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VSA for ThinkorSwim
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VSA for ThinkorSwim

  #71 (permalink)
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StockJock View Post

As for VSA, I have found a number of pdf documents that discuss the concept. Would this be the correct thread to post them for members to read?


Here would be fine I guess. I sent a message to Big Mike suggesting a document download section categorized by trading paradigm (i.e. VSA, market profile, price action, etc.) for easy navigation. I don't know if he will do it. At least the documents will be on this thread for prosperity if it is not easy to locate.

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-C

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  #72 (permalink)
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If the documents are just general VSA documents, then it doesn't really belong in the "Programmers Paradise" section, where this thread is. Instead, it belongs in Traders Hideout in a general thread about VSA. One such thread already exists:

https://futures.io/traders-hideout/2503-volume-spread-analysis-vsa-volume-spread-analysis.html

You can simply use that thread to discuss general VSA techniques, not related to programming of a specific indicator or set of indicators, and attach documents to that thread. For now, I am not going to create any new categories in our Downloads section, as I am in the middle of a several month long project of completely redoing the entire download section and making it more thread oriented.

Mike

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  #73 (permalink)
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VPA Study with Changes


After a few weeks work I have finished this round of changes to the study. Some of the changes are referenced in previous posts but many are not. One thing that bothered me about the original study was that the color scheme assigned to the symbols seemed to make no sense at all. (By reading a NinjaTrader thread on the original code I discovered that the programmer himself was less than satisified with the color scheme). I changed it using the ROYGBIV color spectrum as a model. I also added UpArrow and DownArrow symbols to indicate the strongest indications. The legend and a brief explanation is pasted below.

I was also bothered by the fact that candles identified as UpThrusts often don't look anything like traditional UpThrusts. However, in most cases the Red Squares, Triangles, and DownArrows attached to those candles seem to work pretty well as indications of an impending downtrend. Because they seem to work pretty well as indicators I decided not to change the underlying code, at least until I have a clearer picture of why they work but don't look like UpThrusts. I'm still watching them.

Another thing I noticed is that often times a group of two or three candles that don't contain an UpThrust identification individually would be considered an UpThrust if taken together. So, I added Two Period and Three Period UpThrust indicators. I just did this today so I'm still evaluating their effectiveness.

I'm very interested in hearing what works, what doesn't work, and what other traders think of this study so please post comments, criticisms, etc. here. I won't have much time to devote to tweaking the code in the next few weeks or months because of other projects I am working on, but I'm still very interested in hearing comments about the study.

Btw, I use this study mostly on 2-minute candles, but am also watching it on 5 and 15-minute candles. I've attached an image of a chart from this morning which shows, among other things, two really good examples of various kinds of UpThrusts (Red Square, Triangle, and DownArrow; Magenta Three Period UpThrust) indicating impending downtrends. It also shows two good examples of Stopping Volume (Green Circle) after the first downtrend of the second test of highs at around 7:00 and at the end of the longer-term downtrend at about 8:00.

And finally, I don't know why the original code for NinjaTrader is called VPA (Volume Price Analysis) instead of VSA but I just kept the acronym in the filename for consistency's sake.

Legend from the study Comments:
# This is a conversion of the NinjaTrader VPA indicator. ToS does not support directional
# triangles and diamonds, so there are some differences. The triangles are left as is, just
# not pointing a specific direction. The diamonds have been replaced with circles.

# C_RP Original notes by cbritton are above. Changes made after 20100722 by Richard Paske are marked below by the C_RP comment tag. A few bugs were fixed. More significantly, the color scheme for symbols was changed radically in an attempt to map directional strength to hue based on the ROYGBIV color spectrum. In addition, a symbol's shape and its vertical position above or below a candle now imparts added meaning to it. In general, the strength of a symbol is assigned by its color and shape in that order. In certain circumstances a symbol's vertical offset from its candle's top or bottom strengthens the symbol's meaning. The symbol strength hierarchy is defined as follows:

# 1. Color: Symbols below candles are assigned strength from weakest to strongest in this order: white (or grey), cyan (blue/green), green. A red symbol under a candle indicates the failure of the symbol attached below the candle immediately preceding it.
# Symbols above candles are assigned strength from weakest to strongest in this order: yellow, orange, red. A green symbol above a candle indicates the failure of a symbol attached above the candle immediately preceding it. A magenta (pinkish purple) square above a candle is a special case indicating Distribution. Another special case for testing purposes as of 20100830 is a white triangle high above a candle indicating a Gravestone Doji.
# Symbols drawn on the middle of a candle are of two types with one variation. A green circle indicates Effort to Move Up on up bars. A magenta (pinkish purple) circle indicates Effort to Move Down on down bars except for red down bars on which magenta displays poorly. In order to be seen easily, yellow circles indicate Effort to Move Down on red down bars.

# 2. Shape: A symbol of a given color is assigned increasing strength according to this hierarchy (from low to high): circle, square, triangle, downward or upward arrow. In certain circumstances two symbols of the same shape and color will be stacked vertically, adding strength through the combined symbols. Occasionally, two different symbols will be stacked vertically because that candle satisfies the criteria for two indications.

