Test of Price "Excursion"

[zeller4]

Please see the attached chart in the next post.
I'm writing a script that will show three things.
1. Each 30-min interval where the price crosses long or short is noted. Price level is pre-determined.
2. When higher low is made, note level of previous lowest price excursion below the pre-defined level. Continue tracking "excursion" until a higher-high is observed.
3. Note price levels between previous lows and newer highs which would hit a trailing stop to optimize the trailing stop levels.

I'm trying to run this to obtain statistical levels comparing various intervals throughout the day (and night with forex).

I'm new to loops in efs and was wondering if these would be the best manner to run portions of this code.
Any help you could give would be sincerely appreciated.
Kirk

[zeller4]

Price Excursion

attached chart

[zeller4]

here's a new chart with efs

function preMain() {
    setPriceStudy(true);
    setStudyTitle("Excursion");
    setCursorLabelName("vExcursion", 0);
    setDefaultBarFgColor(Color.green, 0);
    
    setCursorLabelName("vLongBot", 1);
    setDefaultBarStyle(PS_SOLID, 1);
    setDefaultBarFgColor(Color.blue, 1);
    setDefaultBarThickness(2, 1);
    setPlotType(PLOTTYPE_FLATLINES, 1);
    
    setCursorLabelName("vShortTop", 2);
    setDefaultBarStyle(PS_SOLID, 2);
    setDefaultBarFgColor(Color.red, 2);
    setDefaultBarThickness(2, 2);
    setPlotType(PLOTTYPE_FLATLINES, 2);

    setCursorLabelName("nCounter", 3);
    setDefaultBarFgColor(Color.green, 3);
    
    setCursorLabelName("vStart", 4);
    setDefaultBarStyle(PS_DASH, 4);
    setDefaultBarFgColor(Color.black, 4);
    setDefaultBarThickness(2, 4);
    setPlotType(PLOTTYPE_FLATLINES, 4);

    
}
var bInit = false;
var xA0 = null;     // 1-Day Peak series
var nCounter = 0;
var vFlag = 0;
var vHigh = null;
var vLow = null;
var vExcursion = 0;

function main() {

if( bInit == false) {
    xA0 = efsInternal("calcPeak", 1);// from APE.efs
    bInit = true;
    }
if(getCurrentBarIndex()==0 ){
        if( (minute(0) % 5) == 0  && vFlag == 0)
        {
        vFlag = 1;
        
        }
    }    
    if(vHigh == null || vLow == null || vStart == null) {
    var vHigh = high(inv(5));//iInterval));   
    var vLow = low(inv(5));//iInterval));  
    var vStart = close(-1,inv(30));//iInterval));
}
//var vLongBot    = rnd(vStart + iOffset1,  iDecimals, 2) ; 
var vLongBot    = rnd(vStart + 1.1,  2, 2) ; 
var vShortTop    = rnd(vStart - 1.1,  2, 2) ; 
    
    var nLength = 7;
    var curHigh = high()
    var curLow = low()
    if (curHigh == null || curLow == null)
        return;
    var pastHighs = high(0, -nLength);
    if (pastHighs == null)
        return;
    var pastLows = low(0, -nLength);
    if (pastLows == null)
        return;
        
    var curRange = (curHigh - curLow);
    
     
drawTextRelative(2,+vLongBot,+vLongBot.toFixed(2),Color.blue,null,Text.BOLD | Text.VCENTER,"Arial",12,"vLongBot");
drawTextRelative(2,+vShortTop,+vShortTop.toFixed(2),Color.red,null,Text.BOLD | Text.VCENTER,"Arial",12,"vShortTop");

   if( getBarState() == BARSTATE_NEWBAR){
    if( open(0) <= vLongBot &&
        high(0) >= vLongBot )
    {
    nCounter = 0;
    vFlag = 1;//long condition
    vExcursion = curHigh - vLongBot;
    }
    // not sure how to start the counter to record until vExcursion is max due to lower high
    //then record max counter and max vExcursion
    i = nCounter;
    for (i = 0; i < 30; ++i) {
        if( curHigh > pastHighs)  {
        vExcursion = curHigh - vLongBot;
        nCounter = 1;
        }
        else if( curHigh < pastHighs
        ){
            vExcursion = prevHigh - vLongBot;
            
