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Anyone?
Here is why I can't get past first base with volume indicators.
I have made some quick and dirty changes to Tomasz's Price * Volume
code.
If it is plotted it tallies the number of times that a (vol + price)
up day is followed by a win (another price upday).
In some old DJI components data I find that the result starts to
approach 50% quite quickly (approx 2600 data points).
Given the inherent errors in such a quick and dirty method it is
around what I expect for a no-win signal.
(for the deep thinkers 50/50 is the binomial equivalent of the golden
mean).
a) Insert the code into a new indicator pane.
b) Scroll back to the beginning of a chart to see all of the plots
and cross-check the outputs against the chart.
c) Scroll to the end of the chart to get symbol by symbol totals.
d) Use the keyboard arrow keys to scroll down the symbols list.
//P_VolPriceSynchronization
//adapted from code by Tomasz Janeczko
//Lookback = Param("Change lookback", 1, 1, 100 );
//ChgPrice = ROC( C, Lookback );
//ChgVolume = ROC( V, Lookback );
ChgPrice = ROC( C,1);
ChgVolume = ROC( V,1);
BothUp = IIf( ChgPrice > 0 AND ChgVolume > 0, 1,0);
//Period = Param("Sum period", 25, 1, 100 );
Plot( Sum( BothUp,1), "UpVolANdPrice", colorRed );
Upday = ROC(C,1) > 0;
Plot(Upday, "CloseUpday", colorBlue,2 );
TotalUpdays = Cum(IIf(Upday,1,0));
TotalBothUp = Cum(BothUp);
Plot(TotalBothUp, "TotalBothUp", colorBlack);
BothUpWin = Upday == 1 AND Ref(BothUp,-1) == 1;
TotalBothUpWin = Cum(IIf(BothUpWin,1,0));
Plot(TotalBothUpWin, "WinFollowsVPDay", colorGreen);
If the raw signal is not significant can we improve on that by using
some form of mathematical conditioning?
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> Jeremy,
>
> Thks for posting the link.
>
> Since I haven't found any use for Vol so far (limited to EOD equity
> trading) and you have had some success with VPCI:
>
> Have you done much work with V indicators?
> If so, what is your pick as the top three?
>
> Any hints on how to use VPCI or should I just follow Dormeiers
> recommendations?
>
> brian_z
>
> --- In amibroker@xxxxxxxxxxxxxxx, "jeremy7827110028"
> <jberkovits1@> wrote:
> >
> > kethek,
> >
> > I dont know if you are familiar with the VPCI indicator. It was
> > created by Buff Dormeier CMT of Wachovia Securities. Buff
recived
> the
> > Charls Dow award for his orignal research. I have tested the
VPCI
> > extensivly and it has a stitastiaclly signifigant positive impact
> on a
> > wide vierity of systems. You might find it of value. here is a
> link
> > to the code and a TSC article from July 2007.
> >
> > Regards,
> >
> > jeremy
> >
> >
>
http://www.traders.com/Documentation/FEEDbk_docs/Archive/072007/Trader
> sT
> > ips/TradersTips.html#amibroker
> >
>
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