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davem1979

High Volume Spike Reversal Indicator Development

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High Volume Spike Reversal Indicator Development:

 

Dear Trader's Lab Coders,

 

My Idea for this indicator began when I started noticing that when significant volume enters the market, many times this occurs at or near market turning points.

 

In order to more easily see volume's impact on price, I set out to start developing an indicator that would show greater volume than previous bars and confirmation of a pause and potential reversal by using a price pattern that would show potential weakness when the Volume Spike is at highs and strength when the Volume Spike is at lows.

 

I'm not trying to design this indicator to be traded solely on it's own without regard to trend, S/R, High and Low Volume areas, but it does many times pinpoint the start of the reversal. As well, I believe that by adding a few other conditions to this indicator that would take into account other volume indications based on Bid/Ask volume, such as the Delta (Buy Volume - Sell Volume) it would be possible to get some very nice trade setups that would work in conjunction with our own understanding of volume's affect on price.

 

The Parts of the Indicator:

 

Firstly, I am trying to determine what should signify high volume. I believe that volume is relative, and therefore some days 10,000 contracts in 5 minutes is a lot, and other days 20,000 contracts in 5 minutes is a lot. So, as of now I came up with the condition that if Volume is greater than the previous 6 bars, this should signify great volume. One can use whatever number they like, if one looks back 10 bars, you'll get fewer the signals, and if you look back only 2 bars, you'll get many more signals.

 

1. My first question to you is: How would you determine that a High Volume Spike is with "High Volume"? Do you have a method that would improve my very basic definition of High Volume that would weed out the high volume bars more reliably?

 

Secondly, I am trying to show a price pattern that shows rejection of the prices in the direction of the High Volume Spike. For Instance:

 

For a "buy signal", I'm looking for price on the bar after the High Volume Spike to close at or above the close of the High Volume Spike bar. As well, I am looking for a close on the bar after the High Volume Spike that is higher or equal to the open, and for the bar to close off of the lows. I basically ensure closing off the lows by this function (Close-Open)<(High-Low).

 

Here's the indicator as I have it now. I programmed it for Pro Real Time Charts, but am currently using a Ninja Trader Demo and have no idea how to program in C#. If any of you are interested in helping out, I am sure that everyone would really benefit as well...

 

Here's what I have so far:

 

--------------------------------------------------------

HIGH VOLUME SPIKE LONG SIGNAL

 

VolSpike=Low<=Low[1] AND Low<=Low[2] AND Close>=Close[1] AND Close>=Open AND (Close-Open)<(High-Low) AND Volume[1]>Volume[2] AND Volume[1]>Volume[3] AND Volume[1]>Volume[4] AND Volume[1]>Volume[5] AND Volume[1]>Volume[6]

 

VolSpike2=Low>=Low[1] AND Low<=Low[2] AND Close>=Close[1] AND Close>=Open AND (Close-Open)<(High-Low) AND Volume[1]>Volume[2] AND Volume[1]>Volume[3] AND Volume[1]>Volume[4] AND Volume[1]>Volume[5] AND Volume[1]>Volume[6]

 

IF VolSpike OR VolSpike2 THEN

structure=1

 

ELSE

structure=0

ENDIF

 

RETURN structure AS "VolSpike"

 

HIGH VOLUME SPIKE SHORT SIGNAL

 

VolSpike=High>=High[1] AND High>=High[2] AND Close<=Close[1] AND Close<=Open AND (Open-Close)<(High-Low) AND Volume[1]>Volume[2] AND Volume[1]>Volume[3] AND Volume[1]>Volume[4] AND Volume[1]>Volume[5] AND Volume[1]>Volume[6]

 

VolSpike2=High<=High[1] AND High>=High[2] AND Close<=Close[1] AND Close<=Open AND (Open-Close)<(High-Low) AND Volume[1]>Volume[2] AND Volume[1]>Volume[3] AND Volume[1]>Volume[4] AND Volume[1]>Volume[5] AND Volume[1]>Volume[6]

 

IF VolSpike OR VolSpike2 THEN

structure=1

 

ELSE

structure=0

ENDIF

 

RETURN structure AS "VolSpike"

---------------------------------------------------------

 

Lastly, I believe this indicator can be improved by including conditions that would show either Delta Divergence, or Delta shift from negative to positive for instance, for Long Trades. If we are looking for Long Signals, Delta Divergence could be added by requiring the Delta to be increasing positively into the signal bar, or a Delta shift would be for the Delta to go from negative to positive in the signal bar.

