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Soultrader

Volume Delta Oscillator

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  jperl said:
James or Walter, for those of us who do not use TS, would you explain how this oscillator is computed?

JERRY

 

Jerry

 

Here's a copy of the code for you

 

[LegacyColorValue = true]; 

Inputs:
   Up_Dn_MALen( 10 ),
   MAType_SMA_1_EMA_2_WMA_3( 2 ),
   MA_DisplayScalingFactor( 1 ),
   Plot_UpDn_1_or_Diff_2( 2 ),
   MA_DiffLen( 2 ),
smooth(3),
av (3);

Variables:
   MA_Up( 0 ),
   MA_Dn( 0 ),
   MA_Diff( 0 );


If BarType <= 1 then { Use only on Intra-Day Time or Tick Bars }
Begin

   { Moving Averages of Up&DownTicks and their Difference }	
   If MAType_SMA_1_EMA_2_WMA_3 = 1 then
   Begin

       MA_Up = MA_DisplayScalingFactor * ( Average( UpTicks, Up_Dn_MALen ) );
       MA_Dn = MA_DisplayScalingFactor * ( Average( DownTicks, Up_Dn_MALen ) );
       MA_Diff = ( Average( UpTicks - DownTicks, MA_DiffLen ) );

   End { If MAType_SMA_1_EMA_2_WMA_3 = 1 }
   Else If MAType_SMA_1_EMA_2_WMA_3 = 2 then
   Begin

       MA_Up = MA_DisplayScalingFactor * ( XAverage( UpTicks, Up_Dn_MALen ) );
       MA_Dn = MA_DisplayScalingFactor * ( XAverage( DownTicks, Up_Dn_MALen ) );
       MA_Diff = ( XAverage( UpTicks - DownTicks, MA_DiffLen ) );

   End { If MAType_SMA_1_EMA_2_WMA_3 = 2 }
   Else { If MAType_SMA_1_EMA_2_WMA_3 = 3 }
   Begin

       MA_Up = MA_DisplayScalingFactor * ( WAverage( UpTicks, Up_Dn_MALen ) );
       MA_Dn = MA_DisplayScalingFactor * ( WAverage( DownTicks, Up_Dn_MALen ) );
       MA_Diff = ( WAverage( UpTicks - DownTicks, MA_DiffLen ) );

   End; { If MAType_SMA_1_EMA_2_WMA_3 = 3 }


   {Plots Up&DownTicks and their selected Moving Averages or their Difference as desired}
   {The order of the plots insures proper visual presentation of the histogram bars}

If Plot_UpDn_1_or_Diff_2 = 1 then
Begin

       Plot2( MA_Up, "MA" );

       Plot4( MA_Dn, "MA_Dn" );
   End;{If Plot_UpDn_1_or_Diff_2 = 1}

If Plot_UpDn_1_or_Diff_2 = 2 then
Begin

       Plot5( average (MA_Diff,smooth), "MA" );

   End;{If Plot_UpDn_1_or_Diff_2 = 2}

End; { if BarType <= 1 }

if plot2 > plot4 then setplotcolor (2,blue);

if plot2 > plot4 then setplotcolor (4,blue);


if plot2 < plot4 then setplotcolor (2,red);


if plot2 < plot4 then setplotcolor (4,red);







plot6 (average(plot2, av));

plot7 (average(plot4,av));

plot8 (average(plot5,av));




if plot5 > plot8 then setplotcolor (5,blue);

if plot5 > plot8 then setplotcolor (8,blue);

if plot5 < plot8 then setplotcolor (5,red);


if plot5 < plot8 then setplotcolor (8,red);






 

Hope this helps

 

Blu-Ray

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  Blu-Ray said:
Jerry

 

Here's a copy of the code for you

 

[LegacyColorValue = true]; 

Inputs:
   Up_Dn_MALen( 10 ),
   MAType_SMA_1_EMA_2_WMA_3( 2 ),
   MA_DisplayScalingFactor( 1 ),
   Plot_UpDn_1_or_Diff_2( 2 ),
   MA_DiffLen( 2 ),
   smooth(3),
   av (3);

