2015 Dec: Trading The Loonie by Markos Katsanos

[eSignal]

File Name: BBDivergenceIndicator.efs, BBDivergenceStrategy.efs

Description:
Trading The Loonie by Markos Katsanos

Formula Parameters:

BBDivergenceIndicator.efs

Length BB Divergence: 20
Secondary Symbol: CL #F

BBDivergenceStrategy.efs

Length BB Divergence: 20
Secondary Symbol: CL #F
Long Trend Color: green
Short Trend 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:
BBDivergenceIndicator.efs
BBDivergenceStrategy.efs



EFS Code:

BBDivergenceIndicator.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 The Loonie by Markos Katsanos

Formula Parameters:                     Default:
Length BB Divergence                    20
Secondary Symbol                        CL #F 

Version:            1.00  10/08/2015

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("BBDivergenceStrategy");
    setIntervalsBackfill(true);
    var x = 0;
    fpArray[x] = new FunctionParameter("fpLength", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Length BB Divergence");
        setLowerLimit(1); 
        setDefault(20);
    }
    fpArray[x] = new FunctionParameter("fpSecondarySymbol", FunctionParameter.STRING);
    with(fpArray[x++]){
        setName("Secondary Symbol");    
        setDefault('CL #F');
    }
}
 
var bInit = false;
var bVersion = null;
var xClose = null;
var xSecClose = null;
var xBol = null;
var xSecBol = null;
var xDiverg = null;

function main(fpLength, fpSecondarySymbol){

    if (bVersion == null) bVersion = verify();
    if (bVersion == false) return;
    if (!bInit){

        xClose = close();
        xSecClose = close(sym(fpSecondarySymbol));
        xBol = efsInternal('Calc_Bol', fpLength, xClose);
        xSecBol = efsInternal('Calc_Bol', fpLength, xSecClose);
        xDiverg = efsInternal('Calc_Div', xBol, xSecBol);
        bInit = true; 
    }

    var nDiverg = xDiverg.getValue(0);

    if (nDiverg == null)
        return;
        
    return nDiverg;
}

var xBolSMA = null;
var xSTDDev = null;
var bInitInt = false;

function Calc_Bol(nLength, xSource){
    
    if (!bInitInt){
        xBolSMA = sma(nLength, xSource);
        xSTDDev = stdDev(nLength, xSource);
        bInitInt = true;
    }
    
    var nSource = xSource.getValue(0);
    var nBolSMA = xBolSMA.getValue(0);
    var nSTDDev = xSTDDev.getValue(0);
    
    if (nSource == null || nBolSMA == null || nSTDDev == null)
        return;

    var nBol = 1 + ((nSource - nBolSMA + 2 * nSTDDev) / (4 * nSTDDev + .0001));
    return nBol;
}

function Calc_Div(xBol1, xBol2){
      
    var nBol1 = xBol1.getValue(0);
    var nBol2 = xBol2.getValue(0);
    if (nBol1 == null || nBol2 == null)
        return;
    nDiverg = (nBol2 - nBol1) / nBol1 * 100 ;
    return nDiverg;
}

function verify(){
    var b = false;
    if (getBuildNumber() < 3742){

        drawTextAbsolute(5, 35, "This study requires version 12.1 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;
} 

BBDivergenceStrategy.efs

/*********************************
Provided By:  
    Interactive Data Corporation (Copyright В© 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 The Loonie by Markos Katsanos

Formula Parameters:                     Default:
Length BB Divergence                    20
Secondary Symbol                        CL #F 
Long Trend Color                        green
Short Trend Color                       red

Version:            1.00  10/08/2015

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("BBDivergenceStrategy");
    setPriceStudy(true);
    setIntervalsBackfill(true);
    var x = 0;

    fpArray[x] = new FunctionParameter("fpLength", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setName("Length BB Divergence");
        setLowerLimit(1); 
        setDefault(20);
    }

    fpArray[x] = new FunctionParameter("fpSecondarySymbol", FunctionParameter.STRING);
    with(fpArray[x++]){
        setName("Secondary Symbol");    
        setDefault('CL #F');
    }

    fpArray[x] = new FunctionParameter("fpLongColor", FunctionParameter.COLOR);
    with(fpArray[x++]){
        setName("Long Color");    
        setDefault(Color.green);
    }
    
    fpArray[x] = new FunctionParameter("fpShortColor", FunctionParameter.COLOR);
    with(fpArray[x++]){
        setName("Short Color");    
        setDefault(Color.red);
    }
}
 
var bInit = false;
var bVersion = null;
var xClose = null;
var xSecClose = null;
var xLow = null;
var xHigh = null;
var xOpen = null;
var xBol = null;
var xSecBol = null;
var xDiverg = null;
var xHHV = null;
var xHighHHV = null;
var xLLV = null;
var xLowLLV = null;
var xSecLLV = null;
var xROC = null;
var xSecROC = null;
var xCorrelEntry = null;
var xCorrelExit = null;
var xSecSMA = null;
var xMACD = null;
var xSignal = null;
var xStoch = null;
var nTagID = 0;
var nDefLotSize = null;

