can anyone code this strategy?

[klevera]

Hi there
I'd like to make my own trading system efs. But i'm new to efs codes.
Here is my index trading system in my mind.

Short Signal
var A=Highest bar in last 20(function parameter) bars.
var B=Second highest bar in last 20(function parameter) bars.
var C= KVO indicator number(not trigger number), at var A
var D= KVO indicator number(not trigger number), at var B
var E= index Z(ex IWM,QQQ) price at var A
var F= index Z(ex IWM,QQQ) price at var B
var G= $PCTABOVEVWAP.NQ-ST at var A
var H= $PCTABOVEVWAP.NQ-ST at var B

short signal condition
var C< var D
var E< var F
var G< or = var H

if those three conditions are met, a down arrow appears on that bar

Long Signal
var AA= Lowest bar in last 20(function parameter) bars.
var BB= Second lowest bar 20(function parameter) bars
var CC= KVO indicator number(not trigger number) at var AA
var DD= KVO indicator number(not trigger number) at var BB
var EE= index Z(ex IWM,QQQ) price at var AA
var FF= index Z(ex IWM,QQQ)price at var BB
var GG= $PCTABOVEVWAP.NQ-ST at var AA
var HH= $PCTABOVEVWAP.NQ-ST at var BB

conditions
var CC > var DD
var EE > var FF
var GG> or = var HH

if those three conditions are met, an up arrow appears on that bar

please let me know, the cost structure

thanks,
park

[waynecd]

try:

/*********************************
Provided By:  
    eSignal (Copyright c eSignal), a division of Interactive Data 
    Corporation. 2009. 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:        
    Klinger Volume Oscillator (KVO) 
    
Version:            1.0  05/27/2009
 
Formula Parameters:                     Default:
    TrigLen                             13
    FastX                               34
    SlowX                               55
    
Notes:
    The Klinger Oscillator (KO) was developed by Stephen J. Klinger. Learning 
    from prior research on volume by such well-known technicians as Joseph Granville, 
    Larry Williams, and Marc Chaikin, Mr. Klinger set out to develop a volume-based 
    indicator to help in both short- and long-term analysis.
    The KO was developed with two seemingly opposite goals in mind: to be sensitive 
    enough to signal short-term tops and bottoms, yet accurate enough to reflect the 
    long-term flow of money into and out of a security.
    The KO is based on the following tenets:
    Price range (i.e. High - Low) is a measure of movement and volume is the force behind 
    the movement. The sum of High + Low + Close defines a trend. Accumulation occurs when 
    today's sum is greater than the previous day's. Conversely, distribution occurs when 
    today's sum is less than the previous day's. When the sums are equal, the existing trend 
    is maintained.
    Volume produces continuous intra-day changes in price reflecting buying and selling pressure. 
    The KO quantifies the difference between the number of shares being accumulated and distributed 
    each day as "volume force". A strong, rising volume force should accompany an uptrend and then 
    gradually contract over time during the latter stages of the uptrend and the early stages of 
    the following downtrend. This should be followed by a rising volume force reflecting some 
    accumulation before a bottom develops.

