2008 Aug: Premier Stochastic Oscillator, by Lee Leibfarth

[eSignal_JasonK]

File Name: PremiereStochastic.efs

Description:
The following studies are based on the August 2008 article, Premier Stochastic Oscillator, by Lee Leibfarth.

Formula Parameters:
PremiereStochastic.efs
Stoch Length: 8
Period: 25
Line1: .9
Line2: .2

PSO_Strategy.efs
Stoch Length: 8
Period: 25
Line1: .9
Line2: .2
Profit Target %: 3
Stop Loss %: 1.5


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



Download File:
PremiereStochastic.efs
PSO_Strategy.efs






EFS Code:
PremierStochastic.efs

/*********************************
Provided By:  
    eSignal (Copyright © eSignal), a division of Interactive Data 
    Corporation. 2008. 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:        Premier Stochastic Oscillator
                    by Lee Leibfarth

Version:            1.0  6/11/2008

Notes:
* August  2008 Issue of Stocks and Commodities Magazine
* Study requires version 10.1 or later.

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


function preMain(){
    setStudyTitle("Premiere Stochastic Oscillator");
    setCursorLabelName("PSO",0);
    setShowCursorLabel(false,1);
    setShowTitleParameters(false);
    setPlotType(PLOTTYPE_LINE,0);
    setPlotType(PLOTTYPE_HISTOGRAM,1);
    setDefaultBarFgColor(Color.black,0);
    setDefaultBarFgColor(Color.blue,1);
    setStudyMax(1.1);
    setStudyMin(-1.1);
    
    var fp1 = new FunctionParameter("StochLength", FunctionParameter.NUMBER);
        fp1.setName("Stoch Length");
        fp1.setLowerLimit(1);        
        fp1.setDefault(8);
    var fp2 = new FunctionParameter("Period", FunctionParameter.NUMBER);
        fp2.setName("Period");
        fp2.setLowerLimit(1);        
        fp2.setDefault(25); 
    var fp3 = new FunctionParameter("Line1", FunctionParameter.NUMBER);
        fp3.setName("Line1");
        fp3.setLowerLimit(0);        
        fp3.setDefault(.9); 
    var fp4 = new FunctionParameter("Line2", FunctionParameter.NUMBER);
        fp4.setName("Line2");
        fp4.setLowerLimit(0);        
        fp4.setDefault(.2); 
}

var bVersion    = null;
var bInit = false;
var xPremiere = null;

function main(StochLength,Period,Line1,Line2){
    if (bVersion == null) bVersion = verify();
    if (bVersion == false) return;    
    if(bInit == false){
        xPremiere = efsInternal("calcPremiere",StochLength,Period);
        addBand(Line1,PS_SOLID,1,Color.blue,"Line1");
        addBand(Line2,PS_SOLID,1,Color.blue,"Line2");
        addBand(Line1*(-1),PS_SOLID,1,Color.red,"Line3");
        addBand(Line2*(-1),PS_SOLID,1,Color.red,"Line4");
        addBand(0, PS_SOLID, 1, Color.black, "0");
        bInit = true;
    }
    var nPremiere = xPremiere.getValue(0);
    if(nPremiere==null) return;
    if(nPremiere>=0) setBarFgColor(Color.blue,1);
    else setBarFgColor(Color.red,1);
    return new Array (nPremiere,nPremiere);
}

var xSmoothStoch = null;

function calcPremiere(_stochlength,_period){
    if(_period<0)
        var Length = 1;
    else
        var Length = Math.sqrt(_period);
    if(xSmoothStoch==null) xSmoothStoch = ema(Length,ema(Length,efsInternal("normStoch",_stochlength)));
    var nSmoothStoch = xSmoothStoch.getValue(0);
    if(nSmoothStoch==null) return;
    return (Math.exp(1*nSmoothStoch)-1)/(Math.exp(1*nSmoothStoch)+1);
}

var xStochK = null;

function normStoch(_stochlength){
    if(xStochK==null) xStochK = stochK(_stochlength,1,1)
    var nStochK = xStochK.getValue(0);
    if(nStochK==null) return;
    return (.1*(nStochK-50));
}

function verify() {
    var b = false;
    if (getBuildNumber() < 999) {
        drawTextAbsolute(5, 35, "This study requires version 10.1 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;
} 

PSO_Strategy.efs

/*********************************
Provided By:  
    eSignal (Copyright © eSignal), a division of Interactive Data 
    Corporation. 2008. 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:        Premier Stochastic Oscillator
                    by Lee Leibfarth

Version:            1.0  6/11/2008

Notes:
* August  2008 Issue of Stocks and Commodities Magazine
* Study requires version 10.1 or later.
* Study is back testing compatible.

