Volume Delta Oscillator - Traders Laboratory

Volume Delta Oscillator

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tickdeltaosc.jpg (76.4 KB, 844 views)

Attached Files

VOLUME DELTA OSC.ELD (5.7 KB, 367 views)

Software Version: , by Soultrader (Founder of TL!) Soultrader is offline

Developer Last Online: May 2008

Trading Platform:	Rating: -
Release Date: 02-02-2007	Last Update: n/a	Installs: 39

Here is the oscillator version of the Volume Delta created by Walterw. It shows the flow of the Volume Delta very nicely. If you like them oscillators and price divergences, this one is for you.

All credits go out to Walterw for creating this indicator. Screenshot is attached.

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By jperl on 12-08-2007, 10:10 AM

Re: Volume Delta Oscillator

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

1 links from elsewhere to this Post. Click to view.

#1 (permalink)

By Blu-Ray on 12-08-2007, 10:18 AM

Re: Volume Delta Oscillator

	Quote:	jperl
	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

#2 (permalink)

By jperl on 12-08-2007, 11:28 AM

Re: Volume Delta Oscillator

Quote:

Blu-Ray

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

#3 (permalink)

By Blu-Ray on 12-08-2007, 11:53 AM

Re: Volume Delta Oscillator

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

#4 (permalink)

By jperl on 12-08-2007, 12:09 PM

Re: Volume Delta Oscillator

	Quote:	Blu-Ray
	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

#5 (permalink)

By drsushi on 02-13-2008, 06:50 PM

Re: Volume Delta Oscillator

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

#6 (permalink)

By Soultrader on 02-14-2008, 01:25 AM

Re: Volume Delta Oscillator

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.

#7 (permalink)

By LS_Chad on 02-14-2008, 07:48 AM

Re: Volume Delta Oscillator

Here is a Volume Delta chart for Investor/RT:

http://www.charthub.com/images/2008/...olumeDelta.png

In the second pane, the buying volume is shown in light green, the selling volume in light red, and the delta in darker shades of green and red, using the Volume Breakdown Indicator.

#8 (permalink)

By Soultrader on 02-14-2008, 08:00 AM

Re: Volume Delta Oscillator

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

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