Larry Williams concept: Trade day of week

[helmutw]

Trade day of week (TDW) is a concept Larry Williams describes in some of his books. Larry: "TDW can make a big difference in your system´s performance."

In advance Larry suggests that day traders should do some research on Trading hours of day (THD). We know this: avoid day trading during lunch time.

I think there should be a way to do this calculation in eSignal. Unfortunately I have no idea to do this job in efs. Is this a major exercise?

The TDW-Code would be useful, to have a look what´s happening if we only take buys and sells on certain specific days (hours). Let´s give TDW- and TDH-Backtesting a try to get a closer look to the behaviour of our systems.

One of my ideas is to calculate the average trading range (high(0)-low(0)) from the last 10 mondays, tuesdays ... Lets name this ATR (TDW)

The formula looks like this:

( (high(MondayThisWeek)-low(MondayThisWeek)) + (high(MondayLastWeek)-low(MondayLastWeek )) + (high(MondayTwoWeeksbefore)-low(MondayTwoWeeksbefore)) + ...) /10

Would be great to get support for this idea. Thanks!

[buzzhorton]

Does this help:


{
9:50-10:10AM
Often times, a stock that is moving up into this reversal time zone will
either stall or reverse and head lower. The same is true for the reverse.
This reversal time is by far one of the most reliable times in existence.

10:25-10:35AM
A stock that is moving down into this reversal time zone will also tend to
either stall or reverse back to the upside. If a stock is moving up into
this time zone, it will often halt its advance or reverse and head
lower. This is also one of the more reliable reversal times.

11:15-11:30AM
This reversal time tends to accomplish two things. First, it tends to halt
the prevailing trend preceding it. A stall that this time zone puts in,
will tend to be an enduring one. This period also kicks off the period
called the midday doldrums. This is an elongated period that spans

11:15-2:15PM. During this extended time zone, many stocks, as well as the
market as a whole, often go into a major lull.

12:00-12:15PM
This time period is most important on days in which the morning has been
quiet or directionless. Despite the fact that it is the midday doldrums
period, this time zone can kick off some major moves in both directions,
but usually only when the preceding period was very quiet. This reversal
period is far less common than the preceding three.

1:15-1:30PM
This is one of the more minor reversal periods. It is usually most
significant when it coincides with the retest of a prior high or low. An
example, XYZ tops out around 11:15AM and after a pullback, it rallies back
to retest the 11:15AM high in the 1:15-1:30PM time period. The odds of a
double top dramatically increase, because the retest of the prior high is
coinciding with this time period and can present some interesting trading
opportunities.

2:15-2:30PM
This time period puts an end to the midday doldrums and serves as a very
reliable reversal period for stocks and the general market. This period
often marks the precise period when things start heating up again. It is
so pronounced at times that many regard the period as the market's second open.

3:00PM
This reversal time often brings change because it coincides with the close
of the bond market. This often results in stocks or the market taking on a
different, more accelerated character.

3:30PM
This time often reverses any move that was kicked off at the previous

3:00PM reversal time, particularly when the market is in a sideways trading
range. The last half hour is one of the most active for many day traders.

4:00PM
Once extended 24-hour trading takes place, look for this time to be an
important reversal time.
}

[helmutw]

My research targets another direction.

Please take a look at this code and the attached chart. I am aware that this code is not really doing what I want.