 

If any of you are interested in improving this indicator for Ninja Trader or any trading platform, and sharing, I would greatly appreciate it....

 

Regards,

David

Volume-Spike-Example-complete.thumb.jpg.8c3ae342e750b287744a8123c31b4334.jpg

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davem1979

 

Here is my quick hack at it. Seems simple enough. I've added the possibility of setting a period in the indicator in case you want to experiment with extending the Volume lookback. In its default state, it should be identical to yours. attached is a pic of the indicator on YM 1 min timframe although not sure how you would use it for entries/exits. I've also noticed that if the current bar is a doji you have to be careful before jumping in. Personally, I am looking to find a way specifically to enter on a breakout from pullbacks.

 

 

 

Here is the OnBarUpdate routine for Ninja (attached is the full zip)

 

        protected override void OnBarUpdate()
       {
           // Use this method for calculating your indicator values. Assign a value to each
           // plot below by replacing 'Close[0]' with your own formula.

//HIGH VOLUME SPIKE LONG SIGNAL
		if (CurrentBar > period)
		{
			if ( (Low[0]<=Low[1]) && (Low[0]<=Low[2]) &&
				(Close[0]>=Close[1]) && (Close[0]>=Open[0]) &&
				(Close[0]-Open[0])<(High[0]-Low[0]) &&
				//(Volume[1]>Volume[2]) && (Volume[1]>Volume[3]) && (Volume[1]>Volume[4]) && (Volume[1]>Volume[5]) && (Volume[1]>Volume[6]) )
				(Volume[1]>MAX(Volume,period)[2]) )
			{
				BackColor = Color.Green;
				//Spike.Set(1);

			}
			if ( (Low[0]>=Low[1]) && (Low[0]<=Low[2]) &&
				(Close[0]>=Close[1]) && (Close[0]>=Open[0]) &&
				((Close[0]-Open[0])<(High[0]-Low[0])) &&
				//(Volume[1]>Volume[2]) && (Volume[1]>Volume[3]) && (Volume[1]>Volume[4]) && (Volume[1]>Volume[5]) && (Volume[1]>Volume[6]) )
				(Volume[1]>MAX(Volume,period)[2]) )
			{
				BackColor = Color.Lime;
				//Spike.Set(1);

			}


//HIGH VOLUME SPIKE SHORT SIGNAL
			if( (High[0]>=High[1]) && (High[0]>=High[2]) && 
				(Close[0]<=Close[1]) && (Close[0]<=Open[0]) &&
				((Open[0]-Close[0])<(High[0]-Low[0])) &&
				//(Volume[1]>Volume[2]) && (Volume[1]>Volume[3]) && (Volume[1]>Volume[4]) && (Volume[1]>Volume[5]) && (Volume[1]>Volume[6]) )
				(Volume[1]>MAX(Volume,period)[2]) )
			{
				BackColor = Color.Crimson;
				//Spike.Set(-1);
			}

			if( (High[0]<=High[1]) && (High[0]>=High[2]) && 
				(Close[0]<=Close[1]) && (Close[0]<=Open[0]) &&
				((Open[0]-Close[0])<(High[0]-Low[0])) &&
				//(Volume[1]>Volume[2]) && (Volume[1]>Volume[3]) && (Volume[1]>Volume[4]) && (Volume[1]>Volume[5]) && (Volume[1]>Volume[6]) )
				(Volume[1]>MAX(Volume,period)[2]) )
			{
				BackColor = Color.Red;
				//Spike.Set(-1);
			}				

		}	


       }

5aa70e8cf3d47_YM09-0822_08_2008(1Min).thumb.png.622653bbd05741d2a376a92a9098820a.png

VolumeSpike.zip

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Thank you JustLurkin! Nice Work!

 

I will load up the indicator and see if I can come up with some other conditions regarding delta or bid/ask volume that may improve its effectiveness. Please feel free to experiment. I'd love to know if you find some other conditions or have some ideas that may improve it.

 

Regards,

David

 

PS. Regarding your comment on entering on breakouts from pullbacks, one setup I personally am looking for is declining volume on the pullback and for the pullback to be into prices that previously had higher volume. Think, low volume coming back to a high volume area.

