hrbmd2
14 posts
msg #52357
- Ignore hrbmd2 |
6/20/2007 4:38:28 PM
I am a newbie to this (SF), so I am asking for some help.
I read "Technical Analysis of Stocks and Commodities", and this month there is a feature article on a new indicator, called VPCI (Volume Price Confirmation Indicator). To summarize, it uses the following:
- VPC (volume/price confirmation/contradiction). VPC is calculated by subtracting a long-term SMA from the same timeframe's VWMA.
- VPR (Volume price ratio). VPR = VWMA/SMA
- VM (volume multiplier). VM = SMA (short term)/SMA (long term)
Then VPCI = (VPC*VPR*VM)
In Tradecision, VPI is determined as follows (using 10 days for the short term and 50 days for the long term):
VPC = (Vwma(Close,10) - SMA(Close,10))
VPR = Vwma(Close,10)/SMA(Close,10)
VM = SMA(Volume,10)/SMA(Volume,50)
Vpci = (VPC*VPR*VM)
Can anybody help me write this filter in SF terms?
Thanks!!
|
nikoschopen
2,824 posts
msg #52360
- Ignore nikoschopen |
6/20/2007 5:29:45 PM
This is based on the information you gave. However, the charts don't look quite right. Have you got the correct formula?
|
hrbmd2
14 posts
msg #52402
- Ignore hrbmd2 |
6/21/2007 8:54:22 PM
nikoschopen,
You are correct, it doesn't look right.
The other part of Tradecision's formula is as follows:
sv = VWMA(Close,ShortPeriod)
ss = SMA(Close,ShortPeriod)
sva = SMA(Volume,ShortPeriod)
lva = SMA(Volume,LongPeriod)
VPC = sv-ss
VPR = sv/ss
VM = sva/lva
VPCI = VPC*VPR*VM
Entry long: CrossAbove(VPCI(50,10),SMA(VPCI(50,10),10))
Entry short: CrossBelow(VPCI(50,10),SMA(VPCI(50,10),10))
It appears that in SF, VMA can only include a period of time, without another variable, such as closing price.
Would it help if I sent you the article in pdf? If so, please provide your email address. Thanks for your help.
|
nikoschopen
2,824 posts
msg #52404
- Ignore nikoschopen |
6/21/2007 9:22:44 PM
Please send the PDF to [my username]@Google.com
|
hrbmd2
14 posts
msg #52405
- Ignore hrbmd2 |
6/21/2007 9:29:54 PM
I'll send it shortly. In the meantime, I've been reading and playing. How's this look?
/*Vpci Long*/
set{VPC,vma(10) - cma(close,10)}
set{VPR,vma(10)/ma(close,10)}
set{VM,cma(volume,10)/cma(volume,50)}
set{Vpcii,VPC * VPR}
set{Vpci,Vpcii * VM}
Show stocks where close above 5
and close below 100
and volume above 300000
add column Vpci
and draw Vpci
and Vpci increasing within the last 1 day
and Vpci crossed above 0.25 within the last 1 day
and close above close 1 day ago
|
hrbmd2
14 posts
msg #52406
- Ignore hrbmd2 |
6/21/2007 9:39:01 PM
I just ran a backtest. Promising results. No exit trigger other than a 25 day hold as I can't get seem to use Vpci as a trigger.
Trade Statistics
There were 936 total stocks entered. Of those, 696 or 74.36% were complete and 240 or 25.64% were open.
Of the 696 completed trades, 416 trades or 59.77%resulted in a net gain.
Your average net change for completed trades was: 2.81%.
The average draw down of your approach was: -6.11%.
The average max profit of your approach was: 9.11%
The Reward/Risk ratio for this approach is: 2.16
Annualized Return on Investment (ROI): 27.75%, the ROI of ^SPX was: 15.56%.
Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 0 times or 0.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (25 days) 696 times or 100.00% of the time.
An exit trigger was executed 0 times or 0.00% of the time.
|
hrbmd2
14 posts
msg #52428
- Ignore hrbmd2 |
6/22/2007 9:28:42 AM
nikoschopen,
Your email account (nikoschopen@google.com) does not work.
|
nikoschopen
2,824 posts
msg #52431
- Ignore nikoschopen
modified |
6/22/2007 10:15:42 AM
Oops, that should be [username]@gmail.com
|
arby347
87 posts
msg #52444
- Ignore arby347 |
6/22/2007 3:13:49 PM
Being a swing/position trader, I really like the results of your filter.
I use a filter that is based on the linear regression slope(20) that works very well and seems to often lead yours by 1-5 days, or confirm it on the same day.
I use my filter with momentum, RSI,and Acum/Dist as confirmations, seeking positive slopes on each of them on the same day of the filter's signal. I also make subjective judgements of stock formations. For example, I avoid buying
immediately after a downturn without having atleast some sideway basing.
Your filter adds further confirmation. My sells are triggered by a downward turn of the LSR(20).
I'd appreciate also receiving a copy of the article(arby347 @yahoo.com).
My filter is fairly simple:
LRS(20) 2 days ago had been below 0 for 5 days and LRS(20) 2 days ago had been decreasing for 5 days and LRS(20) is increasing for 2 days
|
hrbmd2
14 posts
msg #52463
- Ignore hrbmd2 |
6/23/2007 6:44:12 PM
Thanks for the feedback. I did some paper trades (long) with the Vpci filter on Friday. Chose 4 stocks Thursday evening. Even though the DOW declined precipitously, 3 out of 4 of the stocks went up! That's pretty good.
I'll send both of you the article later. It's on another computer.
Thanks for the help!
|