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


function preMain(){
    setStudyTitle("PSO Strategy");
    setCursorLabelName("PSO", 0);
    setShowTitleParameters(false);
    setDefaultFont("Ariel", 11);
    setColorPriceBars(true);
    setDefaultPriceBarColor(Color.lightgrey);
    setStudyMax(1.1);
    setStudyMin(-1.1);
    
    var fp1 = new FunctionParameter("StochLength", FunctionParameter.NUMBER);
        fp1.setName("Stoch Length");
        fp1.setLowerLimit(1);        
        fp1.setDefault(8);
    var fp2 = new FunctionParameter("Period", FunctionParameter.NUMBER);
        fp2.setName("Period");
        fp2.setLowerLimit(1);        
        fp2.setDefault(25); 
    var fp3 = new FunctionParameter("Line1", FunctionParameter.NUMBER);
        fp3.setName("Line1");
        fp3.setLowerLimit(0);        
        fp3.setDefault(.9); 
    var fp4 = new FunctionParameter("Line2", FunctionParameter.NUMBER);
        fp4.setName("Line2");
        fp4.setLowerLimit(0);        
        fp4.setDefault(.2); 
    var fp5 = new FunctionParameter("Profit", FunctionParameter.NUMBER);
        fp5.setName("Profit Target %");
        fp5.setLowerLimit(0);        
        fp5.setDefault(3); 
    var fp6 = new FunctionParameter("Stop", FunctionParameter.NUMBER);
        fp6.setName("Stop Loss %");
        fp6.setLowerLimit(0);        
        fp6.setDefault(1.5); 
}

var bVersion    = null;
var bInit = false;
var bBT = true;
var xPremiere = null;
var TargetPrice = 0;
var StopPrice = 0;
var vPosition = 0;  // 1=long, 0=flat, -1=short

function main(StochLength,Period,Line1,Line2,Profit,Stop){
    if (bVersion == null) bVersion = verify();
    if (bVersion == false) return;    
    if (bInit == false) {
        xPremiere = efsInternal("calcPremiere",StochLength,Period);
        addBand(Line1,PS_SOLID,1,Color.blue,"Line1");
        addBand(Line2,PS_SOLID,1,Color.blue,"Line2");
        addBand(Line1*(-1),PS_SOLID,1,Color.red,"Line3");
        addBand(Line2*(-1),PS_SOLID,1,Color.red,"Line4");
        addBand(0, PS_SOLID, 1, Color.black, "0");
        bInit = true;
    }
    
    var nPremiere_0 = xPremiere.getValue(0);
    var nPremiere_1 = xPremiere.getValue(-1);
    var nPremiere_2 = xPremiere.getValue(-2);
    if(nPremiere_2==null) return;
    
    if (getCurrentBarIndex() >= -1) bBT = false;
    
    if(vPosition == 1 ) { // Long Exit
        if(high(0)>=TargetPrice) {
            if (bBT) Strategy.doSell("Long 

Target",Strategy.LIMIT,Strategy.THISBAR,Strategy.ALL,Math.max(open(0),TargetPrice));
            drawShape(Shape.DOWNARROW,TopRow2,Color.green,"LongTarget"+rawtime(0));
            drawText("LT",TopRow1,Color.green,Text.CENTER,"LT"+rawtime(0));
            vPosition = 0;
        }
        if(low(0)<=StopPrice) {
            if (bBT) Strategy.doSell("Long 

