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VSA for ThinkorSwim


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VSA for ThinkorSwim

  #131 (permalink)
StockJock
Chicago + Illinois/USA
 
Posts: 256 since Aug 2010
Thanks Given: 15
Thanks Received: 154

I've heard that Smart Money (SM or as Wyckoff called them the Composite Operator (CO)) consists of [COLOR=#22229c]Market Makers[/COLOR], [COLOR=#22229c]Specialists[/COLOR], Institutions, Large Traders (see [COLOR=#22229c]The COT Report[/COLOR]) who provide liquidity for Commercials hedging a market, and, with the ever advancing computer systems, [COLOR=#22229c]Dark Pools[/COLOR], and the mathematical whizzes known as [I][COLOR=#22229c]Quants[/COLOR][/I]. Wyckoff felt that an experienced judge of the market should regard the whole story that appears on The Tape as though it were the expression of a single mind. I think what he means is that it would be hard to identify the influences of each SM individually and it may be of little value to do so. He is saying that all we need to consider is that the market is being collectively influenced by SM.

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  #132 (permalink)
 swimtrader 
Sarasota, FL USA
 
Experience: Advanced
Platform: TOS, NinjaTrader
Broker: Mirus/Zenfire & TOS
Trading: ES
Posts: 22 since Sep 2010
Thanks Given: 0
Thanks Received: 19

Snow,

Let me give you a simple framework for success. Simplicity is elegant. Principals trump algorithms.

1) You only trade "with" the Commercials (aka "syndicate traders, OTF (Other Time Frame), "Smart Money", central bankers, institutional investors).
2) You only trade Accumulation and Distribution ...and then, only when Wyckoff's classic tests are satisfied and the market is in balance (Auction Market Theory).

That's it.

You position size by fixed fractional (Kelly) and you constantly measure your performance.

It's simple; it's just not that easy.

However, the only thing you need to write thinkscript for ...are studies that help you recognize Wyckoff's classic tests. (Oh yeah, you've got to understand the Volume Profile. But it can made simple ...and you don't have to do any programming.)

Think about it. (Think Wyckoff though ...not VSA ...VPA ...VRA!)
Steve

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  #133 (permalink)
snowcloud
LA, CA
 
Posts: 93 since Jul 2010
Thanks Given: 2
Thanks Received: 25



swimtrader View Post
So where's the better use of your precious time? Studying Wyckoff/Williams ...then looking for illustrative examples on your TOS chart ...or writing code?

That's a tough one. It gets into why you work hard and then share freely with others. You blog; you collaborate. All of that's a good thing ...but ...you decide.

There's merit, as you point out, in working through the examples and grinding through the code. I totally get that ...and you do too. Maybe that's enough reason to persevere.

Thanks for your thought-provoking post. At this point I'm dedicated to tweaking the VPA indicator for use as a tool in my own trading and for its educational value. I am grateful for having this forum to hear what other traders have to say about the VPA indicator in particular and about VSA/Wyckoff/Williams in general.

In my own case I am combining VPA with Fibs, S/R levels, and my own eyes on the 6e.

Thanks for your input!

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  #134 (permalink)
StockJock
Chicago + Illinois/USA
 
Posts: 256 since Aug 2010
Thanks Given: 15
Thanks Received: 154

In these comparitive studies, I haven't heard either of you make reference to the Better Volume indicator. Do you guys have any comments about its accuracy? See attachments.

TS_BetterVolume (02/01/2010)
Time Averaging of Volume is calculated by
the Volume's Average over a lookback period

BetterVolume_STUDY (8/5/2010)
Time Averaging of Volume is calculated by
the Volume's Standard Deviation (STD),
the Volume's WildersAverage

VPAv1_06bSTUDY (09/01/2010)
Time Averaging of Volume is calculated by
the Volume's Exponential Moving Average (EMA),
the compoundValue of the EMA,
the STD of the EMA
and
the WildersAverage of the Price Spread

All three indicators use different volume averaging formulas and I'm not sure what the reasoning is behind that is; however, if the displayed colors and symbols provide the correct information that is all that matters. I think that after snowcloud collects everyone's feedback and makes his revisions, his should be the best indicator from this comparison.

swimtrader,
I tried looking for the discussion you referenced in the ThinkScripter forum about your participation in the development of the Better Volume indicator for TOS and I couldn't find it. The Better Volume indicator posted there is coded differently from the one you posted on this forum. In the code of the one you posted, there has been a lot of code removed compared to the one posted there. Do you have any information on that?

