2006 Sept: Trading With An Adaptive Price Zone by Lee Leibfarth

[eSignal_JasonK]

File Name: AdaptivePriceZone.efs

Description:
These studies are based on the September 2006 article, Trading With An Adaptive Price Zone, by Lee Leibfarth.

Formula Parameters:
AdaptivePriceZone.efs
Period: 20
Band Percent: 2

APZ_Strategy.efs
Period: 20
Band Percent: 2
ADX Period: 14
ADX Smoothing: 14
ADX Threshold: 30

Notes:
The APZ_Strategy.efs study is compatible for back testing and real time usage. These formulas require eSignal version 8.0.0 or later. The related article is copyrighted material. If you are not a subscriber of Stocks & Commodities, please visit www.traders.com.

Download File:
AdaptivePriceZone.efs
APZ_Strategy.efs





EFS Code:

/***************************************
Provided By : eSignal (c) Copyright 2006
Description:  Trading With An Adaptive Price Zone
              by Lee Leibfarth

Version 1.0  07/06/2006

Notes:
* Sept 2006 Issue of Stocks and Commodities Magazine
* Study requires version 8.0 or higher.


Formula Parameters:                 Defaults:
Period                              20
Band Percent                        2
***************************************/


function preMain() {
    setPriceStudy(true);
    setStudyTitle("Adaptive Price Zone Indicator ");
    setCursorLabelName("Upper Band", 0);
    setCursorLabelName("Lower Band", 1);
    setDefaultBarThickness(2, 0);
    setDefaultBarThickness(2, 1);
    setDefaultBarStyle(PS_DOT, 0);
    setDefaultBarStyle(PS_DOT, 1);
    

    var fp1 = new FunctionParameter("nPeriods", FunctionParameter.NUMBER);
        fp1.setName("Period");
        fp1.setLowerLimit(1);
        fp1.setDefault(20);
    var fp2 = new FunctionParameter("nBandPct", FunctionParameter.NUMBER);
        fp2.setName("Band Percent");
        fp2.setLowerLimit(0);
        fp2.setDefault(2);
}

var bVersion = null;
var bInit = false;

var xAPZ = null;
var xAPZ_Upper = null;  // Upper Band
var xAPZ_Lower = null;  // Lower Band

function main(nPeriods, nBandPct) {    
    if (bVersion == null) bVersion = verify();
    if (bVersion == false) return;    

    if (bInit == false) {
        xAPZ = efsInternal("calcAPZ", nPeriods, nBandPct);
        bInit = true;
    }
    
    if (xAPZ_Upper == null) xAPZ_Upper = getSeries(xAPZ, 0);  // Upper Band
    if (xAPZ_Lower == null) var xAPZ_Lower = getSeries(xAPZ, 1);  // Lower Band
    var nAPZ_Upper = xAPZ_Upper.getValue(0);
    var nAPZ_Lower = xAPZ_Lower.getValue(0);
    if (nAPZ_Upper == null || nAPZ_Lower == null) return;

    if (high(0) > nAPZ_Upper) {
        drawShape(Shape.CIRCLE, AboveBar1, Color.blue, rawtime(0));
    } else if (low(0) < nAPZ_Lower) {
        drawShape(Shape.CIRCLE, BelowBar1, Color.blue, rawtime(0));
    }
    

    return new Array(nAPZ_Upper, nAPZ_Lower);
}

var xHL = null;

function calcAPZ(nPeriods, nBandPct) {
    if (xHL == null) xHL = efsInternal("calcHL");
    if (isNaN(xHL.getValue(0))) return;
    
    //nPeriods = Math.round(Math.sqrt(nPeriods));
    nPeriods = Math.ceil(Math.sqrt(nPeriods));
    var Value1 = ema(nPeriods, ema(nPeriods), 0);
    var Value2 = ema(nPeriods, ema(nPeriods, xHL), 0);
    if (Value1 == null || Value2 == null) return;
    
    var UpBand = nBandPct * Value2 + Value1;
    var DnBand = Value1 - nBandPct * Value2;
    if (UpBand == null || DnBand == null) return;
    
    return new Array(UpBand, DnBand);
}


function calcHL() {
    return high(0) - low(0);
}


function verify() {
    var b = false;
    if (getBuildNumber() < 779) {
        drawTextAbsolute(5, 35, "This study requires version 8.0 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;
}



/***************************************
Provided By : eSignal (c) Copyright 2006
Description:  Trading With An Adaptive Price Zone
              by Lee Leibfarth

Version 1.0  07/06/2006

Notes:
* Sept 2006 Issue of Stocks and Commodities Magazine
* Study requires version 8.0 or higher.
* Study is designed for Back Testing.


Formula Parameters:                 Defaults:
Period                              20
Band Percent                        2
ADX Period                          14
ADX Smoothing                       14
ADX Threshold                       30
***************************************/


function preMain() {
    setPriceStudy(true);
    setStudyTitle("Adaptive Price Zone Strategy ");
    setShowTitleParameters(false);
    setCursorLabelName("Upper Band", 0);
    setCursorLabelName("Lower Band", 1);
    setCursorLabelName("ADX", 2);
    setDefaultBarFgColor(Color.blue, 0);
    setDefaultBarFgColor(Color.blue, 1);
    setDefaultBarFgColor(Color.green, 2);
    setDefaultBarThickness(2, 0);
    setDefaultBarThickness(2, 1);
    setDefaultBarStyle(PS_DOT, 0);
    setDefaultBarStyle(PS_DOT, 1);
    setDefaultFont("Ariel", 12);
    

