Trend_Following.efs
File Name: Trend_Following.efs
Description:
Does Fully Automated Trading Software Work? by James Breen
Formula Parameters:
Trend_Following.efs
- MALength: 10
- EntryTrigger%: 3
- ExitTrigger%: 4
- InitialStopLoss%: 2
- TrailingStopTrigger%: 6
- TrailingStop%: 2
Notes:
The related article is copyrighted material. If you are not a subscriber of Stocks & Commodities, please visit www.traders.com.
Download File:
Trend_Following.efs
Trend_Following.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 responsible
for the functionality once modified. eSignal reserves the right
to modify and overwrite this EFS file with each new release.
Description:
Does Fully Automated Trading Software Work? by James Breen
Version: 1.00 09/06/2016
Formula Parameters: Default:
MA Length 10
Entry Trigger % 3
Exit Trigger % 4
Initial Stop Loss % 2
Trailing Stop Trigger % 6
Trailing Stop % 2
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(){
setPriceStudy(true);
setStudyTitle("MA");
var x=0;
fpArray[x] = new FunctionParameter("Length", FunctionParameter.NUMBER);
with(fpArray[x++]){
setLowerLimit(1);
setUpperLimit(1000);
setDefault(10);
setName("MA Length");
}
fpArray[x] = new FunctionParameter("EntTrigger", FunctionParameter.NUMBER);
with(fpArray[x++]){
setLowerLimit(0.1);
setUpperLimit(100);
setDefault(3);
setName("Entry Trigger %");
}
fpArray[x] = new FunctionParameter("ExtTrigger", FunctionParameter.NUMBER);
with(fpArray[x++]){
setLowerLimit(0.1);
setUpperLimit(100);
setDefault(4);
setName("Exit Trigger %");
}
fpArray[x] = new FunctionParameter("InStopLoss", FunctionParameter.NUMBER);
with(fpArray[x++]){
setLowerLimit(0.1);
setUpperLimit(100);
setDefault(2);
setName("Initial Stop Loss %");
}
fpArray[x] = new FunctionParameter("TrlStopTrigger", FunctionParameter.NUMBER);
with(fpArray[x++]){
setLowerLimit(0.1);
setUpperLimit(100);
setDefault(6);
setName("Trailing Stop Trigger %");
}
fpArray[x] = new FunctionParameter("TrlStop", FunctionParameter.NUMBER);
with(fpArray[x++]){
setLowerLimit(0.1);
setUpperLimit(100);
setDefault(2);
setName("Trailing Stop %");
}
fpArray[x] = new FunctionParameter("MaxLoss", FunctionParameter.NUMBER);
with(fpArray[x++]){
setLowerLimit(0);
setDefault(500);
setName("Max Daily Loss $");
}
}
var bInit = false;
var bVersion = null;
var xSMA = null;
var xClose = null;
var xHigh = null;
var xLow = null;
var nInv = null;
var nShares = 0;
var nEntryPrice = 0;
var nTrlStop = null;
var nHighestHigh = null;
var nLowestLow = null;
var nCumProfit = 0;
var bMaxLost = false;
function main(Length, EntTrigger, ExtTrigger, InStopLoss, TrlStopTrigger, TrlStop, MaxLoss){
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
if (getCurrentBarCount() <= Length) return;
if (getBarState() == BARSTATE_ALLBARS){
xSMA = null;
xClose = null;
xHigh = null;
xLow = null;
nInv = null;
nShares = 0;
nEntryPrice = 0;
nTrlStop = null;
nHighestHigh = null;
nLowestLow = null;
nCumProfit = 0;
bMaxLost = false;
bInit = false;
}
if (!bInit){
xClose = close();
xHigh = high();
xLow = low();
xSMA = sma(Length, xClose);
nHighestHigh = xHigh.getValue(0);
