Night_and_Day.efs
File Name: Night_and_Day.efs
Description:
Daytrading With Night Volume by Domenico D'Errico
Formula Parameters:
Night_and_Day.efs
- Length: 5
- Night Session Open: 23:00
- Day Session Open: 08:30
- Day Session Close: 15:00
- Volume Ratio: 1
- Strategy Type: First Hour BreakOut
Notes:
The related article is copyrighted material. If you are not a subscriber of Stocks & Commodities, please visit www.traders.com.
Download File:
Night_and_Day.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:
Daytrading With Night Volume by Domenico D'Errico
Version: 1.00 04/12/2017
Formula Parameters: Default:
Length 5
Night Session Open 23:00
Day Session Open 08:30
Day Session Close 15:00
Volume Ratio 1
Strategy Type First Hour BreakOut
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(false);
setColorPriceBars(true);
setDefaultPrecision(0,0);
setDefaultPriceBarColor(Color.RGB(0,148,255));
setStudyTitle("Night&Day");
setPlotType(PLOTTYPE_HISTOGRAM);
setCursorLabelName("CumVol");
var x=0;
fpArray[x] = new FunctionParameter("Length", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Length");
setDefault(5);
setLowerLimit(1);
}
fpArray[x] = new FunctionParameter("NightO", FunctionParameter.STRING);
with(fpArray[x++]){
setName("Night Session Open");
setDefault("23:00");
}
fpArray[x] = new FunctionParameter("DayO", FunctionParameter.STRING);
with(fpArray[x++]){
setName("Day Session Open");
setDefault("08:30");
}
fpArray[x] = new FunctionParameter("DayC", FunctionParameter.STRING);
with(fpArray[x++]){
setName("Day Session Close");
setDefault("15:00");
}
fpArray[x] = new FunctionParameter("VolRatio", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Volume Ratio");
setDefault(1);
setLowerLimit(1);
}
fpArray[x] = new FunctionParameter("StrategyType", FunctionParameter.STRING);
with(fpArray[x++]){
setName("Strategy Type");
setDefault("First Hour BreakOut");
addOption("First Hour BreakOut");
addOption("Night & Day");
}
}
var bInit = false;
var bVersion = null;
var xHigh = null;
var xLow = null;
var xClose = null;
var xVol = null;
var aNightVol = null;
var nCurrNightVol = 0;
var nLastVol = 0;
var nNightSessionOpen = null;
var nDaySessionOpen = null;
var nDaySessionClose = null;
var nFirstHourHighest = null;
var nFirstHourLowest = null;
function main(Length, NightO, DayO, DayC, StrategyType){
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
if (getBarState() == BARSTATE_ALLBARS){
bInit = false;
}
if (!bInit){
xHigh = high();
xLow = low();
xClose = close();
xVol = volume();
aNightVol = new Array(Length, 0);
nFirstHourHighest = null;
nFirstHourLowest = null;
nCurrNightVol = 0;
nLastVol = 0;
nNightSessionOpen = TimeStringToNumber(NightO);
nDaySessionOpen = TimeStringToNumber(DayO);
nDaySessionClose = TimeStringToNumber(DayC);
bInit = true;
}
var nHigh = xHigh.getValue(0);
var nLow = xLow.getValue(0);
var nClose = xClose.getValue(0);
var barTime = hour(0) * 100 + minute(0);
if (getBarState() == BARSTATE_NEWBAR){
if (barTime == nNightSessionOpen) nCurrNightVol = 0;
nLastVol = nCurrNightVol;
}
nCurrNightVol = nLastVol + xVol.getValue(0);
if (barTime == nDaySessionOpen){
for (var i = Length - 1; i > 0; i--){
aNightVol[i] = aNightVol[i - 1];
}
aNightVol[0] = nCurrNightVol;
nFirstHourLowest = nLow;
}
if (barTime >= nDaySessionOpen && barTime <= TimeMath(nDaySessionOpen, "add", 60)){
if (nHigh > nFirstHourHighest) nFirstHourHighest = nHigh;
if (nLow < nFirstHourLowest) nFirstHourLowest = nLow;
setPriceBarColor(Color.red);
}
if (getCurrentBarIndex() != 0){
if(barTime >= TimeMath(nDaySessionOpen, "add", 60 + parseInt(getInterval())) &&
barTime < TimeMath(nDaySessionClose, "sub", parseInt(getInterval()))){
if (!Strategy.isInTrade()){
if (StrategyType == "First Hour BreakOut"){
if (nHigh > nFirstHourHighest){
Strategy.doLong("First Hour BreakUP", Strategy.CLOSE, Strategy.THISBAR, Strategy.DEFAULT);
nFirstHourHighest = 0;
}
else if (nLow < nFirstHourLowest){
Strategy.doShort("First Hour BreakDN", Strategy.CLOSE, Strategy.THISBAR, Strategy.DEFAULT);
nFirstHourLowest = 0;
}
}
else if (StrategyType == "Night & Day" && aNightVol[0] > AvgVolume(aNightVol, Length)){
if (nHigh > nFirstHourHighest){
Strategy.doLong("N & D BreakUP", Strategy.CLOSE, Strategy.THISBAR, Strategy.DEFAULT);
nFirstHourHighest = 0;
}
else if (nLow < nFirstHourLowest){
Strategy.doShort("N & D BreakDN", Strategy.CLOSE, Strategy.THISBAR, Strategy.DEFAULT);
nFirstHourLowest = 0;
}
}
}
}
if (barTime >= TimeMath(nDaySessionClose, "add", parseInt(getInterval()))){
if (Strategy.isLong())
Strategy.doSell("Exit BreakUP", Strategy.CLOSE, Strategy.THISBAR, Strategy.DEFAULT);
else if (Strategy.isShort())
Strategy.doCover("Exit BreakDN", Strategy.CLOSE, Strategy.THISBAR, Strategy.DEFAULT);
}
}
if (barTime < nDaySessionOpen) setPriceBarColor(Color.black);
else if (barTime > nDaySessionClose) setPriceBarColor(Color.grey);
return nCurrNightVol;
}
function TimeStringToNumber(timeStr){
var tempTime = new Array();
tempTime = timeStr.split(':',2);
if (tempTime[0][0] == '0')
tempTime[0] = tempTime[0].substr(1);
if (tempTime[1][0] == '0')
tempTime[1] = tempTime[1].substr(1);
tempTime = (parseInt(tempTime[0]) * 100) + parseInt(tempTime[1]);
return tempTime;
}
function AvgVolume(aVolume, Length){
var sumVol = 0;
for (var i = 0; i < Length; i++){
sumVol += aVolume[i];
}
return (sumVol / Length);
}
function TimeMath(timeVal, type, value){
if (type == "add"){
timeVal += (value % 60 + Math.floor(value / 60) * 100);
}
else if (type == "sub"){
timeVal -= Math.floor(value / 60) * 100;
if (value % 60 > timeVal % 100) timeVal -= (100 - (60 - value % 60));
}
return timeVal;
}
function verify(){
var b = false;
if (getBuildNumber() < 3742){
drawTextAbsolute(5, 35, "This study requires version 12.1 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;
}