 

As well, if I am looking to go short on a pullback, I look at the Bid/Ask volume, and determine if the pullback is seeing more volume at the bid, or declining ask volume and for price to basically stop at a previous high volume area. For me, I like to enter on the pullbacks, and not wait for price to breakout. I think it really all depends on the context and what the current s/r and high and low volume areas are telling you.

 

I am learning to trade the Euro Bund now, and with that I also look what's happening on the DAX, DJ EuroStoxx50 and Schatz as well. Generally, when equities are at important s/r levels, this may at times, act as confirmation to a trade in the opposite direction on the BUND....

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blu-ray my friend...

 

maby u can translate it for copy and paste to EASYLANGUGAE

 

 

thanks alot ....:)

 

 

No Probs, here you go :

 

Vars:

iVolume(0);

 

If bartype < 2 then iVolume = Ticks else IVolume = volume;

 

 

 

//HIGH VOLUME SPIKE LONG SIGNAL

 

Condition1=Low<=Low[1] AND Low<=Low[2] AND Close>=Close[1] AND Close>=Open AND (Close-Open)<(High-Low) AND iVolume[1]>iVolume[2] AND iVolume[1]>iVolume[3] AND iVolume[1]>iVolume[4] AND iVolume[1]>iVolume[5] AND iVolume[1]>iVolume[6];

 

Condition2=Low>=Low[1] AND Low<=Low[2] AND Close>=Close[1] AND Close>=Open AND (Close-Open)<(High-Low) AND iVolume[1]>iVolume[2] AND iVolume[1]>iVolume[3] AND iVolume[1]>iVolume[4] AND iVolume[1]>iVolume[5] AND iVolume[1]>iVolume[6];

 

 

 

//HIGH VOLUME SPIKE SHORT SIGNAL

 

Condition3=High>=High[1] AND High>=High[2] AND Close<=Close[1] AND Close<=Open AND (Open-Close)<(High-Low) AND iVolume[1]>iVolume[2] AND iVolume[1]>iVolume[3] AND iVolume[1]>iVolume[4] AND iVolume[1]>iVolume[5] AND iVolume[1]>iVolume[6];

 

Condition4=High<=High[1] AND High>=High[2] AND Close<=Close[1] AND Close<=Open AND (Open-Close)<(High-Low) AND iVolume[1]>iVolume[2] AND iVolume[1]>iVolume[3] AND iVolume[1]>iVolume[4] AND iVolume[1]>iVolume[5] AND iVolume[1]>iVolume[6];

 

 

 

 

IF Condition1 OR Condition2 then

Plot1(1,"Spike") else

If Condition3 or Condition4 then

Plot1(-1,"Spike")

else

Plot1(0,"Spike");

 

 

 

Hope this helps

 

Blu-Ray

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Thanks Blu-Ray and Spyro!

 

I am looking for some possible uses of this indicator now. So far, it has taught me quite a bit about price action and volumes affect on price, like I have learned from the VSA threads. However, at the moment, this indicator although at times it gives very precise signals, it also gives very imprecise signals.

 

I am assuming there is some use for an indicator like this one in potential auto-trading systems, however one would need to somehow indicate support and resistance levels or give some sort of context for it to operate on, such as swing highs and lows.

 

So far, I just take notice of high volume when it enters the market, but the context around the volume is the most important thing. So, as for using this indicator other than a learning tool, I don't really see it being useful in discretionary trading as you can pick out the volume spikes visually on the chart on your own, without another indicator clouding your view.

 

For discretionary trading, I think this indicator lacks usefulness, as I would much rather just see Price, S/R, Bid/Ask Volume, and Delta and make the direction judgments myself. But, I now see how people are starting to use combinations of volume and price action to develop auto-trading systems, because systems can react much faster to Volume and Price than to moving averages or other lagging indicators.

 

If any of you have some ideas that you'd like to share about the usefulness or ability of this indicator to be developed further, I would love to hear from you.

 

Regards,

David

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Thanks BluRay - this is a very interesting idea. I like what you guys are coming up with!

 

I just modified it a bit so I could have different colors, but used in conjunction with S/R and fib's it could be very powerful!

 

Check out these two examples from the past couple days...

 

1 a simple 61.8 retracement... but how do you know if it will hold there? Volume Spike shows a buy and it works!

