2017 Jul: Trading The Nikkei by Markos Katsanos

[eSignal]

File Name: Regression_Divergence.efs

Description:
Trading The Nikkei by Markos Katsanos

Formula Parameters:

Regression_Divergence.efs

Security 1: FXY
Security 2: SPY
Div Length: 50
RLength: 50
ROC Length: 3
Stoc Length: 25
MA&LR Length: 25
OB: 90
Correlation: 0.8
DivCrit: 75
Lag: 3
Stop Loss (%): 1.5
Exit Days: 11


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

Download File:
Regression_Divergence.efs

Regression_Divergence.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:        
    Trading The Nikkei by Markos Katsanos

Version:            1.00  05/12/2017

Formula Parameters:                     Default:
Security 1                              FXY
Security 2                              SPY
Div Length                              50
RLength                                 50
ROC Length                              3
Stoc Length                             25
MA&LR Length                            25
OB                                      90
Correlation                             0.8
DivCrit                                 75
Lag                                     3
Stop Loss (%)                           1.5
Exit Days                               11


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);
    setStudyTitle("RegressionDivergence");
    setIntervalsBackfill(true);

    var x=0;
    fpArray[x] = new FunctionParameter("S1", FunctionParameter.STRING);
        with (fpArray[x++]){
        setName("Security 1");
        addOption(" ");
        addOption("FXY");
        setDefault("FXY");
        }

    fpArray[x] = new FunctionParameter("S2", FunctionParameter.STRING);
        with (fpArray[x++]){
        setName("Security 2");
        addOption(" ");
        addOption("SPY");
        setDefault("SPY");
        }

    fpArray[x] = new FunctionParameter("DLength", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Div Length");
        setDefault(50);
        setLowerLimit(1);
        }

    fpArray[x] = new FunctionParameter("RLength", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("RLength");
        setDefault(50);
        setLowerLimit(1);
        }

    fpArray[x] = new FunctionParameter("ROCLength", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("RoC Length");
        setDefault(3);
        setLowerLimit(1);
        }

    fpArray[x] = new FunctionParameter("SLength", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Stoc Length");
        setDefault(25);
        setLowerLimit(1);
        }

    fpArray[x] = new FunctionParameter("MLLength", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("MA&LR Length");
        setDefault(25);
        setLowerLimit(1);
        }

    fpArray[x] = new FunctionParameter("OB", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("OB");
        setDefault(90);
        setLowerLimit(1);
        }

    fpArray[x] = new FunctionParameter("Corr", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Correlation");
        setDefault(0.8);
        setLowerLimit(0.1);
        }

    fpArray[x] = new FunctionParameter("DivCrit", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("DivCrit");
        setDefault(75);
        setLowerLimit(1);
        }

    fpArray[x] = new FunctionParameter("Lag", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Lag");
        setDefault(3);
        setLowerLimit(1);
        }

    fpArray[x] = new FunctionParameter("StLoss", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Stop Loss (%)");
        setDefault(1.5);
        setLowerLimit(0.1);
        }

    fpArray[x] = new FunctionParameter("Exit", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Exit Days");
        setDefault(11);
        setLowerLimit(1);
        }
}

var bInit = false;
var bVersion = null;

var xCloseSeries1 = null;
var xCloseSeries2 = null;
var xStochactic = null;
var xSMA = null;
var xLR = null;

var xRoCMain = null;
var xRoC1 = null;
var xRoC2 = null;
var xCR1 = null;
var xCR2 = null;

var xRegr = null;
var xIM = null;

var xClose = null;
var xHigh = null;
var xLow = null;

var DivShort = 0;
var OS = 0;

var nEntryBarN = 0;


function main(S1, S2, DLength, RLength, ROCLength, SLength, MLLength, OB, Corr, DivCrit, Lag, StLoss, Exit){
    if (bVersion == null) bVersion = verify();
    if (bVersion == false) return;