**********************************/
var fpArray = new Array();//http://forum.esignal.com/showthread.php?38999-can-anyone-code-this-strategy
//debugClear();
function preMain(){
    var aFPArray = new Array();
    setPriceStudy(false);
    //setStudyTitle("Klinger Volume Oscillator");
    setCursorLabelName("KVO",0);
    setCursorLabelName("Trigger",1);    
    setDefaultBarFgColor(Color.red,0);
    setDefaultBarFgColor(Color.brown,1);
    addBand(0, PS_SOLID, 1, Color.black);
    //setIntervalsBackfill(true);
    //setShowTitleParameters( false ); 
    var x = 0;
    aFPArray[x] = new FunctionParameter("MktIndex", FunctionParameter.STRING);
    with(aFPArray[x++]) {
        setName("Market Index");
        addOption("IWM");
        addOption("QQQ");
        setDefault("QQQ");
    }
    aFPArray[x] = new FunctionParameter("HL_CalcBar", FunctionParameter.NUMBER);
    with(aFPArray[x++]) {
        setName("Calculate on Bar #");
        setUpperLimit(0);
        setLowerLimit(-1);
        addOption(0);
        addOption(-1);
        setDefault(0);
    }
    aFPArray[x] = new FunctionParameter("HL_CalcLength", FunctionParameter.NUMBER);
    with(aFPArray[x++]) {
        setName("Length");
        //setUpperLimit(0);
        setLowerLimit(2);
        setDefault(20);
    }
    aFPArray[x] = new FunctionParameter("TrigLen", FunctionParameter.NUMBER);
    with(aFPArray[x++]) {
        setLowerLimit(1);
        setDefault(13);
    }    
    aFPArray[x] = new FunctionParameter("FastX", FunctionParameter.NUMBER);
    with(aFPArray[x++]) {
        setLowerLimit(1);
        setDefault(34);
    }    
    aFPArray[x] = new FunctionParameter("SlowX", FunctionParameter.NUMBER);
    with(aFPArray[x++]) {
        setLowerLimit(1);
        setDefault(55);
    }    
}
var bInit=false;
var xHighs=[];
var xLows=[];
var xKVO = null;
var xTrigger = null;
var zIndex;
var pctAbVWAP;
function main(MktIndex,HL_CalcBar,HL_CalcLength,FastX, SlowX, TrigLen){
    var h0=0,h1=0,l0=99999,l1=999999;
    var nBarState = getBarState();
    var nKVO=0;
    var nTrigger = 0;
    //SHORTS
    var nKVO_h = 0;
    var nKVO_h1=0;
    var zIndex_h=0;
    var zIndex_h_1=0;
    var pctAbVWAP_h=0;
    var pctAbVWAP_h_1=0;
    var shortSig=false
    //LONGS
    var nKVO_l = 0;
    var nKVO_l1=0;
    var zIndex_l=0;
    var zIndex_l_1=0;
    var pctAbVWAP_l=0;
    var pctAbVWAP_l_1=0;
    var longSig=false;
    //
    if (nBarState == BARSTATE_ALLBARS) {
        if(FastX == null) FastX = 34;
        if(SlowX == null) SlowX = 55;
        if(TrigLen == null) TrigLen = 13;
    }    
    if(!bInit){
        xHighs[0]=new Array(HL_CalcLength);
        xLows[0]=new Array(HL_CalcLength);
        xKVO = efsInternal("Calc_KVO", FastX, SlowX);
        xTrigger = ema(TrigLen, xKVO);
        zIndex=close(sym(MktIndex));
        pctAbVWAP=close(sym("$PCTABOVEVWAP.NQ-ST"));
        bInit=true;
    }
    if(getBarState()==BARSTATE_NEWBAR){
        var xx=ff(HL_CalcLength);
        //debugPrintln("15: "+xx);
        if(getCurrentBarCount()>=HL_CalcLength){//debugPrintln("22_H: "+xx[0]+"\n22_L"+xx[1]);
            var HLv=getHLs(xx[0],xx[1]);//debugPrintln("23: "+xx[1]);
        }
    }
    nKVO = xKVO.getValue(0);
    nTrigger = xTrigger.getValue(0);
    if(HLv){
        if(HL_CalcBar==0){
            h0=high(0);
            if(HLv[0]>h0){
                h0=HLv[0]; 
                h1=HLv[4];
            }else if(h0>HLv[0]){
                h1=HLv[0];
            }else if(h0==HLv[0]) h1=HLv[1];
            l0=low(0);
            if(l0>HLv[4]){
                l0=HLv[4];
                l1=HLv[6];
            }else if(HLv[4]>l0){
                l1=HLv[6];
            }else if(l0==HLv[4]) l1=HLv[6];
        }else if(HL_CalcBar==-1){
            h0=HLv[0];
            h1=HLv[4];
            l0=HLv[4];
            l1=HLv[6];
            
        }
          /*HLv[0]=highestNo = h0
            HLv[1]=hi0Idx
            HLv[2]=xHi_1 = h1
            HLv[3]=hi1Idx
            HLv[4]=lowestNo = l0
            HLv[5]=lo0Idx
            HLv[6]=xLo_1 = l1
            HLv[7]=lo1Idx
          */
        //[highestNo,hi0Idx,xHi_1,hi1Idx,lowestNo,lo0Idx,xLo_1,lo1Idx];