    var fp1 = new FunctionParameter("nPeriods", FunctionParameter.NUMBER);
        fp1.setName("Period");
        fp1.setLowerLimit(1);
        fp1.setDefault(20);
    var fp2 = new FunctionParameter("nBandPct", FunctionParameter.NUMBER);
        fp2.setName("Band Percent");
        fp2.setLowerLimit(0);
        fp2.setDefault(2);
    var fp3 = new FunctionParameter("nADXPeriods", FunctionParameter.NUMBER);
        fp3.setName("ADX Period");
        fp3.setLowerLimit(1);
        fp3.setDefault(14);
    var fp4 = new FunctionParameter("nADXSmoothing", FunctionParameter.NUMBER);
        fp4.setName("ADX Smoothing");
        fp4.setLowerLimit(1);
        fp4.setDefault(14);
    var fp5 = new FunctionParameter("nADXThreshold", FunctionParameter.NUMBER);
        fp5.setName("ADX Threshold");
        fp5.setLowerLimit(0);
        fp5.setDefault(30);
}

var bVersion = null;
var bInit = false;
var bBackTest = true;
var vPosition = null;

var xAPZ = null;
var xAPZ_Upper = null;  // Upper Band
var xAPZ_Lower = null;  // Lower Band

function main(nPeriods, nBandPct, nADXPeriods, nADXSmoothing, nADXThreshold) {    
    if (bVersion == null) bVersion = verify();
    if (bVersion == false) return;    

    if (bInit == false) {
        xAPZ = efsInternal("calcAPZ", nPeriods, nBandPct);
        bInit = true;
    }
    
    if (xAPZ_Upper == null) xAPZ_Upper = getSeries(xAPZ, 0);  // Upper Band
    if (xAPZ_Lower == null) var xAPZ_Lower = getSeries(xAPZ, 1);  // Lower Band
    var nAPZ_Upper = xAPZ_Upper.getValue(0);
    var nAPZ_Lower = xAPZ_Lower.getValue(0);
    var nAPZ_Upper_1 = xAPZ_Upper.getValue(-1);
    var nAPZ_Lower_1 = xAPZ_Lower.getValue(-1);
    var nADX_0 = adx(nADXPeriods, nADXSmoothing, 0);
    var nADX_1 = adx(nADXPeriods, nADXSmoothing, -1);
    if (nAPZ_Upper_1 == null || nAPZ_Lower_1 == null || nADX_1 == null) return;

    if (getCurrentBarIndex() == 0) bBackTest = false;
    
    if (vPosition != null && nADX_1 > nADXThreshold) {  // Exit signal
        if (vPosition == "long") {
            drawText("Sell", AboveBar3, Color.red, Text.BOLD|Text.CENTER, "t"+rawtime(0));
            drawShape(Shape.DOWNARROW, AboveBar2, Color.red, "s"+rawtime(0));
            vPosition = null;
            Alert.playSound("ding.wav");
            if (bBackTest == true) {
                Strategy.doSell("Sell", Strategy.MARKET, Strategy.THISBAR);
            }
        } else if (vPosition == "short") {
            drawText("Cover", BelowBar3, Color.red, Text.BOLD|Text.CENTER, "t"+rawtime(0));
            drawShape(Shape.UPARROW, BelowBar2, Color.red, "s"+rawtime(0));
            vPosition = null;
            Alert.playSound("ding.wav");
            if (bBackTest == true) {
                Strategy.doCover("Cover", Strategy.MARKET, Strategy.THISBAR);
            }
        }
    } else if (nADX_1 <= nADXThreshold) {  // Entry signal        
        if (vPosition != "short" && high(-1) >= nAPZ_Upper_1) { // Short signal
            vPosition = "short";
            drawText("Short", AboveBar3, Color.blue, Text.BOLD|Text.CENTER, "t"+rawtime(0));
            drawShape(Shape.DOWNARROW, AboveBar2, Color.blue, "s"+rawtime(0));
            Alert.playSound("pop.wav");
            if (bBackTest == true) {
                Strategy.doShort("Short", Strategy.MARKET, Strategy.THISBAR);
            }
        } 
        if (vPosition != "long" && low(-1) <= nAPZ_Lower_1) { // Long signal
            vPosition = "long";
            drawText("Long", BelowBar3, Color.blue, Text.BOLD|Text.CENTER, "t"+rawtime(0));
            drawShape(Shape.UPARROW, BelowBar2, Color.blue, "s"+rawtime(0));
            Alert.playSound("pop.wav");
            if (bBackTest == true) {
                Strategy.doLong("Long", Strategy.MARKET, Strategy.THISBAR);
            }
        }
    }
    

    return new Array(nAPZ_Upper, nAPZ_Lower, nADX_0.toFixed(6));
}

var xHL = null;

function calcAPZ(nPeriods, nBandPct) {
    if (xHL == null) xHL = efsInternal("calcHL");
    if (isNaN(xHL.getValue(0))) return;
    
    //nPeriods = Math.round(Math.sqrt(nPeriods));
    nPeriods = Math.ceil(Math.sqrt(nPeriods));
    var Value1 = ema(nPeriods, ema(nPeriods), 0);
    var Value2 = ema(nPeriods, ema(nPeriods, xHL), 0);
    if (Value1 == null || Value2 == null) return;
    
    var UpBand = nBandPct * Value2 + Value1;
    var DnBand = Value1 - nBandPct * Value2;
    if (UpBand == null || DnBand == null) return;
    
    return new Array(UpBand, DnBand);
}


function calcHL() {
    return high(0) - low(0);
}


function verify() {
    var b = false;
    if (getBuildNumber() < 779) {
        drawTextAbsolute(5, 35, "This study requires version 8.0 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;
}