ThinkOrSwim/JAWS.txt at master · cjmiller81/ThinkOrSwim · GitHub

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# JAWS
# Drew Griffith

#hint: Mean Reversion Strategy published by PJ Sutherland: https://blog.sutherlandresearch.com/index.php/2017/05/26/a-simple-mean-reversion-strategy/

declare lower;
input ma1 = 2;
input ma2 = 5;
input pct_diff = 5.0;
input price = close;

def movavg1 = expAverage(length = ma1, data = price);
#movavg1.SetLineWeight(3);
#movavg1.SetDefaultColor(Color.CYAN);
def movavg2 = expAverage(length = ma2, data = price);
#movavg2.SetLineWeight(3);
#movavg2.SetDefaultColor(Color.MAGENTA);

plot pctdiff = (AbsValue(movavg1 - movavg2) / ((movavg1 + movavg2) / 2)) * 100;

plot extSE = if close > movavg1 and close > movavg2 and pctdiff >= pct_diff then pctdiff else Double.NaN;
extSE.SetLineWeight(3);
extSE.SetDefaultColor(Color.ORANGE);
extSE.SetPaintingStrategy(PaintingStrategy.POINTS);

plot extLE = if close < movavg1 and close < movavg2 and pctdiff >= pct_diff then pctdiff else Double.NaN;
extLE.SetLineWeight(3);
extLE.SetDefaultColor(Color.YELLOW);
extLE.SetPaintingStrategy(PaintingStrategy.POINTS);

plot ext = pct_diff;
ext.SetLineWeight(1);
ext.SetDefaultColor(Color.GRAY);
ext.SetPaintingStrategy(PaintingStrategy.LINE);

plot LE = if movavg1 crosses above movavg2 and pctdiff < 2 then pctdiff else double.NaN;
LE.AssignValueColor(Color.GREEN);
LE.SetPaintingStrategy(PaintingStrategy.POINTS);
LE.SetLineWeight(5);
plot LX = if movavg1 crosses below movavg2 then pctdiff else double.NaN;;
LX.AssignValueColor(Color.RED);
LX.SetPaintingStrategy(PaintingStrategy.POINTS);
LX.SetLineWeight(5);