Multipart Series on Volume Spread analysis

 

Started a Multipart Series on Volume Spread Analysis  on my You Tube Channel. Ideal for beginners,

Releasing VPA 5.0

Finally after a long Gap we have the updated version of the Volume Price Analysis afl VPA.5.0. 

 Some code issues have been corrected in this version. In addiiton the following features have been added

- Facility to plot candle sticks  - Various Bar colouring option 

- Unique strength Band 

- Facility to plot trend Bands 

- Facility to plot various EMAs 

- A dashboard for Buying and Selling pressure, Effort and Result etc

- Additional helpful signals like two bar reversal 

- Facility to draw Volume at Price 

- Facility to draw VWAP line 

 You can watch the Introdcutory Video on my Youtube channel 

 The afl can be downloaded from the Below link

DOWNLOAD VPA 5.0

VPA Indicator Set for TradingView Platform

Releasing a VPA Indicator set (Volume Spread Set) for the TradingView platform. The set consists of three indicators. One main and two auxiliary Indicators. A Introuctory Video ============================================= A Cheat sheet for the VPS Indications and Legends and a Booklet on VOlume Spread Analysis is available at this link CHEATSHEET ============================================= Pinescripts for the three Indicators can be downloaded from this link - PINESCRIPTS

Volatility Band Intraday Trading System

Lockdown time gives us the opportunity to dust up some old stuff and cleanup.  Some people found the time to look at some of my old work and shown some interest in them. One such work is the Volatility Trading system for Intraday. This is simple trading system based on bands based on volatility where these bands are used as entry points and trailing stops. A brief explanation of the system is as below.

Because the volatility of a stock is its standard deviation, we can statistically establish “confidence Intervals” of the price moves. In statistics, a one standard deviation range means that there is a 68-

percent likelihood the stock price will stay within the range (a 67-percent confidence interval).  The confidence value for different standard deviations are

1.00 - 68%

1.28 - 80%

1.50 - 88%

2.00 - 95%

So, we draw bands at various standard deviation levels like 0.25, 0.5, 1, 1.28, 1.65 and 2 from the previous day’s close.  Entry is made once the price cross above a Band and the same band because the stop loss. When the price crosses above the next band the stop loss is shifted to this band value. This point can be also a “ADD ON” point.  In the same way trading can be done on the down side as well.

The formula for calculating the bands is as follows

S * M * V * (n/252)

where

S = stock price

M = number of standard deviations

V = volatility

N= number of days

When I released this system years back the Volatility value to be used in the formula was made available in my website.  Unfortunately, I could not continue with the web site.  Now I am releasing the new afl which can be used independently. The Volatility used in the formula can be Historical volatility or implied volatility. The current formula uses the VIX values of the previous day which is available from NSE web site. The High Value of the VIX is used for the higher Bands and the Low value of the VIX is use for the lower Bands. This is Intraday Trading system only. The system is ideally suited for the Index as it is based on the VIX. Soon I will provide a version for stocks which will be based on the Historical volatility of the stock itself.

I had posted a video also on the system which is still relevant. https://youtu.be/Mj5oTrvOqIQ

The AFL can be downloaded from the below link

https://drive.google.com/open?id=1soyNl8BHYac-_FWayZ-Bz3gvHn7xwJZF

Market Indicators

Wishing all Friends a Very Happy and Prosperous Year , 2019.

Last year I had shared a video on my experiment with Market Indicators.  I had received many requests to share the Market Indicators.  I am sharing these indicators with you all as my Humble Gift to all Friends to Flag of this New Year. These Indicators are not Market specific and will work for any Market. The video on the Market Indicator is available  on my YouTube Channel Market Indicator

The set consists of Three Main Indicators as below

1. Market Buy Volume
2. Market Sell Volume
3. Market Chart with Indication

However the set consists another important fourth Indicator called "Update Market Composites". This Indicator is used to update the data of the other three Indicators as these are made composite variables. Every time you update the data of your Amibroker you have to run a SCAN of the Indicator which will update the data for the other three Indicators. The SCAN has to be run for all symbols and all quotes.

