Saturday, May 9, 2015

BS Volume

I have been experimenting with the concepts from Pascal Willian’s effective volume. Willian talked about a modified A/D indicator called effective volume in his book “Value in Time”.  Also one can refer the article on “Effective Volume” in the Traders online magazine.
The effective Volume is a modified version of the Accumulation Distribution Indicator proposed by Larry Williams.

The Larry William’s A/D indicator        AD = Ref (AD-1) + V x ( C-(Ref(C-1))/(H-L)
Effective Volume                              EF = Ref (EF-1+ (C-(Ref(C-1)) + SP/(True High-True Low)+SP

Ref (AD-1) = The AD of previous bar
Ref (EF-1) = The Effective volume of previous bar
Ref(C-1) = Close of the previous Bar
SP          = Correction Factor

Right now I am not going into the Full calculation of the effective volume.  I am just sharing some of my observations.  I plotted the bar by bar volume part without adding the previous day value of the Effective volume.  We will call it the buy sell volume because the value will be positive on an up bar and the will be negative on a down bar. The basic assumption is that a Up Bar represents buying and a down bar represents selling which is in line with the assumption for the AD indicators.   We will also plot the average value of the Buy volumes and Sell volumes.  If we look at the Bars carefully it will be interesting to note that the Bars with volumes more than 2.5 times the average volume clearly foretell that change in the trend is likely very soon. Most times it indicates the turning points.   One can notice in the chart below that these bars marked yellow is clearing indicating the changes. Since the volume and volatility of different instruments varies the value of 2.5 can vary. To differentiate this volume chart from the effective volume we will call it the BS volume chart (Buy and Sell Volume).

If anyone wants to experiment with this you can download the Indicator from the Link below

Friday, May 1, 2015

Buy and Sell Pressure Indicators - Upgraded Versions

The twist and turns of life  had forced me to put my passion, Trading and Technical Analysis on the back-burner. Slowly I am getting back to my passion. Also I am back to to my Blog and I do sincerely hope I can put lot more time aside for this. 

One f the first thing I did was to review my old Indicators and the possibility of improving them. Definitely a refurbishment of my VSA indicator has been long overdue. I was also looking at my Buy and Selling Pressure Indicator (BSP Indicator).  My old BSP indicator was based on the spread of the current bar. It reflected how the Buying and Selling move the move within the current time frame. However it does not really reflect the real effort of buying and selling to move the price from the previous close.  It did not take into account the Gaps. For this we may have to consider  the "True" Low and High values. This could be expressed in simple terms as follows

True High  = Max(High, Ref(C,-1))
True Low   = Min(Low, Ref(C,-1))

Where Ref(C,-1) represents the close of the previous Bar.

So I added an option to select the normal High and low or the True values of High and Low.

Below is the BSP Raw indicator comparison

The smoothed Indicator has also been upgraded.

Those interested to try out these indicators can be downloaded from the below link

Please feel free to share your feedback 

Saturday, August 2, 2014

Some notes on McGinley MACD

I have been on a long Hiatus. I had to put Blogging on the backburner due to preoccupation with so many other activities.  I am slowly getting back to my passion, experimenting with TA. Hopefully I would be able to share a lot more with all readers of this blog.
First some notes on the McGinley MACD.  A friend Anant Navale wrote to me on the McGinley MACD. Anant is a expert trader and experiments a lot on different trading systems.  Quoting from Anant
I have tested it along with the McGinley MACD and could get some useful combination. What I found is this:

1) McGinley period = 10
2) McGinley MACD Histogram with standard parameters (12,26,9)

The Strategy for Trading:

Let us say, candle No. 1 crosses over the McGinley line from below and closes above the McGinley line. This indicates a probable Buy signal. If the next candle (Candle No. 2) closes above the High of the Candle No. 1 AND the McGinley MACD Histogram for Candle No. 2 is positive then the Buy is confirmed. Entry can be taken.

For the Sell (or Short) condition the sequence is reverse: Candle 1 crosses McGinley from above and closes below, Candle No. 2 closes below the low of candle No. 1 AND  the McGinley MACD Histogram for Candle No. 2 is negative then the Sell (or Short entry) is confirmed. Entry can be taken.

The MACD value for candle No. 1 is not important in both cases. It can be positive or negative or even zero. Only for candle No. 2 it is relevant.

Even with the above conditions there will be some whipsaws but that is apart of any strategy using indicators.

Hope we will hear more from Anant on further improvement on the McGinley MACD.  He is very active on popular forums like Traderji and Inditrader.  If anybody else has done some work on the McGinley MACD please share here.

I will be back soon something new……. Adios Amigo till then ….

