2014 Jan: Predictive Indicators For Effective Trading Strategies by John F. Ehlers

ICE Data Services -

 

SuperSmoother_Filter.efs, Roofing_Filter.efs, MESA_Stochastic_Indicator.efs  

EFSLibrary - Discussion Board  

 

File Name: SuperSmoother_Filter.efs, Roofing_Filter.efs, MESA_Stochastic_Indicator.efs

 

Description:
Predictive Indicators For Effective Trading Strategies by John F. Ehlers

 

Formula Parameters:

SuperSmoother_Filter.efs

None

Roofing_Filter.efs

None

MESA_Stochastic_Indicator.efs

Length: 20

 

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

 

Download File:
SuperSmoother_Filter.efs
Roofing_Filter.efs
MESA_Stochastic_Indicator.efs


Roofing_Filter.efs

MESA_Stochastic_Indicator.efs



EFS Code:

SuperSmoother_Filter.efs

/*********************************
Provided By:  
    Interactive Data Corporation (Copyright © 2013) 
    All rights reserved. This sample eSignal Formula Script (EFS)
    is for educational purposes only. Interactive Data Corporation
    reserves the right to modify and overwrite this EFS file with 
    each new release. 

Description:        
    The Super Smoother Filter by John F. Ehlers
    
Version:            1.00  11/07/2013

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

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

function preMain()
{   
    setStudyTitle("SuperSmoother_Filter");
}

var bInit = false;
var bVersion = null;

var xFilt = null;

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

    if (!bInit)
    {                   
        xFilt = efsInternal("Calc_FiltSeries");

        bInit = true;
    }

    var nFilt = xFilt.getValue(0);

    return nFilt;
}

var xClose = null;

var a1 = 0;
var b1 = 0;
var c1 = 0;
var c2 = 0;
var c3 = 0;

function Calc_FiltSeries()
{
    if (getBarState() == BARSTATE_ALLBARS)
    {
        xClose = close();

        a1 = Math.exp(-1.414 * 3.14159 / 10);
        b1 = 2 * a1 * Math.cos((1.414 * 180 / 10) * Math.PI / 180);
        c2 = b1;
        c3 = -a1 * a1;
        c1 = 1 - c2 - c3;
    } 

    var nClose_0 = xClose.getValue(0);
    var nClose_1 = xClose.getValue(-1);

    if (nClose_1 == null)
        return; 

    var nFilt_1 = ref(-1);
    var nFilt_2 = ref(-2);  

    var nReturnValue = c1 * (nClose_0 + nClose_1) / 2 + c2 * nFilt_1 + c3 * nFilt_2;

    return nReturnValue;
}

function verify() 
{
    var b = false;
    if (getBuildNumber() < 779) 
    {
        drawTextAbsolute(5, 35, "This study requires version 8.0 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;
}

Roofing_Filter.efs

/*********************************
Provided By:  
    Interactive Data Corporation (Copyright © 2013) 
    All rights reserved. This sample eSignal Formula Script (EFS)
    is for educational purposes only. Interactive Data Corporation
    reserves the right to modify and overwrite this EFS file with 
    each new release. 

Description:        
    Roofing Filter by John F. Ehlers
    
Version:            1.00  11/07/2013

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

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

function preMain()
{   
    setStudyTitle("Roofing_Filter");

    setCursorLabelName("ZeroLine", 0);
    setCursorLabelName("Roofing_Filter", 1);
    
    setDefaultBarFgColor(Color.grey, 0);
    setDefaultBarFgColor(Color.red, 1);

    setDefaultBarThickness(1, 0);
    setDefaultBarThickness(2, 1);

    setShowCursorLabel(false, 0);
    setShowCursorLabel(true, 1);
}

var bInit = false;
var bVersion = null;

var xHP = null;
var xFilt = null;

