TS Confluence
Trading System "Confluence"
Formula per Tradestation™:
INIZIO FORMULA
Type : Function, Name : DerivativeMA
{ Function: DerivativeMA -- used by Confluence function }
Inputs: Price(numeric), Length(Numeric);
VARS: DERIV(0),SUMD(0),LENG2(0),N1(0),DR(0);
DERIV= (AVERAGE(Price,Length)*2) - AVERAGE(Price,Length)[1];
SUMD=Length*DERIV;
LENG2=length - 1 ;
N1= (AVERAGE(Price,LENG2))*LENG2;
DR=SUMD-N1;
DerivativeMA = DR;
Type : Function, Name : Confluence
{Function: Confluence
Returns a value from -9 to +9.
-9 to -1: bearish
-0.9 to +0.9: "yellow"
1 to 9: bullish }
Input: price(Numeric),Harmonic(Numeric);
vars: STL(0),ITL(0),LTL(0),HOFF(0),SOFF(0),IOFF(0),LTOFF(0),Phase(1);
vars: mtl(0),momsig(0),mom(0),HT(0),HTA(0);
vars: ST(0),STA(0),IT(0),ITA(0),SUM(0),ERR(0),ERRSUM(0),ERRSIG(0),TC(0),TCSIG(0);
vars: ERRNUM(0),MOMNUM(0),TCNUM(0);
Vars: Havg(0), Savg(0), Iavg(0), Lavg(0);
{Calculate Lengths}
if (BarNumber = 1) then begin
MTL=harmonic/2;
STL= IntPortion((harmonic*2)-1); {11}
ITL= IntPortion((STL*2)-1); {21}
LTL= IntPortion((ITL*2)-1); {41}
HOFF=intportion(harmonic/2); {3}
SOFF=intportion(STL/2); {5}
IOFF=intportion(ITL/2); {10}
LTOFF=intportion(LTL/2); {20}
end;
{ Averages }
Havg = average(price, Harmonic);
Savg = average(price, STL);
Iavg = average(price, ITL);
Lavg = average(price, LTL);
{Cycle Momentum}
value2 = Savg - Havg[HOFF];
value3 = Iavg - Savg[SOFF];
value12 = Lavg - Iavg[IOFF];
momsig = value2 + value3 + value12; {Momentum Signal Line}
value5= ((summation(price,harmonic-1) + derivativema(price,harmonic))/harmonic);
value6= ((summation(price,STL-1) + derivativema(price,STL))/STL);
value7= ((summation(price,ITL-1) + derivativema(price,ITL))/ITL);
value13=((summation(avgprice,LTL-1) + derivativema(price,LTL))/LTL);
value9 = value6 - value5[HOFF];
value10=value7 - value6[SOFF];
value14=value13 - value7[IOFF];
mom = value9 + value10 + value14;
{ harmonic =6 was 5 may use harmonic -1 }
{
HT= sine((summation(price,(harmonic-1))+derivativema(price,harmonic))/harmonic) +
cosine((summation(price,(harmonic-1))+derivativema(price,harmonic))/harmonic);
}
HT = sine(value5) + cosine(value5);
HTA= sine(Havg) + cosine(Havg);
{
ST= sine((summation(price,(STL-1))+derivativema(price,STL))/ STL) +
cosine((summation(Price,(STL-1))+derivativema(Price,STL))/STL);
}
ST = sine(value6) + cosine(value6);
STA = sine(Savg) + cosine(Savg);
{
IT= sine((summation(price,(ITL-1))+derivativema(c,ITL))/ITL) +
cosine((summation(price,(ITL-1))+derivativema(Price,ITL))/ITL);
}
IT = sine(value7) + cosine(value7);
ITA=sine(Iavg)+ cosine(Iavg);
Sum= HT+ST+IT; {Est in Cyc Estimator/ Cycle Est Err = Sum - Err }
Err =HTA + STA +ITA;
{phase detect}
Condition2= (Sum > Sum[SOFF]
and Havg < Havg[SOFF])
OR (Sum < Sum[SOFF]
and Havg > Havg[SOFF]) ;
Phase=1;
if Condition2 then Phase=-1;
ErrSum = (Sum - Err)*phase; { ERROR OF THE CYCLE}
ErrSig=average(ErrSum,SOFF); { ERROR SIGNAL LINE}
{Trend Catcher}
value68=value5;
{( (summation(price,(harmonic-1)) + derivativema(price,harmonic)) / harmonic );}
value69=value13;
{( (summation(avgprice,(LTL-1)) + derivativema(price,LTL)) / LTL );}
value70 = value68-value69; { EST W Der}
value71 = average(value70,Harmonic);
TC =value70;
TCSig=value71;
{Begin Counting Bars}
If ErrSum > 0 then begin
if Errsum < ErrSum[1] and ErrSum < ErrSig then ErrNum=1;
If ErrSum <ErrSum[1] and ErrSum >ErrSig then ErrNum=2;
If ErrSum>ErrSum[1] and ErrSum<ErrSig then ErrNum=2;
If ErrSum > ErrSum[1] and ErrSum> ErrSig then ErrNum=3;
End;
If ErrSum < 0 then begin
if Errsum > ErrSum[1] and ErrSum > ErrSig then ErrNum=-1;
If ErrSum <ErrSum[1] and ErrSum >ErrSig then ErrNum=-2;