# Listed below are the symbols and their meanings.

# ___Symbols Below Candles___
# White Square - Test for Supply
# Cyan Circle - No Supply
# Cyan Triangle - Successful Test for Supply
# 2 Cyan Triangles - Successful Test for Supply 2

# Grey Square - Test for Supply in Uptrend

# Green Circle - Stopping Volume

# Cyan Square - Strength in Downtrend
# Green Square - Strength in Downtrend 1
# Green Triangle - Strength in Downtrend 2
# Green UpArrow - Strength Confirmation Bar
# 2 Green UpArrows - Strength Confirmation Bar with High Close
# Red Square - Failed Strength Signal


# ___Symbols in the Middle of Candles___
# Green Circle - Effort to Move Up
# Magenta Circle - Effort to Move Down
# Yellow Circle - Effort to Move Down on Red Down Candles

# ___Symbols Above Candles___
# White Triangle - Gravestone Doji (included as an experiment as of 20100830 to test its usability in the UpThrust category)
# Yellow Triangle - Weakness

# Orange Circle - No Demand
# Orange Square - PseudoUpThrust
# Orange Triangle - PseudoUpThrust Confirmation

# Red Square - UpThrust
# Red Triangle - Confirmed UpThrust Condition 1
# Red DownArrow - Confirmed UpThrust Condition 2 or 3
# Green Square - Failed UpThrust or PseudoUpThrust Confirmation

# Red Circle - Reversal Likely
# Magenta Square - Distribution
# Magenta Triangle - Two or Three Period UpThrust

Attached Thumbnails
VSA for ThinkorSwim-2010-09-01_2-tos_charts.jpg  
Attached Files
Register to download File Type: ts VPAv1_06bSTUDY.ts (33.8 KB, 268 views)
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  #74 (permalink)
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Thanks for your efforts in producing this.

Been a bit of a lurker as I'm a bit of a novice to trading, (and didn't want to make the whole world aware of my shortcomings and lack of knowledge), though not to 'investing'.

Believe me there is a world of difference, especially when its now your own capital at risk!

As a former professional investor, VSA makes a lot of sense to me., though i'm not yet conversant with all the nuances.

E.g. I know I could only execute sizeable orders when 'the ducks were quacking' ie volume bars.

I'll download it (hopefully ToS will be working today.......Grrrrrr!) and if I see something worth commenting on i'll be back!


Cheers

Gnome

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  #75 (permalink)
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Thanks, Gnome. I look forward to your comments.

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  #76 (permalink)
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snowcloud,

You've done a lot of work on these indicators. I'm very interested in using them. In fact, I'm glad that you post charts to show them, because I try to match them to see if I'm using them correctly. I used your recent updated code with your VPA Volume indicator with the same currency and the same time period of this morning. Take a look at my indicator colors, there different. Did you update the VPA Volume code? Something isn't going right and I'm trying to track it down. I'm trying to get in sync with your charts, so please continue to post the with you changes. Thanks.

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  #77 (permalink)
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StockJock View Post
snowcloud,

You've done a lot of work on these indicators. I'm very interested in using them. In fact, I'm glad that you post charts to show them, because I try to match them to see if I'm using them correctly. I used your recent updated code with your VPA Volume indicator with the same currency and the same time period of this morning. Take a look at my indicator colors, there different. Did you update the VPA Volume code? Something isn't going right and I'm trying to track it down. I'm trying to get in sync with your charts, so please continue to post the with you changes. Thanks.

It looks to me like your chart isn't using the study's color bars. Did you turn them on in the Input section? If not, to turn them on:

1. Open Edit Studies... in the Studies menu.
2. Click on the filename in the Added Studies and Strategies window to select it.
3. Scroll down in the Inputs window to color bars.
4. Click on False and change it to True.
5. Close Edit Studies and Strategies window.

After you've done that, down bars should be solid, up bars empty, and the volume colors should match the color of the bars. The study will override whatever other setting you have made for bars on charts.

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  #78 (permalink)
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I checked the indicator settings as you recommended, I went to your selected time period in your time zone and I took screen shots. Now it looks like your chart. See below. I see that the volume indicator is the TOS chart volume and not your VSA Volume indicator. Is there some reason you're not using you own VSA Volume indicator?

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Last edited by StockJock; September 3rd, 2010 at 02:07 AM.
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  #79 (permalink)
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VSA Volume indicator

is this VSA Volume indicator available here for download....i couldn't find it.

Do you have for TOS and or Ninja?

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  #80 (permalink)
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StockJock View Post
I checked the indicator settings as you recommended, I went to your selected time period in your time zone and I took screen shots. Now it looks like your chart. See below. I see that the volume indicator is the TOS chart volume and not your VSA Volume indicator. Is there some reason you're not using you own VSA Volume indicator?


I didn't change anything in the original code regarding volume. The study uses the TOS volume chart and doesn't have one of its own. The matching of volume colors to candle colors is done by TOS if "Colors as Symbol Ticks" is selected in Chart settings: Appearance. If "Preset Color" is selected the Volume Bars will be colored in one color only and won't follow the colors of the Candles.

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