Highest high Lowest Low

[chiropharm]

I am trying to write an efs study to show me the breakout of the Highest high or lowest low of 20 bars. I used the wizard and had 20 lines of rules for each which got very slow to run.

There must be a better way to code it.

Any help would be appreciated.

Thanks,
Ed

[ACM]

Ed
Use the Donchian Study in the Formula Wizard and set it to Length 20 and Offset 1
Alex

[c_13]

Alexis,
what exactly is the purpose of the "offset" input in the Donchian script calculation? is it really necessary or is it specific to the entry type eg. "on close"? Could the offset be eliminated if one were entering at a specified stop level? New to EFS -- thanks.

[ACM]

c_13
With the Donchian channel the high or low of a bar are actually never higher or lower than the channel itself. This means that in a formula you would need to reference the value of the Donchian at the prior bar to define a breakout/breakdown
Applying an offset simply shifts the channel (forward in this specific case) and makes it easier to write the conditions as everything will then be related to the current bar.
If for example you wanted to define a breakout without applying an offset you would need to write the condition in the following way
IF(high(current bar)>DonchianUpper(prior bar))
If instead you applied a forward offset of one bar then the same statement would be
IF(high(current bar)>DonchianUpper(current bar))
Hope this helps
Alex

[c_13]

thanks Alexis, this helps my understanding of Donchian and how EFS deals with the code. I wanted to set entry levels equal to this channel calculation for use as a stop-in limit entry. It sounds like I will have to shift this offset back to have the desired entry. Is this (somewhat) correct?


thanks

c_13

some more detail:

This is what I am trying to accomplish (more or less):

Long Entry = "Highest High" of "lookback"
Long Exit = "Lowest Low" of "lookback"

I want to make these "Long Entry" and "Long Exit" levels stops (which are calculated by EFS) that I will enter and exit upon. Do you know where I might find examples of this sort of entry method? I have been looking at the file share and posting board but have not had a great deal of luck.

[ACM]

c_13
If you shift the channel back then you will have no current value for it. I suspect that you may want to shift it forward. If you can post an example of what you are trying to do someone should be able to offer suggestions
Alex

[ACM]

c_13
Attached is an example of what I think you are trying to do. You can modify all the parameters of the Donchian channel. The "lookback" as defined by you is essentially the Length of the channel itself (default is 20).
The efs in this case is always Long or Short but that can be easily adapted to your strategy by replacing the conditions !Strategy.isShort() with Strategy.isLong() and Strategy.doShort with Strategy.doSell
Alex

[c_13]

thanks again Alexis, I will work on/with this.


c_13

[ACM]

c_13
You are welcome.
Also you may want to see this thread for some variations on this or related efs.
Alex

[c_13]

I want to look at the highest high and lowest low level of the last 20 bar lookback period. This is my attempt but as you can see it only looks to be considering the bar prior and not keeping track of the max and min levels of the period
Can you see what I am missing? Is it my return command that causes it to recalculate -- thanks

attached EFS: try

[ACM]

c_13
If I were taking the long route or I needed to find the highest/lowest value of a variable that cannot be used in a builtin study then the attached efs is what I would do.
Otherwise I would use the Donchian Study as IMHO it simplifies the script considerably.
Just an opinion
Alex

[Rodondo]

Alex,

I inserted in "Donchian strategy (3b) wizard.efs" the following line for the email alert:

Alert.email (CLOSE (), "sell");

if you can supplement me please the line, thus also the triggered price in the email comes in the line for reference text.


Thank you in advance.

-----------------------------------
Rodondo

[ACM]

Rodondo
Please post the efs you are referring to or a link to it
Alex

[Rodondo]

Alex,

enclosed I send the "efs" to you.

Many greetings
---------------------------------------------
Rodondo

[ACM]

Rodondo
The efs you posted is blank. You may want to try again
Alex