 //   if (getCurrentBarCount() <= (RLength + DLength + ROCLength)) return;

    if (getBarState() == BARSTATE_ALLBARS){
        DivShort = 0;
        OS = 0;
        nEntryBarN = 0;

        bInit = false;
    }

    if (!bInit){
        xClose = close();
        xCloseSeries1 = close(sym(S1));
        xCloseSeries2 = close(sym(S2));
        xHigh= high();
        xLow =low();

        xStochactic = efsInternal("CustStochastic", xClose, xHigh, xLow, SLength);
        xSMA = sma(MLLength, xClose);
        xLR = efsInternal("LRSlopeM", MLLength, xClose);
        xRoCMain = efsInternal("ROCM", xClose, ROCLength);
        xRoC1 = efsInternal("ROCM", xCloseSeries1, ROCLength);
        xRoC2 = efsInternal("ROCM", xCloseSeries2, ROCLength);
        xCR1 = efsInternal("CorrelationMK", xRoCMain, xRoC1, RLength);
        xCR2 = efsInternal("CorrelationMK", xRoCMain, xRoC2, RLength);

        xRegr = efsInternal("Regression", xCR1, xRoCMain, xRoC1, RLength);
        xIM = efsInternal("CalcIM", xRegr, DLength);

        DivShort = 100 - DivCrit;
        OS = 100 - OB;

        addBand(DivCrit, PS_DASH, 1, Color.grey, 1);
        addBand(DivShort, PS_DASH, 1, Color.grey, 2);

        bInit = true;
    }

    if (getCurrentBarIndex != 0){
        if (!Strategy.isInTrade()){
            if (xIM.getValue(-Lag) > DivCrit && xIM.getValue(0) < xIM.getValue(-Lag)
                                            && xIM.getValue(0) > DivShort
                                            && xCR2.getValue(0) < Corr
                                            && (xLR.getValue(0) >= xLR.getValue(-1) || xClose.getValue(0) > xSMA.getValue(0))){
                Strategy.doLong("DIVJPY", Strategy.CLOSE, Strategy.THISBAR, Strategy.DEFAULT);
                nEntryBarN = getCurrentBarCount();
            }
            else if (xIM.getValue(-Lag) < DivShort && xIM.getValue(0) > xIM.getValue(-Lag)
                                                    && xIM.getValue(0) < DivCrit
                                                    && xCR2.getValue(0) < Corr
                                                    && (xLR.getValue(0) <= xLR.getValue(-1) || xClose.getValue(0) < xSMA.getValue(0))){
                Strategy.doShort("NDIVJPY", Strategy.CLOSE, Strategy.THISBAR, Strategy.DEFAULT);
                nEntryBarN = getCurrentBarCount();
            }
        }
        else {
            var nBarsSinceEntry = getCurrentBarCount() - nEntryBarN;

            if (nBarsSinceEntry > 3){
                if (Strategy.isLong() && xStochactic.getValue(0) > OS && xClose.getValue(0) < xClose.getValue(-nBarsSinceEntry) * (1 - StLoss/100))
                    Strategy.doSell("STOP", Strategy.MARKET, Strategy.NEXTBAR, Strategy.DEFAULT);

                else if (Strategy.isShort() && xStochactic.getValue(0) < OB && xClose.getValue(0) > xClose.getValue(-nBarsSinceEntry) * (1 + StLoss/100))
                    Strategy.doCover("INITIAL STOP", Strategy.MARKET, Strategy.NEXTBAR, Strategy.DEFAULT);
            }

            if (nBarsSinceEntry > 7 && Strategy.isInTrade()){
                if (Strategy.isLong() && xClose.getValue(0) < hhv(nBarsSinceEntry, xClose, 0) * (1 - StLoss/100))
                    Strategy.doSell("TRAIL", Strategy.MARKET, Strategy.NEXTBAR, Strategy.DEFAULT);

                else if (Strategy.isShort() && xClose.getValue(0) > llv(nBarsSinceEntry, xClose, 0) * (1 + StLoss/100))
                    Strategy.doCover("TRAIL COVER", Strategy.MARKET, Strategy.NEXTBAR, Strategy.DEFAULT);
            }

            if (nBarsSinceEntry >= Exit && Strategy.isInTrade()){
                if (Strategy.isLong()) Strategy.doSell("TIME", Strategy.CLOSE, Strategy.THISBAR, Strategy.ALL);
                else if (Strategy.isShort()) Strategy.doCover("TIMEX", Strategy.CLOSE, Strategy.THISBAR, Strategy.ALL);
            }

