StockFetcher Forums · Filter Exchange · VOLUME-DRIVEN TRADING SIGNALS<< >>Post Follow-up
Kevin_in_GA
4,548 posts
msg #84703
Ignore Kevin_in_GA
12/19/2009 4:54:14 PM

Well, here is a somewhat different take on using volume as a signal for trading.

It is based on the simple idea that volume pressure drives stock price, not the other way around. So tracking both buy and sell volume would show you if there is an accumulation of buying power ahead of a price move.

Unfortunately, SF does not provide this type of data, so I have tried to extract it from the aggregate daily volume by looking at how that volume affected price. Kind of backwards, but it seems to work.

Fetcher[

/*START BY BREAKING UP CANDLE PATTERN INTO UP AND DOWN "PRESSURE"*/
set{direction, close - open}
set{maxpressure, high - low}
set{pressure, abs(direction)}
set{uppressure, high - open}
set{downpressure, open - low}

/*DETERMINE IF DAY ENDS UP HOLLOW (UP) OR FILLED (DOWN)*/
set{filled, count(direction < -0.0,1)}
set{hollow, count(direction > 0.01,1)}

/*ASSIGN UP AND DOWN PRESSURE COMPONENTS - HOLLOW CANDLE GETS EXTRA UP PRESSURE, FILLED CANDLE GETS EXTRA DOWN PRESSURE*/
set{redprice, filled * pressure}
set{greenprice, hollow * pressure}

set{redpressure, redprice + downpressure}
set{greenpressure, greenprice + uppressure}

set{redpct, redpressure / maxpressure}
set{greenpct, greenpressure / maxpressure}

/*MULTIPLY UP AND DOWN PRESSURE PERCENTAGES BY DAILY VOLUME*/
set{redvolume, redpct * volume}
set{greenvolume, greenpct * volume}

/*EMA(20) OF BOTH UP AND DOWN VOLUME TO SMOOTH DATA*/
set{redMA, CEMA(redvolume,20)}
set{greenMA, CEMA(greenvolume,20)}
set{oscillator, greenMA - redMA}
set{null,0}

draw oscillator
draw redMA on plot null
draw greenMA on plot null

symlist(spy,dia,qqqq,iwm,gld,slv)
]



Obviously, with access to actual buy and sell volume, this would be more effective. Also, the choice of an EMA(20) for the smoothing is an arbitrary setting, which I would encourage others to play with as suits their needs.

mystiq
650 posts
msg #84932
Ignore mystiq
12/25/2009 1:37:52 AM

nice filter: have you tried using the PMF / NMF volume critieria from MFRSI

set{up,count(close above close 1 day ago,1)}
set{down,count(close below close 1 day ago,1)}
set{pivot,pp}
set{MF, pivot * volume}
set{UPMF, MF * up}
set{PMF, sum(UPMF,20)}
set{DNMF, MF * down}
set{NMF, sum(DNMF,20)}
set{ratio, PMF / NMF}
set{MFI, 1 + ratio}
set{MFSI, 100 / MFI}
set{MFRSI, 100 - MFSI}

Eman93
4,659 posts
msg #84934
Ignore Eman93
12/25/2009 2:17:39 AM

http://support2.dundas.com/OnlineDocumentation/WinChart2003/AccumulationDistribution.html


StockFetcher Forums · Filter Exchange · VOLUME-DRIVEN TRADING SIGNALS<< >>Post Follow-up

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