Fantastic work! Many Thanks for your contribution. Cannot wait to try it.Just added 2 new strategies on pg.1 of the thread. The first is based on Ehler's Distant Coefficient Filter.
The second strategy is based off of the HiLo study.
Both strategies are adjustable. I hope everyone finds them useful. Happy trading!
Hi @irishgold!
. The setup I used this morning was your Ehlers Distance Coefficient Filter 35 period with a little coding for color. Then I color coded candles for the 10 period Ehlers DCF (love my Scalper 10/35 EMAs!) I also plotted a histo with consensusR, consensusBias, and direction formulas from your Scalper. The result is that I went 3 for 3 even though I'm not sure I have Ehlers scaled quite properly in EL.
Nice work to @Christopher84 as usual!!! Great touch on the new set up Trader Raider! I just loaded the Ehlers as well and it's pretty solid on the 2m as is. Would you be able to share your adjustments via link? Thanks so much!!!@Christopher84, good things happen when you and Mr Ehlers agree
If it's hard to visualize my setup, here it is on a 2 min cattle chart. Can you see why I plot your consensus data? Every bit of it was in confluence with Ehlers to go short at the open. And your consensus remained heavily biased to the downside during what turned out to be a pullback not a trend change. That's another reason it's so valuable.
Thank you again for sharing your talent with us!
No worries! Thanks for the tips!
Ehler's Distant Coefficient Filter is incredible. I did some backtest in TOS by the modified CODE as follows.Just added 2 new strategies on pg.1 of the thread. The first is based on Ehler's Distant Coefficient Filter.
The second strategy is based off of the HiLo study.
Both strategies are adjustable. I hope everyone finds them useful. Happy trading!
#Ehler's Distant Coefficient Filter Strategy Created by Christopher84 05/17/2022
input length = 34;
input coloredCandlesOn = yes;
def price = (high + low) / 2;
def coeff = length * price * price - 2 * price * sum(price, length)[1] + sum(price * price, length)[1];
plot Ehlers = sum(coeff * price, length) / sum(coeff, length);
Ehlers.SetDefaultColor(GetColor(1));
def UP1 = (Price > Ehlers);
def DN1 = (Price < Ehlers);
#Condition Calculation
def UPBias = UP1;
def DNBias = DN1;
def Direction = UPBias - DNBias;
AssignPriceColor(if coloredCandlesOn and ((Direction > 0)) then Color.GREEN else if coloredCandlesOn and ((Direction < 0)) then Color.RED else Color.GRAY);
def bull= (Direction > 0);#(price crosses above BuyStop);
def bear = (Direction < 0);#(Price crosses below BuyStop);
def upsignal = bull;
def downsignal = bear;
#UpSignal.SetDefaultColor(Color.UPTICK);
#UpSignal.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
#DownSignal.SetDefaultColor(Color.DOWNTICK);
#DownSignal.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
###------------------------------------------------------------------------------------------
# Profit and Loss Labels
#
# Fill in the 0>0 in the Create Signals section below to match your buy and sell signal conditions
#
# When using large amounts of hisorical data, P/L may take time to calculate
###------------------------------------------------------------------------------------------
input showSignals = yes; #hint showSignals: show buy and sell arrows
input LongTrades = yes; #hint LongTrades: perform long trades
input ShortTrades = yes; #hint ShortTrades: perform short trades
input showLabels = yes; #hint showLabels: show PL labels at top
input showBubbles = yes; #hint showBubbles: show PL bubbles at close of trade
input useStops = no; #hint useStops: use stop orders
input useAlerts = no; #hint useAlerts: use alerts on signals
input tradeDaytimeOnly = no; #hint tradeDaytimeOnly: (IntraDay Only) Only perform trades during hours stated
input OpenTime = 0930; #hint OpenTime: Opening time of market
input CloseTime = 1600; #hint CloseTime: Closing time of market
def Begin = secondsfromTime(OpenTime);
def End = secondsTillTime(closetime);
# Only use market hours when using intraday timeframe
def isIntraDay = if getaggregationperiod() > 14400000 or getaggregationperiod()==0 then 0 else 1;
def MarketOpen = if !tradeDaytimeOnly or !isIntraDay then 1 else if tradeDaytimeOnly and isIntraDay and Begin > 0 and End > 0 then 1 else 0;
###------------------------------------------------------------------------------------------
