Vitali Apirine’s “On-Balance Volume Modified,”

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The importable AIQ EDS file based on Vitali Apirine’s article in the April Stocks & Commodities issue, “On-Balance Volume Modified,” can be obtained on request via email to info@TradersEdgeSystems.com. The code is also available below.

I coded the indicator described by the author and also coded a simple buy-sell on crossovers of the indicator. I tested the long side in the AIQ EDS module. Figure 5 shows the backtest results over the last 10 years using the Nasdaq 100 list of stocks.

Sample Chart

FIGURE 5: AIQ. Sample backtest results are shown for the last 10 years using the Nasdaq 100 list of stocks.

!ON-BALANCE VOUUME MODIFIED (OBVM) 
!Author: Vitali Apirine, TASC Apr 2020 !Coded by: Richard Denning 2/9/20 !www.TradersEdgeSystems.com 
!ON BALANCE VOLUME: 
C is [close]. 
C1 is val([close],1). 

!OBV THAT HAS SAME SHAPE AS BUILT-IN OBV INDICATOR 
DaySum is hasdatafor(2000). 
F  is iff(C > C1,1,iff(C < C1,-1,0)). 
VolSum1  is Sum([volume] / 1000 * F, DaySum). 
VolSum2  is 1000 + VolSum1. 
OBVv1  is iff(FirstDataDate() >= Reportdate(),1000,VolSum2). 

!ON BALANCE VOLUME MODIFIED: 
!Hard coded version: 
len1 is 7. len2 is 10. 
VVV is expavg(OBVv1,len1). 
SigVVV is expavg(VVV,len2). 

!ON BALANCE VOULUME MODIFIED (***preferred version***): 
!Using built-in OBV indicator (runs much faster) 
pd1 is 7. 
pd2 is 10. 
OBVM is expavg([OBV],pd1). 
sigOBVM is expavg(OBVM,pd2).

—Richard Denning
info@TradersEdgeSystems.com
for AIQ Systems