Maybe I should work whith an array, I suppose, but I have no idea, how to push specific days of week in an array to average only mondays, tuesdays ...

function preMain() {
setPriceStudy(false);
setStudyTitle("Day of week");
setShowCursorLabel(true);
setPlotType(PLOTTYPE_HISTOGRAM, 0);
setPlotType(PLOTTYPE_SQUAREWAVE, 1);
setDefaultBarFgColor(Color.black, 1);
setDefaultBarThickness(2,0);
setCursorLabelName("AvgHSDayOfWeek", 0);
setCursorLabelName("HS Today", 1);
setStudyMin(0.2); 
}


function main() {

    var vDate = getValue("Time");

    var vDayOfWeek = vDate.getDay();

    if      (vDayOfWeek == 1)   {setBarFgColor(Color.red);}    
    if      (vDayOfWeek == 2)   {setBarFgColor(Color.blue);}    
    if      (vDayOfWeek == 3)   {setBarFgColor(Color.green);}    
    if      (vDayOfWeek == 4)   {setBarFgColor(Color.black);}    
    if      (vDayOfWeek == 5)   {setBarFgColor(Color.aqua);}    
    
    var A = high(0)  - low(0) 
    var B = high(-5) - low(-5) 
    var C = high(-10) - low(-10) 
    var D = high(-15) - low(-15)
    var E = high(-20) - low(-20)
    var F = high(-25) - low(-25)
    var G = high(-30) - low(-30) 
    var H = high(-35) - low(-35) 
    var I = high(-40) - low(-40) 
    var J = high(-45) - low(-45) 
    var K = high(-50) - low(-50) 
    
    var AvgHSDayOfWeek = (A+B+C+D+E+F+G+H+I+J)/10
    
    return AvgHSDayOfWeek
} 

[buzzhorton]

Here you go.

If you set iDebug = true, it will display the internals in the formula output window.

HTH.

P.S. IMHO, the histogram doesn't plot as nice as flatlines.

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

$AvgPerWeekDay - PLOT AVERAGE PRICE FOR DAY OF WEEK


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


function preMain() {

setPriceStudy(false);

setStudyTitle("Avg per Day of week");

setShowCursorLabel(true);

setPlotType(PLOTTYPE_FLATLINES , 0);

setDefaultBarFgColor(Color.black, 1);

setDefaultBarThickness(2,0);

setCursorLabelName("AvgHSDayOfWeek", 0);

setCursorLabelName("HS Today", 1);

// setStudyMin(0.2); 

    var fp3 = new FunctionParameter("iSource", FunctionParameter.STRING);
    fp3.setName("Price Source");
    fp3.addOption("High");
    fp3.addOption("Low");
    fp3.addOption("Close");
    fp3.setDefault("High");

    var iLineType = new FunctionParameter("iLineType", FunctionParameter.STRING);
           iLineType.addOption("PLOTTYPE_HISTOGRAM");
           iLineType.addOption("PLOTTYPE_SQUAREWAVE");
           iLineType.addOption("PLOTTYPE_FLATLINES");
           iLineType.addOption("PLOTTYPE_SQUARE");
           iLineType.addOption("PLOTTYPE_CIRCLE");
           iLineType.addOption("PLOTTYPE_INSTANTCOLORLINE");
           iLineType.setDefault( "PLOTTYPE_LINE" ); 

    var iDebug = new FunctionParameter("iDebug", FunctionParameter.BOOLEAN);
    iDebug.setDefault( false );



    var iButtonX = new FunctionParameter("iButtonX", FunctionParameter.NUMBER);
    iButtonX.setDefault( 1 ); 

    var iButtonY = new FunctionParameter("iButtonY", FunctionParameter.NUMBER);
    iButtonY.setDefault( 1 ); 

    var iFontSize = new FunctionParameter("iFontSize", FunctionParameter.NUMBER);
    iFontSize.setDefault( 10 ); 

}

var c1 = 0;
var c2 = 0;
var c3 = 0;
var c4 = 0;
var c5 = 0;

SumMon = 0;
SumTue = 0;
SumWed = 0;
SumThu = 0;
SumFri = 0;