function main(fpLength, fpSecondarySymbol, fpLongColor, fpShortColor){

    if (bVersion == null) bVersion = verify();
    if (bVersion == false) return;

    if (!bInit){

        xClose = close();
        xSecClose = close(sym(fpSecondarySymbol));
        xLow = low();
        xHigh = high();
        xOpen = open();
        xBol = efsInternal('Calc_Bol', fpLength, xClose);
        xSecBol = efsInternal('Calc_Bol', fpLength, xSecClose);
        xDiverg = efsInternal('Calc_Div', xBol, xSecBol);
        xHHV = hhv(3, xDiverg);
        xHighHHV = hhv(15, xHigh);
        xLLV = llv(3, xDiverg);
        xLowLLV = llv(15, xLow);
        xSecLLV = llv(4, xSecClose);
        xROC = roc(2);
        xSecROC = roc(3, xSecClose);
        xCorrelEntry = efsInternal("Calc_Correlation", 20, xClose, xSecClose);
        xCorrelExit = efsInternal("Calc_Correlation", 60, xClose, xSecClose);
        xSecSMA = sma(40, xSecClose);
        xMACD = macd(12, 26, 9);
        xSignal = macdSignal(12, 26, 9);
        xStoch = stochD(30, 1, 3);

        bInit = true; 
    }

    if (isLastBarOnChart()) return; 

    var nDiverg = xDiverg.getValue(0);
    var nPrevDiverg = xDiverg.getValue(-1);
    var nClose = xClose.getValue(0);
    var nSecClose = xSecClose.getValue(0);
    var nHHV = xHHV.getValue(0);
    var nHighHHV = xHighHHV.getValue(-1);
    var nLLV = xLLV.getValue(0);
    var nLowLLV = xLowLLV.getValue(-1);
    var nSecLLV = xSecLLV.getValue(0);
    var nROC = xROC.getValue(0);
    var nSecROC = xSecROC.getValue(0);
    var nSecSMA = xSecSMA.getValue(0);
    var nPrev2SecSMA = xSecSMA.getValue(-2);
    var nCorrelEntry = xCorrelEntry.getValue(0);
    var nCorrelExit = xCorrelExit.getValue(0);
    var nStoch = xStoch.getValue(0);
       
    if (nDiverg == null || nPrevDiverg == null || nHHV == null || nHighHHV == null ||
        nLLV == null || nLowLLV == null || nSecLLV == null || nROC == null ||  nSecROC == null ||
        nSecSMA == null || nPrev2SecSMA == null || nCorrelEntry == null || nCorrelExit == null || 
        nStoch == null)
        return;

    nDefLotSize = Strategy.getDefaultLotSize();

    var nPrice = xOpen.getValue(1);

    if (!Strategy.isLong()){
        if ((nHHV > 20) && (nDiverg < nPrevDiverg) && (nROC > 0) && (nSecSMA > nPrev2SecSMA) && (nCorrelEntry > -.4)){

            Strategy.doLong("Entry Long", Strategy.MARKET, Strategy.NEXTBAR, Strategy.DEFAULT);
            drawShapeRelative(1, BelowBar1, Shape.UPTRIANGLE, null, fpLongColor, Text.PRESET, nTagID++);
            drawTextRelative(1, BelowBar2, "Entry Long", fpLongColor, null, Text.PRESET|Text.CENTER|Text.BOLD, null, null, nTagID++);
            drawTextRelative(1, BelowBar3, nDefLotSize + " @ " + formatPriceNumber(nPrice), fpLongColor, null, Text.PRESET|Text.CENTER|Text.BOLD, null, null, nTagID++);
        }
    }

    if (Strategy.isLong()){
        if ((crossAbove(xSignal, xMACD) && (nStoch > 85)) ||  
            (nLLV < -20 && nSecROC < -3) ||
            (nClose < nLowLLV && nCorrelExit < -.4)){

            Strategy.doSell("Exit Long", Strategy.MARKET, Strategy.NEXTBAR, Strategy.DEFAULT);
            drawShapeRelative(1, AboveBar1, Shape.SQUARE, null, fpShortColor, Text.PRESET, nTagID++);
            drawTextRelative(1, AboveBar2, "Exit Long", fpShortColor, null, Text.PRESET|Text.CENTER|Text.BOLD, null, null, nTagID++);
            drawTextRelative(1, AboveBar3, nDefLotSize + " @ " + formatPriceNumber(nPrice), fpShortColor, null, Text.PRESET|Text.CENTER|Text.BOLD, null, null, nTagID++);
        }
    }

    if (!Strategy.isShort()){
        if ((nLLV < -20) && (nDiverg > nPrevDiverg) && (nROC < 0) && (nSecSMA < nPrev2SecSMA) && (nCorrelEntry > -.4)){

