Seykota TSP Support And Resistance

/_SECTION_BEGIN("Ed Seykota's TSP  Support and Resistance");
/*==============================================================================
Global Settings
==============================================================================*/
SetFormulaName("TT Support Resistance 1.2");
SetOption("InitialEquity", 1000000);
SetOption("NoDefaultColumns", True );
SetOption("CommissionMode", 2); //$$ per trade
SetOption("CommissionAmount", 0);
SetOption("MarginRequirement", 10);
SetOption("UsePrevBarEquityForPosSizing", True);
SetOption("UseCustomBacktestProc", True );

SetTradeDelays( 0, 0, 0, 0 );

/*==============================================================================
User-defined Functions
==============================================================================*/
function Support(p)
{
sup = LLV(Low, p);
sup[0] = Low[0];
for (i = 1; i < p; i++)
{
if(Low[i] < sup[i-1]) sup[i] = Low[i];
else sup[i] = sup[i-1];
} 
return sup;
}

function Resistance(p)
{
res = HHV(High, p);
res[0] = High[0];
for (i = 1; i < p; i++)
{
if(High[i] > res[i-1]) res[i] = High[i];
else res[i] = res[i-1];
}
return res;
} 

function OptimizeNot(a1, a2, a3, a4, a5)
{
return a2;
}

/*==============================================================================
Entry and Exit Rules
==============================================================================*/
fast = Optimize("Fast", 20, 5, 105, 5);
slow = Optimize("Slow", 140, 20, 420, 20);
FastRes = Resistance(fast);
FastSup = Support(fast);
SlowRes = Resistance(slow);
SlowSup = Support(slow);
heat = 0.05;

// determine longer term trend
// Note: could have problem if current bar is outside of all previous bars
// the trend can also be calculated within main loop, but put here for clarity
trend[0] = 0;
for(bar= 1; bar < BarCount; bar++) // bar must start from 1, otherwise trend calculation is wrong
{
if(High[bar] > SlowRes[bar-1]) trend[bar] = 1;
else if(Low[bar] < SlowSup[bar-1]) trend[bar] = -1;
else trend[bar] = trend[bar-1];
}

LastPosition = 0; // 1 - long; -1 - short
PositionRiskStop = 0;

Buy = Sell = Short = Cover = 0; // this has to be set otherwise they are undefined!!! weird
// main loop
for(bar = 5; bar < BarCount-1; bar++) // give some bars for the system to stablize
{
// Exit position by protection stop
if(LastPosition == 1)
{
// Sell at stop
if(PositionRiskStop > Low[bar] ) // skip if the signal price only touch (=) the low
{
// We just calculate the exact price to simulate Ed's skid 
stopPrice = PositionRiskStop;
ff = Min(Open[bar], stopPrice) - Low[bar];
stopPrice = Min(Open[bar], stopPrice) - 0.5*ff;
Sell[bar] = 1;
SellPrice[bar] = stopPrice;
TradePrice[bar] = stopPrice;
LastPosition = 0;
}
else // move the protection stop
{
PositionRiskStop = FastSup[bar];
}
}
else if(LastPosition == -1)
{
// Cover at stop
if(PositionRiskStop < High[bar]) // skip if the signal price only touch (=) the high
{
stopPrice = PositionRiskStop;
ff = High[bar] - Max(Open[bar], stopPrice);
stopPrice = Max(Open[bar], stopPrice) + 0.5*ff;
Cover[bar] = 1;
CoverPrice[bar] = stopPrice;
TradePrice[bar] = stopPrice;
LastPosition = 0;
}
else // move the protection stop
{
PositionRiskStop = FastRes[bar];
}
}
// Enter position only when last position has been closed
else { 
if(trend[bar-1] == 1)
{
// buy at stop 
if( fastRes[bar-1] < High[bar]) 
{
ff = High[bar] - Max(Open[bar], FastRes[bar-1]);
stopPrice = Max(Open[bar], FastRes[bar-1]) + 0.5*ff;
f = heat/(FastRes[bar-1] - FastSup[bar-1]);
Buy[bar] = 1;
BuyPrice[bar] = stopPrice;
PositionSize[bar] = f; //this value is passed to CBT for position sizing
LastPosition = 1;
PositionRiskStop = FastSup[bar];
TradePrice[bar] = stopPrice;
}
}
else if(trend[bar-1] == -1)
{ 
// short at stop
if( FastSup[bar-1] > Low[bar]) 
{
ff = Min(Open[bar], FastSup[bar-1]) - Low[bar];
stopPrice = Min(Open[bar], FastSup[bar-1]) - 0.5*ff;
f = heat/(FastRes[bar-1] - FastSup[bar-1]);
Short[bar] = 1;
ShortPrice[bar] = stopPrice;
PositionSize[bar] = f; //this value is passed to CBT for position sizing
LastPosition = -1;
PositionRiskStop = FastRes[bar];
TradePrice[bar] = stopPrice;
}
}
}
}