######################################################
## Create Signals -
## FILL IN THIS SECTION
## replace 0>0 with your conditions for signals
######################################################
def PLBuySignal = if MarketOpen AND (upsignal) then 1 else 0 ; # insert condition to create long position in place of the 0>0
def PLSellSignal = if MarketOpen AND (downsignal) then 1 else 0; # insert condition to create short position in place of the 0>0
def PLBuyStop = if !useStops then 0 else if (0>0) then 1 else 0 ; # insert condition to stop in place of the 0<0
def PLSellStop = if !useStops then 0 else if (0>0) then 1 else 0 ; # insert condition to stop in place of the 0>0
def PLMktStop = if MarketOpen[-1] == 0 then 1 else 0; # If tradeDaytimeOnly is set, then stop at end of day
#######################################
## Maintain the position of trades
#######################################
def CurrentPosition; # holds whether flat = 0 long = 1 short = -1
if (BarNumber()==1) OR isNaN(CurrentPosition[1]) {
CurrentPosition = 0;
}else{
if CurrentPosition[1] == 0 { # FLAT
if (PLBuySignal AND LongTrades) {
CurrentPosition = 1;
} else if (PLSellSignal AND ShortTrades){
CurrentPosition = -1;
} else {
CurrentPosition = CurrentPosition[1];
}
} else if CurrentPosition[1] == 1 { # LONG
if (PLSellSignal AND ShortTrades){
CurrentPosition = -1;
} else if ((PLBuyStop and useStops) or PLMktStop or (PLSellSignal AND ShortTrades==0)){
CurrentPosition = 0;
} else {
CurrentPosition = CurrentPosition[1];
}
} else if CurrentPosition[1] == -1 { # SHORT
if (PLBuySignal AND LongTrades){
CurrentPosition = 1;
} else if ((PLSellStop and useStops) or PLMktStop or (PlBuySignal and LongTrades==0)){
CurrentPosition = 0;
} else {
CurrentPosition = CurrentPosition[1];
}
} else {
CurrentPosition = CurrentPosition[1];
}
}
def isLong = if CurrentPosition == 1 then 1 else 0;
def isShort = if CurrentPosition == -1 then 1 else 0;
def isFlat = if CurrentPosition == 0 then 1 else 0;
# If not already long and get a PLBuySignal
#Plot BuySig = if (!isLong[1] and PLBuySignal and showSignals and LongTrades) then 1 else 0;
Plot BuySig = if (((isShort[1] and LongTrades) or (isFlat[1] and LongTrades)) and PLBuySignal and showSignals) then 1 else 0;
BuySig.AssignValueColor(color.cyan);
BuySig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
BuySig.SetLineWeight(5);
Alert(BuySig and useAlerts, "Buy Signal",Alert.bar,sound.Ding);
Alert(BuySig and useAlerts, "Buy Signal",Alert.bar,sound.Ding);
# If not already short and get a PLSellSignal
Plot SellSig = if (((isLong[1] and ShortTrades) or (isFlat[1] and ShortTrades)) and PLSellSignal and showSignals) then 1 else 0;
SellSig.AssignValueColor(color.cyan);
SellSig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
SellSig.SetLineWeight(5);
Alert(SellSig and useAlerts, "Sell Signal",Alert.bar,sound.Ding);
Alert(SellSig and useAlerts, "Sell Signal",Alert.bar,sound.Ding);
# If long and get a PLBuyStop
Plot BuyStpSig = if (PLBuyStop and isLong[1] and showSignals and useStops) or (isLong[1] and PLMktStop) or (isLong[1] and PLSellSignal and !ShortTrades) then 1 else 0;
BuyStpSig.AssignValueColor(color.light_gray);
BuyStpSig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
BuyStpSig.SetLineWeight(3);
Alert(BuyStpSig and useAlerts, "Buy Stop Signal",Alert.bar,sound.Ding);
Alert(BuyStpSig and useAlerts, "Buy Stop Signal",Alert.bar,sound.Ding);
# If short and get a PLSellStop
Plot SellStpSig = if (PLSellStop and isShort[1] and showSignals and useStops) or (isShort[1] and PLMktStop) or (isShort[1] and PLBuySignal and !LongTrades) then 1 else 0;
SellStpSig.AssignValueColor(color.light_gray);
SellStpSig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
SellStpSig.SetLineWeight(3);
Alert(SellStpSig and useAlerts, "Sell Stop Signal",Alert.bar,sound.Ding);
Alert(SellStpSig and useAlerts, "Sell Stop Signal",Alert.bar,sound.Ding);
#######################################
## Orders
#######################################
def isOrder = if ((isFlat[1] and (BuySig and LongTrades) or (SellSig and ShortTrades)) or (isLong[1] and BuyStpSig or (SellSig and ShortTrades)) or (isShort[1] and SellStpSig or (BuySig and LongTrades))) then 1 else 0 ;
# If there is an order, then the price is the next days close
def orderPrice = if (isOrder and ((BuySig and LongTrades) or (SellSig and ShortTrades))) then close else orderPrice[1];
