willbillionquant / easylanguage-tools

Easylanguage-based program trading tools

easylanguage-tools

Easylanguage scripts and files relevant to program trading conducted on Multicharts/Tradestation. For a brief description of each item:

Functions

• Parabolic SAR: a rewrite of the parabolic SAR functions

Indicators

• Ehlers: Some John Ehlers indicators, e.g.

  • Stochastic RSI

• Equities: Indicators which applied most appropriately on daily or longer timeframe, such as

  • SCTR: Stockcharts Technical Rank indicator with slight modification
  • NumLogFromPeak: Number of daily sigma from the peak price in a period (default 256 trading days/52 weeks)

• Oscillators:

  • KDJ: extra J line from the stochastic oscillator.
  • ZScore: Standard score in the context of Bollinger band, acting similarly as CCI (Commodity Channel Index).

• Price: Plotting static or moving price levels on main chart, e.g.

  • KAMA: Kaufman Adaptive Moving Average
  • OpenCloseLines: drawing horizontal lines of each day's opening price with prescribed opening and closing time.
  • Parabolic SAR: a rewrite of the parabolic SAR indicators (with plots)

• Timings: Plotting specific time, e.g.

  • 1stfribar: Plotting first Friday on daily chart. (usually the nonfarm payroll day)
  • 3rdfribar: Plotting first Friday on daily chart. (usually the expiry day for US equities & futures monthly options)
  • HKRollTime: Intraday timing for Hong Kong index futures rollover on the day prior to settlement day (2nd last working day in a month)

Signals

• LevRatio: a template scheme of fixed leverage ratio compounding betting. My own detail expository can be found here: Evaluating the stable profitability of a Trading System through the Dilemma of Growth vs Drawdown