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VSA Explorations

This document defines volume-based indicators to identify potential trend reversals or continuations in a financial instrument's price data. It calculates moving averages of volume, range, and volume density to identify periods of high or low volume relative to recent averages. Stopping volume and exhaustion volume signals flag potential trend reversals associated with high volume in small or large ranges during new highs or lows. A test indicator identifies potential continuations using hammers formed on low volume. Signals from each indicator are summed over the last 6 periods and filtered based on average volume and stochastic values.

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ashlogic
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94 views

VSA Explorations

This document defines volume-based indicators to identify potential trend reversals or continuations in a financial instrument's price data. It calculates moving averages of volume, range, and volume density to identify periods of high or low volume relative to recent averages. Stopping volume and exhaustion volume signals flag potential trend reversals associated with high volume in small or large ranges during new highs or lows. A test indicator identifies potential continuations using hammers formed on low volume. Signals from each indicator are summed over the last 6 periods and filtered based on average volume and stochastic values.

Uploaded by

ashlogic
Copyright
© © All Rights Reserved
Available Formats
Download as TXT, PDF, TXT or read online on Scribd
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// Volume Spread Analysis //

range = H - L + 0.01;
rangeAvg = MA( range, 21 );
VolAvg = MA( V, 21 );
VolDensity = V / range;
VolDensityAvg = MA( VolDensity, 21 );
HiClose = ( C - L ) / range > 0.65;
HiOpen = ( O - L ) / range > 0.65;
LoClose = ( C - L ) / range < 0.35;
LoOpen = ( O - L ) / range < 0.35;

// Stopping volume - high Vol in small range in new ground


newHigh = H == HHV( H, 63 );
newLow = L == LLV( L, 63 );
BullStopVol = newLow AND range < 0.9*rangeAvg AND Volume > VolAvg*1.5;
BearStopVol = newHigh AND range < 0.9*rangeAvg AND Volume > VolAvg*1.5;
BSV = IIf(BullStopVol, 1, IIf(BearStopVol, -1, 0));

// Exhaustion volume - high Vol in big range in new ground and weak close
BullExhaust = newLow AND range > rangeAvg * 1.5 AND VolDensity > VolDensityAvg AND
HiClose;
BearExhaust = newHigh AND range > rangeAvg * 1.5 AND VolDensity > VolDensityAvg AND
LoClose;
BE = IIf(BullExhaust, 1, IIf(BearExhaust, -1, 0));

// Test - hammer on low volume


BullTest = HiOpen AND HiClose AND VolDensity < VolDensityAvg;
BearTest = LoOpen AND LoClose AND VolDensity < VolDensityAvg;
BT = IIf(BullTest, 1, IIf(BearTest, -1, 0));

Net = Sum(BSV+BE+BT,6);

Filter = VolAvg > 10000 AND ( /*(StochK(14,3) > 80 AND Net <=-3) OR */(StochK(14,3)
<20 AND Net >=3) );
AddColumn( C, "Close", 1.2, IIf(Net>=3,colorGreen,colorRed));

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