NexusFi: Find Your Edge


Home Menu

 





Anyone tried FVE indicator? On Ninjatrader?


Discussion in NinjaTrader

Updated
      Top Posters
    1. looks_one Fat Tails with 6 posts (37 thanks)
    2. looks_two wldman with 4 posts (2 thanks)
    3. looks_3 dnkhoward2 with 3 posts (0 thanks)
    4. looks_4 Zondor with 2 posts (2 thanks)
      Best Posters
    1. looks_one cory with 8 thanks per post
    2. looks_two Fat Tails with 6.2 thanks per post
    3. looks_3 Zondor with 1 thanks per post
    4. looks_4 wldman with 0.5 thanks per post
    1. trending_up 7,890 views
    2. thumb_up 50 thanks given
    3. group 14 followers
    1. forum 19 posts
    2. attach_file 10 attachments




 
Search this Thread

Anyone tried FVE indicator? On Ninjatrader?

  #1 (permalink)
 Righteous7 
Hong Kong
 
Experience: Beginner
Platform: Jforex, MetaTrader4, NinjaTrader, MultiCharts, Sierra Chart
Trading: TF, NG, CL, GC, FDAX, FGBL
Posts: 38 since May 2013
Thanks Given: 37
Thanks Received: 35

Hi,

I've found an interesting article on Finite Volume Elements (FVE), it seems like a good volume-based indicator that works well with divergence:
http://www.mkatsanos.com/FVE.html

I couldn't find this indicator for Ninjatrader, but is available Investor RT:
http://www.linnsoft.com/tour/techind/fve.htm



Thanks You.

Started this thread Reply With Quote
Thanked by:

Can you help answer these questions
from other members on NexusFi?
Are there any eval firms that allow you to sink to your …
Traders Hideout
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
Deepmoney LLM
Elite Quantitative GenAI/LLM
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
39 thanks
NexusFi site changelog and issues/problem reporting
26 thanks
Battlestations: Show us your trading desks!
26 thanks
The Program
18 thanks
  #2 (permalink)
 
cory's Avatar
 cory 
virginia
 
Experience: Intermediate
Platform: ninja
Trading: NQ
Posts: 6,098 since Jun 2009
Thanks Given: 877
Thanks Received: 8,090

@Righteous7 here you go, note: indi is smoothed with HMA.

Attached Thumbnails
Click image for larger version

Name:	MSFT (Daily)  9_9_2013 - 1_3_2014.jpg
Views:	395
Size:	62.4 KB
ID:	132690  
Attached Files
Elite Membership required to download: FVE.zip
Reply With Quote
  #3 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102


I have tried to understand what the indicator is all about. Here is a bit of the history.


Daily FVE (Finite Volume Elements)

The code was first presented by Markos Katsanos in the April 2003 issue of Technical Analysis of Stocks and Commodities. The original formula was meant to be applied to daily data only. The formula was not volatility based, but took a fixed percentage of the daily close to define a threshold, below which volume was ignored. The formula of the daily FVE does not pass Eckhardt's coherency test.


Volatility adjusted FVE

In the September 2003 issue of Technical Analysis of Stocks and Commodities, Markos Katsanos presented an enhanced volatility adjusted formula of the FVE indicator. The modified indicator can be used over all instruments and timeframes and would - in my opinion, not tested - pass the coherency test.


Simplified version

The volatility adjusted FVE uses a pretty complex formula to identify the volatility threshold. This can be replaced with a simple formula based on the average range over the lookback period. I have further made a small modification. On live intraday chart volatility should never be calculated including the current bar, if the indicator is set to COBC = false. Therefore I have used the volatility index one bar ago. The benefit of the simplified version is that it creates a lower CPU load compared to the original version.


The charts below compare

- the original daily FVE (formula Markos Katsanos)
- the volatility adjusted FVE (formula Markos Katsanos)
- the simplified FVE

The comparison is only possible for daily data, as the original daily FVE cannot be used with intraday data.




Attached Files
Elite Membership required to download: anaFVE.zip
Reply With Quote
  #4 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102


cory View Post
@Righteous7 here you go, note: indi is smoothed with HMA.

