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VSA for ThinkorSwim


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VSA for ThinkorSwim

  #241 (permalink)
 
marcovth's Avatar
 marcovth 
Canada
 
Experience: Advanced
Platform: Sierra Chart
Trading: ES,6E
Posts: 25 since Jun 2010
Thanks Given: 1
Thanks Received: 30

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)
 
marcovth's Avatar
 marcovth 
Canada
 
Experience: Advanced
Platform: Sierra Chart
Trading: ES,6E
Posts: 25 since Jun 2010
Thanks Given: 1
Thanks Received: 30

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);

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


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.


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  #244 (permalink)
 ctmvas 
Big City, MA
 
Experience: Intermediate
Platform: AMP Ninjatrader
Trading: ES, CL, NQ, TF
Posts: 79 since Nov 2010
Thanks Given: 3
Thanks Received: 16

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)
 ctmvas 
Big City, MA
 
Experience: Intermediate
Platform: AMP Ninjatrader
Trading: ES, CL, NQ, TF
Posts: 79 since Nov 2010
Thanks Given: 3
Thanks Received: 16


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)
 
marcovth's Avatar
 marcovth 
Canada
 
Experience: Advanced
Platform: Sierra Chart
Trading: ES,6E
Posts: 25 since Jun 2010
Thanks Given: 1
Thanks Received: 30

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


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)
dqbuzz
USA
 
Posts: 11 since Sep 2010
Thanks Given: 5
Thanks Received: 1

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)
 
marcovth's Avatar
 marcovth 
Canada
 
Experience: Advanced
Platform: Sierra Chart
Trading: ES,6E
Posts: 25 since Jun 2010
Thanks Given: 1
Thanks Received: 30


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



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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