ATR, long-term 200
Number of bars from entry to exit 20
Constants for nonlinear exits a0 1
Constants for nonlinear exits a2 1
Constants for nonlinear exits a3 0.02
Constants for nonlinear exits b0 1
Constants for nonlinear exits b2 1
Constants for nonlinear exits b3 0.02
Notes:
This system illustrates different kinds of nonlinear
exits based on volatility, as given by the average
true range (ATR).
Mike Bryant
Breakout Futures
www.breakoutfutures.com/Newsletters/Newsletter0608.htm
www.BreakoutFutures.com
**********************************/
var fpArray = new Array();
var bInit = false;
function preMain() {
setPriceStudy(true);
setShowCursorLabel(true);
setShowTitleParameters(false);
setStudyTitle("NonLinear Exits");
setDefaultPriceBarColor(Color.black);
setCursorLabelName("Open Price", 0);
setDefaultBarFgColor(Color.blue, 0);
setPlotType(PLOTTYPE_FLATLINES, 0);
setDefaultBarThickness(1, 0);
setCursorLabelName("Take Profit Price", 1);
setDefaultBarFgColor(Color.green, 1);
setPlotType(PLOTTYPE_FLATLINES, 1);
setDefaultBarThickness(1, 1);
setCursorLabelName("Stop Loss Price", 2);
setDefaultBarFgColor(Color.red, 2);
setPlotType(PLOTTYPE_FLATLINES, 2);
setDefaultBarThickness(1, 2);
setColorPriceBars(true);
askForInput();
var x=0;
fpArray[x] = new FunctionParameter("EntFr", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Fraction of ATR for entry");
setLowerLimit(1);
setDefault(1);
}
fpArray[x] = new FunctionParameter("NChan", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Length of channel for breakout");
setLowerLimit(1);
setDefault(20);
}
fpArray[x] = new FunctionParameter("NMA", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Length of moving average");
setLowerLimit(1);
setDefault(30);
}
fpArray[x] = new FunctionParameter("NATRst", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Length of ATR, short-term");
setLowerLimit(1);
setDefault(10);
}
fpArray[x] = new FunctionParameter("NATRlt", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Length of ATR, long-term");
setLowerLimit(1);
setDefault(200);
}
fpArray[x] = new FunctionParameter("NBExit", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Number of bars from entry to exit");
setLowerLimit(1);
setDefault(20);
}
fpArray[x] = new FunctionParameter("a0", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Constants for nonlinear exits a0");
setLowerLimit(0);
setDefault(1);
}
fpArray[x] = new FunctionParameter("a1", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Constants for nonlinear exits a1");
setLowerLimit(0);
setDefault(1);
}
fpArray[x] = new FunctionParameter("a2", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Constants for nonlinear exits a2");
setLowerLimit(0);
setDefault(0.02);
}
fpArray[x] = new FunctionParameter("b0", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Constants for nonlinear exits b0");
setLowerLimit(0);
setDefault(1);
}
fpArray[x] = new FunctionParameter("b1", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Constants for nonlinear exits b1");
setLowerLimit(0);
setDefault(1);
}
fpArray[x] = new FunctionParameter("b2", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Constants for nonlinear exits b2");
setLowerLimit(0);
setDefault(0.02);
}
}
var xATRst = null;
var xATRlt = null;
var xMA = null;
var xHH = null;
