strategy using trend strength indicator

[ACM]

Brad
It seems that the strategy is working in reverse.
If you look at the attached image it should be selling at the bar after the one indicated by the cursor in the chart instead it issued a Buy.
Also - if I understand the strategy correctly it should do this only the first time the condition exists instead it keeps on repeating the order for every time the condition exists.
Lastly - and yoda has already mentioned this - the protective stop does not appear to be a fixed 2 point from the entry price. In fact even assuming the Buy order was correct the Stop was triggered well below (-5.75 loss on that specific trade).
Alex

[yodajudge]

Alexis,
Actually the code that dloomis had for this strategy had the strategy go long if tti>=99 where it should be short. So just replace the tti>=99 with tti<=1 and vice versa for the strategy to work correctly. Brad was only addressing the exits for me so i dont think he would have noticed that the orignal code he adjusted was backwards.
However I am in agreement with your other concerns regarding this version of the code as i have commented in my previous couple of posts.
PS in my system i actually use tti>=80 for going short and tti<=20 for going long. My inputs are not 60,30 they are varied between20,10 10,5 and 5,3 depending on which time frame i am using.
Yoda

[Doji3333]

Revised Code....

Thanks all. I really appreciate the follow-up support on this. I really needed to take a break this weekend (with my wife). Working on dinner at the moment.

Here is some revised code for everyone....

/ **************************************************
Description : This Indicator plots Trend Intensity Index indicator
Provided By : Developed by TS Support, LLC for eSignal. (c) Copyright 2002
***************************************************/
var PTLevel = 1.50;
var PTPrice = 0;
var StopLevel = 2.00;
var StopPrice = 0;

function preMain() {

setStudyTitle("Trend Intensity Index");
setCursorLabelName("TII");
setStudyMin(-1);
setStudyMax(101);

addBand(20, PS_SOLID, 1, Color.black);
addBand(80, PS_SOLID, 1, Color.black);
}

var nLengthMA = 60;
var nLengthTII = 30;

function main() {
var vMA = call("/Library/MA.efs", nLengthMA);

var arC = close(0, -nLengthTII);
if(arC == null)
return;

var i;
var dSDP = 0, dSDM = 0;

for(i = 0; i < nLengthTII; i++) {
if(arC[i] > vMA) {
dSDP +=arC[i] - vMA;
} else if(arC[i] < vMA) {
dSDM += vMA - arC[i];
}
}
var tii= (dSDP / (dSDP + dSDM)) * 100;

// test for Stops
if ((Strategy.isLong()) && (low() <= StopPrice)) {
Strategy.doSell(Strategy.LIMIT, Strategy.THISBAR, StopPrice);
}
if ((Strategy.isShort()) && (high() >= StopPrice)) {
Strategy.doCover(Strategy.LIMIT, Strategy.THISBAR, StopPrice);
}

// test for Profits
if ((Strategy.isLong()) && (high() >= PTPrice)) {
Strategy.doSell(Strategy.LIMIT, Strategy.THISBAR, PTPrice);
}
if ((Strategy.isShort()) && (low() <= PTPrice)) {
Strategy.doCover(Strategy.LIMIT, Strategy.THISBAR, PTPrice);
}

//  Entry Signals
if(tii<=1){  // Go Short
  Strategy.doShort("", Strategy.MARKET, Strategy.NEXTBAR, Strategy.DEFAULT, 0);
  PTPrice = open(1) - PTLevel;
  StopPrice = open(1) + StopLevel;
}

if(tii>=99){  // Go Long
  Strategy.doLong("", Strategy.MARKET, Strategy.NEXTBAR, Strategy.DEFAULT, 0);
  PTPrice = open(1) + PTLevel;
  StopPrice = open(1) - StopLevel;
}


return (dSDP / (dSDP + dSDM)) * 100;
} 

The variables at the top of this file should allow you to change the actions of this system. Let me know if you have any other questions..

B

[yodajudge]

Doji,
When i apply your efs code to my chart i get no data at all for the tii indicator. However if i take out the code for stops and profits the data then shows up. Please see if the same thing happens when you apply it as maybe its something im doing incorrectly.
Also is there a way to enter only if high of trigger bar is taken out for longs and low of trigger bar is taken out for shorts instead of simply buying at the open of the next bar.
Thanks,
yoda

[gspiker]

Hi,

There are a few flaw with the code posted. The most obvious is the return statement, but there seems to be others. I'm looking at it now.

G

[Doji3333]

Fixed it...

Here you go. I'm going to try to attach two files to this.