def orderCount = compoundValue(1,if isNan(isOrder) or barnumber()==1 then 0 else if (BuySig or SellSig) then orderCount[1]+1 else orderCount[1],0);
#######################################
## Price and Profit
#######################################
def profitLoss;
if (!isOrder or orderPRice[1]==0){
profitLoss = 0;
} else if ((isOrder and isLong[1]) and (SellSig or BuyStpSig)){
profitLoss = close - orderPrice[1];
} else if ((isOrder and isShort[1]) and (BuySig or SellStpSig)) {
profitLoss = orderPrice[1] - close;
} else {
profitLoss = 0;
}
# Total Profit or Loss
def profitLossSum = compoundValue(1, if isNaN(isOrder) or barnumber()==1 then 0 else if isOrder then profitLossSum[1] + profitLoss else profitLossSum[1], 0);
# How many trades won or lost
def profitWinners = compoundValue(1, if isNaN(profitWinners[1]) or barnumber()==1 then 0 else if isOrder and profitLoss > 0 then profitWinners[1] + 1 else profitWinners[1], 0);
def profitLosers = compoundValue(1, if isNaN(profitLosers[1]) or barnumber()==1 then 0 else if isOrder and profitLoss < 0 then profitLosers[1] + 1 else profitLosers[1], 0);
def profitPush = compoundValue(1, if isNaN(profitPush[1]) or barnumber()==1 then 0 else if isOrder and profitLoss == 0 then profitPush[1] + 1 else profitPush[1], 0);
# Current Open Trade Profit or Loss
def TradePL = If isLong then Round(((close - orderprice)/TickSize())*TickValue()) else if isShort then Round(((orderPrice - close)/TickSize())*TickValue()) else 0;
# Convert to actual dollars based on Tick Value for bubbles
def dollarProfitLoss = if orderPRice[1]==0 or isNaN(orderPrice[1]) then 0 else round((profitLoss/Ticksize())*Tickvalue());
# Closed Orders dollar P/L
def dollarPLSum = round((profitLossSum/Ticksize())*Tickvalue());
# Split profits or losses by long and short trades
def profitLong = compoundValue(1, if isNan(profitLong[1]) or barnumber()==1 then 0 else if isOrder and isLong[1] then profitLong[1]+dollarProfitLoss else profitLong[1],0);
def profitShort = compoundValue(1, if isNan(profitShort[1]) or barnumber()==1 then 0 else if isOrder and isShort[1] then profitShort[1]+dollarProfitLoss else profitShort[1],0);
def countLong = compoundValue(1, if isNaN(countLong[1]) or barnumber()==1 then 0 else if isOrder and isLong[1] then countLong[1]+1 else countLong[1],0);
def countShort = compoundValue(1, if isNaN(countShort[1]) or barnumber()==1 then 0 else if isOrder and isShort[1] then countShort[1]+1 else countShort[1],0);
# What was the biggest winning and losing trade
def biggestWin = compoundValue(1, if isNaN(biggestWin[1]) or barnumber()==1 then 0 else if isOrder and (dollarProfitLoss > 0) and (dollarProfitLoss > biggestWin[1]) then dollarProfitLoss else biggestWin[1], 0);
def biggestLoss = compoundValue(1, if isNaN(biggestLoss[1]) or barnumber()==1 then 0 else if isOrder and (dollarProfitLoss < 0) and (dollarProfitLoss < biggestLoss[1]) then dollarProfitLoss else biggestLoss[1], 0);
def ClosedTradeCount = if (isLong or isShort) then orderCount-1 else orderCount;
def OpenTrades = if (isLong or isShort) then 1 else 0;
# What percent were winners
def PCTWin = if (OpenTrades and (TradePL < 0)) then round((profitWinners/(ClosedTradeCount+1))*100,2)
else if (OpenTrades and (TradePL > 0)) then round(((profitWinners+1)/(ClosedTradeCount+1))*100,2) else round(((profitWinners)/(ClosedTradeCount))*100,2) ;
# Average trade
def avgTrade = if (OpenTrades and (TradePL < 0)) then round(((dollarPLSum - TradePL)/(ClosedTradeCount+1)),2)
else if (OpenTrades and (TradePL > 0)) then round(((dollarPLSum + TradePL)/(ClosedTradeCount+1)),2) else round(((dollarPLSum)/(ClosedTradeCount)),2) ;
#######################################
## Create Labels
#######################################
AddLabel(showLabels and isIntraDay, if MarketOpen then "Market Open" else "Market Closed", color.white);
AddLabel(showLabels, GetSymbol()+" Tick Size: "+TickSize()+" Value: "+TickValue(), color.white);
AddLabel(showLabels and (LongTrades and ShortTrades), "Long+Short Trades", color.white);
AddLabel(showLabels and (LongTrades and !ShortTrades),"Long Trades Only", color.white);
AddLabel(showLabels and (!LongTrades and ShortTrades),"Short Trades Only", color.white);
AddLabel(showLabels, "Closed Orders: " + ClosedTradeCount + " P/L: " + AsDollars(dollarPLSum), if dollarPLSum > 0 then Color.GREEN else if dollarPLSum< 0 then Color.RED else Color.GRAY);
