Overview: Wavelet Trend Nowcast Signal
Example 5. . The signal that opens positions if trend is identified on the given scale, and closing them if the end of trend is fond.
| eSignal Formula Script: |
/********************************************************
Name: TSE.Wavelet.Nowcast
Analysis Type: Strategies
Description: Non-decimated Haar Wavelet Trend Nowcast Signal
Used: tsewvl.dll
Provided By: Trade Smart Research (c) Copyright 2001 - 2004
www.tsresearch.com
********************************************************/
var c,v,Wavelet,Sigma,Trend, num,lookback;
/* Defining DLL */
var d = new DLL("tsewvl.dll");
/* Functions Declaration */
d.addFunction("runwvl", DLL.FLOAT, DLL.STDCALL,"RUNWVL", DLL.FLOATARRAY,DLL.INT,DLL.FLOAT);
d.addFunction("getallvalues", DLL.FLOAT, DLL.STDCALL,"GETALLVALUES", DLL.INT,DLL.INT);
/* Preparing parameters and array*/
function preMain() {
setPriceStudy(true);
setStudyTitle("Wavelet Trend Nowcast Strategies");
setCursorLabelName("Nowcast", 0);
ArrayPrice = new Array(256);
var fp1 = new FunctionParameter("Scales", FunctionParameter.NUMBER);
fp1.setLowerLimit(1);
fp1.setUpperLimit(8);
fp1.setDefault(5);
var fp2 = new FunctionParameter("NSigma", FunctionParameter.NUMBER);
fp2.setLowerLimit(1);
fp2.setUpperLimit(4);
fp2.setDefault(3);
}
function main(Scales,NSigma) {
if (Scales==null) Scales=5;
if (NSigma==null) NSigma=3;
lookback=256;
aSource=getValue("Close",0,-lookback);
/* filling array */
nBarIndex = getNumBars()+getCurrentBarIndex();
if (nBarIndex >lookback) {
for (x=0; x<lookback; x++) {
ArrayPrice[x] = aSource[x];
}
/* calling functoin in dll */
v = d.call("runwvl",ArrayPrice,8,NSigma);
Wavelet =d.call("getallvalues",1,Scales);
Sigma =d.call("getallvalues",2,Scales);
/* determinig trend */
if (Wavelet > (NSigma * Sigma)) {
Trend = 1
} else {
if (Wavelet < (- NSigma * Sigma)) {
Trend = -1
} else {
Trend = 0
}
}
/* Strategy Actions Entry to position and exit form it */
if (Trend == 1) {
if(!Strategy.isLong()) {
Strategy.doLong("NCast.LE",Strategy.CLOSE,Strategy.THISBAR)
}
}
if (Trend == -1) {
if(!Strategy.isShort()) {
Strategy.doShort("NCast.SE",Strategy.CLOSE,Strategy.THISBAR)
}
}
if ((Trend==0) && (Strategy.isInTrade()==true)) {
if (Strategy.isLong()==true) {
Strategy.doSell("NCast.LX",Strategy.CLOSE,Strategy.THISBAR)
};
if (Strategy.isShort()==true) {
Strategy.doCover("NCast.SX",Strategy.CLOSE,Strategy.THISBAR)
};
}
if(Strategy.isLong()) {
setBarBgColor(Color.green);
} else if(Strategy.isShort()) {
setBarBgColor(Color.red);
}
} else {
v=0
}
return v;
}
|
These elementary examples evidently show that modern computer methods can improve an arsenal of technical analytics.
|
