2006 Dec: Stochastics With Long Term EMA Filter, by Robert Colby

[eSignal_JasonK]

File Name: Colby_StochEmaFilter.efs

Description:
This study is based on the December 2006 article, Stochastics With Long Term EMA Filter, by Robert Colby.

Formula Parameters:
Stoch Upper Band: 70
Stoch Lower Band: 30
EMA Periods: 271
StochK Periods: 7
StochK Smoothing: 3

Notes:
This study requires at least 271 bars of data. As a non-price study, the formula uses the EMA study as part of the conditions for the trade signal but cannot plot the EMA on the price chart simultaneously with the StochK. If desired, add the EMA study to the price pane with the EMA from Basic Studies menu (use Length 271 with Close as the Source). When the Close is above the 271-period EMA the top half of the study pane's background will be colored green. When the Close is below the 271-period EMA, the bottom half of the study pane's background will be colored red. In addition to the background of the study pane, the price bars will be will also be colored to match the background coloring scheme. The related article is copyrighted material. If you are not a subscriber of Stocks & Commodities, please visit www.traders.com.

Download File:
Colby_StochEmaFilter.efs



EFS Code:

/***************************************
Provided By : eSignal (c) Copyright 2006
Description:  Stochastics With Long Term EMA Filter 
              by Robert Colby

Version 1.0  10/09/2006

Notes:
* Dec 2006 Issue of Stocks and Commodities Magazine
* Study requires at least 271 bars of data.
* As a non-price study, the formula uses the EMA study as
    part of the conditions for the trade signal but cannot 
    plot the EMA on the price chart simultaneously with the StochK.  
    If desired, add the EMA study to the price pane with the EMA 
    from Basic Studies menu (use Length 271 with Close as the Source).
* When the Close is above the 271-period EMA the top half of the study
    pane's background will be colored green.  When the Close is below
    the 271-period EMA, the bottom half of the study pane's background
    will be colored red.  In addition to the background of the study
    pane, the price bars will be will also be colored to match the
    background coloring scheme.


Formula Parameters:                     Default:
Stoch Upper Band                        70
Stoch Lower Band                        30
EMA Periods                             271
StochK Periods                          7
StochK Smoothing                        3
*****************************************************************/

function preMain() {
    setStudyTitle("Stochastics with EMA Filter ");
    setCursorLabelName("EMA", 0);
    setCursorLabelName("StochK", 1);
    setDefaultBarFgColor(Color.navy, 1);
    setDefaultBarThickness(2, 1);
    setShowTitleParameters(false);
    setColorPriceBars(true);
    setDefaultPriceBarColor(Color.grey);
    

    var fp1 = new FunctionParameter("nUpperBand", FunctionParameter.NUMBER);
        fp1.setName("Stoch Upper Band");
        fp1.setLowerLimit(0);
        fp1.setDefault(70);
    
    var fp2 = new FunctionParameter("nLowerBand", FunctionParameter.NUMBER);
        fp2.setName("Stoch Lower Band");
        fp2.setLowerLimit(0);
        fp2.setDefault(30);

    var fp3 = new FunctionParameter("nMAlen", FunctionParameter.NUMBER);
        fp3.setName("EMA Periods");
        fp3.setLowerLimit(1);
        fp3.setDefault(271);

    var fp4 = new FunctionParameter("nKlen", FunctionParameter.NUMBER);
        fp4.setName("StochK Periods");
        fp4.setLowerLimit(1);
        fp4.setDefault(7);

    var fp5 = new FunctionParameter("nKsma", FunctionParameter.NUMBER);
        fp5.setName("StochK Smoothing");
        fp5.setLowerLimit(1);
        fp5.setDefault(3);
}

// Global Variables
var bVersion  = null;    // Version flag
var bInit     = false;   // Initialization flag
var xMA       = null;    // EMA series
var xStochK   = null;    // StochK series