 

attachment.php?attachmentid=8163&stc=1&d=1222897033

 

A double bottom in the ES, tests, and the volume spike says buy!

 

attachment.php?attachmentid=8164&stc=1&d=1222897033

 

Another 61.8 retracement from yesterday...

 

attachment.php?attachmentid=8165&stc=1&d=1222897153

 

And the last example from a couple days ago... sell signal on 62% fill of the gap, and a 78.6% retracement that gave a buy... both worked!

 

attachment.php?attachmentid=8166&stc=1&d=1222897335

 

I think we just may be onto something here folks!

 

Cheers!

1.jpg.56383b229104e8eedd04322bc9e05613.jpg

2.jpg.34378ccf9fc202a87bf377a0f163aac2.jpg

3.jpg.39e94b063dc1c4af20cb7d44d252d527.jpg

4.jpg.e3169a15581678a624444c10fd3a34ed.jpg

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Thanks Blu-Ray and Spyro!

 

I am looking for some possible uses of this indicator now. So far, it has taught me quite a bit about price action and volumes affect on price, like I have learned from the VSA threads. However, at the moment, this indicator although at times it gives very precise signals, it also gives very imprecise signals.

 

I am assuming there is some use for an indicator like this one in potential auto-trading systems, however one would need to somehow indicate support and resistance levels or give some sort of context for it to operate on, such as swing highs and lows.

 

So far, I just take notice of high volume when it enters the market, but the context around the volume is the most important thing. So, as for using this indicator other than a learning tool, I don't really see it being useful in discretionary trading as you can pick out the volume spikes visually on the chart on your own, without another indicator clouding your view.

 

For discretionary trading, I think this indicator lacks usefulness, as I would much rather just see Price, S/R, Bid/Ask Volume, and Delta and make the direction judgments myself. But, I now see how people are starting to use combinations of volume and price action to develop auto-trading systems, because systems can react much faster to Volume and Price than to moving averages or other lagging indicators.

 

If any of you have some ideas that you'd like to share about the usefulness or ability of this indicator to be developed further, I would love to hear from you.

 

Regards,

David

 

Keep going David, this could turn into something very useful.

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Guys I continue to be amazed by this thing. 61.8/78.6% retracements and double bottoms/tops coincided with this tool are incredibly powerful. Check out the moves from today. Now its up to you on management but I think it would be hard pressed not to be able to walk away with profit after today...

 

Trade 1... 61.8 retracement short.

 

attachment.php?attachmentid=8182&stc=1&d=1222975353

 

Trade 2 & 3, Double Bottom Long, reversed into a 61.8 retrace short.

 

attachment.php?attachmentid=8183&stc=1&d=1222975353

 

Third trade, playing out in the ES as we speak as I type this. Double Bottom Long.

 

attachment.php?attachmentid=8184&stc=1&d=1222975353

 

Hope this gives you some ideas on how to utilize this indicator!

1.thumb.png.694f565437ec8c45fe89adb61f35af9f.png

2.thumb.png.e5089fb7695e777b7cd3aac8eea8a64c.png

3.thumb.png.ee504da2863cfa084b70e40057bfe546.png

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Firstly, I am trying to determine what should signify high volume. I believe that volume is relative, and therefore some days 10,000 contracts in 5 minutes is a lot, and other days 20,000 contracts in 5 minutes is a lot. So, as of now I came up with the condition that if Volume is greater than the previous 6 bars, this should signify great volume. One can use whatever number they like, if one looks back 10 bars, you'll get fewer the signals, and if you look back only 2 bars, you'll get many more signals.

 

1. My first question to you is: How would you determine that a High Volume Spike is with "High Volume"? Do you have a method that would improve my very basic definition of High Volume that would weed out the high volume bars more reliably?

 

Hi Dave,

 

Something I do, is to normalize the volume and then X% above the norm is a volume spike. If you would like more clarification, I can post you my neoticker code for it.

 

All my best,

MK

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Hi Dave,

 

Something I do, is to normalize the volume and then X% above the norm is a volume spike. If you would like more clarification, I can post you my neoticker code for it.

 

All my best,

MK

 

 

Please do MK, I'd like throw that into Ninja.....

 

thanks

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Your wish is my command. Please find the attached delphiscript. This calls the builtin function normVol() which is really just using an X period MA and returning a value as a percentage based on the volume in relation to the average volume. I have tended to use a smallish number (50) on a 1min chart so it adapts throughout the day a bit quicker than if i used a multiday value.