AddLabel(if !IsNan(orderPrice) and showLabels then 1 else 0, "Closed+Open P/L: "+ AsDollars(TradePL+dollarPLSum), if ((TradePL+dollarPLSum) > 0) then color.green else if ((TradePL+dollarPLSum) < 0) then color.red else color.gray);
AddLabel(showLabels, "Avg per Trade: "+ AsDollars(avgTrade), if avgTrade > 0 then Color.Green else if avgTrade < 0 then Color.RED else Color.GRAY);
AddLabel(showLabels, "Winners: "+ PCTWin +"%",if PCTWin > 50 then color.green else if PCTWin > 40 then color.yellow else color.gray);
AddLabel(showLabels, "MaxUp: "+ AsDollars(biggestWin) +" MaxDown: "+AsDollars(biggestLoss), color.white);
AddLabel(showLabels, "Long Profit: " +AsDollars(profitLong), if profitLong > 0 then color.green else if profitLong < 0 then color.red else color.gray);
AddLabel(showLabels, "Short Profit: " +AsDollars(profitShort), if profitShort > 0 then color.green else if profitShort < 0 then color.red else color.gray);
AddLabel(if !IsNan(CurrentPosition) and showLabels and OpenTrades then 1 else 0, "Open: "+ (If isLong then "Bought" else "Sold") + " @ "+orderPrice, color.white);
AddLabel(if !IsNan(orderPrice) and showLabels and OpenTrades then 1 else 0, "Open Trade P/L: "+ AsDollars(TradePL), if (TradePL > 0) then color.green else if (TradePl < 0) then color.red else color.gray);
#######################################
## Chart Bubbles for Profit/Loss
#######################################
AddChartBubble(showSignals and showBubbles and isOrder and isLong[1], low, "$"+dollarProfitLoss, if dollarProfitLoss == 0 then Color.LIGHT_GRAY else if dollarProfitLoss > 0 then Color.GREEN else color.Red, 0);
AddChartBubble(showSignals and showBubbles and isOrder and isShort[1], high, "$"+dollarProfitLoss, if dollarProfitLoss == 0 then Color.LIGHT_GRAY else if dollarProfitLoss > 0 then Color.GREEN else color.Red, 1);
#AssignPriceColor(if CurrentPosition == 1 then color.green else if CurrentPosition == -1 then color.red else color.gray);
#Ehler's Distant Coefficient Filter Strategy Created by Christopher84 05/17/2022
input length = 34;
input coloredCandlesOn = yes;
def price = (high + low) / 2;
def coeff = length * price * price - 2 * price * sum(price, length)[1] + sum(price * price, length)[1];
plot Ehlers = sum(coeff * price, length) / sum(coeff, length);
Ehlers.SetDefaultColor(GetColor(1));
def UP1 = (Price > Ehlers);
def DN1 = (Price < Ehlers);
#Condition Calculation
def UPBias = UP1;
def DNBias = DN1;
def Direction = UPBias - DNBias;
AssignPriceColor(if coloredCandlesOn and ((Direction > 0)) then Color.GREEN else if coloredCandlesOn and ((Direction < 0)) then Color.RED else Color.GRAY);
def Long_Entry = (Direction > 0);#(price crosses above BuyStop);
def Long_Exit = (Direction < 0);#(Price crosses below BuyStop);
def upsignal = Long_Entry;
def downsignal = Long_Exit;
UpSignal.SetDefaultColor(Color.UPTICK);
UpSignal.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
DownSignal.SetDefaultColor(Color.DOWNTICK);
DownSignal.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);Hi @qimy6688,
#Ehler's Distant Coefficient Filter Study Created by Christopher84 05/20/2022
input length = 34;
input coloredCandlesOn = yes;
input displace = 13;
def price = (high + low) / 2;
def coeff = length * price * price - 2 * price * sum(price, length)[1] + sum(price * price, length)[1];
plot Ehlers = sum(coeff * price, length) / sum(coeff, length);
#Ehlers.SetDefaultColor(GetColor(1));
def EhlersD = Ehlers [+displace];
def UP1 = (Price > Ehlers);
def DN1 = (Price < Ehlers);
#Condition Calculation
def UPBias = UP1;
def DNBias = DN1;
def Direction = UPBias - DNBias;
#AddCloud(Ehlers, EhlersD, Color.GREEN, Color.CURRENT);
#AddCloud(EhlersD, Ehlers, Color.RED, Color.CURRENT);
AssignPriceColor(if coloredCandlesOn and ((Direction > 0)) then Color.GREEN else if coloredCandlesOn and ((Direction < 0)) then Color.RED else Color.GRAY);
plot Long_Entry = (Direction crosses above 0);
Long_Entry.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
Long_Entry.SetLineWeight(3);
Long_Entry.AssignValueColor(Color.UPTICK);
plot Long_Exit = (Direction crosses below 0);
Long_Exit.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
Long_Exit.SetLineWeight(3);
Long_Exit.AssignValueColor(Color.DOWNTICK);thanks a lot, sir. I use this code and add some code(just copy from another thread ) for statistics. The code is as follows.Hi @qimy6688,
Here EDCF_Candles as a study. I hope you find it useful!