This file draws the tii indicator and runs your strategy backtest perfectly.

the problem was with my stops and PT code. I forgot to include the LABEL portion of the Strategy function - Duh.

Sorry about that..

B

[Doji3333]

Second file..

Here is the file that runs the backtest perfectly and draws arrows/diamonds on the chart where the system took trades/got stopped out and hit profit target levels..

B

[gspiker]

This works, but it isn't really rigorous in its error checking.
G

/**************************************************
Description : This Indicator plots Trend Intensity Index indicator
Provided By : Developed by TS Support, LLC for eSignal. (c) Copyright 2002
 ***************************************************/
var PTLevel = 1.50;
var PTPrice = 0;
var StopLevel = 2.00;
var StopPrice = 0;
var nLengthMA = 60;
var nLengthTII = 30;

function preMain() {

setStudyTitle("Trend Intensity Index");
setCursorLabelName("TII");
setStudyMin(-1);
setStudyMax(101);

addBand(20, PS_SOLID, 1, Color.black);
addBand(80, PS_SOLID, 1, Color.black);
}


function main() {
    var vMA = call("/Library/MA.efs", nLengthMA);

    var arC = close(0, -nLengthTII);
    if(arC == null)
        return;

    var i;
    var dSDP = 0;
    var dSDM = 0;

    for(i = 0; i < nLengthTII; i++) {
        if(arC[i] > vMA) {
            dSDP +=arC[i] - vMA;
        } else if(arC[i] < vMA) {
            dSDM += vMA - arC[i];
        }
    }

    var tii= (dSDP / (dSDP + dSDM)) * 100;
    // debugPrintln("dSDP = " + dSDM + " dSDM = " + dSDM + " tii = " + tii);

    var nIndex = getCurrentBarIndex();
 

    // test for Stops
    if ((Strategy.isLong()) && (low() <= StopPrice)) {
        if ((Strategy.doSell("Stop Close", Strategy.LIMIT, Strategy.THISBAR, Strategy.ALL, StopPrice)) == false){
            debugPrintln("Error on doSell");
        }
    }
    if ((Strategy.isShort()) && (high() >= StopPrice)) {
        if ((Strategy.doCover("Stop Close", Strategy.LIMIT, Strategy.THISBAR, Strategy.ALL, StopPrice)) == false){
            debugPrintln("Error on doCover");
        }
    }
    
    // test for Profits
    if ((Strategy.isLong()) && (high() >= PTPrice)) {
        if ((Strategy.doSell("Profit Close", Strategy.LIMIT, Strategy.THISBAR, Strategy.DEFAULT, PTPrice)) == false){
            debugPrintln("Error on doSell Profit");
        }
    }
    if ((Strategy.isShort()) && (low() <= PTPrice)) {
        if ((Strategy.doCover("Profit Close", Strategy.LIMIT, Strategy.THISBAR, Strategy.DEFAULT, PTPrice)) == false){
            debugPrintln("Error on doCover Profit");
        }
    }

    //  Entry Signals
    if(tii<=1){  // Go Short
      Strategy.doShort("Short", Strategy.MARKET, Strategy.NEXTBAR);
      PTPrice = open(1) - PTLevel;
      StopPrice = open(1) + StopLevel;
      // debugPrintln(" Short Index = " + nIndex + " StopPrice = " + StopPrice);
    }   

    if(tii>=99){  // Go Long
      Strategy.doLong("Long", Strategy.MARKET, Strategy.NEXTBAR);
      PTPrice = open(1) + PTLevel;
      StopPrice = open(1) - StopLevel;
      // debugPrintln(" Long Index = " + nIndex + " StopPrice = " + StopPrice);
    }
   
    return (tii);
} 

[yodajudge]

Thank you for all your hard work gettin this efs correct. However no one has corrected the most obvious error which is the strategy goes LONG if tii<=1 and goes SHORT when tii>=99. Every code ive seen posted has this reversed.
Yoda

[yodajudge]

Also when a trade is entered a new trade cannot be taken till the previous trade has either been stopped or has taken profit. I notice when i run a backtest the strategy is taaking multiple trades in the same direction before the original signals trade has been completed.
To reiterate this actual strategy only enters when a bar closes with the specified tti value and the high (longs) or low(shorts) of the trigger bar is taken out on the next bar. Since i did not think this was possible to program i requested going in on the open of the next bar. However the system can only be in one trade at a time.
Yoda

[yodajudge]

doji,
The yoda2.efs does not display the tii indicator at all on my screen.
Also both yoda.efs and yoda2.efs are locked and require a password to unlock so am not able to adjust the parameters to optimize the system.
Yoda

[gspiker]

I notice when i run a backtest the strategy is taaking multiple trades in the same direction before the original signals trade has been completed

Yes, I noticed the same thing. That's why I used the ALL flag, so that in theory all positions would be exited rather than just a DEFAULT sized lot.

It is trivial to fix this the way you ned it, just add a check for:

if (!Strategy.isLong() && !Strategy.isShort){
}

[yodajudge]

Hi gspiker,
Can you be specific where and how i would add this check in the efs code.
Thanks
Yoda

[gspiker]

Try this. Its fixes the conditionals (<=1 >=99), makes it so it SHOULD only be in one trade at a time and adds the breaking the lows for a short and high for a long.

I suspect there is somethings still wrong, but I have to pay attention to other things right now. If you figure out a problem when looking at the results, let me know.

G

/**************************************************
Description : This Indicator plots Trend Intensity Index indicator
Provided By : Developed by TS Support, LLC for eSignal. (c) Copyright 2002
 ***************************************************/
var PTLevel = 1.50;
var PTPrice = 0;
var StopLevel = 2.00;
var StopPrice = 0;
var nLengthMA = 60;
var nLengthTII = 30;

function preMain() {

setStudyTitle("Trend Intensity Index");
setCursorLabelName("TII");
setStudyMin(-1);
setStudyMax(101);

addBand(20, PS_SOLID, 1, Color.black);
addBand(80, PS_SOLID, 1, Color.black);
}


function main() {
    var vMA = call("/Library/MA.efs", nLengthMA);

    var arC = close(0, -nLengthTII);
    if(arC == null)
        return;

    var i;
    var dSDP = 0;
    var dSDM = 0;

    for(i = 0; i < nLengthTII; i++) {
        if(arC[i] > vMA) {
            dSDP +=arC[i] - vMA;
        } else if(arC[i] < vMA) {
            dSDM += vMA - arC[i];
        }
    }

    var tii= (dSDP / (dSDP + dSDM)) * 100;
    // debugPrintln("dSDP = " + dSDM + " dSDM = " + dSDM + " tii = " + tii);

    var nIndex = getCurrentBarIndex();
 

    // test for Stops
    if ((Strategy.isLong()) && (low() <= StopPrice)) {
        if ((Strategy.doSell("Stop Close", Strategy.LIMIT, Strategy.THISBAR, Strategy.ALL, StopPrice)) == false){
            debugPrintln("Error on doSell");
        }
    }
    if ((Strategy.isShort()) && (high() >= StopPrice)) {
        if ((Strategy.doCover("Stop Close", Strategy.LIMIT, Strategy.THISBAR, Strategy.ALL, StopPrice)) == false){
            debugPrintln("Error on doCover");
        }
    }
    
    // test for Profits
    if ((Strategy.isLong()) && (high() >= PTPrice)) {
        if ((Strategy.doSell("Profit Close", Strategy.LIMIT, Strategy.THISBAR, Strategy.DEFAULT, PTPrice)) == false){
            debugPrintln("Error on doSell Profit");
        }
    }
    if ((Strategy.isShort()) && (low() <= PTPrice)) {
        if ((Strategy.doCover("Profit Close", Strategy.LIMIT, Strategy.THISBAR, Strategy.DEFAULT, PTPrice)) == false){
            debugPrintln("Error on doCover Profit");
        }
    }

    //  Entry Signals
    if (!Strategy.isLong() && !Strategy.isShort()){ // Make sure we are not in a trade
        if(tii>=99){  // Go Short
            debugPrintln(" tii>=99 Index = " + nIndex + " StopPrice = " + StopPrice);
            if (low(1) < low(0)){
                Strategy.doShort("Short", Strategy.MARKET, Strategy.NEXTBAR);
                PTPrice = open(1) - PTLevel;
                StopPrice = open(1) + StopLevel;
                debugPrintln(" Short Index = " + nIndex + " StopPrice = " + StopPrice);
            }
        }   

        if(tii<=1){  // Go Long
            debugPrintln(" tii<=1 Index = " + nIndex + " StopPrice = " + StopPrice);
            if (high(1) > high(0)){
                Strategy.doLong("Long", Strategy.MARKET, Strategy.NEXTBAR);
                PTPrice = open(1) + PTLevel;
                StopPrice = open(1) - StopLevel;
                debugPrintln(" Long Index = " + nIndex + " StopPrice = " + StopPrice);
            }
        }
    }
   
    return (tii);
} 

[gspiker]

One more...This one will show you visually what the trades would look like (paints a red bar for shorts and green for longs). I also cleaned up some of the issue that would crop up on changes of state of symbols or intervals and fixed the profits to use ALL for the fill size.

