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VSA for ThinkorSwim
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VSA for ThinkorSwim

  #241 (permalink)
Elite Member
Canada
 
Futures Experience: Advanced
Platform: Sierra Chart
Favorite Futures: ES,6E
 
marcovth's Avatar
 
Posts: 25 since Jun 2010
Thanks: 1 given, 27 received

Hopefully my code is correct ...

 
Code
# M_PriceSpikes

declare lower;
rec stdDev = stdev(close, 21);
plot spike=(close-close[1])/stdDev[1];

spike.setPaintingStrategy(PaintingStrategy.HISTOGRAM);
spike.AssignValueColor(if spike >0 then color.green else color.red);
spike.SetLineWeight(4);

plot zero=0; zero.AssignValueColor(color.GRAY);
plot one=1; one.AssignValueColor(color.GREEN);
plot mone=-1; mone.AssignValueColor(color.RED);

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  #242 (permalink)
Elite Member
Canada
 
Futures Experience: Advanced
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Favorite Futures: ES,6E
 
marcovth's Avatar
 
Posts: 25 since Jun 2010
Thanks: 1 given, 27 received

Not sure what to make of this yet, because I have never seen this kind of display ...

 
Code
# M_PriceSpikes_With_VolumePressure

declare lower;


rec stdDevPrice = stdev(close, 21);
rec pricespike=(close-close[1])/stdDevPrice[1];
plot spike=pricespike;
spike.setPaintingStrategy(PaintingStrategy.HISTOGRAM);
spike.AssignValueColor(if spike >0 then color.green else color.red);
spike.SetLineWeight(5);

plot zero=0; zero.AssignValueColor(color.GRAY);
plot one=1; one.AssignValueColor(color.GREEN);
plot mone=-1; mone.AssignValueColor(color.RED);

rec stdDevVol = stdev(volume, 21);
rec volspike = if close > close[1] then -(volume/stdDevVol[1]) else (volume/stdDevVol[1]);
plot vspike=volspike;
vspike.setPaintingStrategy(PaintingStrategy.HISTOGRAM);
vspike.AssignValueColor(if vspike > 0 then color.red else color.green);
vspike.SetLineWeight(3);


rec tail= if close > open then open-low else close-low;
rec stdDevTail = stdev(tail, 21);
rec tailspike = -(tail/stdDevTail[1]);
plot tspike=tailspike;
tspike.setPaintingStrategy(PaintingStrategy.HISTOGRAM);
tspike.AssignValueColor(color.yellow);
tspike.SetLineWeight(1);


rec head= if close > open then high-close else high-open;
rec stdDevHead = stdev(head, 21);
rec headspike = (head/stdDevHead[1]);
plot hspike=headspike;
hspike.setPaintingStrategy(PaintingStrategy.HISTOGRAM);
hspike.AssignValueColor(color.white);
hspike.SetLineWeight(1);


Last edited by marcovth; November 5th, 2010 at 02:49 PM.
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  #243 (permalink)
Trading for Profit
Chicago + Illinois/USA
 
Futures Experience: Beginner
Platform: ThinkOrSwim
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StockJock's Avatar
 
Posts: 256 since Aug 2010
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marcovth,

Thanks for sharing the codes for your indicators.

I'm still learning VSA and it seem like it doesn't involve calculated indicators. Except for the time averaging calculation in the VPA indicator in this thread, the other formulae are only comparisons between the current bar and volume in relation to the recent bars and volumes. As for volume spikes, take a look at the attached chart image and look at the spikes.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

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  #244 (permalink)
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How do I add Snowcloud's VPA indicator to TOS? When I save it to my desktop, my pc wants to convert it to a media file... Thanks.

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  #245 (permalink)
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ctmvas View Post
How do I add Snowcloud's VPA indicator to TOS? When I save it to my desktop, my pc wants to convert it to a media file... Thanks.

i figuerd it out

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  #246 (permalink)
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marcovth's Avatar
 
Posts: 25 since Jun 2010
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Quick thought ...

I understand that the volume comparisons are made based on averaged volume over, say, 30 bars.

Would it make sense to (also) base the volume comparisons over de average volume of the same timeslot over the last 15 trading days.

A 10 minute bar at 11:10 could be compared with the same 11:10 bar from the previous 15 days.

If you detect a VSA pattern with the last 30 bar average, it would be nice if it could be confirmed with timeslot based averages.

Velocity often occurs at similar times if the day. Extreme velocities could possibly be fished out this way?

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  #247 (permalink)
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Futures Experience: Advanced
Platform: Infinity, IB, TOS
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marcovth View Post
Quick thought ...


Would it make sense to (also) base the volume comparisons over de average volume of the same timeslot over the last 15 trading days.

That's an interesting idea but as far as I know it doesn't fall into the category of VSA.

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  #248 (permalink)
Trading Apprentice
USA
 
Futures Experience: Beginner
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Posts: 11 since Sep 2010
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So then....with the new TOS build and the volume all screwed up on the intra day charts, along with other issues within the build....how do we trade this...I am sit on hands until things get ironed out, or I switch brokers.

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  #249 (permalink)
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dqbuzz View Post
So then....with the new TOS build and the volume all screwed up on the intra day charts, along with other issues within the build....how do we trade this...I am sit on hands until things get ironed out, or I switch brokers.

FreeStockCharts.com - Web's Best Streaming Realtime Stock Charts - Free works perfectly fine when TOS fails.

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  #250 (permalink)
Trading for Fun
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Platform: Infinity, IB, TOS
Favorite Futures: currency futures
 
Posts: 93 since Jul 2010
Thanks: 2 given, 24 received



dqbuzz View Post
So then....with the new TOS build and the volume all screwed up on the intra day charts, along with other issues within the build....how do we trade this...I am sit on hands until things get ironed out, or I switch brokers.

Yeah, it's definitely not easy. I've been using my IB charts when ToS has been particularly slow but, of course, there's no VPA study in IB. ;(

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