2015 Mar: Trading System Design: A Statistical Approach by John F. Ehlers and Ric Way

[eSignal]

File Name: PredictabilityOfEvent.efs, SimpleStocTrSystem.efs

Description:
Trading System Design: A Statistical Approach by John F. Ehlers and Ric Way

Formula Parameters:

PredictabilityOfEvent.efs
Stoc Length: 10
Offset Bars Length: 10
Threshold: 0.2

SimpleStocTrSystem.efs
Stoc Length: 8
Threshold: 0.3
Trade Length: 14
Percent Loss: 3.8
Entry Position Color: lime
Exit Position Color: red

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

Download File:
PredictabilityOfEvent.efs
SimpleStocTrSystem.efs

SimpleStocTrSystem.efs


EFS Code:

PredictabilityOfEvent.efs

/*********************************
Provided By:  
    Interactive Data Corporation (Copyright © 2015) 
    All rights reserved. This sample eSignal Formula Script (EFS)
    is for educational purposes only. Interactive Data Corporation
    reserves the right to modify and overwrite this EFS file with 
    each new release. 

Description:        
    Trading System Design: A Statistical Approach by John F. Ehlers and Ric Way
    
Version:            1.00  01/15/2015

Formula Parameters:                     Default:
Stoc Length                             10
Offset Bars Length                      10
Threshold                               0.2

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(){
    
    setStudyTitle("PredictabilityOfEvent");
    setPriceStudy(false);
    
    var x = 0;

    fpArray[x] = new FunctionParameter("fpStocLength", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Stoc Length");
        setLowerLimit(1);
        setDefault(10);
    }

    fpArray[x] = new FunctionParameter("fpOffLength", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Offset Bars Length");
        setLowerLimit(1);    
        setDefault(10);
    }

    fpArray[x] = new FunctionParameter("fpThreshold", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Threshold");
        setLowerLimit(0);
        setUpperLimit(1); 
        setDefault(0.2);
    }
}

var bInit = false;
var bVersion = null;

var xClose = null;
var xStoc = null;

var nFuturePrice  = null;

var aPredictBin = [];
var fStat = new File('Stat.csv');

function main(fpStocLength, fpOffLength, fpThreshold){
    
    if (bVersion == null) bVersion = verify();
    if (bVersion == false) return;
        
    if (!bInit){
        xClose = close();        
        xStoc = efsInternal("calc_Stoc", fpStocLength, xClose);
        
        bInit = true; 
    }

    if (getBarState() == BARSTATE_ALLBARS){
        for (i = 0; i <= 100; i++)
            aPredictBin[i] = 0;
    }
    
    var nClose = xClose.getValue(0);
    var nPastClose = xClose.getValue(-(fpOffLength - 1));
    
    if (nPastClose == null)
        return;
    
    if (crossUnder(xStoc, fpStocLength, fpOffLength, fpThreshold)){
        
        if (getBarState() == BARSTATE_CURRENTBAR){
            for (i = 0; i <= 100; i++)
                if (nFuturePrice > i - 1 && nFuturePrice <= i)
                    aPredictBin[i] = aPredictBin[i] - 1;
        }
        
        nFuturePrice = 100 * (nClose - nPastClose) / nPastClose;
        
        if (nFuturePrice < -10) nFuturePrice = -10;
        if (nFuturePrice > 10) nFuturePrice = 10;
        
        nFuturePrice = 5 * (nFuturePrice + 10);
        
        for (i = 0; i <= 100; i++)
            if (nFuturePrice > i - 1 && nFuturePrice <= i)
                aPredictBin[i] = aPredictBin[i] + 1;
    }
    
    var nCG = 0;
    var nDenom = 0;
            
    for (i = 0; i <= 100; i++){
        nCG = nCG + i * aPredictBin[i];
        nDenom = nDenom + aPredictBin[i];
    }
    
    if (nDenom == null)
       return;
    