Code:#Ehler's Distant Coefficient Filter Study Created by Christopher84 05/20/2022 input length = 34; input coloredCandlesOn = yes; input displace = 13; def price = (high + low) / 2; def coeff = length * price * price - 2 * price * sum(price, length)[1] + sum(price * price, length)[1]; plot Ehlers = sum(coeff * price, length) / sum(coeff, length); #Ehlers.SetDefaultColor(GetColor(1)); def EhlersD = Ehlers [+displace]; def UP1 = (Price > Ehlers); def DN1 = (Price < Ehlers); #Condition Calculation def UPBias = UP1; def DNBias = DN1; def Direction = UPBias - DNBias; #AddCloud(Ehlers, EhlersD, Color.GREEN, Color.CURRENT); #AddCloud(EhlersD, Ehlers, Color.RED, Color.CURRENT); AssignPriceColor(if coloredCandlesOn and ((Direction > 0)) then Color.GREEN else if coloredCandlesOn and ((Direction < 0)) then Color.RED else Color.GRAY); plot Long_Entry = (Direction crosses above 0); Long_Entry.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP); Long_Entry.SetLineWeight(3); Long_Entry.AssignValueColor(Color.UPTICK); plot Long_Exit = (Direction crosses below 0); Long_Exit.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN); Long_Exit.SetLineWeight(3); Long_Exit.AssignValueColor(Color.DOWNTICK); [/CODthanks [/QUOTE]
#Ehler's Distant Coefficient Filter Study Created by Christopher84 05/20/2022
input length = 34;
input coloredCandlesOn = yes;
input displace = 13;
def price = (high + low) / 2;
def coeff = length * price * price - 2 * price * sum(price, length)[1] + sum(price * price, length)[1];
plot Ehlers = sum(coeff * price, length) / sum(coeff, length);
#Ehlers.SetDefaultColor(GetColor(1));
def EhlersD = Ehlers [+displace];
def UP1 = (Price > Ehlers);
def DN1 = (Price < Ehlers);
#Condition Calculation
def UPBias = UP1;
def DNBias = DN1;
def Direction = UPBias - DNBias;
#AddCloud(Ehlers, EhlersD, Color.GREEN, Color.CURRENT);
#AddCloud(EhlersD, Ehlers, Color.RED, Color.CURRENT);
AssignPriceColor(if coloredCandlesOn and ((Direction > 0)) then Color.GREEN else if coloredCandlesOn and ((Direction < 0)) then Color.RED else Color.GRAY);
#plot Long_Entry = (Direction crosses above 0);
#Long_Entry.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
#Long_Entry.SetLineWeight(3);
#Long_Entry.AssignValueColor(Color.UPTICK);
#plot Long_Exit = (Direction crosses below 0);
#Long_Exit.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
#Long_Exit.SetLineWeight(3);
#Long_Exit.AssignValueColor(Color.DOWNTICK);
def upsignal = (Direction crosses above 0);
def downsignal = (Direction crosses below 0);
#UpSignal.SetDefaultColor(Color.UPTICK);
#UpSignal.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
#DownSignal.SetDefaultColor(Color.DOWNTICK);
#DownSignal.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
###------------------------------------------------------------------------------------------
# Profit and Loss Labels
#
# Fill in the 0>0 in the Create Signals section below to match your buy and sell signal conditions
#
# When using large amounts of hisorical data, P/L may take time to calculate
###------------------------------------------------------------------------------------------
input showSignals = yes; #hint showSignals: show buy and sell arrows
input LongTrades = yes; #hint LongTrades: perform long trades
input ShortTrades = yes; #hint ShortTrades: perform short trades
input showLabels = yes; #hint showLabels: show PL labels at top
input showBubbles = yes; #hint showBubbles: show PL bubbles at close of trade
input useStops = no; #hint useStops: use stop orders
input useAlerts = no; #hint useAlerts: use alerts on signals
input tradeDaytimeOnly = no; #hint tradeDaytimeOnly: (IntraDay Only) Only perform trades during hours stated
input OpenTime = 0930; #hint OpenTime: Opening time of market
input CloseTime = 1600; #hint CloseTime: Closing time of market
def Begin = secondsfromTime(OpenTime);
def End = secondsTillTime(closetime);
# Only use market hours when using intraday timeframe
def isIntraDay = if getaggregationperiod() > 14400000 or getaggregationperiod()==0 then 0 else 1;
