Friday, June 19, 2015

Finally...... Here is VPA Version 3

Finally, I am ready with the working version of the upgraded VPA, version 3.0. Of course the usual prolonged testing has not been done yet. For the version 1.0 I had my friend CAS who did the through testing before we released for the public. He was the one who introduced me to VSA. It is the right time to acknowledge his contribution to the VPA. Anyways I am releasing the version 3.0 directly now and we can collect all the feedback and make the debugging if any.

Obviously the first question that would arise in everyone’s mind is what is new in version 3.0. Let us look at the various changes as below

Code: The code itself had undergone a big change. Now it is more organized and easily understandable. Also the formula for each condition have been studied and updated.

Background color choice: There is option to select the background color.  There is option to have two different colors for the upper and lower parts of the pane providing a gradient colors.

Trend Analysis: One of the major changes is the way the trend evaluation is done. In the earlier version trend evaluation was done using Linear Regression Slope. In the new version we are using the “Random Walk Index” to evaluate the Trend. This method is much more accurate compared to the earlier one. It uses the Inbuilt RWI functions of the Amibroker. The AFL has some parameter variables and if one is not sure about the Random Walk Index it is better to leave the parameters at default values. The RWI index and trend analysis deserves a separate dedicated post which I will do later.

Bar coloring: Two choices for bar coloring are provided, VSA based and Trend Based. The method is selectable from the parameter window.

Support and Resistance lines:  The support and resistance lines can be plotted on the chart. Maximum of 20 lines can be plotted. One can also adjust the sensitivity for the selecting the support and resistance lines. All the selection can be performed from the parameter window.

 Also commentary is provided about the support and resistance lines. Messages are displayed as the price approaches a support or resistance lines. Also messages are displayed when the price cross a support or resistance line.

 High Volume Lines:  In Volume price analysis high Volume bars deserve a lot of attention. The high volume Bars of the past  also play significant role in current Bar analysis as well. So I have provided the facility to plot the high volume lines just  like the support and resistance lines.  One can plot up to 20 lines. Also one can adjust the volume factor that determines the high volume areas.  All the adjustments and selection are done from the Parameter window.

The Parameter setting window

The AFL can be downloaded from the below link

Volume Price Analysis VPA 3.0

Friday, June 5, 2015

The K-Trend System - I

Before we proceed with further exploration of the K-Trend Indicator let me share with you my Trading system based on the K-Trend Indicator. It was one of my early Indicators developed during my early days of TA journey.
The system is a simple Reversible one. The rules are follows

BUY Setup
When the momentum turns positive from negative, In other words when the K-Trend Indicator is negative and changes from negative to positive.
Buy setup = KT < 0 and KT (today) > KT (Yesterday)
The setup condition remains active for 6 Bars

Enter when the value is above the High of the Buy setup Bar+0.5 times a 5 bar Average True range.
Buy = High(Buy setup bar) + (0.5 x ATR(5) ) .  In fact the value 0.5 is adjustable.

Exit  setup
When the momentum turns negative from Positives, In other words when the K-Trend Indicator is positive and changes from positive to negative.
Exit setup = KT >0 and KT (today)<KT (Yesterday)

Exit when the value is below the Low of the Exit setup Bar-0.5 times a 5 bar the Average True range.
Exit = Low(Exit setup Bar) – (0.5 x ATR(5))

After experimenting I found that many trades were missed because the Ktrend quickly crossed above or below the zero line in less than 6 bars and the value was still less/more than the entry/exit threshold values and the stock went on to make big moves. So I added further conditions to take care of these opportunities as well. The revised Entry and Exit condition are as follows

Buy = High(Buy setup bar) + (0.5 x ATR(5) )  OR  KT cross above +40

Exit = Low(Exit setup Bar) – (0.5 x ATR(5))  OR  KT cross below -40

I found that the system was able to catch the big Trends and losses were quite limited  in the sideways moves. The system was useful for stocks which had the tendency to have some trends and useless for stocks which moved sideways most of the times.

The system has the facility to set the ATR multiplication factor which has a default value of 0.5.  Also one can set the traded quantity so the current Profit/Loss situation  is indicated exactly. 

A quick backtest on the Nifty (The Indian stock Index) is provided below.

The System can be downloaded and tested if one likes from the below link.  Looking forward to feed backs..

Friday, May 29, 2015

The K-Trend Indicator

Those who knew me in my early days with Technical Analysis in the forum “Traderji” would remember one of my Indicators which I preferred to call as K-Trend. Those days a commercial Indicator called “Taio” was getting a lot of attention in the Amateur Trading circles.  I was also drawn to this indicator and I was eager to clone it and my experiments were in that direction. Soon it was very clear that it was nothing but the True Strength Indicator (TSI) with some additional Gaussian filters.  I also built a TSI indicator and further experimented to make it  adaptive by using Adaptive Moving Averages instead of conventional Exponential Moving Averages. I christened this Indicator as “K-Trend”.   I am sharing this indicator as it is. I will later present a trading system based on this and further experiments in building a Volume weighted Momentum Indicator.

For the K-Trend, I used the “Ravi” indicator and the “Linear Regression Slope” to determine various conditions like entry and exit.  Also these were used to identify the intermediate Tops and Bottoms and the possibility of reversal. Frankly  the Identifications of intermediate Tops and Bottoms were quite good while other signals were not very good.  There is also an option to select the smoothing filter AMA or EMA.  Also some signals like Zero line cross, Zero line bounce and zero line loop were added.

I am presenting this Indicator here as it is and also because this will form the basis of further work.  Appreciate feedback on this. The Indicator can be downloaded for the link below.

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....