StockFetcher Forums · General Discussion · VPCI indicator<< 1 2 3 >>Post Follow-up
hrbmd2
14 posts
msg #52357
Ignore hrbmd2
6/20/2007 4:38:28 PM

I am a newbie to this (SF), so I am asking for some help.

I read "Technical Analysis of Stocks and Commodities", and this month there is a feature article on a new indicator, called VPCI (Volume Price Confirmation Indicator). To summarize, it uses the following:

- VPC (volume/price confirmation/contradiction). VPC is calculated by subtracting a long-term SMA from the same timeframe's VWMA.

- VPR (Volume price ratio). VPR = VWMA/SMA

- VM (volume multiplier). VM = SMA (short term)/SMA (long term)

Then VPCI = (VPC*VPR*VM)

In Tradecision, VPI is determined as follows (using 10 days for the short term and 50 days for the long term):

VPC = (Vwma(Close,10) - SMA(Close,10))
VPR = Vwma(Close,10)/SMA(Close,10)
VM = SMA(Volume,10)/SMA(Volume,50)
Vpci = (VPC*VPR*VM)

Can anybody help me write this filter in SF terms?

Thanks!!


nikoschopen
2,824 posts
msg #52360
Ignore nikoschopen
6/20/2007 5:29:45 PM

This is based on the information you gave. However, the charts don't look quite right. Have you got the correct formula?

Fetcher[
set{VPC,vma(10) - ma(10)}
set{VPR,vma(10) / ma(10)}
set{VM,cma(volume,10) / cma(volume,50)}
set{Vpcii,VPC * VPR}
set{Vpci,Vpcii * VM}

add column Vpci
draw Vpci
]



hrbmd2
14 posts
msg #52402
Ignore hrbmd2
6/21/2007 8:54:22 PM

nikoschopen,

You are correct, it doesn't look right.

The other part of Tradecision's formula is as follows:

sv = VWMA(Close,ShortPeriod)
ss = SMA(Close,ShortPeriod)
sva = SMA(Volume,ShortPeriod)
lva = SMA(Volume,LongPeriod)
VPC = sv-ss
VPR = sv/ss
VM = sva/lva
VPCI = VPC*VPR*VM

Entry long: CrossAbove(VPCI(50,10),SMA(VPCI(50,10),10))

Entry short: CrossBelow(VPCI(50,10),SMA(VPCI(50,10),10))

It appears that in SF, VMA can only include a period of time, without another variable, such as closing price.

Would it help if I sent you the article in pdf? If so, please provide your email address. Thanks for your help.


nikoschopen
2,824 posts
msg #52404
Ignore nikoschopen
6/21/2007 9:22:44 PM

Please send the PDF to [my username]@Google.com

hrbmd2
14 posts
msg #52405
Ignore hrbmd2
6/21/2007 9:29:54 PM

I'll send it shortly. In the meantime, I've been reading and playing. How's this look?

/*Vpci Long*/
set{VPC,vma(10) - cma(close,10)}
set{VPR,vma(10)/ma(close,10)}
set{VM,cma(volume,10)/cma(volume,50)}
set{Vpcii,VPC * VPR}
set{Vpci,Vpcii * VM}
Show stocks where close above 5
and close below 100
and volume above 300000
add column Vpci
and draw Vpci
and Vpci increasing within the last 1 day
and Vpci crossed above 0.25 within the last 1 day
and close above close 1 day ago

hrbmd2
14 posts
msg #52406
Ignore hrbmd2
6/21/2007 9:39:01 PM

I just ran a backtest. Promising results. No exit trigger other than a 25 day hold as I can't get seem to use Vpci as a trigger.

Trade Statistics
There were 936 total stocks entered. Of those, 696 or 74.36% were complete and 240 or 25.64% were open.
Of the 696 completed trades, 416 trades or 59.77%resulted in a net gain.
Your average net change for completed trades was: 2.81%.
The average draw down of your approach was: -6.11%.
The average max profit of your approach was: 9.11%
The Reward/Risk ratio for this approach is: 2.16
Annualized Return on Investment (ROI): 27.75%, the ROI of ^SPX was: 15.56%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 0 times or 0.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (25 days) 696 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.


hrbmd2
14 posts
msg #52428
Ignore hrbmd2
6/22/2007 9:28:42 AM

nikoschopen,

Your email account (nikoschopen@google.com) does not work.


nikoschopen
2,824 posts
msg #52431
Ignore nikoschopen
modified
6/22/2007 10:15:42 AM

Oops, that should be [username]@gmail.com



arby347
87 posts
msg #52444
Ignore arby347
6/22/2007 3:13:49 PM

Being a swing/position trader, I really like the results of your filter.
I use a filter that is based on the linear regression slope(20) that works very well and seems to often lead yours by 1-5 days, or confirm it on the same day.
I use my filter with momentum, RSI,and Acum/Dist as confirmations, seeking positive slopes on each of them on the same day of the filter's signal. I also make subjective judgements of stock formations. For example, I avoid buying
immediately after a downturn without having atleast some sideway basing.
Your filter adds further confirmation. My sells are triggered by a downward turn of the LSR(20).

I'd appreciate also receiving a copy of the article(arby347 @yahoo.com).

My filter is fairly simple:

LRS(20) 2 days ago had been below 0 for 5 days and LRS(20) 2 days ago had been decreasing for 5 days and LRS(20) is increasing for 2 days




hrbmd2
14 posts
msg #52463
Ignore hrbmd2
6/23/2007 6:44:12 PM

Thanks for the feedback. I did some paper trades (long) with the Vpci filter on Friday. Chose 4 stocks Thursday evening. Even though the DOW declined precipitously, 3 out of 4 of the stocks went up! That's pretty good.

I'll send both of you the article later. It's on another computer.

Thanks for the help!

StockFetcher Forums · General Discussion · VPCI indicator<< 1 2 3 >>Post Follow-up

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