NonLinear Exits

[eSignal]

File Name: NonLinearExits.efs

Description:
NonLinear Exits

Formula Parameters:
Fraction of ATR for entry : 1
Length of channel for breakout : 20
Length of moving average : 30
Length of ATR, short-term : 10
Length of ATR, long-term : 200
Number of bars from entry to exit : 20
Constants for nonlinear exits a0 : 1
Constants for nonlinear exits a2 : 1
Constants for nonlinear exits a3 : 0.02
Constants for nonlinear exits b0 : 1
Constants for nonlinear exits b2 : 1
Constants for nonlinear exits b3 : 0.02


Notes:
This system illustrates different kinds of nonlinear
exits based on volatility, as given by the average
true range (ATR).

Mike Bryant
Breakout Futures

https://www.breakoutfutures.com/Newsletters/Newsletter0608.htm

https://www.BreakoutFutures.com

Download File:
NonLinearExits.efs



EFS Code:

/*********************************
Provided By:  
    eSignal (Copyright c eSignal), a division of Interactive Data 
    Corporation. 2009. 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:        
    NonLinear Exits

Version:            1.01  11/16/2009

Formula Parameters:                     Default:
    Fraction of ATR for entry           1
    Length of channel for breakout      20
    Length of moving average            30
    Length of ATR, short-term           10
    Length of ATR, long-term            200
    Number of bars from entry to exit   20    
    Constants for nonlinear exits a0    1
    Constants for nonlinear exits a2    1
    Constants for nonlinear exits a3    0.02
    Constants for nonlinear exits b0    1
    Constants for nonlinear exits b2    1
    Constants for nonlinear exits b3    0.02
    
Notes:
  This system illustrates different kinds of nonlinear
  exits based on volatility, as given by the average
  true range (ATR).

  Mike Bryant
  Breakout Futures
  //www.breakoutfutures.com/Newsletters/Newsletter0608.htm
  //www.BreakoutFutures.com
**********************************/

var fpArray = new Array();
var bInit = false;

function preMain() {
    setPriceStudy(true);
    setShowCursorLabel(true);
    setShowTitleParameters(false);
    setStudyTitle("NonLinear Exits");
    setDefaultPriceBarColor(Color.black);    
    setCursorLabelName("Open Price", 0);   
    setDefaultBarFgColor(Color.blue, 0);
    setPlotType(PLOTTYPE_FLATLINES, 0); 
    setDefaultBarThickness(1, 0);
    setCursorLabelName("Take Profit Price", 1);   
    setDefaultBarFgColor(Color.green, 1);
    setPlotType(PLOTTYPE_FLATLINES, 1); 
    setDefaultBarThickness(1, 1);
    setCursorLabelName("Stop Loss Price", 2);   
    setDefaultBarFgColor(Color.red, 2);
    setPlotType(PLOTTYPE_FLATLINES, 2); 
    setDefaultBarThickness(1, 2);
    setColorPriceBars(true);        
    askForInput();
    var x=0;
    fpArray[x] = new FunctionParameter("EntFr", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Fraction of ATR for entry");
        setLowerLimit(1);        
        setDefault(1);
    }
    fpArray[x] = new FunctionParameter("NChan", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Length of channel for breakout");
        setLowerLimit(1);        
        setDefault(20);
    }
    fpArray[x] = new FunctionParameter("NMA", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Length of moving average");
        setLowerLimit(1);        
        setDefault(30);
    }
    fpArray[x] = new FunctionParameter("NATRst", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Length of ATR, short-term");
        setLowerLimit(1);        
        setDefault(10);
    }
    fpArray[x] = new FunctionParameter("NATRlt", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Length of ATR, long-term");
        setLowerLimit(1);        
        setDefault(200);
    }
    fpArray[x] = new FunctionParameter("NBExit", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Number of bars from entry to exit");
        setLowerLimit(1);        
        setDefault(20);
    }
    fpArray[x] = new FunctionParameter("a0", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Constants for nonlinear exits a0");
        setLowerLimit(0);        
        setDefault(1);
    }
    fpArray[x] = new FunctionParameter("a1", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Constants for nonlinear exits a1");
        setLowerLimit(0);        
        setDefault(1);
    }
    fpArray[x] = new FunctionParameter("a2", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Constants for nonlinear exits a2");
        setLowerLimit(0);        
        setDefault(0.02);
    }
    fpArray[x] = new FunctionParameter("b0", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Constants for nonlinear exits b0");
        setLowerLimit(0);        
        setDefault(1);
    }
    fpArray[x] = new FunctionParameter("b1", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Constants for nonlinear exits b1");
        setLowerLimit(0);        
        setDefault(1);
    }
    fpArray[x] = new FunctionParameter("b2", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Constants for nonlinear exits b2");
        setLowerLimit(0);        
        setDefault(0.02);
    }
}

var xATRst = null;
var xATRlt = null;
var xMA = null;
var xHH = null;
var xLL = null;
var xClose = null;
var xOpen = null;
var nEntryBar = 0;
var nPriceEntry = 0;
var nPriceProfit = 0;
var nPriceLoss = 0;
var bOut = false;