nLowestLow = xLow.getValue(0);
bInit = true;
}
var nSMA = xSMA.getValue(0);
var nClose = xClose.getValue(0);
var nHigh = xHigh.getValue(0);
var nLow = xLow.getValue(0);
var nTradeProfit = 0;
if (day(0) != day(-1) && !Strategy.isInTrade()){
bMaxLost = false;
nCumProfit = 0;
}
if (getCurrentBarIndex() != 0){
if (Strategy.isLong())
nTradeProfit = nClose * nShares - nInv;
else if (Strategy.isShort())
nTradeProfit = nInv - nClose * nShares;
if ((nCumProfit + nTradeProfit) <= -MaxLoss){
if (Strategy.isLong())
Strategy.doSell("Loss Limit exceeded", Strategy.CLOSE, Strategy.THISBAR, Strategy.DEFAULT);
else
Strategy.doCover("Loss Limit exceeded", Strategy.CLOSE, Strategy.THISBAR, Strategy.DEFAULT);
nCumProfit = 0;
bMaxLost = true;
}
if (nShares == 0)
nShares = Strategy.getDefaultLotSize();
if (Strategy.isLong()){
if (nTrlStop == null && (nHigh * nShares) >= (nEntryPrice * nShares * (1 + TrlStopTrigger/100))){
nTrlStop = nHigh * (1 - TrlStop/100);
nHighestHigh = nHigh;
}
if (nTrlStop != null && nHigh > nHighestHigh){
nHighestHigh = nHigh;
nTrlStop = nHighestHigh * (1 - TrlStop/100);
}
if (nClose < (nSMA * (1 - ExtTrigger/100)))
Strategy.doSell("Exit Long", Strategy.CLOSE, Strategy.THISBAR, Strategy.DEFAULT);
else if (nClose * nShares < (nInv * (1 - InStopLoss/100)))
Strategy.doSell("Stop Loss Long", Strategy.CLOSE, Strategy.THISBAR, Strategy.DEFAULT);
else if (nTrlStop != null && nClose < nTrlStop)
Strategy.doSell("Trl Stop Long", Strategy.CLOSE, Strategy.THISBAR, Strategy.DEFAULT);
if (!Strategy.isLong()){
nCumProfit += nClose * nShares - nInv;
nTrlStop = null;
}
}
else if (Strategy.isShort()){
if (nTrlStop == null && (nLow * nShares) <= (nEntryPrice * nShares * (1 - TrlStopTrigger/100))){
nTrlStop = nLow * (1 + TrlStop/100);
nLowestLow = nLow;
}
if (nTrlStop != null && nLow < nLowestLow){
nLowestLow = nLow;
nTrlStop = nLowestLow * (1 + TrlStop/100);
}
if (nClose > (nSMA * (1 + ExtTrigger/100)))
Strategy.doCover("Exit Short", Strategy.CLOSE, Strategy.THISBAR, Strategy.DEFAULT);
else if (nClose * nShares > (nInv * (1 + InStopLoss/100))){
Strategy.doCover("Stop Loss Short", Strategy.CLOSE, Strategy.THISBAR, Strategy.DEFAULT);
}
else if (nTrlStop != null && nClose > nTrlStop)
Strategy.doCover("Trl Stop Short", Strategy.CLOSE, Strategy.THISBAR, Strategy.DEFAULT);
if (!Strategy.isShort()){
nCumProfit += nInv - nClose * nShares;
nTrlStop = null;
}
}
if (!Strategy.isInTrade() && !bMaxLost){
nTrlStop = null;
if (nClose > (nSMA * (1 + EntTrigger/100))){
Strategy.doLong("Long", Strategy.CLOSE, Strategy.THISBAR, Strategy.DEFAULT);
}
else if (nClose < (nSMA * (1 - EntTrigger/100))){
Strategy.doShort("Short", Strategy.CLOSE, Strategy.THISBAR, Strategy.DEFAULT);
}
if (Strategy.isInTrade()){
nEntryPrice = nClose;
nInv = nShares * nEntryPrice;
}
}
if (Strategy.isLong()) setBarBgColor(Color.RGB(0,60,0));
else if (Strategy.isShort()) setBarBgColor(Color.RGB(170,46,46))
}
if (nSMA != null) return nSMA;
}
function verify(){
var b = false;
if (getBuildNumber() < 779){
drawTextAbsolute(5, 35, "This study requires version 10.6 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;
}