2016 Dec: Pair Trading With A Twist by Domenico D'Errico

[eSignal]

File Name: Pair_Trading.efs

Description:
Pair Trading With A Twist by Domenico D'Errico

Formula Parameters:
Pair_Trading.efs

Correlating symbol: SPY
Fast MA: 4
Slow MA: 40
BG Color Condition: Trend Following

Notes:
The related article is copyrighted material. If you are not a subscriber
of Stocks & Commodities, please visit www.traders.com.

Download File:
Pair_Trading.efs

Pair_Trading.efs


EFS Code:

/*********************************
Provided By:  
eSignal (Copyright c eSignal), a division of Interactive Data
Corporation. 2016. 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:        
    Pair Trading With A Twist by Domenico D'Errico

Version:            1.00  10/10/2016

Formula Parameters:                     Default:
Correlating symbol                      SPY
Fast MA                                 4
Slow MA                                 40
BG Color Condition                      Trend Following



Notes:
The related article is copyrighted material. If you are not a subscriber
of Stocks & Commodities, please visit www.traders.com.

**********************************/


var fpArray = new Array();

function preMain(){
    if (isWatchList()){
        setCursorLabelName("Trend Following",0);
        setCursorLabelName("Mean Rev",1);
        setCursorLabelName("Trend&Pullback",2);
        setDefaultBarFgColor(Color.white,0);
        setDefaultBarFgColor(Color.white,1);
        setDefaultBarFgColor(Color.white,2);
    }
    else {
        setDefaultPrecision(4);
        setCursorLabelName("Fast MA", 1);
        setCursorLabelName("Slow MA", 2);
        setDefaultBarFgColor(Color.RGB(255,106,0), 1);
        setDefaultBarFgColor(Color.RGB(255,0,110), 2);
        setDefaultBarThickness(3,0);
    }
    setIntervalsBackfill(true);
    var x = 0;
    fpArray[x] = new FunctionParameter("Leg2", FunctionParameter.STRING);
        with (fpArray[x++]){
        setName("Correlating symbol");
        addOption(" ");
        addOption("SPY");
        setDefault("SPY");
        }
    fpArray[x] = new FunctionParameter("FastMA", FunctionParameter.NUMBER);
        with (fpArray[x++]){
        setName("Fast MA");
        setLowerLimit(1);
        setDefault(4);
        }
    fpArray[x] = new FunctionParameter("SlowMA", FunctionParameter.NUMBER);
        with (fpArray[x++]){
        setName("Slow MA");
        setLowerLimit(1);
        setDefault(40);
        }
        fpArray[x] = new FunctionParameter("BgCColor", FunctionParameter.STRING);
        with (fpArray[x++]){
        setName("BG Color Condition");
        addOption("Trend Following");
        addOption("Mean Reverting");
        addOption("Trend Pullback");
        setDefault("Trend Following");
        }

}

var bVersion = null;
var bInit = false;
var xFastSMA = null;
var xRatioClose = null;
var xSlowSMA = null;
var sTFStrategy = null;
var sMRStrategy = null;
var sTBStrategy = null;
var upColor = null;
var sTBStrategy_1 = null;

function main (Leg2, FastMA, SlowMA, BgCColor){
    if (bVersion == null) bVersion = verify();
    if (bVersion == false) return;

    if (getBarState() == BARSTATE_ALLBARS)
        bInit = false;

    if (getCurrentBarCount() <= SlowMA) return;

    if (!bInit){
        sTFStrategy = null;
        sMRStrategy = null;
        sTBStrategy = null;
        upColor = Color.RGB(0,60,0);

        var sSpread = getSymbol() + " / " + Leg2;
        xRatioClose = close(sym(sSpread));
        if (!isWatchList())
            setCursorLabelName(sSpread, 0);

        xFastSMA = sma(FastMA, xRatioClose);
        xSlowSMA = sma(SlowMA, xRatioClose);

        bInit = true;
    }

    if(getBarState() == BARSTATE_NEWBAR)
        sTBStrategy_1 = sTBStrategy;

    var nFastSMA = xFastSMA.getValue(0);
    var nSlowSMA = xSlowSMA.getValue(0);
    var nRatioClose = xRatioClose.getValue(0);

    if (nFastSMA > nSlowSMA)
        sTFStrategy = "UP";
    else if (nFastSMA < nSlowSMA)
        sTFStrategy = null;

    if (nRatioClose < nFastSMA)
        sMRStrategy = "Mean Rev UP";
    else if (nRatioClose > nFastSMA)
        sMRStrategy = null;

    if (sTBStrategy_1 == null){
        if (nFastSMA > nSlowSMA && nRatioClose < nFastSMA)
            sTBStrategy = "UP";
        else sTBStrategy = sTBStrategy_1
    }

    if (sTBStrategy_1 != null){
        if (nFastSMA < nSlowSMA && nRatioClose > nFastSMA)
        sTBStrategy = null;
        else sTBStrategy = sTBStrategy_1;
    }



    if (isWatchList()){
        if (sTFStrategy != null) setBarBgColor(upColor,0);
        if (sMRStrategy != null) setBarBgColor(upColor,1);
        if (sTBStrategy != null) setBarBgColor(upColor,2);

        return [sTFStrategy, sMRStrategy, sTBStrategy];
    }
    else {
        if ((BgCColor == "Trend Following" && sTFStrategy != null) ||
            (BgCColor == "Mean Reverting" && sMRStrategy != null) ||
            (BgCColor == "Trend Pullback" && sTBStrategy != null))
            setBarBgColor(upColor,0);

        return [nRatioClose, nFastSMA, nSlowSMA];
    }
}

function verify(){
    var b = false;
    if (getBuildNumber() < 2455){

        drawTextAbsolute(5, 35, "This study requires version 11.3 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;
}