           Strategy.doShort("Entry Short", Strategy.MARKET, Strategy.NEXTBAR, Strategy.DEFAULT);
           drawShapeRelative(1, AboveBar1, Shape.DOWNTRIANGLE, null, fpShortColor, Text.PRESET, nTagID++);
           drawTextRelative(1, AboveBar2, "Entry Short", fpShortColor, null, Text.PRESET|Text.CENTER|Text.BOLD, null, null, nTagID++);
           drawTextRelative(1, AboveBar3, nDefLotSize + " @ " + formatPriceNumber(nPrice), fpShortColor, null, Text.PRESET|Text.CENTER|Text.BOLD, null, null, nTagID++); 
        }
    }

    if (Strategy.isShort()){
        if ((crossAbove(xMACD, xSignal) && (nStoch < 25) && nSecClose > = (1 + 4 / 100) * nSecLLV ) ||
            (nHHV > 20 && nSecROC > 4.5) ||
            (nClose > nHighHHV && nCorrelExit < -.4)){
                
            Strategy.doCover("Exit Short", Strategy.MARKET, Strategy.NEXTBAR, Strategy.DEFAULT);
            drawShapeRelative(1, BelowBar1, Shape.SQUARE, null, fpLongColor, Text.PRESET, nTagID++);
            drawTextRelative(1, BelowBar2, "Exit Short", fpLongColor, null, Text.PRESET|Text.CENTER|Text.BOLD, null, null, nTagID++);
            drawTextRelative(1, BelowBar3, nDefLotSize + " @ " + formatPriceNumber(nPrice), fpLongColor, null, Text.PRESET|Text.CENTER|Text.BOLD, null, null, nTagID++);
        }
    }
}

function crossAbove(xSource1, xSource2){
        
    var bReturnValue = false;

    var nSource1 = xSource1.getValue(0);
    var nSource2 = xSource2.getValue(0);

    if (nSource1 > nSource2) {

        var i = -1;

        while (!bReturnValue){

            var nPrevSource1 = xSource1.getValue(i);
            var nPrevSource2 = xSource2.getValue(i);

            if (nPrevSource1 == null || nPrevSource2 == null)
                break;

            if (nPrevSource1 != nPrevSource2){
                if (nPrevSource2 > nPrevSource1)
                     bReturnValue = true; 
                break;
            }
            i--;
        }
    }

    return bReturnValue;
} 

var xBolSMA = null;
var xSTDDev = null;
var bInitInt = false;

function Calc_Bol(nLength, xSource){
    
    if (!bInitInt){
        xBolSMA = sma(nLength, xSource);
        xSTDDev = stdDev(nLength, xSource);

        bInitInt = true;
    }
    
    var nSource = xSource.getValue(0);
    var nBolSMA = xBolSMA.getValue(0);
    var nSTDDev = xSTDDev.getValue(0);
    
    if (nSource == null || nBolSMA == null || nSTDDev == null)
        return;
    
    var nBol = 1 + ((nSource - nBolSMA + 2 * nSTDDev) / (4 * nSTDDev + .0001));

    return nBol;
}

function Calc_Div(xBol1, xBol2){
      
    var nBol1 = xBol1.getValue(0);
    var nBol2 = xBol2.getValue(0);

    if (nBol1 == null || nBol2 == null)
        return;

    nDiverg = (nBol2 - nBol1) / nBol1 * 100 ;

    return nDiverg;
}

var xCorSMA1 = null;
var xCorSMA2 = null;

function Calc_Correlation(nLength, xSource1, xSource2){

    if (getBarState() == BARSTATE_ALLBARS){
        xCorSMA1 = sma(nLength, xSource1);
        xCorSMA2 = sma(nLength, xSource2);
    }

    var nSX = xCorSMA1.getValue(0);
    var nSY = xCorSMA2.getValue(0);

    if (nSX == null || nSY == null)
        return;

    var nCor1 = null;
    var nCor2 = null;
    var nCor3 = null;

    for (var i = 0; i < nLength; i++){
        var nX = xSource1.getValue(-i);
        var nY = xSource2.getValue(-i);
        nCor1 += (nX - nSX) * (nY - nSY);
        nCor2 += (nX - nSX) * (nX - nSX);
        nCor3 += (nY - nSY) * (nY - nSY);
    }

    var nCorrelationRes = nCor1 / Math.sqrt(nCor2) / Math.sqrt(nCor3);

    return nCorrelationRes;
}

function verify(){
    var b = false;
    if (getBuildNumber() < 3742){
        
        drawTextAbsolute(5, 35, "This study requires version 12.1 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;
}