            if (!Strategy.isInTrade()) nEntryBarN = 0;
        }
    }

    if (Strategy.isLong()) setBarBgColor(Color.RGB(0,60,0));
    else if (Strategy.isShort()) setBarBgColor(Color.RGB(170,46,46));

    return xIM.getValue(0);
}

var xSTDDev1 = null;
var xSTDDev2 = null;
var xAvgRoC1 = null;
var xAvgRoC2 = null;

var xInit = false;

function Regression(xCR1, xRoC1, xRoC2, Length){
    if (!xInit){
        xSTDDev1 = stdDev(Length, xRoC1);
        xSTDDev2 = stdDev(Length, xRoC2);
        xAvgRoC1 = sma(Length, xRoC1);
        xAvgRoC2 = sma(Length, xRoC2);

        xInit = true;
    }

    var b2 = xCR1.getValue(0) * xSTDDev1.getValue(0) / (xSTDDev2.getValue(0) + 0.001);
    var a2 = xAvgRoC1.getValue(0) - b2 * xAvgRoC2.getValue(0);

    return (b2 * xRoC2.getValue(0) + a2) - xRoC1.getValue(0);
}

function CustStochastic(xClose, xHigh, xLow, Length){
    var nStoc = null;

    nStoc = (sma(3, efsInternal("SeriesSub", xClose, llv(Length, xLow))) * 100) /
            (sma(3, efsInternal("SeriesSub", hhv(Length, xHigh), llv(Length, xLow))));

    return nStoc;
}

function CalcIM(xRegr, Length){
    var IM = sma(2, efsInternal("SeriesSub", xRegr, llv(Length, xRegr))) * 100 /
                (sma(2, efsInternal("SeriesSub", hhv(Length, xRegr), llv(Length, xRegr))) + 0.01);
    return IM;
}

function SeriesSub(xSeries1, xSeries2){
    return xSeries1.getValue(0) - xSeries2.getValue(0);
}

function LRSlopeM(Length, xClose){
    var SL = 0;
    var SumBars = Length * (Length - 1) * 0.5;
    var SumSqrBars = (Length - 1) * Length * (2 * Length - 1) / 6;
    var Sum1 = 0;
    var SumY = 0;
    var i = 0;

    for (i = 0; i < Length; i++) {
        Sum1 += i * xClose.getValue(-i);
        SumY += xClose.getValue(-i);
    }
    var Sum2 = SumBars * SumY;
    var Num1 = Length * Sum1 - Sum2;
    var Num2 = SumBars * SumBars - Length * SumSqrBars;
    SL = Num1 / Num2;
    return SL * 100;
}

function ROCM(xSeries, Length){
    if (xSeries.getValue(-Length) != null)
        return (xSeries.getValue(0) / xSeries.getValue(-Length) - 1) * 100;
}

function CorrelationMK(xSeries1, xSeries2, Length){
    var nQ1 = Sum(efsInternal("SeriesMP", xSeries1, xSeries2), Length) -
                (Sum(xSeries1, Length) * Sum(xSeries2, Length) / Length);
    var nQ2 = Sum(efsInternal("SeriesMP", xSeries2, xSeries2), Length) -
                (Sum(xSeries2, Length) * Sum(xSeries2, Length) / Length);
    var nQ3 = Sum(efsInternal("SeriesMP", xSeries1, xSeries1), Length) -
                (Sum(xSeries1, Length) * Sum(xSeries1, Length) / Length);

    if (nQ2 * nQ3 > 0) var nQ2Q3 = Math.sqrt(nQ2 * nQ3);
    if (nQ2Q3 != 0){
        var nR = nQ1 / nQ2Q3;
        if (nR <= 1 && nR >= -1) return nR;
    }
}

function Sum(xSeries, Length){
    if (xSeries.getValue(-Length) != null){
        var sum = 0;
        for (var i = 0; i < Length; i++){
            sum += xSeries.getValue(-i);
        }
        return sum;
    }
}

function SeriesMP(xSeries1, xSeries2){
    if (xSeries1.getValue(0) != null && xSeries2.getValue(0) != null)
        return xSeries1.getValue(0) * xSeries2.getValue(0);
}

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;
}