 

 

 

My best,

MK

mk_VolumeSpike_2.txt

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Thanks Midnight!

 

I agree, your method of determining High Volume makes sense.

 

I noticed in the VSA text file on Squat Bars listed in the No Demand/No Supply Indicator that they normalize volume using a 30 MA and put 1,2,3, and 4 Standard deviations around the MA to determine when there is high volume.

 

Are you using this type of indicator for auto-trading or as a discretionary tool?

 

Regards,

David

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Couple of comments with regard to the code/logic. I am only going to comment on the long signal. Obviously reverse for the short side.

 

The only difference between Volspike and Volspike2 conditions are the portions in bold:

 

VolSpike=Low<=Low[1] AND Low<=Low[2] AND Close>=Close[1] AND Close>=Open AND (Close-Open)<(High-Low) AND Volume[1]>Volume[2] AND Volume[1]>Volume[3] AND Volume[1]>Volume[4] AND Volume[1]>Volume[5] AND Volume[1]>Volume[6]

 

VolSpike2=Low>=Low[1] AND Low<=Low[2] AND Close>=Close[1] AND Close>=Open AND (Close-Open)<(High-Low) AND Volume[1]>Volume[2] AND Volume[1]>Volume[3] AND Volume[1]>Volume[4] AND Volume[1]>Volume[5] AND Volume[1]>Volume[6]

 

Since one of Low<=Low[1] or Low>=Low[1] will always true, they do not contribute anything to the if statement of:

 

IF VolSpike OR VolSpike2 THEN

 

and as such is redundant. You can obtain the same result with one line of code by removing these two checks, as follows:

 

VolSpike=Low<=Low[2] AND Close>=Close[1] AND Close>=Open AND (Close-Open)<(High-Low) AND Volume[1]>Volume[2] AND Volume[1]>Volume[3] AND Volume[1]>Volume[4] AND Volume[1]>Volume[5] AND Volume[1]>Volume[6]

 

Also with regard to the logic of:

 

As well, I am looking for a close on the bar after the High Volume Spike that is higher or equal to the open, and for the bar to close off of the lows. I basically ensure closing off the lows by this function (Close-Open)<(High-Low).

 

The check does not do what your logic wants it to do. (Close-Open)<(High-Low), will almost always be true unless the bar opens at the low and closes at the high, at which case you filter out the exact thing you are looking for, i.e. a close off the lows. Also, you can have an instance where the open = close = low in which case the statement will also be true (assuming the high is higher) and you will have a bar which closes at the very low of the bar, which is also exactly the opposite of what you are looking for. I think this will make more sense to remove this check completely and change the check in front of it from (Close>=Open) to (Close>Open), or alternatively replace (Close-Open)<(High-Low) with (Close > Low). For clarity, here are the two complete alternative lines:

 

 

VolSpike=Low<=Low[2] AND Close>=Close[1] AND Close>Open AND Volume[1]>Volume[2] AND Volume[1]>Volume[3] AND Volume[1]>Volume[4] AND Volume[1]>Volume[5] AND Volume[1]>Volume[6]

 

or

 

VolSpike=Low<=Low[2] AND Close>=Close[1] AND Close>=Open AND Close > Low AND Volume[1]>Volume[2] AND Volume[1]>Volume[3] AND Volume[1]>Volume[4] AND Volume[1]>Volume[5] AND Volume[1]>Volume[6]

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Thanks Midnight!

 

I agree, your method of determining High Volume makes sense.

 

I noticed in the VSA text file on Squat Bars listed in the No Demand/No Supply Indicator that they normalize volume using a 30 MA and put 1,2,3, and 4 Standard deviations around the MA to determine when there is high volume.

 

Are you using this type of indicator for auto-trading or as a discretionary tool?

 

Regards,

David

 

Hi David,

 

I just use this as part of the discretionary toolset....

 

All my best,

MK

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Hi justlurkin/davem1979, thx for this indicator on NT. I picked up the first version you had in the thread, were you able to update it later with normalizing the volume concept? will appreciate a pointer to that. Also, have you or some one else ported the VSA No Demand No Supply indicator for Ninja Trader? thanks again.