Variables:
   MA_Up( 0 ),
   MA_Dn( 0 ),
   MA_Diff( 0 );


If BarType <= 1 then { Use only on Intra-Day Time or Tick Bars }
Begin

   { Moving Averages of Up&DownTicks and their Difference }    
   If MAType_SMA_1_EMA_2_WMA_3 = 1 then
   Begin

       MA_Up = MA_DisplayScalingFactor * ( Average( UpTicks, Up_Dn_MALen ) );
       MA_Dn = MA_DisplayScalingFactor * ( Average( DownTicks, Up_Dn_MALen ) );
       MA_Diff = ( Average( UpTicks - DownTicks, MA_DiffLen ) );

   End { If MAType_SMA_1_EMA_2_WMA_3 = 1 }
   Else If MAType_SMA_1_EMA_2_WMA_3 = 2 then
   Begin

       MA_Up = MA_DisplayScalingFactor * ( XAverage( UpTicks, Up_Dn_MALen ) );
       MA_Dn = MA_DisplayScalingFactor * ( XAverage( DownTicks, Up_Dn_MALen ) );
       MA_Diff = ( XAverage( UpTicks - DownTicks, MA_DiffLen ) );

   End { If MAType_SMA_1_EMA_2_WMA_3 = 2 }
   Else { If MAType_SMA_1_EMA_2_WMA_3 = 3 }
   Begin

       MA_Up = MA_DisplayScalingFactor * ( WAverage( UpTicks, Up_Dn_MALen ) );
       MA_Dn = MA_DisplayScalingFactor * ( WAverage( DownTicks, Up_Dn_MALen ) );
       MA_Diff = ( WAverage( UpTicks - DownTicks, MA_DiffLen ) );

   End; { If MAType_SMA_1_EMA_2_WMA_3 = 3 }


   {Plots Up&DownTicks and their selected Moving Averages or their Difference as desired}
   {The order of the plots insures proper visual presentation of the histogram bars}

   If Plot_UpDn_1_or_Diff_2 = 1 then
   Begin

       Plot2( MA_Up, "MA" );

       Plot4( MA_Dn, "MA_Dn" );
   End;{If Plot_UpDn_1_or_Diff_2 = 1}

   If Plot_UpDn_1_or_Diff_2 = 2 then
   Begin

       Plot5( average (MA_Diff,smooth), "MA" );

   End;{If Plot_UpDn_1_or_Diff_2 = 2}

End; { if BarType <= 1 }

if plot2 > plot4 then setplotcolor (2,blue);

if plot2 > plot4 then setplotcolor (4,blue);


if plot2 < plot4 then setplotcolor (2,red);


if plot2 < plot4 then setplotcolor (4,red);







plot6 (average(plot2, av));

plot7 (average(plot4,av));

plot8 (average(plot5,av));




if plot5 > plot8 then setplotcolor (5,blue);

if plot5 > plot8 then setplotcolor (8,blue);

if plot5 < plot8 then setplotcolor (5,red);


if plot5 < plot8 then setplotcolor (8,red);






Hope this helps

 

Blu-Ray

Well, not quite Blu-Ray. I see in the code that down tick volume is subtracted from the uptick volume. What I don't understand is how this becomes an oscillator. Perhaps you can explain it for us.

JERRY

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Jerry

 

I've never used it, I just downloaded it to get the code for you.

 

Just quickly looking at the code and using the default settings:

 

 

It's based on an 2 period ema of the upticks - downticks. Then that value is put into a 3 period sma and the 1st line is plotted.

 

Then the 2nd line is a 3 period sma of the first line.

 

 

Hope this helps

 

Blu-Ray

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  Blu-Ray said:
Jerry

 

I've never used it, I just downloaded it to get the code for you.

 

Just quickly looking at the code and using the default settings:

 

 

It's based on an 2 period ema of the upticks - downticks. Then that value is put into a 3 period sma and the 1st line is plotted.