Clean code. I like that you added an option to modify the cutoff coefficient. That makes sense! I will add it to my indicator version as well.

Reply With Quote
Thanked by:
  #5 (permalink)
 Righteous7 
Hong Kong
 
Experience: Beginner
Platform: Jforex, MetaTrader4, NinjaTrader, MultiCharts, Sierra Chart
Trading: TF, NG, CL, GC, FDAX, FGBL
Posts: 38 since May 2013
Thanks Given: 37
Thanks Received: 35

cory & Fat Tails,

Thank you very much for your tremendous help, I really really appreciate it!!

Wish you the best always!

Happy new year!

Started this thread Reply With Quote
  #6 (permalink)
 
dbarno's Avatar
 dbarno 
Madison, Wi
 
Experience: Intermediate
Platform: Ninja Trader, Trade Navigator
Trading: CL,GC, HG
Posts: 79 since Jul 2012
Thanks Given: 155
Thanks Received: 82

Is there a list out there of what indicators do pass the Eckhardt consistency test?

Really appreciate all the work you guys do.

Thanx.

Reply With Quote
  #7 (permalink)
 
wldman's Avatar
 wldman 
Chicago Illinois USA
Legendary Market Wizard
 
Experience: Advanced
Broker: IB, ToS
Trading: /ES, US Equities/Options
Frequency: Several times daily
Duration: Hours
Posts: 3,507 since Aug 2011
Thanks Given: 2,046
Thanks Received: 9,491


dbarno View Post
Is there a list out there of what indicators do pass the Eckhardt consistency test?

Really appreciate all the work you guys do.

Thanx.

A request like that really presses the fence...like asking a guy if you can sleep with his wife. Do a little research and then share your result. Put forward petitions in the form of a collaboration by asking what others might suggest to improve your effort.

If you can't do that or do not understand my point, why not just send your money to someone else to manage?

Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #8 (permalink)
 
wldman's Avatar
 wldman 
Chicago Illinois USA
Legendary Market Wizard
 
Experience: Advanced
Broker: IB, ToS
Trading: /ES, US Equities/Options
Frequency: Several times daily
Duration: Hours
Posts: 3,507 since Aug 2011
Thanks Given: 2,046
Thanks Received: 9,491

Going to read that article first then study the thread a bit BUT, I have been looking for a clean volume based indicator that works in my evaluative metric. BTW @Fat Tails the item named anaFVED, is that D for daily?

Visit my NexusFi Trade Journal Reply With Quote
  #9 (permalink)
 
wldman's Avatar
 wldman 
Chicago Illinois USA
Legendary Market Wizard
 
Experience: Advanced
Broker: IB, ToS
Trading: /ES, US Equities/Options
Frequency: Several times daily
Duration: Hours
Posts: 3,507 since Aug 2011
Thanks Given: 2,046
Thanks Received: 9,491

Thank you to all who are participating. @Fat Tails in the new ana series for this is anaFVE2 the simplified more efficient version you made? Thanks. Dan

Visit my NexusFi Trade Journal Reply With Quote
  #10 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102



dbarno View Post
Is there a list out there of what indicators do pass the Eckhardt consistency test?

Really appreciate all the work you guys do.

Thanx.

Eckhardt Coherency Test

For the c-test by William Eckhardt, please have a look at the may 1994 issue of Technical Analysis of Stocks and Commodities. In that issue he shows that the PFE (polarized fractal efficiency) does not pass the c-test.

An indicator which passes Eckhardt's c-test produces similar values across all timeframes. Good examples for indicators that pass the c-test are the Stochastics, the RSI, the CCI, the Aroon Oscillator or the Kaufman Efficiency. Examples for indicators that do not pass the test are the MACD, Momentum or the ATR.

There is an indicator available on the NinjaTrader forum that allows to perform a coherency test for all NinjaTrader indicators. Unfortunately, that indicator is flawed. A modified version with the apparent bug removed can be found below. Apply the c-test indicator to your chart, then select the indicator string as needed, and it will tell you whether the indicator passes the test.


Attached Files
Elite Membership required to download: CTestModified.zip
Reply With Quote




Last Updated on January 8, 2014


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts