strategy using trend strength indicator

[yodajudge]

gspiker,
Your last code does exactly what i need . Now i can fine tune for objectives and stops. The first adjustemnet anyone using this method should do is change the tii<=1 to tii<= 20,15 or 10 and change tii>=99 to tii>=80, 85 or 90.
Next depending on what time frame you are using i would change the 60,30 to 10,5 or 20,10 or 5,3.
The exception to buying if high or low is exceeded is the daily rth chart. In this timeframe you would either buy or sell the open the next day depending on the tii value being >85 or <15 or whatever paremeters you choose.
Once again thanks for all the work everyone has done on this strategy
Yoda

[yodajudge]

gspiker,
There is one thing that needs to be adjusted on the efs . When i backtest it does enter on bars that print below the low or high of the trigger. However, instead of entering at that level the efs enters on the open of that bar.
For example if a bar has a tii of 100 and low of that bar is 850. the next bar opens at 851. If the next bar prints below 850 instead of making my entry point as 849.75 it takes the open of that bar at 851 as my entry which of course makes the results unrealistic.
Besides that the efs works fantastic
Yoda

[gspiker]

I can fix that, should be easy. I have some other stuff to do first, will post update later tonight.

[gspiker]

Hi,

Please read all this post. There are some issues you need to understand.

This version has:

1) Entry based on low/high of previous bar. Since we don't get tick data in backtest mode, I created a new variable (nSWAGPrice) that is set to the amount you think would be a good SWAG at the fill price if you wait for the price to drop below/rise above the lows/highs of the previous bar. Currently set to .25.

2) I added a new condition for stops since I felt that the way we were doing it wasn't realistic. Now I test to see not only if the price has dropped through(longs)/ risen above(shorts) the stop price, but I check to see if the open has gapped through the stop price. If it does I sell at the open price.

/**************************************************
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;
var nSWAGPrice = 0.25 // Price to add/subtract from high/low for entry on backtest

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;
        
    var entry;
        
    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)) {
        // debugPrintln("Long Stop Loss");
        nInTrade = 0;
        if (open() < StopPrice) // Stop at stop price, unless the bar gaps lower, in which case sell on gap
            StopPrice = open();
        if ((Strategy.doSell("Stop Close", Strategy.LIMIT, Strategy.THISBAR, Strategy.ALL, StopPrice)) == false){
            debugPrintln("Error on doSell Stop");
        }
    }
    if ((Strategy.isShort()) && (high() >= StopPrice)) {
        // debugPrintln("Short Stop Loss");
        nInTrade = 0;
        if (open() > StopPrice) // Stop at stop price, unless the bar gaps above, in which case cover on gap
            StopPrice = open();
        if ((Strategy.doCover("Stop Close", Strategy.LIMIT, Strategy.THISBAR, Strategy.ALL, StopPrice)) == false){
            debugPrintln("Error on doCover Stop");
        }
    }
    
    // test for Profits
    if ((Strategy.isLong()) && (high() >= PTPrice)) {
        // debugPrintln("Long Profit Stop");
        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)) {
        // debugPrintln("Short Profit Stop");
        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
            if (low(1) < low(0)){
                entry=low(0)-nSWAGPrice
                nInTrade=-1;
                Strategy.doShort("Short", Strategy.MARKET, Strategy.NEXTBAR, Strategy.DEFAULT, entry);
                PTPrice = entry - PTLevel;
                StopPrice = entry + StopLevel;
                // debugPrintln(" Short Index = " + nIndex + " StopPrice = " + StopPrice + " entry = " + entry);
            }
        }   

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

[yodajudge]

gspiker,
When i backtest your latest verison my results come out wacky.
First it varies the number of contracts in the trades from 1 to 840 instead of keeping it at just one.Maybe this has more to do with my settings than your code but this has not occured on any of your previuos versions.
Second each trade should have either exactly a 1.5 point gain or 2 point loss which was the case in your previous version but not in this version.
Third, the SWAG varaible does not seem to have any effect on the entry price as all entries are still at the open of the next bar when i look at the trades. The strange thing is when i look at your code it looks like it should work fine.
Once again thanks for all your hard work on this strategy
Yoda

[gspiker]

First it varies the number of contracts in the trades from 1 to 840 instead of keeping it at just one.

