[amibroker] Re: Blau's Tick Volume Index

["l_abarr" <l_abarr@xxxxxxxxx>]

--- In amibroker@xxxxxxxxxxxxxxx, "JD Fagan" <jd.fagan@xxx> wrote:
>
> --- In amibroker@xxxxxxxxxxxxxxx, "JD Fagan" <jd.fagan@> wrote:
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "l_abarr" <l_abarr@> wrote:
> > >
> > > Hi,
> > > 
> > > Does anyone know how to code William Blau's Tick Volume Indicator?
> > > Blau defines TVI in this manner:
> > > 
> > > TVI (r,s) = [Double EMA(upticks,r,s)-Double EMA(downticks,r,s)]/
> > > [Double EMA(upticks,r,s)+Double EMA(downticks,r,s)]
> > > 
> > > I really appreciate help from anyone. I'm obviously poor at
coding...
> > >
> > Wasn't sure what the r and s meant, but here's a shot with assumption
> > that uptick is when rate of change since last bar is 0% or up and
> > downtick is less than 0%:
> > 
> > function tvi(array, periods) {
> >     upticks = Cum(ROC(array, 1) >= 0);
> >     downticks = Cum(ROC(array, 1) < 0);
> >     return (DEMA(upticks, periods) - DEMA(downticks, periods)) /
> > (DEMA(upticks, periods) + DEMA(downticks, periods));
> > }
> > 
> > //Example usage
> > Plot(tvi(Close, 10), "Blau's TVI for Close", colorBlue, styleLine);
> > Plot(tvi(Volume, 10), "Blau's TVI for Volume", colorGreen, styleLine);
> >
> This may be more what you wanted for upticks vs. downticks..it seems
> to generate more oscillating type lines:
> 
>     upticks = Sum(ROC(array, 1) >= 0, periods);
>     downticks = Sum(ROC(array, 1) < 0, periods);
> 
> JD
>
Thanks, JD! Appreciate the assistance. 

The 'r' and 's' in Blau's formula refer to the two time periods for
the double exponential smoothing.  I've not subscribed to real-time
data yet, but Blau recommends the TVI for intra-day trading.  Blau
says that some data vendors supply the number of upticks and downticks
within each data bar: I don't know if E-Signal or any of the other
Amibroker make this data available...

Lorin




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