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Recreate "Precision Divergence Finder Indicator"?
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Recreate "Precision Divergence Finder Indicator"?

  #21 (permalink)
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Demand Index's logic


gordo View Post
I looked at these sites and did a Google search on James Sibbet and Demand Index. The best I could do was find some code developed by eSignal and some in Trader's Laboratory.

I was unable to find any in Ninja. More interesting, I could not find any of James' original work. I did, however, find this same quote in several places:



The Demand Index, developed by James Sibbet, combines price and volume in such a way that it is often a leading indicator of price change. The Demand Index calculations are too complex, however, for this text. The calculations require 21-column accounting paper to calculate manually.
  • There are six "rules" to the Demand Index:
  • A divergence between the Demand Index and the price trend suggests an approaching weakness in price.
  • One more rally to new highs usually follows an extreme peak in the Demand Index (the Index is performing as a leading indicator).
  • Higher prices with a lower Demand Index peak usually coincides with an important top (the Index is performing as a coincidental indicator).
  • The Demand Index penetrates the level of zero indicating a change in trend (the Index is performing as a lagging indicator).
  • When the Demand Index stays near the level of zero for any period of time, a weak price movement that will not last long is indicated.
  • A large long-term divergence between prices and the Demand Index indicates a major top or bottom.
The reason I think everyone is quoting each other is they use the same line:

The Demand Index calculations are too complex, however, for this text. The calculations require 21-column accounting paper to calculate manually.

I'm not sure, but can you even buy 21-column accounting paper anymore?

So although I have this code in Language 'X', I am not sure when I get done moving it to Ninja if I have the right logic. Code isn't worth much if the logic is wrong from the get go.

Anybody have any thoughts on where to find James Sibbet's original logic?

Gordo

Hi Gordo,

As you mentioned all infos concerning DI are replicating the same words, nevertheless I found this one on the Encyclopedia of Technical Analisys of the financial markets. I don't know if it can help I just extracted the interested pages.

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  #22 (permalink)
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Thanks @redratsal. Not much on those four pages, but if I include the other codes I picked up, maybe I can make this into something. Something about mixing price and volume together into an indicator rattles in the back of my brain as good. If nothing else, I sent time learning things and learning is NEVER a waste of time. I included all the code snipets I could find below. I am not sure about some of them, but having the base idea from this article by Aspry should help. I did track this back to a book by Perry Kaufman, New Trading Systems and Methods, page 503. Now I need to buy the book...looks like a nice thing to have on the shelf. The mail is slow out here and I don't have a Kindle **[sigh]**.

Anyway, I will post my code when I get the bugs worked out. Right now, all I get is a green line running across the bottom of the panel!
On a side note, some guy even tried to get ahold of Sibbet and call all the numbers they could find. That is pretty cool. I wonder if some will call me 20 years from now for piece of code I wrote here on futures.io (formerly BMT)! HA HA HA HA HAHAHAHAHAHAHAHAHAHAHA I just kill myself sometimes!
Gordo

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  #23 (permalink)
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Thanks to some help from my futures.io (formerly BMT) buddy, @redatsal, we now have the definative formulas:

James Sibbett's Demand Index:
@sum(upside volume, 10)
Demand Index = --------------------------------------
@sum(downside volume, 10)
Aspray's Demand Oscillator:

For rising prices:
Buying Pressure = volume
volume
Selling Pressure = ----------------------------------------------------
(close(today) - close(previous))
K X ------------------------------------------------------
close(previous)
For declining prices:
volume
Buying Pressure = ----------------------------------------------------
(close(today) - close(previous))
K X ------------------------------------------
close(previous)
Selling Pressure = volume
Where:
3 X close
K = -----------------------------------------------------------
average(highest(high, 2) - lowest(low, 2), 10)
And:
Demand Oscillator = BP - SP
Whew!! Now only the easy part is left, coding!

Gordo

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  #24 (permalink)
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I too could not find original sources on this formula. I've posted an indicator which was adapted from thinkorswim's implementation:

https://futures.io/free_downloads/ninjatrader-7/indicators/819-download.html?view

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  #25 (permalink)
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gordo View Post
Thanks to some help from my futures.io (formerly BMT) buddy, @redatsal, we now have the definative formulas:

James Sibbett's Demand Index:
@sum(upside volume, 10)
Demand Index = --------------------------------------
@sum(downside volume, 10)
Aspray's Demand Oscillator:

For rising prices:
Buying Pressure = volume
volume
Selling Pressure = ----------------------------------------------------
(close(today) - close(previous))
K X ------------------------------------------------------
close(previous)
For declining prices:
volume
Buying Pressure = ----------------------------------------------------
(close(today) - close(previous))
K X ------------------------------------------
close(previous)
Selling Pressure = volume
Where:
3 X close
K = -----------------------------------------------------------
average(highest(high, 2) - lowest(low, 2), 10)
And:
Demand Oscillator = BP - SP
Whew!! Now only the easy part is left, coding!

Gordo


Gordo,

Please tell me the formula for Demand Index as laid down by James Sibbet. The one you mentioned is not what the MS and AB implement. Please

Mohammed Javed Akhtar

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  #26 (permalink)
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All I have @Javed1972 was what I posted in Word Document above (Post #22). There is not much literature out there on this subject, and certainly not much advice on how to use it. Sorry I couldn't be much more help.

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  #27 (permalink)
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RSI DIVERGANCE SCAN THINKORSWIM

Does anyone have a script that will help me scan for negative and positive divergences on RSI (5) (14)?

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  #28 (permalink)
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DaveWave View Post
Does anyone have a script that will help me scan for negative and positive divergences on RSI (5) (14)?

Maybe this?

https://futures.io/download/vip_elite_circle/1002-download.html?view

After all, it's what you learn AFTER you know it all, that counts!
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  #29 (permalink)
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"Precision Divergence Finder Indicator"?

trying to use this indicator but the code is on the very bottom and hard to see, anyone that can clean it up and make it look like the picture shown? much appreciated

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