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Hi justlurkin/davem1979, thx for this indicator on NT. I picked up the first version you had in the thread, were you able to update it later with normalizing the volume concept? will appreciate a pointer to that. Also, have you or some one else ported the VSA No Demand No Supply indicator for Ninja Trader? thanks again.

 

I am also wondering if there is a newer VSA for ninja... ?

 

Mike

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#10 10-02-2008, 02:24 PM -

daedalus

daedalus is mastering pure price action

 

 

 

Trader Specs Join Date: Jul 2007

Location: Omaha, NE

Posts: 265

Thanks: 117

Thanked 122 Times in 61 Posts

iTrader: (0)

 

Re: High Volume Spike Reversal Indicator Development

 

--------------------------------------------------------------------------------

 

Guys I continue to be amazed by this thing. 61.8/78.6% retracements and double bottoms/tops coincided with this tool are incredibly powerful. Check out the moves from today. Now its up to you on management but I think it would be hard pressed not to be able to walk away with profit after today...

 

Trade 1... 61.8 retracement short.

 

 

deadalus (or any other friendly soul)

 

Any chance of getting this in an ELD form for TS? Please:question:

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Here is the same basic code as daedalus posted. ( I re-wrote it only to get my head around it)

Vars:
iVolume(0),
UPColor(green),
DOWNColor(red),
NOColor(black);

If bartype < 2 then 
iVolume = Ticks 

else 
iVolume = volume;


noplot(1);

if iVolume[1] > highest(iVolume,5)[2] then begin     // HIGH VOLUME SPIKE 
if absvalue(O-C)<(H-L)then begin    // o and c not at h and l's ??  see below
 if L <= L[2] and 
   C >= C[1] and
   C >= O then
  Plot1(1,"Spike", UPColor);

 if H >= H[2] and 
   C <= C[1] and
   C <= O then
  Plot1(-1,"Spike", DOWNColor);

end; // if absvalue(O-C)<(H-L)

end; // if iVolume[1] > highest(iVolume,5)[2] 

 

The questions that arose are:

Why is this testing last bar instead of current bar for the volume condition?

And

what is the purpose of absvalue(O-C)<(H-L) ? o and c not at h and l's ?? (sevensa asked the same thing a few posts back) Thanks.

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Thanks Daedalus, Zdo and Cooper59 for your continued interest in this indicator...

 

Zdo---you brought up some good questions. My answers are below your questions.

 

1. "Why is this testing last bar instead of current bar for the volume condition?"

 

I originally was just looking at the bar with the High Volume then checking to see if the bar after the high volume showed a price reversal. I think we could add another condition that would reduce the amount of signals by qualifying the type of volume needed in the current bar. Also, this indicator is testing the bar one bar ago because it needs the current bar to show a price reversal. If the price reversal doesn't come, then the indicator won't give a signal. Hopefully this answers what you are asking.

 

2. What is the purpose of absvalue(O-C)<(H-L) ? o and c not at h and l's ?? (sevensa asked the same thing a few posts back) Thanks."

 

Your point is valid and your logic better than mine---I just wanted to make sure that the close was not on the low---it should just say Close does not equal Low...Much simpler---We could go further depending on what time frame you are using to trade, for instance on a 1 min chart---Close does not equal Low may be sufficient as the range of the bars are generally small, but on larger time frames, we could stipulate where the close must be in relationship to the low etc...

 

Lastly, maybe someone could code in for Ninja Trader and Tradestation the option to use High Volume based on something like 1.5x or some user defined multiplier of the average X bars of volume...

 

Best,

David

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Hello

I wonder if it is possible to get indicator for MT4?

Regards

 

 

Many people have asked for MT4 versions of indicators in various threads.

 

Yes it is possible.

 

BUT... you have to help develop the MT4 community first.

 

 

1. You can start by posting your indicators.

2. Contribute your experience in discussions.

3. Share your knowledge from your researches.

 

the more people post their MT4 indicators, the more indicators you will get.

 

 

If you don't have any of the above, then you can wait in silence...

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Regarding MT4---I am not aware that volume information reported in MT4 is truly accurate or valid. I know for currencies that the volume in MT4 is only the volume reported by each individual broker, thus it is not really an accurate representation of what is really happening. There are many forum posts that talk about this issue of forex and volume...

 

Since this indicator needs an accurate volume picture, I'm not sure that porting this to MT4 is the best idea unless you know that the volume in the MT4 feed is truly accurate...

 

Best,

David

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