In the August edition of Stocks and Commodities magazine, Buff Pelz Dormeier discusses Volume flows that help to validate trending and even non trending price movements. This study presents an updated trend-following trading system based on combining the ADX with the trend thrust indicator and volume price confirmation indicator.
The AIQ code for VPCI and related indicators is given below. This code can be used to develop trading systems, or the indicator can be used as a filter for existing systems. I tried different plotted indicator displays and decided that two smoothed VPCI indicators plotted as a histogram, which shows the difference between the two smoothed indicators, would give the most useful display.
The indicator plot shown below uses parameters of 50 and 10 days to compute the VPCI, then takes two simple averages of this VPCI using 5 days and 10 days. The difference between these two smoothed indictors is then plotted as a histogram.
!! CONNECITON & AFFINITY BETWEEN PRICE & VOLUME
! Author: Buff Dormeier, TASC July 2007
! Coded by: Richard Denning 5/11/07
! PARAMETERS
Price is [close].
LT is 50.
ST is 10.
S is 5.
SS is 10.
! SIMPLE MOVING AVERAGE OF PRICE (SMA)
SMA_L is sum(Price,LT) / LT.
SMA_S is sum(Price,ST) / ST.
V is [volume].
! VOLUME-WEIGHTED MOVING AVERAGE (VWMA)
VTOT_L is sum(V,LT).
VWMA_L is sum(Price * (V / ^VTOT_L),LT).
VTOT_S is sum(V,ST).
VWMA_S is sum(Price * (V / ^VTOT_S),ST).
! VOLUME-PRICE CONTRADICITION/CONFIRMATION (VPC + / - )
VPC is VWMA_L - SMA_L.
! VOLUME PRICE RATIO (VPR)
VPR is VWMA_S / SMA_S.
! VOLUME MULTIPLIER (VM)
VMA_S is sum(V,ST) / ST.
VMA_L is sum(V,LT) / LT.
VM is VMA_S / VMA_L.
! VOLUME-PRICE CONFIRMATION INDICATOR (VPCI)
VPCI is VPC * VPR * VM.
! SMOOTHED VOLUME-PRICE CONFIRMATION INDICATOR(sVPCI)
sVPCI is sum(VPCI,S) / S.
ssVPCI is sum(VPCI,SS) / SS.
! INDICATOR FOR HISTORIGRAM PLOTTING.
dsVPCIss is sVPCI - ssVPCI.
FIGURE 9: AIQ. SPY shown with 50-day VWMA (red), 10-day VWMA (yellow) and sVPCI, ssVPCI (50,10,5,10) historigram (lower indictor plot in white).
In this 45-minute session with Steve Hill, CEO of AIQ Systems, he evaluated the effectiveness of the major Market Breadth indicators and some unique ways to use breadth in AIQ. The AD Line, AD Indicator, AD Oscillator, TRIN and Up/Down Volume Oscillator were examined for effectiveness in signaling trend changes in the DJIA.
Steve also created the Arms Index, Zweig Breadth Thrust Indicator and Simple Advance/Decline indicator in EDS and added these to Charts
An EDS file with these indicators is included for you to download below. Download the EDS file here, save this file to/wintes32/ES strategies folder.
The PowerPoint presentation is also included. Download here
In this 45-minute session with Steve Hill, CEO of AIQ Systems, Steve discusses how using Bollinger Bands and other indicators improves their effectiveness. Includes high volume on a breakout, Bollinger Bands in conjunction with longer-term moving averages, Riding the Bands, Bollinger Bands Squeeze, and adding candlestick engulfing patterns.
An EDS file is included for you to download below. This has the Candlestick Bullish and Bearish Engulfing patterns, occurring close to the relevant band. Download the EDS file here, save this file to/wintes32/ES strategies folder.
The PowerPoint presentation is also included. Download here
The 4 charts below show Engulfing Bullish pattern close to the Lower BBands on 7/3/24
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