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

    if (!bInit)
    {                   
        xHP = efsInternal("Calc_HPSeries");
        xFilt = efsInternal("Calc_FiltSeries", xHP);

        bInit = true;
    }

    var nZeroLine = 0;

    var nFilt = xFilt.getValue(0);

    return [nZeroLine, nFilt];
}

var xClose = null;

var alpha1 = 0;

function Calc_HPSeries()
{
    if (getBarState() == BARSTATE_ALLBARS)
    {
        xClose = close();

        alpha1 = (Math.cos((.707*360 / 48) * Math.PI / 180) + 
                  Math.sin((.707*360 / 48) * Math.PI / 180) - 1) / 
                  Math.cos((.707*360 / 48) * Math.PI / 180);
    } 

    var nClose_0 = xClose.getValue(0);
    var nClose_1 = xClose.getValue(-1);
    var nClose_2 = xClose.getValue(-2);
    
    if (nClose_1 == null || nClose_2 == null)
        return; 
    
    var nHP_1 = ref(-1);
    var nHP_2 = ref(-2);   

    var nReturnValue = (1 - alpha1 / 2) * (1 - alpha1 / 2) * (nClose_0 - 2 * nClose_1 + nClose_2)
                       + 2 * (1 - alpha1) * nHP_1 - (1 - alpha1) * (1 - alpha1) * nHP_2;

    return nReturnValue;
}

var a1 = 0;
var b1 = 0;
var c1 = 0;
var c2 = 0;
var c3 = 0;

function Calc_FiltSeries(xHP)
{
    if (getBarState() == BARSTATE_ALLBARS)
    {
        a1 = Math.exp(-1.414 * 3.14159 / 10);
        b1 = 2 * a1 * Math.cos((1.414 * 180 / 10)* Math.PI / 180);
        c2 = b1;
        c3 = -a1 * a1;
        c1 = 1 - c2 - c3;
    } 

    var nHP_0 = xHP.getValue(0);
    var nHP_1 = xHP.getValue(-1);

    if (nHP_0 == null || nHP_1 == null)
        return; 

    var nFilt_1 = ref(-1);
    var nFilt_2 = ref(-2);

    var nReturnValue = c1 * (nHP_0 + nHP_1) / 2 + c2 * nFilt_1 + c3 * nFilt_2;

    return nReturnValue;
}

function verify() 
{
    var b = false;
    if (getBuildNumber() < 779) 
    {
        drawTextAbsolute(5, 35, "This study requires version 8.0 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;
}

MESA_Stochastic_Indicator.efs

/*********************************
Provided By:  
    Interactive Data Corporation (Copyright © 2013) 
    All rights reserved. This sample eSignal Formula Script (EFS)
    is for educational purposes only. Interactive Data Corporation
    reserves the right to modify and overwrite this EFS file with 
    each new release. 

Description:        
    Stochastic Indicator by John F. Ehlers

Formula Parameters:                     Default:
Length                                  20
    
Version:            1.00  11/07/2013

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

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

var fpArray = new Array();

function preMain()
{   
    setStudyTitle("MESA_Stochastic_Indicator");

    setCursorLabelName("BandLine1", 0);
    setCursorLabelName("BandLine2", 1);
    setCursorLabelName("MyStochastic", 2);
    
    setDefaultBarFgColor(Color.grey, 0);
    setDefaultBarFgColor(Color.grey, 1);
    setDefaultBarFgColor(Color.red, 2);

    setDefaultBarThickness(1, 0);
    setDefaultBarThickness(1, 1);
    setDefaultBarThickness(2, 2);

    setShowCursorLabel(false, 0);
    setShowCursorLabel(false, 1);
    setShowCursorLabel(true, 2);

    var x = 0;

    fpArray[x] = new FunctionParameter("fpLength", FunctionParameter.NUMBER);
    with(fpArray[x++])
    {
        setName("Length");
        setLowerLimit(2);
        setDefault(20);
    }
}

var bInit = false;
var bVersion = null;

var xHP = null;
var xFilt = null;
var xStoc = null;
var xMyStochastic = null;

var nBandLine1 = 0;
var nBandLine2 = 0;