        }
    
    }


return new Array( vExcursion, vLongBot, vShortTop, nCounter, vStart);

}


var xHighest = null;
var xLowest = null;

function calcPeak(nDay) {// not sure how to use this from APE.efs
    if(xHighest==null) xHighest = highest(nDay, high());
    if(xLowest==null) xLowest = lowest(nDay, low());
    var nO = open(-nDay+1);
    if (nO == null) return null;
    
    var nH = Math.abs((xHighest.getValue(0) - nO) / nO)*100;
    var nL = Math.abs((xLowest.getValue(0)  - nO) / nO)*100;
    debugClear() ;

debugPrintln("nDay  "+nDay );//
debugPrintln("nL  "+nL );//
debugPrintln("nH  "+nH );//
debugPrintln("nO  "+nO );//
debugPrintln("xLowest.getValue(0)  "+xLowest.getValue(0) );//
debugPrintln("xHighest.getValue(0)  "+xHighest.getValue(0) );//

    return Math.max(nH, nL);
}
    }
    
// rnd function - round to iDecimals places
function rnd(value, iDecimals ) {  

value =  value * Math.pow(10, iDecimals);

    return Math.round(value, iDecimals) / Math.pow(10, iDecimals);
} 

any help on the counter and recording of max vExcursion will be much appreciated.

[Doji3333]

Originally posted by zeller4

function main() {

if( bInit == false) {
    xA0 = efsInternal("calcPeak", 1);// from APE.efs
    bInit = true;
    }

//  this code only runs on the CURRENT BAR IN REAL TIME
if(getCurrentBarIndex()==0 ){
        if( (minute(0) % 5) == 0  && vFlag == 0)
        {
        vFlag = 1;
        
        }
    }    
    if(vHigh == null || vLow == null || vStart == null) {
    var vHigh = high(inv(5));//iInterval));   
    var vLow = low(inv(5));//iInterval));  
    var vStart = close(-1,inv(30));//iInterval));
}  // End if getCurrentBarIndex == 0

//var vLongBot    = rnd(vStart + iOffset1,  iDecimals, 2) ; 
var vLongBot    = rnd(vStart + 1.1,  2, 2) ; 
var vShortTop    = rnd(vStart - 1.1,  2, 2) ; 
    
    var nLength = 7;
    var curHigh = high()
    var curLow = low()
    if (curHigh == null || curLow == null)
        return;
    var pastHighs = high(0, -nLength);
    if (pastHighs == null)
        return;
    var pastLows = low(0, -nLength);
    if (pastLows == null)
        return;
        
    var curRange = (curHigh - curLow);
    
     
drawTextRelative(2,+vLongBot,+vLongBot.toFixed(2),Color.blue,null,Text.BOLD | Text.VCENTER,"Arial",12,"vLongBot");
drawTextRelative(2,+vShortTop,+vShortTop.toFixed(2),Color.red,null,Text.BOLD | Text.VCENTER,"Arial",12,"vShortTop");

//  This code only runs ONCE, when a new bar is formed!!
   if( getBarState() == BARSTATE_NEWBAR){
    if( open(0) <= vLongBot &&
        high(0) >= vLongBot )
    {
    nCounter = 0;
    vFlag = 1;//long condition
    vExcursion = curHigh - vLongBot;
    }
    // not sure how to start the counter to record until vExcursion is max due to lower high
    //then record max counter and max vExcursion
    i = nCounter;
    for (i = 0; i < 30; ++i) {
        if( curHigh > pastHighs)  {
        vExcursion = curHigh - vLongBot;
        nCounter = 1;
        }
        else if( curHigh < pastHighs
        ){
            vExcursion = prevHigh - vLongBot;
            
