DALE;!VOLUME CLIMAX REVERSAL INDICATOR & SYSTEM
!!Created & coded by Rich Denning 2/01/01, 07/24/01, & 8/04/01.
!!Copyright (C) 2001
!!Use in commercial applications is prohibited.
!!If any of this file is copied, in part or in whole, this header must be included with it.
!IMPORTANT: all indicators are coded on this EDS and parameters are fixed by the EDS except for the
! Upper and Lower AIQ bands. These are proprietary and the formula is unknown and can not be
! programmed. The bands are affected by the chart setting for the [IT ESA]. FOR PURPOSES
!OF RUNNING THIS SCAN, THE [IT ESA] MUST BE SET TO 20 DAYS (the default is 28 days).
!The system looks for selling climaxes to go long and for high climax runs to go short. It uses a custom indicator,
! the VCR, and the Wilder RSI 9 day as coded in this scan. The idea was generated from observing
! many charts to find areas where there is a large movement in price over a short period of time. The reversals from
! rapid price changes on high volume seem to be one of these cases. It is a case of action and reaction. The Volume
! Climax Reversal indicator combines the inverted sign 5 day rate of change with the ratio of today's volume to the
! 50 day average of the volume. When the indicator spikes upward sharply and is over 60, a bottom reversal is
! indicated. When the indicator spikes downward sharply and is below 60, a top reversal is indicated. As is the case
! with all indicators, it does not work 100% of the time. The exit is 2 days from the last signal. If multiple signals
! then the total holding period is more than 2 trading days (max 7 days). Most trades are exited in 2-4 trading days.
!DENNING VOLUME CLIMAX REVERSAL INDICATOR
VolumeESA50 is expavg([volume],50).
VolRatio is [volume]/VolumeESA50.
ROC5 is (val([close],5)/[close]-1)*100.
VCR is VolRatio*ROC5.
!!!Plot VCR as a single line indicator with two horizontal lines at +60 and -60.
!VCR REVERSAL BUY
GoLong if RSIw <= 30 and [open]<[Lower AIQ]
and VCR>=60 and GoodData.
LongTiebreaker if GoLong and MFRSI <= 1.
PhaseTB is -[phase].
PhaseATRpct is -[phase] * ATRpct.
!VCR REVERSAL SHORT SALE
GoShort if RSIw >= 70 and [open]>[Upper AIQ]
and VCR <= -60 and GoodData and [close] > 15.
ShortSaleTieBreaker if GoShort and MFRSI >= 90.
!=========================================================
!EXIT 2 DAYS AFTER LAST SIGNAL:
!EXIT FOR LONG POSITIONS
LongExit if {position days}>=iff({position days}=2 and GoLong,3,
iff({position days}=2 and setdate(1) and GoLong,3,
iff({position days}=3 and GoLong,4,
iff({position days}=3 and setdate(1) and GoLong and resetdate(),4,
iff({position days}=4 and GoLong,5,
iff({position days}=4 and setdate(1) and GoLong and resetdate(),5,
iff({position days}=5 and GoLong,6,
iff({position days}=5 and setdate(1) and GoLong and resetdate(),6,
iff({position days}=6 and GoLong,7,
iff({position days}=6 and setdate(1) and GoLong and resetdate(),7,2)))))))))).
!EXIT FOR SHORT POSITIONS
ShortSaleExit if {position days}>=iff({position days}=2 and GoShort,3,
iff({position days}=2 and setdate(1) and GoShort,3,
iff({position days}=3 and GoShort,4,
iff({position days}=3 and setdate(1) and GoShort and resetdate(),4,
iff({position days}=4 and GoShort,5,
iff({position days}=4 and setdate(1) and GoShort and resetdate(),5,
iff({position days}=5 and GoShort,6,
iff({position days}=5 and setdate(1) and GoShort and resetdate(),6,
iff({position days}=6 and GoShort,7,
iff({position days}=6 and setdate(1) and GoShort and resetdate(),7,2)))))))))).
!=============================================================
!DISPLAY THE UPPER AND LOWER AIQ BAND AS THEY WERE ON THE SIGNAL DATE
!Suggested by Monty Web on 8/4/01
!Note: regular AIQ bands move as the chart date moves. The following shows what the values are on the signal date:
!The AIQ bands are proprietary meaning the formula is not disclosed and therefore cannot be programmed.
!The setting for the [IT ESA] affects the bands and therefore it is important to set the [IT ESA] in charts to 20 (vs the default of 28).
!Plot the following as single line indicator in the chart portion of the display
FixedLowerAIQ is [lower AIQ].