    nCG = (nCG / nDenom - 50) / 5;

    if (isLastBarOnChart()){
        fStat.open("wt");
        fStat.writeln("Change in %, Change in Bins, Occurrences");
        
        for (i = 0; i <= 100; i++)
            fStat.writeln(0.2 * i - 10 + '%, ' + i + ', ' + aPredictBin[i]);
        
        fStat.close(); 
    }
    
    return nCG;  
}

var xHignest = null;
var xLowest = null;

function calc_Stoc(nLength, xSource){
    
   if (getBarState() == BARSTATE_ALLBARS){
       xHignest = highest(nLength, xSource);
       xLowest = lowest(nLength, xSource);
   }
   
   var nSource = xSource.getValue(0);
   var nHighest = xHignest.getValue(0);
   var nLowest = xLowest.getValue(0);

   if (nSource == null || nHighest == null || nLowest == null || nHighest == nLowest)
        return;
  
   var nReturnValue = (nSource - nLowest) / (nHighest - nLowest);
   
   return nReturnValue;
}

function crossUnder(xStoc, nStocLength, nOffLength, nThreshold){
        
    var nReturnValue = false;
    
    var nStoc = xStoc.getValue(-(nOffLength - 1));
    
    if (nStoc == null)
        return;
       
    if (nStoc < nThreshold){
        for (var i = -nOffLength; i >= -(getCurrentBarCount() - nStocLength); i--){
                
            var nPrevStoc = xStoc.getValue(i);
            
            if (nPrevStoc == null)
                return;
                
            if (nPrevStoc != nThreshold){
                if (nPrevStoc > nThreshold)
                    nReturnValue = true; 
                break;
            }
        } 
    }

    return nReturnValue;
}

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;
} 

SimpleStocTrSystem.efs

/*********************************
Provided By:  
    Interactive Data Corporation (Copyright © 2015) 
    All rights reserved. This sample eSignal Formula Script (EFS)
    is for educational purposes only. Interactive Data Corporation
    reserves the right to modify and overwrite this EFS file with 
    each new release. 

Description:        
    Trading System Design: A Statistical Approach by John F. Ehlers and Ric Way
    
Version:            1.00  01/12/2015

Formula Parameters:                     Default:
Stoc Length                             8
Threshold                               0.3
Trade Length                            14
Percent Loss                            3.8
Entry Position Color                    lime
Exit Position Color                     red

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(){
    
    setStudyTitle("SimpleStocTrSystem");
    setPriceStudy(true);
    
    var x = 0;

    fpArray[x] = new FunctionParameter("fpLength", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Stoc Length");
        setLowerLimit(1);
        setDefault(8);
    }

    fpArray[x] = new FunctionParameter("fpThreshold", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Threshold");
        setLowerLimit(0);
        setUpperLimit(1); 
        setDefault(0.3);
    }

    fpArray[x] = new FunctionParameter("fpTradeLength", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Trade Length");
        setLowerLimit(0);    
        setDefault(14);
    } 
    
    fpArray[x] = new FunctionParameter("fpPctLoss", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Percent Loss");    
        setLowerLimit(0);
        setUpperLimit(100); 
        setDefault(3.8);
    }

    fpArray[x] = new FunctionParameter("fpEntryColor", FunctionParameter.COLOR);
    with(fpArray[x++]){
        setName("Entry Position Color");    
        setDefault(Color.lime);
    }

    fpArray[x] = new FunctionParameter("fpExitColor", FunctionParameter.COLOR);
    with(fpArray[x++]){
        setName("Exit Position Color");    
        setDefault(Color.red);
    }
}

var bInit = false;
var bVersion = null;

var xClose = null;
var xOpen = null;
var xLow = null;

var xStoc = null;

var nBarsSinceEntry = null;
var nEntryPrice = null;

var nLotSize = null;

function main(fpLength, fpThreshold, fpTradeLength, fpPctLoss, fpEntryColor, fpExitColor){
    
    if (bVersion == null) bVersion = verify();
    if (bVersion == false) return;
        
    if (!bInit){
        
        xClose = close();
        xOpen = open();
        xLow = low();
        
        xStoc = efsInternal("calc_Stoc", fpLength, xClose);
        
        nLotSize = Strategy.getDefaultLotSize();
        
        bInit = true; 
    }
    
    if (getCurrentBarIndex() != 0){
        
        if (!Strategy.isInTrade() && crossUnder(xStoc, fpThreshold, fpLength)){
            
            nEntryPrice = xOpen.getValue(1);
            
