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Jayson,
Add Herman's code and my filter to bottom of your AFL:
m=BarCount-1; // From Herman
UpVolDays = 0;
for(n=m; n>0; n--) if(C[n]>C[n-1]) UpVolDays[m--] = V[n];
SumLastUpdays = Sum(UpVolDays,20);
Filter = 1;
AddColumn(C,"Close",1.4);
AddColumn(V,"Vol",1.4);
AddColumn(SumLastUpdays,"SumLastUpdays",1.0);
AddColumn(x,"x",1.0);
AddColumn(y,"y",1.0);
... then do an explore.
I compared the results from your loop to Herman's.
Herman's appears to produce the correct results.
One other point. I like your concept of working with UpVol / DownVol
metrics, however I'll be making a significant modification to it...
assume you have two days with volume of 1,000,000
one day the close rises $.05
the other day the close falls $2.00
Your calcs would result in a net zero diff in Up versus Down volume
I plan to work with $ based volume changes in order to measure the
real depth of price changes.
Thanks for the concept.
Regards,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> Thanks to all who provided interesting and creative approaches to my
> question. My goal was to look at the last 20 up days and compare the
volume
> to the last 20 down days. William Peters got me started with a for
loop (I
> really have to learn better to use these!!) and others provided
variations.
> and I came up with the following......
>
> pds=Param("PDS",20,6,22,1);
> smooth=Param("Smooth",12,1,50,1);
> trig=Param("Trigger",10,1,25,1);
> x = 0;
>
> for( i = 1; i < pds; i++ )
> {
> x = x + ValueWhen( C > Ref( C, -1 ), Volume, i );
> }
> y = 0;
> for( i = 1; i < pds; i++ )
> {
> y = y + ValueWhen( C < Ref( C, -1 ), Volume, i );
> }
>
> vp=EMA(x-y,smooth);
> trigger=MA(vp,trig);
> Plot(vp,"",IIf(x-y>0,colorBrightGreen,colorRed),1);
> Plot(trigger,"",colorYellow,1);
>
> Title="A/D Volume of "+Name()+ " is "+
> WriteIf(x-y>0,EncodeColor(colorBrightGreen)+ "
> Positive",EncodeColor(colorRed)+" Is
Negative")+EncodeColor(colorWhite)+"\n
> Bar % of all Vol Average = "+WriteVal(V/MA(V,50)*100,1.0) +"%";
> Buy=Cross(Vp,trigger);
> Sell=Cross(trigger,Vp);Equity(1);
>
> I am still experimenting with look back parameters and perhaps some
> smoothing. The MA cross may be important or perhaps a zero cross is
more to
> the point. It will take some study. In any case this looks like an
> interesting way to gauge money flow into and out of a stock. If there is
> more interest (volume) on up days then perhaps the stock is under
> accumulation, if more on down days perhaps distribution. At first
glance the
> indicator turns ahead of the price. I like that as it allows me a
heads up.
> Please do not confuse my reference to "Buy" and "Sell" as a system.
This is
> just an interesting study that some of you may find useful.
>
> Enjoy your Holiday
>
>
> Regards,
> Jayson
> -----Original Message-----
> From: Graham [mailto:gkavanagh@x...]
> Sent: Wednesday, November 26, 2003 5:49 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] sum only positive days
>
>
> Jayson, this will sum the last 20 bars for x which will either be
zero or
> the volume.
>
> x=iif(c>ref(c,-1),v,0)
> Y = sum(x,20);
>
>
>
> Cheers,
> Graham
> http://groups.msn.com/ASXShareTrading
> http://groups.msn.com/FMSAustralia
>
> > -----Original Message-----
> > From: Jayson [mailto:jcasavant@x...]
> > Sent: Thursday, 27 November 2003 3:18 AM
> > To: 1ami
> > Subject: [amibroker] sum only positive days
> >
> > I cannot seem to get my mind around what should be a fairly simple
thing
> > to code. Perhaps someone could nudge me in the right direction.
> >
> > I want to sum the volume of the last 20 up days and compare it to
the last
> > 20 down days. This is not to be confused with summing the up days
of the
> > last 20 bars, Simple code such as plot( c>ref(c,-1)"",4,2);
will plot
> > just the up days and x=iif(c>ref(c,-1),v,0) can calculate the
volume but
> > how do I sum the last 20 bars where x>0 as opposed to summing the
last 20
> > bars of X ?
> >
> > TIA
> >
> > Regards,
> > Jayson
> >
>
>
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