        }
    
    }
 } //  Possible missing } for NEWBAR state

return new Array( vExcursion, vLongBot, vShortTop, nCounter, vStart);

}


var xHighest = null;
var xLowest = null;

function calcPeak(nDay) {// not sure how to use this from APE.efs
    if(xHighest==null) xHighest = highest(nDay, high());
    if(xLowest==null) xLowest = lowest(nDay, low());
    var nO = open(-nDay+1);
    if (nO == null) return null;
    
    var nH = Math.abs((xHighest.getValue(0) - nO) / nO)*100;
    var nL = Math.abs((xLowest.getValue(0)  - nO) / nO)*100;
    debugClear() ;

debugPrintln("nDay  "+nDay );//
debugPrintln("nL  "+nL );//
debugPrintln("nH  "+nH );//
debugPrintln("nO  "+nO );//
debugPrintln("xLowest.getValue(0)  "+xLowest.getValue(0) );//
debugPrintln("xHighest.getValue(0)  "+xHighest.getValue(0) );//

    return Math.max(nH, nL);
}
    }
    
// rnd function - round to iDecimals places
function rnd(value, iDecimals ) {  

value =  value * Math.pow(10, iDecimals);

    return Math.round(value, iDecimals) / Math.pow(10, iDecimals);
} 

What I would suggest is using a CONTROL VARIABLE to determine WHEN/IF the instance of your BREACH has ocured.

I use variables that rotate from 1, 0 to -1 and simply test for these values as needed

var BreachDirectionControl = 0;  //  no breach direction

function main() {

 if( getBarState() == BARSTATE_NEWBAR){
   if (high() < high(-1)) { 
     //  End Excursion - this checks the two previously formed bars for a lower high formation.
     Total_Excursion = curHigh - vLongBot;
     BreachDirectionControl = 0;  //  reset the control variable.
   }

 }//  End if new bar


 if (getCurrentBarIndex() == 0) {  Only run on current RT bar.
    if ( (open(0) <= vLongBot) && (high(0) >= vLongBot)  && (BreachDirectionControl  <= 0) )     {
   //  Long Breach Instance
   BreachDirectionControl = 1;  //  Currently a long breach
   curHigh = Math.max(curHigh,high());    //  find highest high since breach
    }

//  Now we need to continue to test for the new higher high until we reset the Breach Instance
    if (BreachDirectionControl > 0) {
     curHigh = Math.max(curHigh,high());    //  find highest high since 
    }
 
  }  //  End if get CurrentBarIndex() == 0

} // End main() 

Now, I could alter this code to run all of this analysis on historical bars if you like?? It's all a matter of setting up your processes in a logical order WHEN you want them to operate - kinda like a staged event.

If no even now, then check for new events
If current event > 0 (bullish breach), then check for highest high
If NEW BAR and current event > 0, then check for END of price run and reset control variables

Does this help?

[Doji3333]

hmmm.. tried to fix a bug in my last post, but the EDIT function is not working for me?? Maybe someone does not want to allow me to edit my posts?? Oh well....

In my last post where the new LONG BREACH instance starts, the line that reads....

curHigh = Math.max(curHigh,high()); // find highest high since breach

Should read....

curHigh = high(); // record the current high of the breach

Hope this helps.

[Guest]

Hi Brad,

It used to be that you could go back and edit posts for an indefinite period. I remember awhile back that some posts were deleted that obliterated multiple threads (likely corrupted the databases).

The indefinite window for editing has been changed. I assume this is what impacted your attempt to edit your post. The moderator for the associated forum has to be contacted to perform the edit after a certain time period (perhaps 15 minutes or less).

