Description:
Mean-Reversion Swing Trading by Ken Calhoun
Formula Parameters:
Mean_Reversion_Swing.efs
Slope: 1
Trigger: 0.5
Notes:
The related article is copyrighted material. If you are not a subscriber
of Stocks & Commodities, please visit www.traders.com.
Download File:
Mean_Reversion_Swing.efs
Mean_Reversion_Swing.efs
EFS Code:
PHP 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:
Mean-Reversion Swing Trading by Ken Calhoun
Version: 1.00 11/09/2016
Formula Parameters: Default:
Slope 1
Trigger 0.5
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(){
setPriceStudy(true);
setStudyTitle("MR Swing");
var x = 0;
fpArray[x] = new FunctionParameter("Slope", FunctionParameter.NUMBER);
with(fpArray[x++]){
setLowerLimit(0.01);
setUpperLimit(100);
setDefault(1);
setName("Slope");
}
fpArray[x] = new FunctionParameter("Trigger", FunctionParameter.NUMBER);
with(fpArray[x++]){
setLowerLimit(0.000001);
setDefault(0.5);
setName("Trigger");
}
}
var bInit = false;
var bVersion = null;
var xDHigh = null;
var xHigh = null;
var xDLow = null;
var xLow = null;
var xDDateTime = null;
var bInSwing = false;
var bSwFinished = false;
var nSwBarsBack = 0;
var nMeanRev = 0;
var nMeanHigh = 0;
var nSwHigh = 0;
var bMRFound = false;
var dMeanRevD = null;
var bFindBO = false;
function main(Slope, Trigger){
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
if (getBarState() == BARSTATE_ALLBARS){
bInSwing = false;
bSwFinished = false;
nSwBarsBack = 0;
nMeanRev = 0;
nMeanHigh = 0;
nSwHigh = 0;
bMRFound = false;
dMeanRevD = null;
bFindBO = false;
bInit = false;
}
if (!bInit){
xDHigh = high(inv("D"));
xDLow = low(inv("D"));
xDDateTime = rawtime(inv("D"));
xLow = low();
xHigh = high();
}
nDHigh = xDHigh.getValue(0);
var slopeFinished = false;
var i = 0;
var swingLen = 0;
while (!slopeFinished){
if (xDHigh.getValue(i) > xDHigh.getValue(i-1)){
swingLen++;
i--;
}
else slopeFinished = true;
}
if (bInSwing && swingLen == 0){
nSwBarsBack = 0;
bSwFinished = true;
bInSwing = false;
}
if (bSwFinished && nMeanRev != 0){
nSwBarsBack++;
if (xDLow.getValue(-1) < nMeanRev && day(0) != day(-1)){
drawLineRelative(-1, nMeanRev, -nSwBarsBack, nSwHigh, PS_SOLID, 3, Color.red,
("Mean rev. " + (rawtime(-nSwBarsBack))));
dMeanRevD = xDDateTime.getValue(-1);
nMeanHigh = nSwHigh;
nSwBarsBack = 0;
bSwFinished = false;
bMRFound = false;
}
}
if (!bSwFinished && !bInSwing && !bMRFound && nMeanRev != 0 && xDDateTime.getValue(-1) == dMeanRevD){
if (xHigh.getValue(0) >= nMeanRev + Trigger){
drawTextRelative(0, BelowBar1, "\u00E9", Color.green, null,
Text.PRESET|Text.CENTER, "Wingdings", 10, "Entry"+rawtime(0));
drawTextRelative(0, BelowBar2, "MR", Color.green, null,
Text.PRESET|Text.CENTER|Text.BOLD, "Arial", 8, "Entry text"+rawtime(0));
bMRFound = true;
bFindBO = true;
nMeanRev = 0;
}
}
if (bFindBO && xHigh.getValue(0) >= nMeanHigh){
drawTextRelative(0, AboveBar1, "\u00E9", Color.green, null,
Text.PRESET|Text.CENTER, "Wingdings", 10, "2nd Entry"+rawtime(0));
drawTextRelative(0, AboveBar2, "BO", Color.green, null,
Text.PRESET|Text.CENTER|Text.BOLD, "Arial", 8, "2nd Entry text"+rawtime(0));
bFindBO = false;
}
if (swingLen >=4){
var nSStart = getFirstBarIndexOfDay(xDDateTime.getValue(-(swingLen)));
if(nSStart != null){
if (((nDHigh - xDHigh.getValue(-(swingLen)))/(xDLow.getValue(0) - xDLow.getValue(-(swingLen)))) > Slope){
nSwHigh = nDHigh;
var nSwLow = xDLow.getValue(-(swingLen));
nMeanRev = (nSwHigh + nSwLow)/2;
drawLineRelative(0, nDHigh, (nSStart - getCurrentBarIndex()), xDLow.getValue(-(swingLen)),
PS_SOLID, 3, Color.green, "Uptrend" + xDDateTime.getValue(-(swingLen)));
bInSwing = true;
bSwFinished = false;
nSwBarsBack = 0;
}
else{
bInSwing = false;
bSwFinished = true;
}
}
}
}
function verify(){
var b = false;
if (getBuildNumber() < 779){
drawTextAbsolute(5, 35, "This study requires version 10.6 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;
}