Still not the most robust error checking...

/**************************************************
Description : This Indicator plots Trend Intensity Index indicator
Provided By : Developed by TS Support, LLC for eSignal. (c) Copyright 2002
 ***************************************************/
var PTLevel = 1.50;
var PTPrice = 0;
var StopLevel = 2.00;
var StopPrice = 0;
var nLengthMA = 60;
var nLengthTII = 30;
var nInTrade = 0;

function preMain() {

setStudyTitle("Trend Intensity Index");
setCursorLabelName("TII");
setStudyMin(-1);
setStudyMax(101);

addBand(20, PS_SOLID, 1, Color.black);
addBand(80, PS_SOLID, 1, Color.black);
}


function main() {
    var vMA = call("/Library/MA.efs", nLengthMA);
    
    if (vMA == null)
        return;
        
    if (getBarState() == BARSTATE_ALLBARS){
        PTPrice = 0;
        StopPrice = 0;
        nLengthMA = 60;
        nLengthTII = 30;
        nInTrade = 0;
    }
    

    var arC = close(0, -nLengthTII);
    if(arC == null)
        return;

    var i;
    var dSDP = 0;
    var dSDM = 0;

    for(i = 0; i < nLengthTII; i++) {
        if(arC[i] > vMA) {
            dSDP +=arC[i] - vMA;
        } else if(arC[i] < vMA) {
            dSDM += vMA - arC[i];
        }
    }

    var tii= (dSDP / (dSDP + dSDM)) * 100;
    // debugPrintln("dSDP = " + dSDM + " dSDM = " + dSDM + " tii = " + tii);

    var nIndex = getCurrentBarIndex();
 

    // test for Stops
    if ((Strategy.isLong()) && (low() <= StopPrice)) {
        nInTrade = 0;
        if ((Strategy.doSell("Stop Close", Strategy.LIMIT, Strategy.THISBAR, Strategy.ALL, StopPrice)) == false){
            debugPrintln("Error on doSell");
        }
    }
    if ((Strategy.isShort()) && (high() >= StopPrice)) {
        nInTrade = 0;
        if ((Strategy.doCover("Stop Close", Strategy.LIMIT, Strategy.THISBAR, Strategy.ALL, StopPrice)) == false){
            debugPrintln("Error on doCover");
        }
    }
    
    // test for Profits
    if ((Strategy.isLong()) && (high() >= PTPrice)) {
        nInTrade = 0;
        if ((Strategy.doSell("Profit Close", Strategy.LIMIT, Strategy.THISBAR, Strategy.ALL, PTPrice)) == false){
            debugPrintln("Error on doSell Profit");
        }
    }
    if ((Strategy.isShort()) && (low() <= PTPrice)) {
        nInTrade = 0;
        if ((Strategy.doCover("Profit Close", Strategy.LIMIT, Strategy.THISBAR, Strategy.ALL, PTPrice)) == false){
            debugPrintln("Error on doCover Profit");
        }
    }

    //  Entry Signals
    if (!Strategy.isLong() && !Strategy.isShort()){ // Make sure we are not in a trade
        if(tii>=99){  // Go Short
            debugPrintln(" tii>=99 Index = " + nIndex + " StopPrice = " + StopPrice);
            if (low(1) < low(0)){
                nInTrade=-1;
                Strategy.doShort("Short", Strategy.MARKET, Strategy.NEXTBAR);
                PTPrice = open(1) - PTLevel;
                StopPrice = open(1) + StopLevel;
                debugPrintln(" Short Index = " + nIndex + " StopPrice = " + StopPrice);
            }
        }   

        if(tii<=1){  // Go Long
            debugPrintln(" tii<=1 Index = " + nIndex + " StopPrice = " + StopPrice);
            if (high(1) > high(0)){
                nInTrade=1;
                Strategy.doLong("Long", Strategy.MARKET, Strategy.NEXTBAR);
                PTPrice = open(1) + PTLevel;
                StopPrice = open(1) - StopLevel;
                debugPrintln(" Long Index = " + nIndex + " StopPrice = " + StopPrice);
            }
        }
    }
   
    if (nInTrade == 1){
        setBarBgColor(Color.green);
    } else if (nInTrade == -1){
        setBarBgColor(Color.red);
    }
    return (tii);
}