If ErrSum>ErrSum[1] and ErrSum<ErrSig then ErrNum=-2;
If ErrSum < ErrSum[1] and ErrSum< ErrSig then ErrNum=-3;
End;
If Mom > 0 THEN begin
if mom < mom[1] and mom < momsig then momNum=1;
If mom <mom[1] and mom >momsig then momNum=2;
If mom>mom[1] and mom<momsig then momNum=2;
If mom > mom[1] and mom> momSig then momNum=3;
End;
If mom < 0 then begin
if mom > mom[1] and mom > momSig then momNum=-1;
If mom <mom[1] and mom >momSig then momNum=-2;
If mom>mom[1] and mom<momSig then momNum=-2;
If mom < mom[1] and mom< momSig then momNum=-3;
End;
If TC > 0 THEN begin
if TC < TC[1] and TC < TCsig then TCNum=1;
If TC <TC[1] and TC >TCsig then TCNum=2;
If TC>TC[1] and TC<TCsig then TCNum=2;
If TC > TC[1] and TC> TCSig then TCNum=3;
End;
If TC < 0 then begin
if TC > TC[1] and TC > TCSig then TCNum=-1;
If TC <TC[1] and TC >TCSig then TCNum=-2;
If TC>TC[1] and TC<TCSig then TCNum=-2;
If TC < TC[1] and TC< TCSig then TCNum=-3;
End;
value42= ErrNum + MomNum+TCNum;
Confluence = 0;
IF value42 >0 and TC >0 THEN Confluence = Value42; { Bullish }
IF value42<0 and TC < 0 THEN Confluence = Value42; { Bearish }
If (value42 > 0 and tc <0) or (value42 <0 and tc>0) then Confluence = Value42 / 10;
Type : Signal, Name : Confluence
{**** System: Confluence ****}
{
Based on Dale Legan's Confluence indicator that was posted to the Omega list in November 1998. See the Confluence function to see how the Conf oscillator is calculated.
Inputs:
Price: Price to use in the Confluence calculations.
Harmonic: Seems to be an estimate of the dominant cycle length?
Trigger: System buys/sells Trigger points above/below the bar where Confluence goes bullish/bearish. When the Confluence drops out of bullish/bearish mode, the system sets an exit stop Trigger points below Low / above High.
AggStops: If true, the system tightens its stops if the market moves in your direction. E.g. if High is 1000 and Trigger is 2, initial long stop is set at 1002. If the next bar has a high of 999, stop is moved to 999. }
{ These default input values seem to work well on 30-min SPX }
inputs: Price(Close), Harmonic(4), Trigger(5), AggStops(False);
Vars: Conf(0), Signal(0), Lstop(99999), Lexit(0), Sstop(0), Sexit(99999);
{ Is the indicator in bull/bear mode? }
Conf = Confluence(Price, Harmonic);
Signal = 0;
if (Conf >= 1) then Signal = 1; {bull}
if (Conf <= -1) then Signal = -1; {bear}
{ Set entry stops when indicator first moves into bull/bear mode }
if (Signal = 1) and (Signal[1] <> 1) then begin
Lstop = High + Trigger;
Lexit = 0;
end;
if (Signal = -1) and (Signal[1] <> -1) then begin
Sstop = Low - Trigger;
Sexit = 99999;
end;
{ Set exit-position stops when indicator leaves bull/bear state }
if (Signal <> 1) and (Signal[1] = 1) then begin
Lexit = Low - Trigger;
Lstop = 99999;
end;
if (Signal <> -1) and (Signal[1] = -1) then begin
Sexit = High + Trigger;
Sstop = 0;
end;
{ Aggressive stops: move them if mkt moves in our direction }
if AggStops then begin
if (Lstop <> 99999) then Lstop = MinList(Lstop, High + Trigger);
if (Lexit <> 0) then Lexit = MaxList(Lexit, Low - Trigger);
if (Sstop <> 0) then Sstop = MaxList(Sstop, Low - Trigger);
if (Sexit <> 99999) then Sexit = MinList(Sexit, High + Trigger);
end;
{ Clear stops when our price is hit }
if (H > Lstop) then Lstop = 99999;
if (L < Lexit) then Lexit = 0;
if (L < Sstop) then Sstop = 0;
if (H > Sexit) then Sexit = 99999;
{ Issue the buy/sell order on each bar until price is hit }
if (Lstop <> 99999) then buy at Lstop stop;
if (Lexit <> 0) then exitlong at Lexit stop;
if (Sstop <> 0) then sell at Sstop stop;
if (Sexit <> 99999) then exitshort at Sexit stop;
FINE FORMULA