Sibbet's Demand Index

[David Fenstemaker <dfens@xxxxxxxxxxxxx>]

As promised, Sibbet's Demand Index. For some reason, you don't see
this around, but it is a really good indicator. I trade the peaks.
It uses volume, so its not as good if used on mutual funds or
indexes.

The ELA has both the indicator and the function.

The indicator:


{ 	James Sibbet's Demand Index Indicator	}
{	Programmed by David Fenstemaker		}
{ 	The Demand Index combines price and volume in	}
{	such a way that it is often a leading indicator of	}
{	 price change.	}

Inputs: Length(5);

Vars: DMIndx(0);

DMIndx = DeMand.Index (Length) ;

Plot1(DMIndx, "DMI") ;
Plot2(0, "Zero") ;

{ 	James Sibbet's Demand Index Function	 }
{	Programmed by David Fenstemaker	}
{ 	The Demand Index combines price and volume in	}
{	such a way that it is often a leading indicator of	}
{ 	price change.	}


The function:

Inputs: Length (NumericSeries);

Vars : 	WtCRatio(1), VolRatio(1), VolAvg(Volume), 
	BuyP(1), SellP(1), Sign(+1), Return(0),
	WghtClose(Close), AvgTR(High - Low),  
        Constant(1),  BuyPres(1),  SellPres(1),          
       	TempDI(1),  DMI(1);

If CurrentBar = 1 then 
    Begin
  	VolAvg = Average(Volume, Length);
    End;

Return = 0 ;

WghtClose = (High + Low + Close + Close) * 0.25;
AvgTR = Average (Highest (High, 2) -  Lowest ( Low, 2), Length);
VolAvg = ((VolAvg [1] * (Length - 1)) + Volume) / Length;

If WghtClose  <>  0 and WghtClose[1] <> 0 and
    	AvgTR  <>  0 and VolAvg <> 0 then
Begin
  	WtCRatio = (WghtClose - WghtClose[1]) / MinList(WghtClose,
WghtClose[1]) ;
  	VolRatio = Volume / VolAvg;
  	Constant   = ((WghtClose * 3) /AvgTR) * AbsValue (WtCRatio);
  	If Constant > 88 then Constant = 88;
  	Constant   = VolRatio / ExpValue (Constant);
  	If WtCRatio > 0 then 
	Begin
    	    BuyP = VolRatio;
    	    SellP = Constant;
  	End
 	Else
	Begin
    	    BuyP = Constant;
    	    SellP = VolRatio;
 	End;

	BuyPres = ((BuyPres [1] * (Length - 1)) + BuyP) / Length;
	SellPres = ((SellPres [1] * (Length - 1)) + SellP) / Length;

	TempDI   =  +1;

	If SellPres  > BuyPres then 
	Begin
    	    Sign  =  -1;
   	    If SellPres <> 0 then TempDI = BuyPres / SellPres;
 	End
  	Else 
	Begin
    	    Sign  =  +1;
    	    If BuyPres <> 0 then TempDI = SellPres / BuyPres;
  	End;

	TempDI = TempDI * Sign;
	If TempDI < 0 
	then 
		DMI = -1 - TempDI
        else 
		DMI = +1 - TempDI ;

  	Return = DMI {* 100.0} ;

End;

Demand.Index = Return ;
Attachment Converted: "c:\eudora\attach\Dmxind.ela"