var xLL = null;
var xClose = null;
var xOpen = null;
var nEntryBar = 0;
var nPriceEntry = 0;
var nPriceProfit = 0;
var nPriceLoss = 0;
var bOut = false;
function main(EntFr, NChan, NMA, NATRst, NATRlt, NBExit, a0, a1, a2, b0, b1, b2) {
var nBarState = getBarState();
var EntLong = false;
var EntShort = false;
var nMA = 0;
var nHH1 = 0;
var nLL1 = 0;
var nClose = 0;
var nOpen = 0;
var ExitSz1 = 0;
var ExitSz2 = 0;
var ATRst = 0;
var ATRlt = 0;
if (nBarState == BARSTATE_ALLBARS) {
if (EntFr == null) EntFr = 1;
if (NChan == null) NChan = 20;
if (NMA == null) NMA = 30;
if (NATRst == null) NATRst = 10;
if (NATRlt == null) NATRlt = 200;
if (NBExit == null) NBExit = 20;
if (a0 == null) a0 = 1;
if (a1 == null) a1 = 1;
if (a2 == null) a2 = 0.02;
if (b0 == null) b0 = 1;
if (b1 == null) b1 = 1;
if (b2 == null) b2 = 0.02;
}
if (bInit == false) {
xATRst = sma(NATRst, atr(1));
xATRlt = sma(NATRlt, atr(1));
xMA = sma(NMA);
xHH = upperDonchian(NChan);
xLL = lowerDonchian(NChan);
xClose = close();
xHigh = high();
xLow = low();
xOpen = open();
bInit = true;
}
nMA = xMA.getValue(-1);
nHH1 = xHH.getValue(-2);
nLL1 = xLL.getValue(-2);
nClose = xClose.getValue(-1);
ATRst = xATRst.getValue(-1);
ATRlt = xATRlt.getValue(-1);
nOpen = xOpen.getValue(0);
if (getCurrentBarIndex() == 0) return;
if (nHH1 == null || nMA == null || ATRst == null || ATRlt == null) return;
if (nClose > nMA && nClose > (nHH1 + EntFr * ATRst )) {
EntLong = true;
} else {
EntLong = false;
}
if (nClose < nMA && nClose < (nLL1 - EntFr * ATRst )) {
EntShort = true;
} else {
EntShort = false;
}
ExitSz1 = ATRlt * (a0 + a1 * (ATRst / ATRlt) + a2 * Math.pow((ATRst / ATRlt), 2));
ExitSz2 = ATRlt * (b0 + b1 * (ATRst / ATRlt) + b2 * Math.pow((ATRst / ATRlt), 2));
if (EntLong && !Strategy.isLong()) {
Strategy.doLong("Long", Strategy.MARKET, Strategy.THISBAR);
nEntryBar = getCurrentBarCount();
nPriceProfit = nClose + ExitSz2;
nPriceLoss = nClose - ExitSz1;
nPriceEntry = nClose;
setPriceBarColor(Color.green);
} else {
if (EntShort && !Strategy.isShort()) {
Strategy.doShort("Short", Strategy.MARKET, Strategy.THISBAR);
nEntryBar = getCurrentBarCount();
nPriceProfit = nClose - ExitSz2;
nPriceLoss = nClose + ExitSz1;
nPriceEntry = nClose;
setPriceBarColor(Color.red);
} else {
if(Strategy.isLong()) {
setPriceBarColor(Color.green);
if (getCurrentBarCount() - nEntryBar >= NBExit) {
Strategy.doSell("NBar-L", Strategy.CLOSE, Strategy.THISBAR);
} else {
Strategy.doSell("Targ-L", Strategy.LIMIT, Strategy.THISBAR, Strategy.ALL, Math.max(nPriceProfit, nOpen));
Strategy.doSell("MM-L", Strategy.STOP, Strategy.THISBAR, Strategy.ALL, Math.min(nPriceLoss, nOpen));
}
if (!Strategy.isLong()) bOut = true;
} else {
if(Strategy.isShort()) {
setPriceBarColor(Color.red);
if (getCurrentBarCount() - nEntryBar >= NBExit) {
Strategy.doCover("NBar-S", Strategy.CLOSE, Strategy.THISBAR);
} else {
Strategy.doCover("Targ-S", Strategy.LIMIT, Strategy.THISBAR, Strategy.ALL, Math.min(nPriceProfit, nOpen));
Strategy.doCover("MM-S", Strategy.STOP, Strategy.THISBAR, Strategy.ALL, Math.max(nPriceLoss, nOpen));
}
if (!Strategy.isShort()) bOut = true;
}
}
}
}
if (bOut == true) {
nPriceEntry = 0;
nPriceProfit = 0;
nPriceLoss = 0;
bOut = false;
}
if (nPriceEntry != 0) {
return new Array(nPriceEntry, nPriceProfit, nPriceLoss);
} else {
return;
}
}