Stop",Strategy.STOP,Strategy.THISBAR,Strategy.ALL,Math.min(open(0),StopPrice));
            drawShape(Shape.DOWNARROW,TopRow2,Color.red,"LongStop"+rawtime(0));
            drawText("LS",TopRow1,Color.red,Text.CENTER,"LS"+rawtime(0));
            vPosition = 0;
        }
    }
    if(vPosition == -1) { // Short Exit
        if(low(0)<=TargetPrice){
            if (bBT) Strategy.doCover("Short 

Target",Strategy.LIMIT,Strategy.THISBAR,Strategy.ALL,Math.min(open(0),TargetPrice));
            drawShape(Shape.UPARROW,BottomRow2,Color.green,"ShortTarget"+rawtime(0));
            drawText("ST",BottomRow1,Color.green,Text.CENTER,"ST"+rawtime(0));
            vPosition = 0;
        }
        if(high(0)>=StopPrice) {
            if (bBT) Strategy.doCover("Short 

Stop",Strategy.STOP,Strategy.THISBAR,Strategy.ALL,Math.max(open(0),StopPrice));
            drawShape(Shape.UPARROW,BottomRow2,Color.red,"ShortStop"+rawtime(0));
            drawText("SS",BottomRow1,Color.red,Text.CENTER,"SS"+rawtime(0));
            vPosition = 0;
        }
    }
    if(getBarState()==BARSTATE_NEWBAR) {
        // Long Entry
        if(vPosition != 1 && nPremiere_2>Line1&&nPremiere_1<Line1||nPremiere_2>Line2&&nPremiere_1<Line2) {
            if (bBT) Strategy.doLong("Long Entry",Strategy.MARKET,Strategy.THISBAR,Strategy.DEFAULT);
            drawShape(Shape.UPARROW,BottomRow2,Color.blue,"LongEntry"+rawtime(0));
            drawText("LE",BottomRow1,Color.blue,Text.CENTER,"LE"+rawtime(0));
            TargetPrice = open(0)*(1+(Profit/100));
            StopPrice   = open(0)*(1-(Stop/100));
            vPosition = 1;
        } 
        // Short Entry
        if(vPosition != -1 && 

nPremiere_2<Line1*(-1)&&nPremiere_1>Line1*(-1)||nPremiere_2<Line2*(-1)&&nPremiere_1>Line2*(-1)) {
            if (bBT) Strategy.doShort("Short Entry",Strategy.MARKET,Strategy.THISBAR,Strategy.DEFAULT);
            drawShape(Shape.DOWNARROW,TopRow2,Color.magenta,"ShortEntry"+rawtime(0));
            drawText("SE",TopRow1,Color.magenta,Text.CENTER,"SE"+rawtime(0));
            TargetPrice = open(0)*(1-(Profit/100));
            StopPrice   = open(0)*(1+(Stop/100));
            vPosition = -1;
        }
    }
    
    if (nPremiere_0 >= 0) setBarFgColor(Color.blue);
    else setBarFgColor(Color.red);
    
    if (vPosition == 1) setDefaultPriceBarColor(Color.blue);
    else if (vPosition == -1) setDefaultPriceBarColor(Color.red);
    else setDefaultPriceBarColor(Color.lightgrey);
    
    return nPremiere_0;
}

var xSmoothStoch = null;

function calcPremiere(_stochlength,_period) {
    if(_period<0)
        var Length = 1;
    else
        var Length = Math.sqrt(_period);
    if(xSmoothStoch==null) xSmoothStoch = ema(Length,ema(Length,efsInternal("normStoch",_stochlength)));
    var nSmoothStoch = xSmoothStoch.getValue(0);
    if(nSmoothStoch==null) return;
    return (Math.exp(1*nSmoothStoch)-1)/(Math.exp(1*nSmoothStoch)+1);
}

var xStochK = null;

function normStoch(_stochlength) {
    if(xStochK==null) xStochK = stochK(_stochlength,1,1)
    var nStochK = xStochK.getValue(0);
    if(nStochK==null) return;
    return (.1*(nStochK-50));
}

function verify() {
    var b = false;
    if (getBuildNumber() < 999) {
        drawTextAbsolute(5, 35, "This study requires version 10.1 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;
}