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I like your thinking.
You make some interesting observations.
>Changes in direction (either up or down) is a good buy or sell
>signals.
As a rule of thumb - if each trade is the toss of a fair coin (random
walk) we wouldn't have an edge to trade with.
The basis of successful trading is that, when distributed, trades are
fat-tailed i.e for most of us, who are trend traders.
Because of the fat-tailed nature of trade series we can expect
>normal serial correlation (runs).
While break-even trades are the mean for all bars (everything we try
keeps reverting to binomial mean) we are looking for exceptional bars
(significant bars?).
I am quite interested in reversal points (pivots) that might signal
the beginning of a >ave run.
> The problem with inclusion of volume into an indicator is that
>sometimes the volume spikes are short-lived, so averaging must be
>only a shorter period (the shorter the better), otherwise we "missed
>the train".
Yes, I have also been torn between the lagging effect of long
lookback periods and the 'spikiness' of instantaneous (dynamic)
signals.
As you say - with long lookback periods "we missed the train".
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, Kethek Ogleng <budheng0402@xxx>
wrote:
>
> Dear Tomasz and other members,
> Logically, combination of price and vol index is a better indicator
than use price or volume indices separately. Price and volume
combined eliminates distortion such as when prices increasing while
volume decreasing; or conversely when prices decreasing while volume
increasing.
> My comments on the first formula:
> I plot the chart to a stock price chart, this indicator works best
if we change Lookback period to 3 and sum period to 6. Changes in
direction (either up or down) is a good buy or sell signals.
>
> My comments on the second formula:
> The problem with inclusion of volume into an indicator is that
sometimes the volume spikes are short-lived, so averaging must be
only a shorter period (the shorter the better), otherwise we "missed
the train". Change the sum period one to 2 and period two to 4 looks
OK. The uptrend continue as far as red line is greater or equal to
blue line. If you want to use this chart for day trading, you can
change sum period one to 1 and use only red line (short period),
ignore the blue line.
>
> Anyway, these formulas need to be refined. Let the expert members
do it for all of us. For example how to smoothen the lines from "wild
spikes".
>
> Regards,
> Kethek
>
>
> ----- Original Message ----
> From: Tomasz Janeczko <groups@xxx>
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Friday, March 7, 2008 2:24:10 AM
> Subject: Re: [amibroker] (Price * Vol ) as a new indicator?
>
> Hello,
>
> I think that the previous code may be too much complicated.
> For simple C * V chart, with 2 different averages use this:
>
>
> Period1 = Param("Sum period1", 15, 1, 100 );
> Period2 = Param("Sum period2", 25, 1, 100 );
>
> Plot( MA( C * V, Period1 ), "MA(C*V,"+Period1+")", colorRed );
>
> Plot( MA( C * V, Period2 ), "MA(C*V,"+Period2+")", colorBlue );
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: Tomasz Janeczko
> To: amibroker@xxxxxxxxx ps.com
> Sent: Thursday, March 06, 2008 8:18 PM
> Subject: Re: [amibroker] (Price * Vol ) as a new indicator?
>
>
> Hello,
>
> The following should do the work. It checks the lookback-day change
in price and volume.
> If both are positive then "1" is the result, otherwise -1. Then
such binary signal is summed up over period-bars.
>
> Lookback = Param("Change lookback", 1, 1, 100 );
>
> ChgPrice = ROC( C, Lookback );
> ChgVolume = ROC( V, Lookback );
>
> BothUp = IIf( ChgPrice > 0 AND ChgVolume > 0, 1, -1 );
>
> Period = Param("Sum period", 25, 1, 100 );
>
> Plot( Sum( BothUp, Period ), "UpVolANdPrice", colorRed );
>
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: Kethek Ogleng
> To: amibroker@xxxxxxxxx ps.com
> Sent: Tuesday, March 04, 2008 1:28 PM
> Subject: [amibroker] (Price * Vol ) as a new indicator?
>
>
>
> Hi, I am not an IT guy, so it is rather hard for me to learn AFL
and its logic. I am wondering if someone has written a formula based
on (Price * Vol).
> Logically, when Price or Vol goes up, the chart (price * vol) goes
up too, so this is a buy or uptrend signals. The reversal would be
when price or volume goes down. I am wondering if the crossing of MA
(Price*Vol) of 2 different period, would be buy or sell signals.
Sometimes the peak of the chart happens when price keeps going down,
eventhough the volume goes up (when "big guys" exhausted to keep
price from falling). This is should be strong a reversal (sell)
signals.
>
> Frankly, I dont know how to put my idea into AFL. Can someone
formulate my idea into indicator and explorer for all of us?
>
> Regards,
> kethek
>
>
>
> Never miss a thing. Make Yahoo your homepage.
>
>
>
>
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