Announcement

**ACM** · 01-08-2014, 02:37 AM

Indus383
The call() function does not create a series hence you cannot retrieve the values returned by it using the getValue() method of the Series Object. (see this article in the eSignal KnowledgeBase which also contains a link to a thread in this forum that covers the call() function).
What you should be using instead to call the external efs is the efsExternal() function. For information on the function and examples of its use see this article in the eSignal KnowledgeBase and also this thread in the forum. In addition if you run a search in the forum you will find many examples of its use (complete with explanations) as the topic has been covered at length before
Alex

Originally posted by indus383 View Post

Hi, I am trying to backtest a moving average crossover strategy. The fast moving average is the Hull Moving average, while the slow moving average is the simple moving average. I am facing issues when trying to use the call function for accessing the Hull Moving average. Can someone help me ?

Code for the Strategy
var bInit = false;

function preMain() {
setPriceStudy(true);
setStudyTitle("Moving Average Crossover");
setColorPriceBars(true);
setDefaultPriceBarColor(Color.black);
setPlotType(PLOTTYPE_LINE,0);
setDefaultBarFgColor(Color.red, 0);
setPlotType(PLOTTYPE_LINE,1);
setDefaultBarFgColor(Color.blue, 1);

}

var xSMAFast = null;
var xSMASlow = null;

function main() {
var nBarState = getBarState();
var nSMAFast = 0;
var nSMASlow = 0;

if (bInit == false) {
xSMAFast = call("HullMA2.efs")
xSMASlow = sma(20)
bInit = true;
}

nSMAFast = xSMAFast.getValue(-1);
nSMASlow = xSMASlow.getValue(-1);

if(nSMAFast == null || nSMASlow == null) return;
if (getCurrentBarIndex() == 0) return;

if(nSMAFast >= nSMASlow && !Strategy.isLong())
Strategy.doLong("Crossing Up", Strategy.MARKET, Strategy.THISBAR);
if(nSMAFast < nSMASlow && !Strategy.isShort())
Strategy.doShort("Crossing Down", Strategy.MARKET, Strategy.THISBAR);
if(Strategy.isLong())
setPriceBarColor(Color.lime);
else if(Strategy.isShort())
setPriceBarColor(Color.red);
return new Array(nSMAFast, nSMASlow);
}

HullMA2.efs

var fpArray = new Array();

function preMain() {
setPriceStudy(true);
setStudyTitle("Hull MA");
setCursorLabelName("HMA", 0);
setDefaultBarStyle(PS_SOLID, 0);
setDefaultBarFgColor(Color.blue, 0);
setPlotType(PLOTTYPE_LINE, 0);
setDefaultBarThickness(1, 0);
var x=0;
fpArray[x] = new FunctionParameter("Length", FunctionParameter.NUMBER);
with(fpArray[x++]){
setLowerLimit(1);
setDefault(15);
}
fpArray[x] = new FunctionParameter("Source", FunctionParameter.STRING);
with(fpArray[x++]){
addOption("open");
addOption("high");
addOption("low");
addOption("close");
addOption("hl2");
addOption("hlc3");
addOption("ohlc4");
setDefault("close");
}
fpArray[x] = new FunctionParameter("Symbol", FunctionParameter.STRING);
with(fpArray[x++]){
setDefault();
}
fpArray[x] = new FunctionParameter("Interval", FunctionParameter.STRING);
with(fpArray[x++]){
setDefault();
}
fpArray[x] = new FunctionParameter("Offset", FunctionParameter.NUMBER);
with(fpArray[x++]){
setDefault(0);
}
fpArray[x] = new FunctionParameter("Params", FunctionParameter.BOOLEAN);
with(fpArray[x++]){
setName("Show Parameters");
setDefault(false);
}
}

var bInit = false;
var vSymbol = null;
var vSource = null;
var xHMA = null;

function main(Length,Source,Symbol,Interval,Offset,Params) {
if(getCurrentBarCount()<Length*2) return;
if(bInit == false){
if(Symbol == null) Symbol = getSymbol();
if(Interval == null) Interval = getInterval();
vSymbol = Symbol+","+Interval;
vSource = eval(Source);
xHMA = getSeries(wma(Math.round(Math.sqrt(Length)),efsInt ernal("calcHMA",Length,Offset,vSource(sym(vSymbol) ))));
setShowTitleParameters(eval(Params));
bInit = true;
}
return xHMA;
}

var xAvg1 = null;
var xAvg2 = null;

function calcHMA(length,offset,source){
if(xAvg1==null) xAvg1 = offsetSeries(wma(length/2,source),offset);
if(xAvg2==null) xAvg2 = offsetSeries(wma(length,source),offset);
var Avg1 = xAvg1.getValue(0);
var Avg2 = xAvg2.getValue(0);
if(Avg1 == null || Avg2 == null) return;
return (2*Avg1)-Avg2;
}

Announcement

Issue in backtesting a strategy using an efs study by call() function

Issue in backtesting a strategy using an efs study by call() function

Comment