 

Then the 2nd line is a 3 period sma of the first line.

 

 

Hope this helps

 

Blu-Ray

Ok thanks for the explanation

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James,

 

Regardless of the form this indicator comes in, do you believe that watching for divergence in price versus the OSC is valid for entry near S/R. In other words, is this indicator a true representation for buying and selling pressure? I'm fairly new to trading and have been interested in trading more via price action than with indicators, but in looking at this indicator is seems to do a good job of displaying possible change of direction via divergence fairly well. Am I accurate in my assumption? If so, it seem extreamly powerful.

 

On another topic I believe you use Market Profile in your trading. Correct me if I'm wrong. Can MP be as simplistic as using VAH, VAL and POC's as support and resistance and watching how price behaves in these areas and trade accordingly, or is it/does it need to be more complicated than that? Thanks.

 

David

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Hi David,

 

I will not vouch for any indicator simply because I do not use them. If you can read volume and price bars volume delta related indicators are not necessary. However it can be a good tool to visually aid you to see price and volume divergence.

 

Regarding MP... you can choose to make it as simple as that or more complex than that. It comes down to how you want to use MP in your trading.Are you going to combine MP with other techniques or use MP as a stand alone trading tool? On top of MP pivots like VAH, VAl, POC.... I personally prefer to watch for pattern recognition so I know what type of day we may have. This allows me to place trades accordingly.

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  Soultrader said:
What are the settings for the volume breakdown indicator to get it into the format as the chart?

 

I actually added Volume Breakdown three times to that second pane to get that result. The buy volume just uses "Result: Buy Volume". The sell volume uses "Result: Sell Volume (Negative)" and the delta uses "Result: Delta (Buy - Sell Vol)".

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Soul,

 

My intension was to us MP pivots as well as floor pivots as S/R and trade those areas in addition to previous highs and lows for the previous day. I would watch price at the these respective pivots on a higher timeframe and moved down to ower timeframs to see if there are high or low failures depending on the direction and trade based on that.

 

Would you be willing to go into greater detail when you talk about pattern recognition? I read that you don't use things like triangles etc as patterns. I'm assuming you don't mean double tops or bottoms either. Also, how does this (these patterns)give you insight as to what kind of day we may have? If you have examples you can post that would be of great help to me. Thanks.

 

David

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  drsushi said:
Soul,

 

My intension was to us MP pivots as well as floor pivots as S/R and trade those areas in addition to previous highs and lows for the previous day. I would watch price at the these respective pivots on a higher timeframe and moved down to ower timeframs to see if there are high or low failures depending on the direction and trade based on that.

 

Would you be willing to go into greater detail when you talk about pattern recognition? I read that you don't use things like triangles etc as patterns. I'm assuming you don't mean double tops or bottoms either. Also, how does this (these patterns)give you insight as to what kind of day we may have? If you have examples you can post that would be of great help to me. Thanks.

 

David

 

Hi David,

 

Could you start a new thread on this topic? I will post a few charts.

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I really like this indicator as it can be very helpful for spotting divergences, however the MA overlayed on the indicator is bugging the hell out of me. It gets in the way of seeing the actual histogram. I've tried modifying the code myself to remove the MA but i'm just randomly deleting lines of code and re-verifying to see if it disappears.

 

Can anyone help?

 

Thanks!

