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Anyone tried FVE indicator? On Ninjatrader?
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Anyone tried FVE indicator? On Ninjatrader?

  #1 (permalink)
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Anyone tried FVE indicator? On Ninjatrader?

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.

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

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Anyone tried FVE indicator? On Ninjatrader?-msft-daily-9_9_2013-1_3_2014.jpg  
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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.

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Last edited by Fat Tails; January 6th, 2014 at 04:26 PM.
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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.

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cory & Fat Tails,

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

Wish you the best always!

Happy new year!

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

Really appreciate all the work you guys do.

Thanx.

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Dude...seriously?


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?

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Harry & all

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?

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This looks very interesting

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

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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.

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