def MarketOpen = if !tradeDaytimeOnly or !isIntraDay then 1 else if tradeDaytimeOnly and isIntraDay and Begin > 0 and End > 0 then 1 else 0;
###------------------------------------------------------------------------------------------
######################################################
## Create Signals -
## FILL IN THIS SECTION
## replace 0>0 with your conditions for signals
######################################################
def PLBuySignal = if MarketOpen AND (upsignal) then 1 else 0 ; # insert condition to create long position in place of the 0>0
def PLSellSignal = if MarketOpen AND (downsignal) then 1 else 0; # insert condition to create short position in place of the 0>0
def PLBuyStop = if !useStops then 0 else if (0>0) then 1 else 0 ; # insert condition to stop in place of the 0<0
def PLSellStop = if !useStops then 0 else if (0>0) then 1 else 0 ; # insert condition to stop in place of the 0>0
def PLMktStop = if MarketOpen[-1] == 0 then 1 else 0; # If tradeDaytimeOnly is set, then stop at end of day
#######################################
## Maintain the position of trades
#######################################
def CurrentPosition; # holds whether flat = 0 long = 1 short = -1
if (BarNumber()==1) OR isNaN(CurrentPosition[1]) {
CurrentPosition = 0;
}else{
if CurrentPosition[1] == 0 { # FLAT
if (PLBuySignal AND LongTrades) {
CurrentPosition = 1;
} else if (PLSellSignal AND ShortTrades){
CurrentPosition = -1;
} else {
CurrentPosition = CurrentPosition[1];
}
} else if CurrentPosition[1] == 1 { # LONG
if (PLSellSignal AND ShortTrades){
CurrentPosition = -1;
} else if ((PLBuyStop and useStops) or PLMktStop or (PLSellSignal AND ShortTrades==0)){
CurrentPosition = 0;
} else {
CurrentPosition = CurrentPosition[1];
}
} else if CurrentPosition[1] == -1 { # SHORT
if (PLBuySignal AND LongTrades){
CurrentPosition = 1;
} else if ((PLSellStop and useStops) or PLMktStop or (PlBuySignal and LongTrades==0)){
CurrentPosition = 0;
} else {
CurrentPosition = CurrentPosition[1];
}
} else {
CurrentPosition = CurrentPosition[1];
}
}
def isLong = if CurrentPosition == 1 then 1 else 0;
def isShort = if CurrentPosition == -1 then 1 else 0;
def isFlat = if CurrentPosition == 0 then 1 else 0;
# If not already long and get a PLBuySignal
#Plot BuySig = if (!isLong[1] and PLBuySignal and showSignals and LongTrades) then 1 else 0;
Plot BuySig = if (((isShort[1] and LongTrades) or (isFlat[1] and LongTrades)) and PLBuySignal and showSignals) then 1 else 0;
BuySig.AssignValueColor(color.cyan);
BuySig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
BuySig.SetLineWeight(5);
Alert(BuySig and useAlerts, "Buy Signal",Alert.bar,sound.Ding);
Alert(BuySig and useAlerts, "Buy Signal",Alert.bar,sound.Ding);
# If not already short and get a PLSellSignal
Plot SellSig = if (((isLong[1] and ShortTrades) or (isFlat[1] and ShortTrades)) and PLSellSignal and showSignals) then 1 else 0;
SellSig.AssignValueColor(color.cyan);
SellSig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
SellSig.SetLineWeight(5);
Alert(SellSig and useAlerts, "Sell Signal",Alert.bar,sound.Ding);
Alert(SellSig and useAlerts, "Sell Signal",Alert.bar,sound.Ding);
# If long and get a PLBuyStop
Plot BuyStpSig = if (PLBuyStop and isLong[1] and showSignals and useStops) or (isLong[1] and PLMktStop) or (isLong[1] and PLSellSignal and !ShortTrades) then 1 else 0;
BuyStpSig.AssignValueColor(color.light_gray);
BuyStpSig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
BuyStpSig.SetLineWeight(3);
Alert(BuyStpSig and useAlerts, "Buy Stop Signal",Alert.bar,sound.Ding);
Alert(BuyStpSig and useAlerts, "Buy Stop Signal",Alert.bar,sound.Ding);
# If short and get a PLSellStop
Plot SellStpSig = if (PLSellStop and isShort[1] and showSignals and useStops) or (isShort[1] and PLMktStop) or (isShort[1] and PLBuySignal and !LongTrades) then 1 else 0;
SellStpSig.AssignValueColor(color.light_gray);
SellStpSig.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
SellStpSig.SetLineWeight(3);
Alert(SellStpSig and useAlerts, "Sell Stop Signal",Alert.bar,sound.Ding);
Alert(SellStpSig and useAlerts, "Sell Stop Signal",Alert.bar,sound.Ding);