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

    if (!bInit)
    {                   
        xHP = efsInternal("Calc_HPSeries");
        xFilt = efsInternal("Calc_FiltSeries", xHP);
        xStoc = efsInternal("Calc_Stoc", xFilt, fpLength);
        xMyStochastic = efsInternal("Calc_MyStochastic", xStoc);

        nBandLine1 = 0.8;
        nBandLine2 = 0.2;

        bInit = true;
    }

    var nMyStochastic = xMyStochastic.getValue(0);

    return [nBandLine1, nBandLine2, nMyStochastic];
}

var xClose = null;

var alpha1 = 0;

function Calc_HPSeries()
{
    if (getBarState() == BARSTATE_ALLBARS)
    {
        xClose = close();

        alpha1 = (Math.cos((.707*360 / 48) * Math.PI / 180) + 
                  Math.sin((.707*360 / 48) * Math.PI / 180) - 1) / 
                  Math.cos((.707*360 / 48) * Math.PI / 180);
    } 

    var nClose_0 = xClose.getValue(0);
    var nClose_1 = xClose.getValue(-1);
    var nClose_2 = xClose.getValue(-2);

    if (nClose_1 == null || nClose_2 == null)
        return; 

    var nHP_1 = ref(-1);
    var nHP_2 = ref(-2);

    var nReturnValue = (1 - alpha1 / 2) * (1 - alpha1 / 2) * (nClose_0 - 2 * nClose_1 + nClose_2)
                       + 2 * (1 - alpha1) * nHP_1 - (1 - alpha1) * (1 - alpha1) * nHP_2;

    return nReturnValue;
}

var a1 = 0;
var b1 = 0;
var c1 = 0;
var c2 = 0;
var c3 = 0;

function Calc_FiltSeries(xHP)
{
    if (getBarState() == BARSTATE_ALLBARS)
    {
        a1 = Math.exp(-1.414 * 3.14159 / 10);
        b1 = 2 * a1 * Math.cos((1.414 * 180 / 10)* Math.PI / 180);
        c2 = b1;
        c3 = -a1 * a1;
        c1 = 1 - c2 - c3;
    } 

    var nHP_0 = xHP.getValue(0);
    var nHP_1 = xHP.getValue(-1);

    if (nHP_0 == null || nHP_1 == null)
        return; 

    var nFilt_1 = ref(-1);
    var nFilt_2 = ref(-2);

    var nReturnValue = c1 * (nHP_0 + nHP_1) / 2 + c2 * nFilt_1 + c3 * nFilt_2;

    return nReturnValue;
}

function Calc_Stoc(xFilt, nLength)
{  
    var nFilt = xFilt.getValue(0);
    var nHighestC = xFilt.getValue(0);
    var nLowestC = xFilt.getValue(0);
   
    if (nHighestC == null || nLowestC == null || nFilt == null)
        return;

    for (var i = 0; i < nLength; i++) 
    {
       nFilt_i = xFilt.getValue(-i);
       
       if (nFilt_i == null)
           return;
       
       if (nFilt_i > nHighestC)
           nHighestC =  nFilt_i;
       if (nFilt_i < nLowestC)
           nLowestC =  nFilt_i;
    }

    var nReturnValue = (nFilt - nLowestC) / (nHighestC - nLowestC);

    return nReturnValue;
}

function Calc_MyStochastic(xStoc)
{
    if (getBarState() == BARSTATE_ALLBARS)
    {
        a1 = Math.exp(-1.414 * 3.14159 / 10);
        b1 = 2 * a1 * Math.cos((1.414 * 180 / 10)* Math.PI / 180);
        c2 = b1;
        c3 = -a1 * a1;
        c1 = 1 - c2 - c3;
    } 
    
    var nStoc_0 = xStoc.getValue(0);
    var nStoc_1 = xStoc.getValue(-1);
       
    if (nStoc_0 == null || nStoc_1 == null)
        return;

    var nMyStochastic_1 = ref(-1);
    var nMyStochastic_2 = ref(-2);
  
    var nReturnValue = c1 * (nStoc_0 + nStoc_1) / 2 + c2 * nMyStochastic_1 + c3 * nMyStochastic_2;

    return nReturnValue;
}

function verify() 
{
    var b = false;
    if (getBuildNumber() < 779) 
    {
        drawTextAbsolute(5, 35, "This study requires version 8.0 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;
}