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Guest forsearch

Try this:

 

[LegacyColorValue = true]; 

Inputs:
   Up_Dn_MALen( 10 ),
   MAType_SMA_1_EMA_2_WMA_3( 2 ),
   MA_DisplayScalingFactor( 1 ),
   Plot_UpDn_1_or_Diff_2( 2 ),
   Plot_MA_1_or_Off_0(0),
   MA_DiffLen( 2 ),
smooth(3),
av (3);

Variables:
   MA_Up( 0 ),
   MA_Dn( 0 ),
   MA_Diff( 0 );


If BarType <= 1 then { Use only on Intra-Day Time or Tick Bars }
Begin

   { Moving Averages of Up&DownTicks and their Difference }	
   If MAType_SMA_1_EMA_2_WMA_3 = 1 then
   Begin

       MA_Up = MA_DisplayScalingFactor * ( Average( UpTicks, Up_Dn_MALen ) );
       MA_Dn = MA_DisplayScalingFactor * ( Average( DownTicks, Up_Dn_MALen ) );
       MA_Diff = ( Average( UpTicks - DownTicks, MA_DiffLen ) );

   End { If MAType_SMA_1_EMA_2_WMA_3 = 1 }
   Else If MAType_SMA_1_EMA_2_WMA_3 = 2 then
   Begin

       MA_Up = MA_DisplayScalingFactor * ( XAverage( UpTicks, Up_Dn_MALen ) );
       MA_Dn = MA_DisplayScalingFactor * ( XAverage( DownTicks, Up_Dn_MALen ) );
       MA_Diff = ( XAverage( UpTicks - DownTicks, MA_DiffLen ) );

   End { If MAType_SMA_1_EMA_2_WMA_3 = 2 }
   Else { If MAType_SMA_1_EMA_2_WMA_3 = 3 }
   Begin

       MA_Up = MA_DisplayScalingFactor * ( WAverage( UpTicks, Up_Dn_MALen ) );
       MA_Dn = MA_DisplayScalingFactor * ( WAverage( DownTicks, Up_Dn_MALen ) );
       MA_Diff = ( WAverage( UpTicks - DownTicks, MA_DiffLen ) );

   End; { If MAType_SMA_1_EMA_2_WMA_3 = 3 }


   {Plots Up&DownTicks and their selected Moving Averages or their Difference as desired}
   {The order of the plots insures proper visual presentation of the histogram bars}

If Plot_UpDn_1_or_Diff_2 = 1 then
Begin

       Plot2( MA_Up, "MA" );

       Plot4( MA_Dn, "MA_Dn" );
   End;{If Plot_UpDn_1_or_Diff_2 = 1}

If Plot_UpDn_1_or_Diff_2 = 2 then
Begin

       Plot5( average (MA_Diff,smooth), "MA" );

   End;{If Plot_UpDn_1_or_Diff_2 = 2}

End; { if BarType <= 1 }

if plot2 > plot4 then setplotcolor (2,blue);

if plot2 > plot4 then setplotcolor (4,blue);


if plot2 < plot4 then setplotcolor (2,red);


if plot2 < plot4 then setplotcolor (4,red);



if Plot_MA_1_or_Off_0 <> 0 then
  begin
    plot6 (average(plot2, av));
    plot7 (average(plot4,av));
    plot8 (average(plot5,av));
 end
else 
 begin
     NoPlot(6);
     NoPlot(7);
     NoPlot(8);
 end;


if plot5 > plot8 then setplotcolor (5,blue);

if plot5 > plot8 then setplotcolor (8,blue);

if plot5 < plot8 then setplotcolor (5,red);


if plot5 < plot8 then setplotcolor (8,red);

 

Use the Plot_MA_1_or_Off_0 input to toggle the display of the MAs on (1) and off (0).

 

-fs

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Thanks forsearch!

 

Although, i think the wrong thing got turned off.

 

I verified your code and I turned on the ma in your code (changing 0 to 1) but the base data that comes up is not the plot, but the MA.

 

Hopefully this shows it, the one you posted is on the top, the stock one on the bottom.

 

attachment.php?attachmentid=7549&stc=1&d=1218927233

 

I'd like to keep the PLOT8 values from the bottom indicator and get rid of the MA. If that makes sense?

 

Thanks again!

1.thumb.jpg.2cad4680b90a7e2f87bcf4ca999c41cb.jpg

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Guest forsearch

Since I'm no longer a TS user, I just took a look at the code that was posted and gave it a quick one-off edit.

 

I'm sure someone who has TS or MC will give it a look for ya in due course.

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