// close final day for accounting purpose
bar = BarCount-1;
if(LastPosition == 1) { Sell[bar] = 1; SellPrice[bar] = (Low[bar]+Close[bar])/2; }
else if(LastPosition == -1) { Cover[bar] = 1; CoverPrice[bar] = (High[bar]+Close[bar])/2; }

/*==============================================================================
Automatic Analysis Action Options
==============================================================================*/
AAAction = Status("action");
if(AAAction == actionIndicator)
{
Plot(FastRes, "FastRes", colorRed);
Plot(SlowRes, "SlowRes", colorPink);
Plot(FastSup, "FastSup", colorGreen);
Plot(SlowSup, "SlowSup", colorBlue);
}
else if(AAAction == actionExplore)
{
Filter = 1; 
AddColumn( DateTime(), "Date", formatDateTime ); 
AddColumn(O, "Open");
AddColumn(H, "High");
AddColumn(L, "Low");
AddColumn(C, "Close");
AddColumn(FastRes, "FastRes");
AddColumn(SlowRes, "SlowRes");
AddColumn(FastSup, "FastSup");
AddColumn(SlowSup, "SlowSup");
AddColumn(Trend, "Trend");
AddColumn(IIf(Buy, Asc("B"), IIf(Sell, Asc("S"), IIf(Short, Asc("H"), IIf(Cover, Asc("C"), 0)))) , "Signal", formatChar);
AddColumn(TradePrice, "TradePrice");
}
else if(AAAction == actionPortfolio)
{
bo = GetBacktesterObject();
bo.PreProcess(); // Initialize backtester
for( bar=0; bar < BarCount; bar++)
{
eq = bo.Equity;
for ( sig=bo.GetFirstSignal(bar); sig; sig=bo.GetNextSignal(bar) )
{
if (sig.isExit())
{
if(bo.ExitTrade(bar,sig.symbol,sig.Price))
{ 
_TRACE("EXIT: " + sig.symbol + "@" + sig.Price);
}
}
}

// update stats after closing trades
bo.UpdateStats(bar, 1 );

for ( sig=bo.GetFirstSignal(bar); sig; sig=bo.GetNextSignal(bar)) 
{ 
if (sig.isEntry()) 
{ 
// sig.PosSize is passed from Phase I.
shares = round((eq*sig.PosSize)/100)*100;
ps = shares * sig.Price;

if(bo.EnterTrade(bar, sig.symbol, sig.IsLong, sig.Price, ps, sig.PosScore,sig.RoundLotSize)) 
{
_TRACE("ENTRY: " + sig.symbol + " @" + sig.Price + " PosScore=" + sig.PosScore + " PosSize=" + ps);
}
}
}

bo.UpdateStats(bar,1); // MAE/MFE is updated when timeinbar is set to 1.
bo.UpdateStats(bar,2);
}
bo.PostProcess(); // Finalize backtester
}
/*==============================================================================
End of Formula
==============================================================================*/
_SECTION_END();