        //debugPrintln("39: "+h0+"\t"+h1+"\t"+l0+"\t"+l1);
        //debugPrintln("40: "+HLv[0]+"\t"+HLv[2]+"\t"+HLv[4]+"\t"+HLv[6])
        if(nKVO){//debugPrintln("123: "+HLv[1]);
            //SHORTS
            nKVO_h=xKVO.getValue(HLv[1] - getCurrentBarCount());//C
            nKVO_h_1=xKVO.getValue(HLv[3] - getCurrentBarCount());//D
            zIndex_h=zIndex.getValue(HLv[1] - getCurrentBarCount());//E
            zIndex_h_1=zIndex.getValue(HLv[3] - getCurrentBarCount());//F
            pctAbVWAP_h=pctAbVWAP.getValue(HLv[1] - getCurrentBarCount());//G
            pctAbVWAP_h_1=pctAbVWAP.getValue(HLv[3] - getCurrentBarCount());//H
            if(nKVO_h_1>nKVO_h && zIndex_h_1>zIndex_h && pctAbVWAP_h_1>=pctAbVWAP_h){
                shortSig=true;
                drawShapeRelative( 0, BottomRow2, Shape.DOWNARROW, null,Color.red, Shape.ONTOP | Shape.PRESET,"d" + gID() ); 
                setBarBgColor(Color.RGB(255,215,191));
            }
            //LONGS
            nKVO_l = xKVO.getValue(HLv[5] - getCurrentBarCount());//CC
            nKVO_l1=xKVO.getValue(HLv[7] - getCurrentBarCount());//DD
            zIndex_l=zIndex.getValue(HLv[5] - getCurrentBarCount());//EE
            zIndex_l_1=zIndex.getValue(HLv[7] - getCurrentBarCount());//FF
            pctAbVWAP_l=pctAbVWAP.getValue(HLv[5] - getCurrentBarCount());//GG
            pctAbVWAP_l_1=pctAbVWAP.getValue(HLv[7] - getCurrentBarCount());//HH
            if(nKVO_l>nKVO_l1 && zIndex_l>zIndex_l_1 && pctAbVWAP_l>pctAbVWAP_l_1){
                longSig=true;
                drawShapeRelative( 0, TopRow2, Shape.UPARROW, null,Color.green, Shape.ONTOP | Shape.PRESET,"u" + gID() ); 
                setBarBgColor(Color.RGB(200,255,150));
            
            }
            if(shortSig && longSig) setBarBgColor(Color.RGB(255,255,200));
        }
    }

    if (nTrigger == null) return;
 
    return [nKVO, nTrigger];
}
var ffInit=false;
function ff(HL_CalcLength){//debugPrintln("30: "+);
    if(!ffInit){
        ffInit=true;
    }
    xHighs.push([high(-1)]);//(-1)
    xHighs[xHighs.length-1][1]=getCurrentBarCount();
    if(xHighs.length>HL_CalcLength) xHighs.shift();
    xLows.push([low(-1)]);//(-1)
    xLows[xLows.length-1][1]=getCurrentBarCount();
    if(xLows.length>HL_CalcLength) xLows.shift();
    return [xHighs,xLows];//.sort(function(a, b){return a[0] > b[0];});
}
function getHLs(xArrH,xArrL){
    var highestNo;
    var hi0Idx;
    var lowestNo;
    var lo0Idx;
    var xHi_1;
    var hi1Idx;
    var xLo_1;
    var lo1Idx;
    highestNo=0;
    xHi_1=0;
    lowestNo=9999999999;
    xLo_1=999999999;
    /*highestNo=xArrH[0][0];
    xHi_1=xArrH[0][0];
    lowestNo=xArrH[0][0];
    xLo_1=xArrH[0][0];*/
    var aLen=xArrH.length
    for(var i=aLen-1;i>=0;i--){
        if(xArrH[i][0]>highestNo){
            highestNo=xArrH[i][0];
            hi0Idx=xArrH[i][1];
        }
        if(lowestNo>xArrL[i][0]){
            lowestNo=xArrL[i][0];
            lo0Idx=xArrL[i][1];
        }
    }
    for(var i=aLen-1;i>=0;i--){
        if(xArrH[i][0]!=highestNo && xArrH[i][0]>xHi_1){
            xHi_1=xArrH[i][0];
            hi1Idx=xArrH[i][1];
        }
        if(xArrL[i][0]!=lowestNo && xLo_1>xArrL[i][0]){
            xLo_1=xArrL[i][0]
            lo1Idx=xArrL[i][1];
        }
    }
    return [highestNo,hi0Idx,xHi_1,hi1Idx,lowestNo,lo0Idx,xLo_1,lo1Idx];
}
var bSecondInit = false;
var xFast = null;
var xSlow = null;
var xTrend = null;