function main(EntFr, NChan, NMA, NATRst, NATRlt, NBExit, a0, a1, a2, b0, b1, b2) {
var nBarState = getBarState();
var EntLong = false;    
var EntShort = false;
var nMA = 0;
var nHH1 = 0;
var nLL1 = 0;
var nClose = 0;
var nOpen = 0;
var ExitSz1 = 0;
var ExitSz2 = 0;
var ATRst = 0;
var ATRlt = 0;
    if (nBarState == BARSTATE_ALLBARS) {
        if (EntFr == null) EntFr = 1;
        if (NChan == null) NChan = 20;
        if (NMA == null) NMA = 30;
        if (NATRst == null) NATRst = 10;
        if (NATRlt == null) NATRlt = 200;
        if (NBExit == null) NBExit = 20;
        if (a0 == null) a0 = 1;
        if (a1 == null) a1 = 1;
        if (a2 == null) a2 = 0.02;
        if (b0 == null) b0 = 1;
        if (b1 == null) b1 = 1;
        if (b2 == null) b2 = 0.02;
    }    
    if (bInit == false) { 
        xATRst = sma(NATRst, atr(1));
        xATRlt = sma(NATRlt, atr(1));
        xMA = sma(NMA);
        xHH = upperDonchian(NChan);
        xLL = lowerDonchian(NChan);
        xClose = close();
        xHigh = high();
        xLow = low();
        xOpen = open();
        bInit = true; 
    }
    nMA = xMA.getValue(-1);
    nHH1 = xHH.getValue(-2);
    nLL1 = xLL.getValue(-2);
    nClose = xClose.getValue(-1);
    ATRst = xATRst.getValue(-1);
    ATRlt = xATRlt.getValue(-1);
    nOpen = xOpen.getValue(0);
    if (getCurrentBarIndex() == 0) return;        
    if (nHH1 == null || nMA == null || ATRst == null || ATRlt == null) return;
    if (nClose > nMA && nClose > (nHH1 + EntFr * ATRst )) {
        EntLong = true;
    } else {
        EntLong = false;
    }
    if (nClose < nMA && nClose < (nLL1 - EntFr * ATRst )) {
        EntShort = true;
    } else {
        EntShort = false;
    }
 
    ExitSz1 = ATRlt * (a0 + a1 * (ATRst / ATRlt) + a2 * Math.pow((ATRst / ATRlt), 2));
    ExitSz2 = ATRlt * (b0 + b1 * (ATRst / ATRlt) + b2 * Math.pow((ATRst / ATRlt), 2));
 
    if (EntLong && !Strategy.isLong()) {
        Strategy.doLong("Long", Strategy.MARKET, Strategy.THISBAR);
        nEntryBar = getCurrentBarCount();
        nPriceProfit = nClose + ExitSz2;
        nPriceLoss = nClose - ExitSz1;
        nPriceEntry = nClose;        
        setPriceBarColor(Color.green);
    } else {  
        if (EntShort && !Strategy.isShort()) {
            Strategy.doShort("Short", Strategy.MARKET, Strategy.THISBAR);
            nEntryBar = getCurrentBarCount();
            nPriceProfit = nClose - ExitSz2;
            nPriceLoss = nClose + ExitSz1;
            nPriceEntry = nClose;
            setPriceBarColor(Color.red);
        } else {
            if(Strategy.isLong()) {
                setPriceBarColor(Color.green);
                if (getCurrentBarCount() - nEntryBar >= NBExit) {
                    Strategy.doSell("NBar-L", Strategy.CLOSE, Strategy.THISBAR);
                } else {
                    Strategy.doSell("Targ-L", Strategy.LIMIT, Strategy.THISBAR, Strategy.ALL, Math.max(nPriceProfit, nOpen));
                    Strategy.doSell("MM-L", Strategy.STOP, Strategy.THISBAR, Strategy.ALL, Math.min(nPriceLoss, nOpen));
                }    
                if (!Strategy.isLong()) bOut = true;
            } else {
                if(Strategy.isShort()) {
                    setPriceBarColor(Color.red);
                    if (getCurrentBarCount() - nEntryBar >= NBExit) {
                        Strategy.doCover("NBar-S", Strategy.CLOSE, Strategy.THISBAR);
                    } else {
                        Strategy.doCover("Targ-S", Strategy.LIMIT, Strategy.THISBAR, Strategy.ALL, Math.min(nPriceProfit, nOpen));
                        Strategy.doCover("MM-S", Strategy.STOP, Strategy.THISBAR, Strategy.ALL, Math.max(nPriceLoss, nOpen));
                    }
                    if (!Strategy.isShort()) bOut = true;
                }               
            }   
        } 
    }        
    if (bOut == true) {
        nPriceEntry = 0;
        nPriceProfit = 0;
        nPriceLoss = 0;
        bOut = false;
    }    
    if (nPriceEntry != 0) {
        return new Array(nPriceEntry, nPriceProfit, nPriceLoss);
    } else {
        return;
    }
}