Originally posted by Doji3333
hmmm.. tried to fix a bug in my last post, but the EDIT function is not working for me?? Maybe someone does not want to allow me to edit my posts?? Oh well....

[Doji3333]

Thanks Steve. It worked a few days ago cause I often make minor errors when posting. Oh well, it will fix itself.

Weeee, programming..

[demarcog]

Kirk,

Not sure if this is applicable as I read you post quickly but in case you are unaware there are back tester reports under the Graphs options:

"Maximum Adverse Excursion", and "Maximum Favorable Excursion" which you may find helpful. From what I've read they are designed to be used to determine optimum stop and profit targets.

Some other fields that I find helpful in the Trade Analysis tab of the back tester are the Average Run Up and Average drawdown.

What I've never been able to figure out however is in a system that is "always in" for example if the Average Run up is 1.00 and the average drawdown is .50 if I set my stops and profit targets to 1.00 and .50 the systems always makes significantly less money. Perhaps the distribution is skewed not sure.

Glen

[zeller4]

Originally posted by Doji3333
What I would suggest is using a CONTROL VARIABLE to determine WHEN/IF the instance of your BREACH has ocured.

I use variables that rotate from 1, 0 to -1 and simply test for these values as needed

var BreachDirectionControl = 0;  //  no breach direction

function main() {

 if( getBarState() == BARSTATE_NEWBAR){
   if (high() < high(-1)) { 
     //  End Excursion - this checks the two previously formed bars for a lower high formation.
     Total_Excursion = curHigh - vLongBot;
     BreachDirectionControl = 0;  //  reset the control variable.
   }

 }//  End if new bar


 if (getCurrentBarIndex() == 0) {  Only run on current RT bar.
    if ( (open(0) <= vLongBot) && (high(0) >= vLongBot)  && (BreachDirectionControl  <= 0) )     {
   //  Long Breach Instance
   BreachDirectionControl = 1;  //  Currently a long breach
   curHigh = Math.max(curHigh,high());    //  find highest high since breach
    }

//  Now we need to continue to test for the new higher high until we reset the Breach Instance
    if (BreachDirectionControl > 0) {
     curHigh = Math.max(curHigh,high());    //  find highest high since 
    }
 
  }  //  End if get CurrentBarIndex() == 0

} // End main() 

Now, I could alter this code to run all of this analysis on historical bars if you like?? It's all a matter of setting up your processes in a logical order WHEN you want them to operate - kinda like a staged event.

If no even now, then check for new events
If current event > 0 (bullish breach), then check for highest high
If NEW BAR and current event > 0, then check for END of price run and reset control variables

Does this help?

Brad,
This definitely helps, it makes sense about the BreachDirectionControl (my vFlag needed a better definition).
I would ask if you're willing to help on the analysis of historical bars as you mentioned. I'm no statistics pro but am trying to determine the following:
1. what is the best time to trade this market (for best favorable excursion).
2. what is the average favorable excursion (for determining targets)
3. what is the bar count prior to backing off (for determining a time stop)
4. what is the prev high to current low (on longs) for how tight a stop could be.
I appreciate your help and insight.
Sincerely,
Kirk

[zeller4]

Originally posted by demarcog
Kirk,

Not sure if this is applicable as I read you post quickly but in case you are unaware there are back tester reports under the Graphs options:

"Maximum Adverse Excursion", and "Maximum Favorable Excursion" which you may find helpful. From what I've read they are designed to be used to determine optimum stop and profit targets.

Some other fields that I find helpful in the Trade Analysis tab of the back tester are the Average Run Up and Average drawdown.

What I've never been able to figure out however is in a system that is "always in" for example if the Average Run up is 1.00 and the average drawdown is .50 if I set my stops and profit targets to 1.00 and .50 the systems always makes significantly less money. Perhaps the distribution is skewed not sure.

Glen

Glen,

Thanks for that reply, I've never studied how those fields in the Trade Analysis could be used this way. I'll check it out.

Kirk