FixedUpperAIQ is [upper AIQ].
!============================================
!!RSI WILDER
!Coded by Rich Denning
!! 7-days here is equivalent to a 4-day RSI Wilder in charts
!! 9-days here is equivalent to a 5-day RSI Wilder in charts
!! 13-days here is equivalent to a 7-day RSI Wilder in charts
!! 27-days here is equivalent to a 14-day RSI Wilder in charts
Define day 9.
U is [close]-val([close],1).
D is val([close],1)-[close].
AvgU is ExpAvg(iff(U>0,U,0),day).
AvgD is ExpAvg(iff(D>=0,D,0),day).
RSIw is 100-(100/(1+(AvgU/AvgD))).
!=============================================
!!! DENNING DATA FILTER AND OTHER FUNCTIONS NEEDED FOR ABOVE:
!! DATA FILTER
GoodData if HasDataFor(255)>=252 and expavg([volume],50)>3000
and [close]>=5 and hiATRpct and not GapDown.
GapDownAmt is (Val([low],1) - [high])/[high]*100.
GapDown if ScanAny(GapDownAmt >= 10,20) <>nodate() and resetdate().
!=================================
! AVERAGE TRUE RANGE CODE:
Dailyrange is [high]-[low].
Ycloseh is abs(val([close],1)-[low]).
Yclosel is abs(val([close],1)-[high]).
Trange1 is Max(Dailyrange,Ycloseh).
Trange is Max(Trange1,Yclosel).
ATR is ExpAvg(Trange,21).
ATR10 is ExpAvg(Trange,10).
ATR30 is ExpAvg(Trange,30).
ATRpct is ATR30/[close] * 100.
hiATRpct if ATRpct > 5.
!==================================
! MONEY FLOW RSI
! Coded by Rich Denning
! Use n+1 days to get internal chart equivalency.
! Example: 11 days here is equivalent to a 10-day internal setting in charts.
Define days 4.
Close is [close].
Yclose is val([close],1).
PVF is iff(close>yclose,1,0).
NVF is iff(close<=yclose,1,0).
AvgPrice is ([high]+[low]+close)/3.
MF is [volume]*AvgPrice.
PMF is Sum(MF*PVF,days).
NMF is Sum(MF*NVF,days).
MFRSI is 100*(PMF/(PMF+NMF)).
!===================================Rule Library’’ CCodeViewGoLong’’CReportViewŠSymbolĄF±CloseĄ:”ATRpctĄD”MFRSIĄ@”VCRĄ:”ROC5Ą> ”VolRatioĄN±VolumeĄ:”VolumeESA50ĄR”PhaseATRpctĄ[”PhaseTBĄNBLDP33½A¾&AäęBÄX,B£Ö*@pFeńÓEä!bCµAGPS¤p«Al½@7BŌA²īu@"2HNm9G
B
-AGoShort ŠSymbolĄF±CloseĄ:”ATRpctĄD”MFRSIĄ@”VCRĄ:”ROC5Ą> ”VolRatioĄN±VolumeĄ:”VolumeESA50ĄRSummary’’CCrossTabRptŠSymbolĄFGoLong - 2ĄPGoShort - 0ĄQBLDPGPSETFS100’’’’ ’’CBackTestPropertyGoLongLongExitPPTDenning VCR for OB GoLongOTCP “.ę@.ę@ż’’’ąę@ .ę@LongTiebreakerLongExitPPT!Denning VCR for OB LongTiebreakerOTCP “.ę@.ę@ż’’’ąę@ .ę@GoLongLongExit2PPžDenning VCR for OB2 GoLongOTCP “.ę@.ę@ż’’’ąę@ .ę@GoShort
ShortSaleExit"PPžDenning VCR for OB2 GoShortOTCP “.ę@.ę@ż’’’ąę@ .ę@ShortSaleTieBreaker
ShortSaleExit"PPž'Denning VCR for OB2 ShortSaleTieBreakerOTCP “.ę@.ę@ż’’’ąę@ .ę@GoLongKLongExitPPTDenning VCR for OB2 GoLongKOTCP “.ę@.ę@ż’’’ąę@ .ę@GoLongLongExitPP^Denning VCR GoLongOTCP “.ę@.ę@ż’’’ąę@ .ę@GoShort
ShortSaleExitPP^Denning VCR GoShortOTCP “.ę@.ę@ż’’’ąę@ .ę@GoLongLongExit2PP&);-0DenningVCR2 GoLongSPXPETFS100 “.ę@.ę@’’’’Ąwå@ .ę@00:00