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-- This demo enters long whenever the medium MA is above the slow MA, and enters short when
-- the medium MA is below the slow, and the fast MA is moving in the proper direction.
-- Generally not a profitable system. function SystemDemo_MACrossover(securityData)
RetrieveStandardVars(securityData) -- Do some common setup.
TrailingStopsInit(securityData) -- Set up our TrailingStops function.
-- Get all our stored UserVariables from the database.
fastMovPeriodUV = UserVar.Create(securityData, "FastMovPeriod", 10, 6, 20, 2, 0, true, true, 6, 20)
mediumMovPeriodUV = UserVar.Create(securityData, "MediumMovPeriod", 5, 5, 50, 5, 0, true, true, 5, 50)
slowMovPeriodUV = UserVar.Create(securityData, "SlowMovPeriod", 5, 5, 50, 5, 0, true, true, 5, 50)
crossoverMinUV = UserVar.Create(securityData, "CrossoverMin", 0.0005, 0.0001, 0.0010, 0.0001, 4, true, true, 0.0001, 0.0010)
-- Get the values of our UserVars
fastMovPeriod = UserVar.GetValue(securityData, fastMovPeriodUV)
mediumMovPeriod = UserVar.GetValue(securityData, mediumMovPeriodUV) + fastMovPeriod
slowMovPeriod = UserVar.GetValue(securityData, slowMovPeriodUV) + mediumMovPeriod
crossoverMin = UserVar.GetValue(securityData, crossoverMinUV)
-- Create out DataArrays (holders for the Indicators)
enterPriceDA = DataArray.Create(securityData, "EnterPrice", true, false)
exitPriceDA = DataArray.Create(securityData, "ExitPrice", true, false)
fastMovDA = DataArray.Create(securityData, "FastMov", true, false)
mediumMovDA = DataArray.Create(securityData, "MediumMov", true, false)
slowMovDA = DataArray.Create(securityData, "SlowMov", true, false)
crossoverDA = DataArray.Create(securityData, "Crossover", true, true)
-- Set the colors of the various Indicators.
DataArray.SetColor(securityData, enterPriceDA, "Green")
DataArray.SetColor(securityData, exitPriceDA, "Red")
DataArray.SetColor(securityData, fastMovDA, "Red")
DataArray.SetColor(securityData, mediumMovDA, "LightBlue")
DataArray.SetColor(securityData, slowMovDA, "Blue")
DataArray.SetColor(securityData, crossoverDA, "Blue")
-- Calculate the Moving Averages (MA).
-- The MAType parameters may be changed to any other MA type available (see Utilities.lua)
ExecuteIndicator(securityData, "MA", fastMovDA, openDA, fastMovPeriod, MAType_EMA)
ExecuteIndicator(securityData, "MA", mediumMovDA, openDA, mediumMovPeriod, MAType_EMA)
firstValidMA, lastValidMA = ExecuteIndicator(securityData, "MA", slowMovDA, openDA, slowMovPeriod, MAType_EMA)
-- Adjust our start and end indices according to the slowest MA.
-- firstValid and lastValid are set in the function RetrieveStandardVars.
startIndex = math.max(firstValid, firstValidMA)
endIndex = math.min(lastValid, lastValidMA)
currentSignal = SIGNAL_NONE;
enterPrice = 0
exitPrice = 0
-- Process each price bar one at a time.
-- Start at (startIndex + 1) because we look back in time by one bar (fastMovValue1...)
for dataIndex = startIndex + 1, endIndex do
-- open0 is the current bar's open price
open0 = DataArray.GetValue(securityData, openDA, dataIndex)
-- fastMovValue0 is the current bar's fast MA
fastMovValue0 = DataArray.GetValue(securityData, fastMovDA, dataIndex)
-- fastMovValue1 is the previous bar's fast MA
fastMovValue1 = DataArray.GetValue(securityData, fastMovDA, dataIndex - 1)
mediumMovValue0 = DataArray.GetValue(securityData, mediumMovDA, dataIndex)
mediumMovValue1 = DataArray.GetValue(securityData, mediumMovDA, dataIndex - 1)
slowMovValue0 = DataArray.GetValue(securityData, slowMovDA, dataIndex)
slowMovValue1 = DataArray.GetValue(securityData, slowMovDA, dataIndex - 1)
-- crossOver0 is the distance between this bar's medium MA and slow MA.
crossOver0 = mediumMovValue0 - slowMovValue0
crossOver1 = mediumMovValue1 - slowMovValue1
-- Set the value of our CrossOver Indicator to crossOver0 for this price bar.
DataArray.SetValue(securityData, crossoverDA, dataIndex, crossOver0)
-- If we're not already in a long position, test if we should enter one.
if (currentSignal ~= SIGNAL_BUY) and
(crossOver0 > crossoverMin) and
(crossOver0 > crossOver1) and
(fastMovValue0 > fastMovValue1) and
(mediumMovValue0 > mediumMovValue1) then
enterPrice = open0 -- Enter at this bar's open price
-- Create a long entry. Handled by the TrailingStops function.
DataArray.SetValue(securityData, buySignalsDA, dataIndex, -open0)
end
-- If we're not already in a short position, test if we should enter one.
if (currentSignal ~= SIGNAL_SELL) and
(crossOver0 < -crossoverMin) and
(crossOver0 < crossOver1) and
(fastMovValue0 < fastMovValue1) and
(mediumMovValue0 < mediumMovValue1) then
enterPrice = open0 -- Enter at this bar's open price
-- Create a short entry. Handled by the TrailingStops function.
DataArray.SetValue(securityData, sellSignalsDA, dataIndex, -open0)
end
-- The function TrailingStops will set the variable currentSignal to the proper value.
TrailingStops(securityData, dataIndex)
-- If TrailingStops caused an exit, then exit0 or stop0 will be non-zero.
-- If exit0 ~= 0, we exited with a profit.
-- If stop0 ~= 0, we exited with a loss.
exit0 = DataArray.GetValue(securityData, exitSignalsDA, dataIndex)
stop0 = DataArray.GetValue(securityData, stopSignalsDA, dataIndex)
-- If we exited on this price bar, save the exit price for display to the user.
if exit0 ~= 0 then
exitPrice = exit0
elseif stop0 ~= 0 then
exitPrice = stop0
end
-- Save the enterPrice and exitPrice to a DataArray (Indicator) for display to the user.
DataArray.SetValue(securityData, enterPriceDA, dataIndex, enterPrice)
DataArray.SetValue(securityData, exitPriceDA, dataIndex, exitPrice)
end -- for dataIndex = startIndex + 1, endIndex do
end -- function
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