#######################################
## Orders
#######################################
def isOrder = if ((isFlat[1] and (BuySig and LongTrades) or (SellSig and ShortTrades)) or (isLong[1] and BuyStpSig or (SellSig and ShortTrades)) or (isShort[1] and SellStpSig or (BuySig and LongTrades))) then 1 else 0 ;
# If there is an order, then the price is the next days close
def orderPrice = if (isOrder and ((BuySig and LongTrades) or (SellSig and ShortTrades))) then close else orderPrice[1];
def orderCount = compoundValue(1,if isNan(isOrder) or barnumber()==1 then 0 else if (BuySig or SellSig) then orderCount[1]+1 else orderCount[1],0);
#######################################
## Price and Profit
#######################################
def profitLoss;
if (!isOrder or orderPRice[1]==0){
profitLoss = 0;
} else if ((isOrder and isLong[1]) and (SellSig or BuyStpSig)){
profitLoss = close - orderPrice[1];
} else if ((isOrder and isShort[1]) and (BuySig or SellStpSig)) {
profitLoss = orderPrice[1] - close;
} else {
profitLoss = 0;
}
# Total Profit or Loss
def profitLossSum = compoundValue(1, if isNaN(isOrder) or barnumber()==1 then 0 else if isOrder then profitLossSum[1] + profitLoss else profitLossSum[1], 0);
# How many trades won or lost
def profitWinners = compoundValue(1, if isNaN(profitWinners[1]) or barnumber()==1 then 0 else if isOrder and profitLoss > 0 then profitWinners[1] + 1 else profitWinners[1], 0);
def profitLosers = compoundValue(1, if isNaN(profitLosers[1]) or barnumber()==1 then 0 else if isOrder and profitLoss < 0 then profitLosers[1] + 1 else profitLosers[1], 0);
def profitPush = compoundValue(1, if isNaN(profitPush[1]) or barnumber()==1 then 0 else if isOrder and profitLoss == 0 then profitPush[1] + 1 else profitPush[1], 0);
# Current Open Trade Profit or Loss
def TradePL = If isLong then Round(((close - orderprice)/TickSize())*TickValue()) else if isShort then Round(((orderPrice - close)/TickSize())*TickValue()) else 0;
# Convert to actual dollars based on Tick Value for bubbles
def dollarProfitLoss = if orderPRice[1]==0 or isNaN(orderPrice[1]) then 0 else round((profitLoss/Ticksize())*Tickvalue());
# Closed Orders dollar P/L
def dollarPLSum = round((profitLossSum/Ticksize())*Tickvalue());
# Split profits or losses by long and short trades
def profitLong = compoundValue(1, if isNan(profitLong[1]) or barnumber()==1 then 0 else if isOrder and isLong[1] then profitLong[1]+dollarProfitLoss else profitLong[1],0);
def profitShort = compoundValue(1, if isNan(profitShort[1]) or barnumber()==1 then 0 else if isOrder and isShort[1] then profitShort[1]+dollarProfitLoss else profitShort[1],0);
def countLong = compoundValue(1, if isNaN(countLong[1]) or barnumber()==1 then 0 else if isOrder and isLong[1] then countLong[1]+1 else countLong[1],0);
def countShort = compoundValue(1, if isNaN(countShort[1]) or barnumber()==1 then 0 else if isOrder and isShort[1] then countShort[1]+1 else countShort[1],0);
# What was the biggest winning and losing trade
def biggestWin = compoundValue(1, if isNaN(biggestWin[1]) or barnumber()==1 then 0 else if isOrder and (dollarProfitLoss > 0) and (dollarProfitLoss > biggestWin[1]) then dollarProfitLoss else biggestWin[1], 0);
def biggestLoss = compoundValue(1, if isNaN(biggestLoss[1]) or barnumber()==1 then 0 else if isOrder and (dollarProfitLoss < 0) and (dollarProfitLoss < biggestLoss[1]) then dollarProfitLoss else biggestLoss[1], 0);
def ClosedTradeCount = if (isLong or isShort) then orderCount-1 else orderCount;
def OpenTrades = if (isLong or isShort) then 1 else 0;
# What percent were winners
def PCTWin = if (OpenTrades and (TradePL < 0)) then round((profitWinners/(ClosedTradeCount+1))*100,2)
else if (OpenTrades and (TradePL > 0)) then round(((profitWinners+1)/(ClosedTradeCount+1))*100,2) else round(((profitWinners)/(ClosedTradeCount))*100,2) ;
# Average trade
def avgTrade = if (OpenTrades and (TradePL < 0)) then round(((dollarPLSum - TradePL)/(ClosedTradeCount+1)),2)
else if (OpenTrades and (TradePL > 0)) then round(((dollarPLSum + TradePL)/(ClosedTradeCount+1)),2) else round(((dollarPLSum)/(ClosedTradeCount)),2) ;
