Easy Language TradeStation Indicator Profit Expectancy

ProfitExpectancyTool.els

Inputs:
    Length(14);  // Optimizable lookback period

Vars:
    UpCount(0),
    DownCount(0),
    UpSum(0),
    DownSum(0),
    i(0),
    PriceChange(0),
    RS(0),
    RSI(0),
    PPI(0),
    PayoffOdds(0),
    Expectancy(0);

// Reset counters
UpCount = 0;
DownCount = 0;
UpSum = 0;
DownSum = 0;

// Loop through the last 'Length' bars
For i = 1 to Length begin
    PriceChange = Close[i-1] - Close[i];

    If PriceChange > 0 then begin
        UpCount = UpCount + 1;
        UpSum = UpSum + PriceChange;
    end
    else if PriceChange < 0 then begin
        DownCount = DownCount + 1;
        DownSum = DownSum + AbsValue(PriceChange);
    end;
end;

// Calculate PPI
If (UpCount + DownCount) > 0 then
    PPI = 100 * (UpCount / (UpCount + DownCount))
Else
    PPI = 50; // Neutral if no movement

// Calculate RSI using Wilder’s formula
If DownSum <> 0 then
    RS = UpSum / DownSum
Else
    RS = 0;

If DownSum = 0 and UpSum > 0 then
    RSI = 100
Else if DownSum = 0 and UpSum = 0 then
    RSI = 50
Else
    RSI = 100 - (100 / (1 + RS));

// Calculate Payoff Odds: RS = UP/DN
// Adjusted with bar count imbalance from PPI
If PPI <> 0 and PPI <> 100 then
    PayoffOdds = (RSI * (100 - PPI)) / ((100 - RSI) * PPI)
Else
    PayoffOdds = 1;

// Calculate Expectancy: E = (b - 1) * q
Expectancy = ((RSI / (100 - RSI)) - 1) * (1 - (PPI / 100));

// Plotting
Plot1(PPI, "PPI");
Plot2(RSI, "RSI");
Plot3(PayoffOdds, "PayoffOdds");
Plot4(Expectancy, "Expectancy");

// Color coding for signals (optional)
If Expectancy > 0 then
    SetPlotColor(4, Green)
Else
    SetPlotColor(4, Red);