All these Indicator can be Downloaded from my Google Drive Shared Folder Market Indicators
Feedback and Suggestions for improvement are welcome. Issues and problems can be communicated to my  Mail ID

Wishing you all once again a very Happy and Successful Trading year

Using Market Indicators to deduct Market Bottoms

VPA Version 4

Finally here is the next version of the VPA, V.4.0.  The earlier version was a step in refining the signal generation codes. However the signals were generated were too many creating a confusing picture. Also there was a error in coding which prevented the use Random walk  Index for the evaluation of the trend. In version 4.0 I have attempted to refine the signal generation coding  so we have lesser more accurate signals.

Another major change is the effort to indicate the high probability of change in the Trend. These are Sentiment Change Indicators. .  A green up Arrow indicates that there is a change of sentiment. The current down Trend may possibly end soon and we may see an Uptrend soon. A Red Down Arrow indicates that there is a change of sentiment. The current Up Trend may possibly end soon and we may see Down trend soon.  Like any signal in Technical Analysis there signal are never 100% accurate these seem to catch the majority of the trend changes. The users are advised not to use these as buy and sell signals. However these signals would be indeed good guiding sophomores.

I am also including a PDF file which provides some details of the various Flags generated by the AFL on the chart. This would help the beginner very much to understand the implication of the various Flags. This is very brief and we I will try to elaborate on each as and when time permits.

The AL can be downloaded from here :
VPA  Version 4
VPA Flags

Custom Volume Histogram

Back to my Blog after a long time. Unfortunately my work does not give me the luxury of pursuing a active hobby.

On thing I found amusing is that my custom Volume Histogram has been generating a lot of interest. There were many request to share the same. It is a simple histogram based on the strength and weakness of the bar base on close volume and also the overall Trend. There is nothing special about it. However it seems to catch the trends , the turning points and listless days clearly. It also plots the average volumes, a selectable short term and a six months average

Anyway I am sharing the same for whatever its's worth.

The AFL can be downloaded from my shared folder 

Volume Histogram AFL

VPA - 3 with Exploration

There has been a lot of demand for including the Exploration with the Latest VPA afl.  I never imagined that so many people used the exploration. It is only a sign of the growing popularity of  the Wyckoff way to Analysis the Markets.

Today is special day to Indians. The 15th of August is the Independence Day. And there cannot be better Day to share the AFL with Exploration. So from a Proud Indian, a gift to all VPA lovers around the globe.

Since many were having problem downloading from 4shared site, I am sharing it from my One Drive Please provide feedback so that we can improve it further.

VPA - V.3.1.0 - VPA with Exploration

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

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

Entry

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

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

Entry

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

Exit

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..

K-Trend System - I V.1.0

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.

K-Trend Indicator Version 1.0

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

Where

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

BS volume V.1.0

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

Buy and Sell Indicator Set - Version 2

Please feel free to share your feedback 

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

[Quote]

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.

[UnQuote]

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 ….

BSP Indicator Ported to Ninja trader

Took a long break from Trading , TA ..et 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....

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.

Download the AFL here

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.

Download the AFL……

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.

RSI with Dynamic levels

I am posting after a gap. Got hold of some original Wyckoff stuff and has been spending some time on it. More about it in a later post. Today I am presenting a Regular Classical Indicator RSI with a variation, a RSI with dynamic levels. No I am not talking about the RSI with Bollinger bands around it.

In the Stocks & Commodities V15:7 Leo Zamansky and David Stendahl talked about dynamic zones. They said that oscillator driven systems lack the ability to evolve with the market because they use fixed buy and sell zones. Typically the set of buy and sell zones for a bull market will be substantially different zones for a bear market. We need to have a system automatically define its own buy and sell zones and thereby profitably trade in any market — bull or bear. Dynamic zones offer a solution to the problem of fixed buy and sell zones for any oscillator-driven system. The idea of their system was to create a distribution of the signals in the given look back period. Then we have to find the value which is equal to the desired probability.

First of all the assumption is the distribution is normal distribution is a little far fetched actually. On that assumption we need to do the laborious calculation of the making the distribution and calculating the probability. But I would like to keep things simple. Trading is art and not complicated science. Precise calculation will not immensely improve your trading system.  In order to simplify the matters we can just assume uniform distribution and calculate the probability accordingly. I knew people will find it difficult to accept this. However even this simplification will provide a adequately dynamic zones.  Here I am presenting the conventional RSI with Dynamic Levels. Also in order not to confuse with widely available Dynamic Zone indicator with Bollinger bands I will call this indicator RSI with Dynamic Levels.

Download the afl from here