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