AvgMonH = 0;
AvgTueH = 0;
AvgWedH = 0;
AvgThuH = 0;
AvgFriH = 0; 

var AvgHSDayOfWeek = 0;



   askForInput("TRO_NORMALIZER");


function main( iDebug, iSource, iLineType, iFontSize, iButtonX, iButtonY ) {


    if(getBarState() == BARSTATE_ALLBARS) {
        drawTextPixel( iButtonX , iButtonY, " AvgPerWeekDay @URL=EFS:editParameters", 
        Color.white, Color.lime, 
        Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM|Text.ONTOP|Text.BOLD|Text.BUTTON, 
        "Comic Sans MS", 13, "UpExp"); 
        
        iInterval = getInterval();
   
        xSymbol = getSymbol().toUpperCase();
          
          return null;

    } // getBarState


    var vDate = getValue("Time");

    var vDayOfWeek = vDate.getDay();

    if (iSource == "Close") {
        var p = close()
        var p1 = close(-1);
    } else if (iSource == "High") {
        var p = high()
        var p1 = high(-1);
    } else if (iSource == "Low") {
        var p = low()
        var p1 = low(-1);
    }
    
    if      (vDayOfWeek == 1)   {
             setBarFgColor(Color.red);
             c1 = c1 + 1;
             if( c1 != 0) {
               SumMon = ( SumMon + p ) ;
               AvgMonH = ( SumMon ) / c1;
               AvgHSDayOfWeek = AvgMonH ;}
             }    
    if      (vDayOfWeek == 2)   {
             setBarFgColor(Color.blue);
             c2 = c2 + 1;
             if( c2 != 0) {
               SumTue = ( SumTue + p )  ;
               AvgTueH = ( SumTue  ) / c2;
               AvgHSDayOfWeek = AvgTueH ; }
             }         
    if      (vDayOfWeek == 3)  {  
             setBarFgColor(Color.green);
             c3 = c3 + 1;
             if( c3 != 0) {             
               SumWed = ( SumWed + p )  ;
               AvgWedH = ( SumWed  ) / c3;
               AvgHSDayOfWeek = AvgWedH ; }
             }    
    if      (vDayOfWeek == 4)   {
             setBarFgColor(Color.black);
             c4 = c4 + 1;
             if( c4 != 0) {
             SumThu = ( SumThu  + p ) ; 
             AvgThuH = ( SumThu   ) / c4; 
             AvgHSDayOfWeek = AvgThuH ; }
             }    
    if      (vDayOfWeek == 5)   {
             setBarFgColor(Color.aqua);
             c5 = c5 + 1;
             if( c5 != 0) {
             SumFri = ( SumFri + p )  ;
             AvgFriH = ( SumFri   ) / c5;
             AvgHSDayOfWeek = AvgFriH ; }
             }    
    
    
if(iDebug == true) { 
 // debugClear(); 

 


  debugPrint( "                "   + "\n" ); 
  
  debugPrint( "c5            : " + c5  + "\n" );
  debugPrint( "AvgFriH        : " + AvgFriH  + "\n" );

  debugPrint( "c4            : " + c4  + "\n" );
  debugPrint( "AvgThuH        : " + AvgThuH  + "\n" );

  debugPrint( "c3            : " + c3  + "\n" );
  debugPrint( "AvgWedH        : " + AvgWedH  + "\n" );

  debugPrint( "c2            : " + c2  + "\n" );
  debugPrint( "AvgTueH        : " + AvgTueH  + "\n" );

  debugPrint( "c1            : " + c1  + "\n" );
  debugPrint( "AvgMonH        : " + AvgMonH  + "\n" );

  debugPrint( "iSource        : " + iSource  + "\n" );
  
  debugPrint( "vDayOfWeek    : " + vDayOfWeek  + "\n" );

  debugPrint( "Value         : " + p  + "\n" );
  debugPrint( "Source        : " + iSource  + "\n" );
  debugPrint( "--xSymbol     : " + xSymbol  + "\n" );

debugPrint( "getCurrentBarCount() : " + getCurrentBarCount() +  "\n" );  
debugPrint( "-------------: " + "\n" ); 

} // debug 

 
    
    return ( AvgHSDayOfWeek ) ;
}



//==rnd wiLL round to N digits.
function rnd(value, N) {
    var n;
    var mult=1;
    for(n=0;n<N;n++) mult*=10;
    value*=mult;
    return Math.round( value,N)/mult;
}



function editParameters() {
    askForInput("AvgPerWeekDay");
    return;
} 

[helmutw]

@buzzhorton

Thanks a lot! I´ll have to study your code and will be back.