            Strategy.doLong("Enter Long", Strategy.MARKET, Strategy.NEXTBAR);
            drawShapeRelative(1, BelowBar1, Shape.UPTRIANGLE, null, fpEntryColor, Text.PRESET,
            getCurrentBarIndex()+"Ent");
            drawTextRelative(1, BelowBar2, "Enter Long", fpEntryColor, null, Text.PRESET|Text.CENTER,
            null, null, getCurrentBarIndex()+"Ent_Label"); 
            drawTextRelative(1, BelowBar3, nLotSize + " @ " + formatPriceNumber(nEntryPrice),
            fpEntryColor, null, Text.PRESET|Text.CENTER, null, null, getCurrentBarIndex()+"Ent_Size");
            
            nBarsSinceEntry = getCurrentBarCount() + 1;
            
            return;
        }
        
        if (Strategy.isLong()){
            
            var bExit = false;
            var sLabel = "";
            
            var nCountEntry = getCurrentBarCount() - nBarsSinceEntry;
            if (nCountEntry >= fpTradeLength){
                bExit = true;
                sLabel = "Exit Length";
            }
             
            var nLow = xLow.getValue(0);
            var nStopLevel = nEntryPrice * (1 - fpPctLoss / 100); 
            if (nLow < nStopLevel){
                bExit = true;
                sLabel = "Exit Stop";
            }
                
            if (bExit){
                var nExitPrice = xOpen.getValue(1);
            
                Strategy.doSell("Exit Long", Strategy.MARKET, Strategy.NEXTBAR)
                drawShapeRelative(1, AboveBar1, Shape.DOWNTRIANGLE, null, fpExitColor,
                Text.PRESET, getCurrentBarIndex()+"Ex");
                drawTextRelative(1, AboveBar2, sLabel, fpExitColor, null, Text.PRESET|Text.CENTER,
                null, null, getCurrentBarIndex()+"Ex_Label"); 
                drawTextRelative(1, AboveBar3, nLotSize + " @ " + formatPriceNumber(nExitPrice),
                fpExitColor, null, Text.PRESET|Text.CENTER, null, null, getCurrentBarIndex()+"Ex_Size");
            }    
        }
    }
}

var xHignest = null;
var xLowest = null;

function calc_Stoc(nLength, xSource){
    
   if (getBarState() == BARSTATE_ALLBARS){
       xHignest = highest(nLength, xSource);
       xLowest = lowest(nLength, xSource);
   }
   
   var nSource = xSource.getValue(0);
   var nHighest = xHignest.getValue(0);
   var nLowest = xLowest.getValue(0);

   if (nSource == null || nHighest == null || nLowest == null)
        return;
    
   var nReturnValue = (nSource - nLowest) / (nHighest - nLowest);
   
   return nReturnValue;
}

function crossUnder(xStoc, nThreshold, nStocLength){
        
    var nReturnValue = false;
    
    var nStoc = xStoc.getValue(0);
       
    if (nStoc < nThreshold){
        for (var i = -1; i >= -(getCurrentBarCount() - nStocLength) ; i--){
                
            var nPrevStoc = xStoc.getValue(i);
                
            if (nPrevStoc != nThreshold){
                if (nPrevStoc > nThreshold)
                    nReturnValue = true; 
                break;
            }
        } 
    }
    return nReturnValue;
}

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;
}