// Strategy Variables
var vPosition = 0;      // position status (1=long, 0=flat, -1=short)    
var bRealTime = false;  // back testing flag

function main(nUpperBand, nLowerBand, nMAlen, nKlen, nKsma) {
    if (bVersion == null) bVersion = verify();
    if (bVersion == false) return;    

    var nState = getBarState();
    var nIndex = getCurrentBarIndex();
    var c      = close(0);
    var c_1    = close(-1);

    //Initialization
    if (bInit == false) {
        addBand(nUpperBand, PS_SOLID, 1, Color.blue, "upper");
        addBand(nLowerBand, PS_SOLID, 1, Color.blue, "lower");
        xMA = ema(nMAlen);
        xStochK = stochK(nKlen, nKsma, 1);
        bInit = true;
    }
    
    var nEMA   = xMA.getValue(0);
    var nEMA_1 = xMA.getValue(-1);
    var nK     = xStochK.getValue(0);
    var nK_1   = xStochK.getValue(-1);
    if (nEMA_1 == null || nK_1 == null) return;  // null check
    
    if (nIndex == 0) bRealTime = true;
    
    //Coloring scheme for close vs. EMA
    if (c >= nEMA) {
        setBarBgColor(Color.green, 0, 100, 50);
        setPriceBarColor(Color.green);
    } else {
        setBarBgColor(Color.red, 0, 50, 0);
        setPriceBarColor(Color.red);
    }
    
    
    // Exit Signals
    if (nState == BARSTATE_NEWBAR && vPosition != 0) {
        if (vPosition == 1) {           // long
            if (c_1 < nEMA_1 || nK_1 > nUpperBand) {
                drawTextRelative(0, 50, "X", Color.white, Color.maroon, 
                    Text.CENTER|Text.FRAME|Text.BOLD|Text.BOTTOM, null, 10);
                drawShape(Shape.SQUARE, TopRow1, Color.khaki);
                vPosition = 0;
                if (bRealTime == false) { // back test
                    Strategy.doSell("Long Exit", Strategy.MARKET, Strategy.THISBAR);
                }
            }
        } else if (vPosition == -1) {   // short
            if (c_1 > nEMA_1 || nK_1 < nLowerBand) {
                drawTextRelative(0, 50, "X", Color.white, Color.maroon, 
                    Text.CENTER|Text.FRAME|Text.BOLD|Text.TOP, null, 10);
                drawShape(Shape.SQUARE, BottomRow1, Color.khaki);
                vPosition = 0;
                if (bRealTime == false) { // back test
                    Strategy.doCover("Short Exit", Strategy.MARKET, Strategy.THISBAR);
                }
            }
        }
    }
    
    // Entry Signals
    if (nState == BARSTATE_NEWBAR) {
        if (vPosition != 1) {  // long
            if (nK_1 < nLowerBand && c_1 > nEMA_1) {
                drawTextRelative(0, 50, "Long", Color.white, Color.blue, 
                    Text.RIGHT|Text.FRAME|Text.BOLD|Text.TOP, null, 10);
                vPosition = 1;
                if (bRealTime == false) { // back test
                    Strategy.doLong("Long Entry", Strategy.MARKET, Strategy.THISBAR);
                }
            }
        }
        if (vPosition != -1) {  // short
            if (nK_1 > nUpperBand && c_1 < nEMA_1) {
                drawTextRelative(0, 50, "Short", Color.white, Color.blue, 
                    Text.RIGHT|Text.FRAME|Text.BOLD|Text.BOTTOM, null, 10);
                vPosition = -1;
                if (bRealTime == false) { // back test
                    Strategy.doShort("Short Entry", Strategy.MARKET, Strategy.THISBAR);
                }
            }
        }
    }
    
    // Position status
    if (vPosition == 1) {
        drawShape(Shape.SQUARE, TopRow1, Color.khaki);
    } else if (vPosition == -1) {
        drawShape(Shape.SQUARE, BottomRow1, Color.khaki);
    }
    
    return new Array(nEMA.toFixed(4), nK);
}



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;
}