This could be my fault...let me look into it.

Second each trade should have either exactly a 1.5 point gain or 2 point loss which was the case in your previous version but not in this version.

This would be expected due to the fact I now take into account gaps (at least for stops...I need to do the same for profits - right now I am only applying penatly side of gaps, not the bonus side). Usually there are two ways of trading stops:
1) Wait for the close of the bar to determine if the stop should be taken.
2) Take any price below the stop price

I assumed you were doing #2 based on the way you described the study. Given that, most traders trading this way, on a gap lower than their stop for a long (higher for a short) will sell on the open of the gap rather than playing games and seeing of they can get their target stop price. Hence there will be times when you don't get filled at the 2.00 stop...it may be more when a strong gap down happens.

G

[gspiker]

This fixes the problem with the # of contracts/shares.
I also added the gap code for profits.

If you don't want the gap code, comment out the lines that reset StopPrice and PTPrice right before the doSell and doCover in the Stops and Profit test sections. However, I have to caution this will not make for a very real scenerio as this will let you cover at better price than may be possible once the loss stops are triggerd.

/**************************************************
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;
var nSWAGPrice = 0.25 // Price to add/subtract from high/low for entry on backtest

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;
        
    var entry;
        
    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)) {
        // debugPrintln("Long Stop Loss");
        nInTrade = 0;
        if (open() < StopPrice) // Stop at stop price, unless the bar gaps lower, in which case sell on gap
            StopPrice = open();
        if ((Strategy.doSell("Stop Close", Strategy.LIMIT, Strategy.THISBAR, Strategy.ALL, StopPrice)) == false){
            debugPrintln("Error on doSell Stop");
        }
    }
    if ((Strategy.isShort()) && (high() >= StopPrice)) {
        // debugPrintln("Short Stop Loss");
        nInTrade = 0;
        if (open() > StopPrice) // Stop at stop price, unless the bar gaps above, in which case cover on gap
            StopPrice = open();
        if ((Strategy.doCover("Stop Close", Strategy.LIMIT, Strategy.THISBAR, Strategy.ALL, StopPrice)) == false){
            debugPrintln("Error on doCover Stop");
        }
    }
    
    // test for Profits
    if ((Strategy.isLong()) && (high() >= PTPrice)) {
        if (open() > PTPrice) // Stop at stop price, unless the bar gaps lower, in which case sell on gap
            PTPrice = open();
        // debugPrintln("Long Profit Stop");
        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)) {
        if (open() < PTPrice) // Stop at stop price, unless the bar gaps above, in which case cover on gap
            PTPrice = open();
        // debugPrintln("Short Profit Stop");
        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
            if (low(1) < low(0)){
                entry=low(0)-nSWAGPrice
                nInTrade=-1;
                Strategy.doShort("Short", Strategy.MARKET, Strategy.NEXTBAR, Strategy.DEFAULT, entry);
                PTPrice = entry - PTLevel;
                StopPrice = entry + StopLevel;
                // debugPrintln(" Short Index = " + nIndex + " StopPrice = " + StopPrice + " entry = " + entry);
            }
        }   

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

[yodajudge]

gspiker,
Im using this strategy to play es all sessions intraday so the odds of a gap that exceeds my stop is very very small. However in order to apply this method to a daily chart your gap code is very helpful even though if i was working this off a daily chart my profit objective would be 7 points and my stop be 10 points.
When i comment out the gap code the strategy is still printing the open of the next as my entry instead of the high or low of the previous bar. So it seems the SWAG variable is either not working
in the way i anticipated or maybe its impossible for an efs code to perform such an operation.

Once again thanks for your work here,
Yoda

[gspiker]

Yodda,

There could easily be a bug in my code. Let me take a look.

