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Bana View Drop Down
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Joined: 02 Jan 2007
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Posts: 46 		Post Options Post Options   Quote Bana Quote  Post ReplyReply Direct Link To This Post Topic: Auto Envelopes
    Posted: 11 Apr 2009 at 9:35am
Hi All

Below is formula in Metastock for Autoenvelopes as discussed in Alexander Elder's books. Is it possible to convert them to bullscript?
thanks

{user inputs}

pds:=input("EMA periods", 21, 1, 252);

pdsBak:=input("lookback periods", 42, 1, 252);

x:=input("use: Open=1, High=2, Low=3, Close=4, WClose=5", 4, 1, 5);

plot:=input("[1]AutoEnvelope, [2]Long signals, [3]All signals", 1, 1, 3);

delay:=input("Entry/Exit signals delay", 0, 0, 5);

 

{ Price field }

x:=If(x=1,O,If(x=2,H,If(x=3,L,If(x=5,WC(),C))));

 

{ Envelope bands }

Avg:=ma(x,pds,E);

hiAvg:=HHV(H,pdsBak);

loAvg:=LLV(L,pdsBak);

shift:= ma(If(hiAvg>Avg,hiAvg-Avg,Avg-loAvg),pds,E);

UpperBand:=Avg+shift;

LowerBand:=Avg-shift;

 

{ Envelope signals }

In:=Cross(x,LowerBand);

Out:=Cross(x,UpperBand);

Init:=Cum(In+Out>-1)=1;

InInit:=Cum(In)=1;

flag:=BarsSince(Init OR In)

<BarsSince(Init OR Out)+InInit;

signals:=Ref((InInit AND Alert(InInit=0,2)

OR flag AND Alert(flag=0,2))

-(flag=0 AND Alert(flag,2)),-delay);

 

{ Plot envelope on price chart }

If(plot=1,UpperBand,If(plot=2,signals,In-Out));

If(plot=1,Avg,If(plot=2,0,0));

If(plot=1,LowerBand,If(plot=2,signals,In-Out));

 




Edited by Bana - 11 Apr 2009 at 9:36am
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Joined: 02 Jan 2007
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Posts: 46 		Post Options Post Options   Quote Bana Quote  Post ReplyReply Direct Link To This Post Posted: 12 Apr 2009 at 4:52pm
Got this MS formula for the same thing from another web source. The parameters of this 
look more closer to description in the book, as compared to the previous formula so please ignore it.


EMA:=input("Base EMA", 22, 1, 100);
Factor:=input("Factor", 27, 1, 50);
avg:=ma(C,EMA,E);
csize:= Stdev(2*Max(Abs(H-avg) ,Abs(L-avg)) / avg,100)*Factor/10; {Use 100 days for stable channel size - default is 2.7 std}
Csize:= ValueWhen(1, DayOfWeek()<Ref(DayOfWeek() ,-1) OR ( DayOfWeek()=Ref(DayOfWeek(),-1) AND DayOfMonth() <> Ref(DayOfMonth(),-1)) ,Ref(csize,-1)); { This pegs the Stdev to last bar of week and only changes once per week}
csize:=LastValue(csize); {fix to constant using last value}
channel:=csize*avg;
avg+channel/2;
avg-channel/2;
avg;
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Posts: 232 		Post Options Post Options   Quote maximo Quote  Post ReplyReply Direct Link To This Post Posted: 12 Apr 2009 at 11:46pm

Okay, there you go, looks okay for testing a breakout strategy.

[target=price]

EMA:=input("Base EMA",22,1);

Factor:=input("Factor",27,1);

avg:=ma(C,EMA,E);

asize:= Stdev(2*Max(Abs(H-avg) ,Abs(L-avg)) / avg,100)*Factor/10; {Use 100 days for stable channel size - default is 2.7 std}

bsize:= ValueWhen(1, DayOfWeek()<Ref(DayOfWeek() ,-1) OR ( DayOfWeek()=Ref(DayOfWeek(),-1) AND DayOfMonth() <> Ref(DayOfMonth(),-1)) ,Ref(asize,-1)); { This pegs the Stdev to last bar of week and only changes once per week}

csize:=LastValue(bsize); {fix to constant using last value}

channel:=csize*avg;

avg+channel/2;

avg-channel/2;

avg;

 
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Posts: 46 		Post Options Post Options   Quote Bana Quote  Post ReplyReply Direct Link To This Post Posted: 13 Apr 2009 at 12:28pm
Thanks Maximo. You are a genius with Bullscript.

I am trying to follow Dr Alexander Elder's short term trading within the channels, as described in 'Come into my Trading Room.
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Posts: 232 		Post Options Post Options   Quote maximo Quote  Post ReplyReply Direct Link To This Post Posted: 18 Apr 2009 at 7:46pm
I will have a read of his book :)
 
Here's a link to a report & a couple of videos which present the idea of combining all 3 market conditions into 1 trading plan using a channel.  
Actually there's also a few mechanical systems that have been using this idea for over 15 years in the live market.  eg. R-breaker + R-Levels by Richard Saidenberg and Cyclone system by Clayburg. 
 
 


Edited by maximo - 18 Apr 2009 at 11:39pm
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Posts: 46 		Post Options Post Options   Quote Bana Quote  Post ReplyReply Direct Link To This Post Posted: 01 Sep 2010 at 9:51pm
Hi Maximo

The formula in your post 159 above --- is it possible to fill the channel with any color?

cheers
Bana
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Posts: 232 		Post Options Post Options   Quote maximo Quote  Post ReplyReply Direct Link To This Post Posted: 03 Sep 2010 at 10:21pm
Yes,  just add these 2 lines onto the end of that code.
 

[name=Envelope Fill; linestyle=fill; color=blue]

avg+channel/2; avg-channel/2;
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Posts: 46 		Post Options Post Options   Quote Bana Quote  Post ReplyReply Direct Link To This Post Posted: 06 Sep 2010 at 9:57am
Thanks........it works great.
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