#######################################
## Create Labels
#######################################
AddLabel(showLabels and isIntraDay, if MarketOpen then "Market Open" else "Market Closed", color.white);
AddLabel(showLabels, GetSymbol()+" Tick Size: "+TickSize()+" Value: "+TickValue(), color.white);
AddLabel(showLabels and (LongTrades and ShortTrades), "Long+Short Trades", color.white);
AddLabel(showLabels and (LongTrades and !ShortTrades),"Long Trades Only", color.white);
AddLabel(showLabels and (!LongTrades and ShortTrades),"Short Trades Only", color.white);
AddLabel(showLabels, "Closed Orders: " + ClosedTradeCount + " P/L: " + AsDollars(dollarPLSum), if dollarPLSum > 0 then Color.GREEN else if dollarPLSum< 0 then Color.RED else Color.GRAY);
AddLabel(if !IsNan(orderPrice) and showLabels then 1 else 0, "Closed+Open P/L: "+ AsDollars(TradePL+dollarPLSum), if ((TradePL+dollarPLSum) > 0) then color.green else if ((TradePL+dollarPLSum) < 0) then color.red else color.gray);
AddLabel(showLabels, "Avg per Trade: "+ AsDollars(avgTrade), if avgTrade > 0 then Color.Green else if avgTrade < 0 then Color.RED else Color.GRAY);
AddLabel(showLabels, "Winners: "+ PCTWin +"%",if PCTWin > 50 then color.green else if PCTWin > 40 then color.yellow else color.gray);
AddLabel(showLabels, "MaxUp: "+ AsDollars(biggestWin) +" MaxDown: "+AsDollars(biggestLoss), color.white);
AddLabel(showLabels, "Long Profit: " +AsDollars(profitLong), if profitLong > 0 then color.green else if profitLong < 0 then color.red else color.gray);
AddLabel(showLabels, "Short Profit: " +AsDollars(profitShort), if profitShort > 0 then color.green else if profitShort < 0 then color.red else color.gray);
AddLabel(if !IsNan(CurrentPosition) and showLabels and OpenTrades then 1 else 0, "Open: "+ (If isLong then "Bought" else "Sold") + " @ "+orderPrice, color.white);
AddLabel(if !IsNan(orderPrice) and showLabels and OpenTrades then 1 else 0, "Open Trade P/L: "+ AsDollars(TradePL), if (TradePL > 0) then color.green else if (TradePl < 0) then color.red else color.gray);
#######################################
## Chart Bubbles for Profit/Loss
#######################################
AddChartBubble(showSignals and showBubbles and isOrder and isLong[1], low, "$"+dollarProfitLoss, if dollarProfitLoss == 0 then Color.LIGHT_GRAY else if dollarProfitLoss > 0 then Color.GREEN else color.Red, 0);
AddChartBubble(showSignals and showBubbles and isOrder and isShort[1], high, "$"+dollarProfitLoss, if dollarProfitLoss == 0 then Color.LIGHT_GRAY else if dollarProfitLoss > 0 then Color.GREEN else color.Red, 1);
#AssignPriceColor(if CurrentPosition == 1 then color.green else if CurrentPosition == -1 then color.red else color.gray);I have inserted the code into a strategy I'm currently working on to see the results. Looks interesting! Thank you for sharing! I'll check it out.
input tradeDaytimeOnly = yes; #hint tradeDaytimeOnly: (IntraDay Only) Only perform trades during hours stated
input OpenTime = 0930; #hint OpenTime: Opening time of market
input CloseTime = 1600; #hint CloseTime: Closing time of market
def Begin = secondsfromTime(OpenTime);
def End = secondsTillTime(closetime);
# Only use market hours when using intraday timeframe
def isIntraDay = if getaggregationperiod() > 14400000 or getaggregationperiod()==0 then 0 else 1;
def MarketOpen = if !tradeDaytimeOnly or !isIntraDay then 1 else if tradeDaytimeOnly and isIntraDay and Begin > 0 and End > 0 then 1 else 0;Hi Christopher,Just added 2 new strategies on pg.1 of the thread. The first is based on Ehler's Distant Coefficient Filter.
The second strategy is based off of the HiLo study.
Both strategies are adjustable. I hope everyone finds them useful. Happy trading!
Sorry, Christopher, I make a mistake. when I test your EDCF strategy I didn't turn off the extended hours.I have inserted the code into a strategy I'm currently working on to see the results. Looks interesting! Thank you for sharing! I'll check it out.
EDCF strategy BackTest in 10Min and 5 Min
Hi @Madhu!
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