Friday, February 14, 2014

BSP Indicator Ported to Ninja trader

Took a long break from Trading , TA all .. Recently someone introduced me to the Ninjatrader Platform.  It is quite interesting one. But for someone like me who likes to develop own concepts and indicators the Ninjatrader would present a big problem, that is programming. The programming in Amibroker  is really simple compared to Ninjatrader. The programming is down in C#  which is quite a daunting task for a IT dummy like me. However I have a bad habit of not giving up easily. So I took up the challenge. Unfortunately there is no proper tutorial available across the net. For anyone without the knowledge of C# or .NET  the task of learning ninjatrader programming can be really difficult. I have been trying to port my Buying and Selling pressure Indicator to Ninjatrader 7.  Finally after days of struggle the codes complied without error and the indicator showed up under the chart. Of course my code is definitely not the most efficient one bt still it does the job. Hopefully my skills will improve slowly and we will have all my work ported  NinjaTrader platform...  :)

Ninjatrader users can download the file form here....

Friday, December 13, 2013

McGinley MACD

This week we continue to look at the McGinley Dynamic.  Obviously the most common and immediate thing one would think of doing with a moving average is to look at how to trade with it. The easiest thing we can do is to create a MACD using the McGinley Dynamic. To make comparison easier we will create a MACD using two McGinley average averages with the Dynamic tracking factors similar to the conventional MACD which is 12 and 26.  The McGinley MACD clearly much smoother and is less prone to whipsaws. It keeps one in trade for long catching big trends nicely. Of course there is always a price to pay for this. The McGinley MACD is lagging by a few bars compared to the conventional MACD. Well, it may be better than being whipsawed and losing money. Also the peak draw down because of the lag is much better than being thrown out of trade much earlier in most cases. I did not run a back test on the McGinley MACD. If somebody does care to do the back test it please let us know the results.  I am posting it here as it looks worth trying out. AFL posted here for anyone who cares to try it out.

Saturday, November 30, 2013

McGinley Dynamic

My latest experiment was on the Mcginley dynamic. The claim that it is one of the most reliable indicators attracted my attention.  The McGinley Dynamic technical  indicator aims to overcome the lag of the traditional simple and exponential moving averages, the indicator automatically adjusting itself relative to the speed of the market. The McGinley Dynamic looks like a moving average line yet it is supposed to be a smoothing mechanism for prices that turns out to track far better than any moving average. It is also supposed to minimizes price separation, price whipsaws and hugs prices much more closely. And it does this automatically as there is a factor of the formula. Because of the calculation, the Dynamic Line speeds up in down markets as it follows prices yet moves more slowly in up markets. One wants to be quick to sell in a down market, yet ride an up market as long as possible.
The Formula
MD = MD-1 + (Price – MD-1) / (N * (Price / MD-1 ) 4)
MD – McGinley Dynamic
N   -  Dynamic Tracking factor
Here the difference between the Dynamic and the price is divided by N times the ratio of the two to the 4th power. The numerator difference gives us a sign, up or down, and the denominator keeps us percentage-wise within bounds defined by N. The 4th power gives the calculation an adjustment factor which increases more sharply the greater the difference between the Dynamic and the current data. 
The McGinley Dynamic (MD) is supposed to avoid whipsaws because the Dynamic Line automatically follows prices in any market fast or slow, it is supposed be like a steering mechanism that stays aligned to prices when markets speed up or slows down.

Personally I do not find this indicator very useful. Maybe it is better as a tool to gauge the market instead of a regular indicator. Of course the MD performs better compared to the regular EMS in terms of closely tracking the stock and in terms of whipsaws. I am enclosing a chart with the MD (Yellow line) and to compare I have plotted a 20 EMA (Red Line).

For those interested to experiment I am enclosing the afl. Please let me know if you find any interesting aspect of the MD.

Saturday, October 5, 2013

K-Bars Variations in charting Bars...

Also under consideration is a dream is a project to help and educate retail investors so that they do not easily lose their hard earned money in the market. The idea is to equip the small trader with the technical tools and education to save them from the sharks of the stock market and the snake oil vendors. The project has been given a pet name “Marar Foundation”.  Well, the seeds have been sown and we will wait for project to sprout and grow in to healthy and successful organization. I will be sharing more information on the same as the time goes.

Today I will be sharing some of the charting tricks I use. As a VSA enthusiast I more interested in how much easily the Smart Money would move the stocks or in other words what is the effort and the corresponding result. So I am more interested in the where the current stock price ended compared to the last bar close. In a EOD perspective how is today’s close compared to yesterday’s close. So I have special bars which have the current open adjusted to previous bars close. As a result we have a smoother chart without the Gap ups and Gap downs. I call it the K-Bars charts

The other chart I use is more interesting and the one with bars that reflect the buying and selling pressure. This chart helps us the easily understand the underlying market sentiment 
in terms of supply and demand. Let us look at it with an example.

In the Above chart the bars are coloured red and green. The green part represents the buying pressure / demand and the red part represent the selling pressure / supply. In the up move and down move the demand and supply is clearly indicated by the corresponding colour  However the utility of these bars are can be appreciated during the turning points. Look at the green box. After the down trend the demand /buying coming is very visible by dominating green colour  So the impending up move was very evident. In the same way in the red box the selling/supply was dominant and was clearly visible and the down is easily forecast.
I am sharing the code piece for Amibroker for those interested to experiment. You can upend the same to any other strategy code. The same can be down loaded here. Download the AFL code.