Garth

[gspiker]

Yoda,

It was my mistake, I should have changed the entrys from Market to Limit...

I also fixed the visual que when you load the efs on the chart. it was signaling one bar early (neat trick if you can do it)...

Here is the new code...

/**************************************************
Description : This Indicator plots Trend Intensity Index indicator
Provided By : Developed by TS Support, LLC for eSignal. (c) Copyright 2002
 ***************************************************/
var PTLevel = 1.5;
var PTPrice = 0;
var StopLevel = 2.00;
var StopPrice = 0;
var nLengthMA = 60;
var nLengthTII = 30;
var nInTrade = 0;
var nSWAGPrice = 0.25 // Price to add/subtract from high/low for entry on backtest

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

    if (nInTrade == 1){
        setBarBgColor(Color.green);
    } else if (nInTrade == -1){
        setBarBgColor(Color.red);
    }
   
    if (getBarState() == BARSTATE_ALLBARS){
        PTPrice = 0;
        StopPrice = 0;
        nLengthMA = 60;
        nLengthTII = 30;
        nInTrade = 0;
    }
    
    var arC = close(0, -nLengthTII);
    if(arC == null)
        return;
  
    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)) {
        // debugPrintln("Long Stop Loss");
        nInTrade = 0;
        if (open() < StopPrice) // Stop at stop price, unless the bar gaps lower, in which case sell on gap
            StopPrice = open();
        if ((Strategy.doSell("Stop Close", Strategy.LIMIT, Strategy.THISBAR, Strategy.ALL, StopPrice)) == false){
            debugPrintln("Error on doSell Stop");
        }
    }
    if ((Strategy.isShort()) && (high() >= StopPrice)) {
        // debugPrintln("Short Stop Loss");
        nInTrade = 0;
        if (open() > StopPrice) // Stop at stop price, unless the bar gaps above, in which case cover on gap
            StopPrice = open();
        if ((Strategy.doCover("Stop Close", Strategy.LIMIT, Strategy.THISBAR, Strategy.ALL, StopPrice)) == false){
            debugPrintln("Error on doCover Stop");
        }
    }
    
    // test for Profits
    if ((Strategy.isLong()) && (high() >= PTPrice)) {
        if (open() > PTPrice) // Stop at stop price, unless the bar gaps lower, in which case sell on gap
            PTPrice = open();
        // debugPrintln("Long Profit Stop");
        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)) {
        if (open() < PTPrice) // Stop at stop price, unless the bar gaps above, in which case cover on gap
            PTPrice = open();
        // debugPrintln("Short Profit Stop");
        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
            if (low(1) < low(0)){
                entry=low(0)-nSWAGPrice;
                nInTrade=-1;
                Strategy.doShort("Short", Strategy.LIMIT, Strategy.NEXTBAR, Strategy.DEFAULT, entry);
                PTPrice = entry - PTLevel;
                StopPrice = entry + StopLevel;
                // debugPrintln(" Short Index = " + nIndex + " StopPrice = " + StopPrice + " entry = " + entry);
            }
        }   

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

[yodajudge]

gs,
Thank you very much. Where in the code would you suggest i add my code for color coding the price bars based on if the TII is increasing or decreasing.
Yoda

[gspiker]

Yoda,

You are trying to paint the price bars colors, right?

OK, first of all, I think you need to make sure setPriceStudy(true);
is set in your preMain(). Since I haven't played with this much, I don't know for sure, but I'm 90% sure this is true.

Also, if you setPriceStudy(true), you will want to not return the values of tii...since it will be all out of scale with the price.

Second, I would put it near the end of the study and just check for your condition before returning...

HTH...

Garth

[yodajudge]

gs,
The statements setPriceStudy(true) and setColorPriceBars(true) and setDefaultPriceBarColor are already in my efs as i have created several efs studies that color code my bars based on the level of an indicator.
My problem is still getting the efs to recognize a variable that repesents the previous bars and current bars values of the tti so that i can subtract them from each other for my conditon.
It seems everytime i put in that condition the program wont return any data at all.
Thanks
Yoda