Attached Files
Elite Membership required to download: BetterVolume_STUDY.txt
Elite Membership required to download: TS_BetterVolume_Indicator.txt
Elite Membership required to download: VPAv1_06bSTUDY.txt
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  #135 (permalink)
StockJock
Chicago + Illinois/USA
 
Posts: 256 since Aug 2010
Thanks Given: 15
Thanks Received: 154

Attached is

Wyckoff Tests: Nine Classic Tests For Accumulation; Nine New Tests For Re-Accumulation

by Henry O. (Hank) Pruden, Ph.D.

Attached Thumbnails
VSA for ThinkorSwim-wyckoff-tests-nine-classic-tests-accumulation.pdf  
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  #136 (permalink)
 swimtrader 
Sarasota, FL USA
 
Experience: Advanced
Platform: TOS, NinjaTrader
Broker: Mirus/Zenfire & TOS
Trading: ES
Posts: 22 since Sep 2010
Thanks Given: 0
Thanks Received: 19

Stock,

The discussion you're looking for is a members only one ...so you'd have to join. It was the most viewed and I've screen shot the thread - attached. I've discussed everything you're wanting to know there.

All the best,
Steve

Attached Thumbnails
Click image for larger version

Name:	Thinkscripter Forum.png
Views:	485
Size:	31.4 KB
ID:	20276  
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  #137 (permalink)
StockJock
Chicago + Illinois/USA
 
Posts: 256 since Aug 2010
Thanks Given: 15
Thanks Received: 154

Ok. So this must be the one to use (BetterVolume_Study.ts), since there were 144 comments in the thread to develop it. Did they develop a ZigZag indicator? The one in TOS cannot be viewed.

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  #138 (permalink)
StockJock
Chicago + Illinois/USA
 
Posts: 256 since Aug 2010
Thanks Given: 15
Thanks Received: 154

swimtrader,

In the Better Volume Indicator the colors for the High Volume Churn and the Price Churn are the same. I wonder if it would be better to have them different?

 
Code
 
BetterVolume.DefineColor("ClimaxUpColor", color.red);
BetterVolume.DefineColor("ClimaxDnColor", color.white);
BetterVolume.DefineColor("HighVolumeChurnColor", CreateColor(51, 102, 255));
BetterVolume.DefineColor("LowVolumeColor", color.yellow);
BetterVolume.DefineColor("ClimaxChurnColor", color.magenta);
BetterVolume.DefineColor("DefaultColor", CreateColor(51, 51, 51));
BetterVolume.DefineColor("PriceChurnColor", CreateColor(51, 102, 255));
BetterVolume.DefineColor("SpikeColor", color.cyan);
Also I was thinking about adding the color legend on the chart as labels.

 
Code
#
# *************************************************************
# INDICATOR'S COLOR LEGEND
# *************************************************************
AddChartLabel(yes, "Amateur Trading",  BetterVolume.color("LowVolumeColor"));
AddChartLabel(yes, "Smart Money Volume Churn", BetterVolume.color("HighVolumeChurnColor"));
AddChartLabel(yes, "Smart Money Price Churn", BetterVolume.color("PriceChurnColor"));
AddChartLabel(yes, "Climax Down", BetterVolume.color("ClimaxDnColor"));
AddChartLabel(yes, "Climax Up", BetterVolume.color("ClimaxUpColor"));
AddChartLabel(yes, "Climax Churn", BetterVolume.color("ClimaxChurnColor"));
AddChartLabel(yes, "Smart Money Spike", BetterVolume.color("SpikeColor"));
AddChartLabel(yes, "Normal", BetterVolume.color("DefaultColor"));
If snowcloud makes the revisions from all the user comments, his VPA indicator will be much more informative. I'm looking forward to the final results.

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  #139 (permalink)
snowcloud
LA, CA
 
Posts: 93 since Jul 2010
Thanks Given: 2
Thanks Received: 25

A trader sent me a Cheat Sheet for the VPA with the colors, shapes, definitions, and consensus meanings for the symbols. I modified it a bit and added the descriptions. You'll find that the descriptions on the Cheat Sheet don't match the ones you see on the screen because I haven't changed the code yet. The general meaning of each description is the same, however.

Attached Files
Elite Membership required to download: VSA Cheat Sheet_03.xlsx
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  #140 (permalink)
StockJock
Chicago + Illinois/USA
 
Posts: 256 since Aug 2010
Thanks Given: 15
Thanks Received: 154


Snowcloud,
I noticed one of the symbols on the chart looks like a triangle superimposed over a circle. Is that intended as a seperate symbol (combination) or are they suppose to individual symbols that just happened to land on each other?

Also, looking through the code, it appears that there's one alert option that is setoff for any and all symbols. Maybe users would like more control over which symbol sets off an alarm (i.e. a seperate alarm for each symbol that can be turned on/off)?

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