function Calc_KVO(FastX, SlowX) {
var nRes = 0;
var FXAvg = 0;
var SXAvg = 0;
    if (bSecondInit == false) {
        xTrend = efsInternal("Calc_Trend");
        xFast = ema(FastX, xTrend);
        xSlow = ema(SlowX, xTrend);
        bSecondInit = true;
    }
    FXAvg = xFast.getValue(0);
    SXAvg = xSlow.getValue(0);
    if (SXAvg == null) return;
    nRes = FXAvg - SXAvg;
    return nRes;
}

var xhlc3 = null;

function Calc_Trend() {
var nRes = 0;
    if (xhlc3 == null) xhlc3 = hlc3();
    if (xhlc3.getValue(-1) == null) return;
    if(xhlc3.getValue(0) > xhlc3.getValue(-1))
        nRes = 1;
    else
        nRes = -1;
    nRes = volume(0) * nRes * 100;
    return nRes;
}
var grID = 0;  
function gID() {
    grID ++;
    return( grID );
}
/*
http://forum.esignal.com/showthread.php?38999-can-anyone-code-this-strategy
Here is my index trading system in my mind.

 Short Signal
 var A=Highest bar in last 20(function parameter) bars.
 var B=Second highest bar in last 20(function parameter) bars.
 var C= KVO indicator number(not trigger number), at var A
 var D= KVO indicator number(not trigger number), at var B
 var E= index Z(ex IWM,QQQ) price at var A
 var F= index Z(ex IWM,QQQ) price at var B
 var G= $PCTABOVEVWAP.NQ-ST at var A
 var H= $PCTABOVEVWAP.NQ-ST at var B

 short signal condition
 var C< var D
 var E< var F
 var G< or = var H

 if those three conditions are met, a down arrow appears on that bar

 Long Signal
 var AA= Lowest bar in last 20(function parameter) bars.
 var BB= Second lowest bar 20(function parameter) bars
 var CC= KVO indicator number(not trigger number) at var AA
 var DD= KVO indicator number(not trigger number) at var BB
 var EE= index Z(ex IWM,QQQ) price at var AA
 var FF= index Z(ex IWM,QQQ)price at var BB
 var GG= $PCTABOVEVWAP.NQ-ST at var AA
 var HH= $PCTABOVEVWAP.NQ-ST at var BB

 conditions
 var CC > var DD
 var EE > var FF
 var GG> or = var HH

 if those three conditions are met, an up arrow appears on that bar
*/ 

Wayne

[klevera]

Thank you very much It was too difficult for me to even start!!!
Is there a way to see past signals?
I really appreciate it again

[waynecd]

Yw.

It plots all back signals as it is, just load more bars onto the chart.
Script calculations require a minimum # of bars before the lines start plotting.

The following line under main() serves no purpose and can be removed or commented out.

    if (nTrigger == null) return; 

Wayne

[klevera]

Thanks for the help again how did you study efs? I'm pretty new to efs and have been reading tutorials but it seems confusing any recommendation?

[klevera]

for some reason I don't get past signal I can only see today's signals.

[waynecd]

The chart helped.

In the preMain() function uncomment the following;

    setIntervalsBackfill(true); 

I'm pretty new to efs and have been reading tutorials but it seems confusing any recommendation?

As you stated, study the manuals and tutorials. You will also benefit from a search (way back in time) of Forum posts from Alexis C. Montenegro, SteveHare2003, and others.
They provided great working examples in their File Share. Here are a couple of helpful File Share sites:

http://forum.esignal.com/showthread.php?12856-Some-simple-EFS2-scripts&perpage=15

http://share.esignal.com/groupcontents.jsp?folder=Buttons&groupid=339

Also, searching the forum and Google for specific programming issues. There is little that is not covered somewhere in the forums.
Google searches for specific javascript programming concepts using terms like: "javascript getDate", etc.

Wayne

[klevera]

ha thank you again you seem like a efs wikipedia i'm working on changing this a little bit and try to make an automated trading system.
have you seen any good automated trading efs(SPY)? I have looked for somewhat reliable one but i couldn't find one

[waynecd]

Unfortunately automated system is one of the few things I haven't come across much on.
An automated system presumably would autotrade and eSignal just doesn't do that yet.

They seem to be working on making it an added subscription service, $$$.

Wayne

[klevera]

ha I see.
Right now i'm trying to find the right mix to use this efs.
I have found out that KVO.efs doesn't really work well at the moment.
So, I'm trying to use 3 other indexs to find divergence with spy.
1)IWM+QQQ
2)$ADD
3)XLK+XLF
When those 3 make any divergence from spy at the same time I go long/short spy.

[peterjerome]

klevera, did that help you?