[helmutw]

@buzzhorton

I changed your code to get daily ranges, but unfortunately it does not work at my end. :-( Do you have an idea what´s wrong?

    if      (vDayOfWeek == 1)   {
             setBarFgColor(Color.blue);
             
             c1 = c1 + 1;
             if( c1 != 0 && c1 < 5) {
               SumMon = ( SumMon + high()-low() ) ;
               AvgMonH = ( SumMon ) / c1;
               AvgHSDayOfWeek = AvgMonH ;}
             }    
    if      (vDayOfWeek == 2)   {
             setBarFgColor(Color.red);
             c2 = c2 + 1;
             if( c2 != 0 && c2 < 5 ) {
               SumTue = ( SumTue + high()-low() )  ;
               AvgTueH = ( SumTue  ) / c2;
               AvgHSDayOfWeek = AvgTueH ; }
             }         
    if      (vDayOfWeek == 3)  {  
             setBarFgColor(Color.green);
             c3 = c3 + 1;
             if( c3 != 0 && c3 < 5) {             
               SumWed = ( SumWed + high()-low() )  ;
               AvgWedH = ( SumWed  ) / c3;
               AvgHSDayOfWeek = AvgWedH ; }
             }    
    if      (vDayOfWeek == 4)   {
             setBarFgColor(Color.black);
             c4 = c4 + 1;
             if( c4 != 0 && c4 < 4) {
             SumThu = ( SumThu  + high()-low() ) ; 
             AvgThuH = ( SumThu   ) / c4; 
             AvgHSDayOfWeek = AvgThuH ; }
             }    
    if      (vDayOfWeek == 5 && c5 < 5)   {
             setBarFgColor(Color.aqua);
             c5 = c5 + 1;
             if( c5 != 0) {
             SumFri = ( SumFri + high()-low() )  ;
             AvgFriH = ( SumFri   ) / c5;
             AvgHSDayOfWeek = AvgFriH ; }
             } 

[buzzhorton]

Q. Are you using this on a daily chart?

[helmutw]

Yes I do. see attached chart.

[helmutw]

I am just wondering, why this code does not monitor a moving average of the Monday-Range.

Spended multiple hours, tried different ways, but I am not capable of solving this. Please help!

    var vDate = getValue("Time");
    var vDayOfWeek = vDate.getDay();

    if      (vDayOfWeek == 1)   {
            setPriceBarColor(Color.blue);
            
            var HSMon = high(0)-low(0);
            var UpMon = high(0)-open(0);
            var DnMon = low(0)-open(0);
            var DiffMon = UpMon + DnMon;
            
            MAHSMon = sma(25, HSMon   );

...

return MAHSMon; 

[buzzhorton]

"... Driving you mad. Like a splinter in your mind..."

"I know exactly how you feel."

Ever see THE MATRIX?

Anyway, I think what you might have to do is create series somehow or load an array and push the values through as it goes along and then average the array.

[helmutw]

It´s crucial to get more knowledge about arrays, but the support from eSignal in this case is unsatisfactory.

Studied video training, crawled the board...

A friend coded this indicator in EasyLanguage. Nomen est omen!


Indicator: Fr_Avg


*****************************
Variables: j(0),
average(0);

Array: Fridayranges[5](0);

if dayofweek(date) = 5 then begin

for j=4 downto 1 begin

Fridayranges[j] = Fridayranges[j-1];
end;
Fridayranges[0] = (high-low)/2;

end;

average = average_a(Fridayranges,5);

Plot1(average,"average",yellow);

********************************