Recreate "Precision Divergence Finder Indicator"? - futures io
futures io



Recreate "Precision Divergence Finder Indicator"?


Discussion in Traders Hideout

Updated
      Top Posters
    1. looks_one tdaman with 5 posts (0 thanks)
    2. looks_two gordo with 4 posts (9 thanks)
    3. looks_3 wccktrader with 4 posts (3 thanks)
    4. looks_4 Fat Tails with 2 posts (10 thanks)
      Best Posters
    1. looks_one Fat Tails with 5 thanks per post
    2. looks_two TheWizard with 3 thanks per post
    3. looks_3 gordo with 2.3 thanks per post
    4. looks_4 wccktrader with 0.8 thanks per post
    1. trending_up 22,247 views
    2. thumb_up 32 thanks given
    3. group 11 followers
    1. forum 28 posts
    2. attach_file 3 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 125,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

 
Search this Thread
 

Recreate "Precision Divergence Finder Indicator"?

(login for full post details)
  #1 (permalink)
 tdaman 
Colorado Springs
 
Experience: Intermediate
Platform: Sierra Chart, Ninja Trader
Broker: IQFeed, AMP/CQG
Trading: EC, ES, TF
 
tdaman's Avatar
 
Posts: 130 since Oct 2010
Thanks: 37 given, 23 received

A different but seemingly effective concept for indicating divergence. Unfortunately only available in protected EL code and I'm not a programmer. Not sure how it indicates bearish signals. Perhaps the following link (details and more examples) might inspire somebody to create something similar? Go to: Precision Divergence Finder


Started this thread Reply With Quote

Journal Challenge April 2021 results:
Competing for $1800 in prizes from Jigsaw
looks_oneMaking a Living with the Microsby sstheo
(616 thanks from 61 posts)
looks_twoSalao's Journalby Salao
(156 thanks from 29 posts)
looks_3Learning to Profit - A journey in algorithms and optionsby Syntax
(115 thanks from 27 posts)
looks_4Deetee’s DAX Trading Journal (time based)by Deetee
(94 thanks from 30 posts)
looks_5Maybe a little bit different journalby Malykubo
(53 thanks from 32 posts)
 
Best Threads (Most Thanked)
in the last 7 days on futures io
I finally blew up an account
431 thanks
The Crude Dude Oil Trading System
81 thanks
Spoo-nalysis ES e-mini futures S&P 500
64 thanks
The tiyfTradePlanFactory indicator
25 thanks
Building a Crypto Mining Rig
18 thanks
 
(login for full post details)
  #3 (permalink)
 Big Mike 
Site Administrator
Swing Trader
Data Scientist & DevOps
Manta, Ecuador
 
Experience: Advanced
Platform: Custom solution
Trading: Futures & Crypto
 
Big Mike's Avatar
 
Posts: 50,068 since Jun 2009
Thanks: 32,534 given, 98,491 received


If this indicator has value to you, why not buy it and reward the author for his work.

Mike

We're here to help -- just ask

For the best trading education, watch our webinars
Searching for trading reviews? Review this list

Follow us on Twitter, YouTube, and Facebook

Support our community as an Elite Member:
https://futures.io/elite/

Visit other sites? Please spread the word about your experience with our community!
Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
The following 2 users say Thank You to Big Mike for this post:
 
(login for full post details)
  #4 (permalink)
 tdaman 
Colorado Springs
 
Experience: Intermediate
Platform: Sierra Chart, Ninja Trader
Broker: IQFeed, AMP/CQG
Trading: EC, ES, TF
 
tdaman's Avatar
 
Posts: 130 since Oct 2010
Thanks: 37 given, 23 received

I honestly respect the spirit of your question and wouldn't hesitate but it's not available for NT.

Started this thread Reply With Quote
 
(login for full post details)
  #5 (permalink)
 cory 
the coin hunter
virginia
 
Experience: Intermediate
Platform: ninja
Trading: NQ
 
cory's Avatar
 
Posts: 6,044 since Jun 2009
Thanks: 857 given, 7,916 received


tdaman View Post
A different but seemingly effective concept for indicating divergence. Unfortunately only available in protected EL code and I'm not a programmer. Not sure how it indicates bearish signals. Perhaps the following link (details and more examples) might inspire somebody to create something similar? Go to: Precision Divergence Finder

]

anything looks good on a static chart even a lowly MA. Do you have pictures of the signal as it just begins.

Reply With Quote
 
(login for full post details)
  #6 (permalink)
 tdaman 
Colorado Springs
 
Experience: Intermediate
Platform: Sierra Chart, Ninja Trader
Broker: IQFeed, AMP/CQG
Trading: EC, ES, TF
 
tdaman's Avatar
 
Posts: 130 since Oct 2010
Thanks: 37 given, 23 received

I'll email them and ask if they'de be willing to recode it for NT.

Started this thread Reply With Quote
 
(login for full post details)
  #7 (permalink)
 tdaman 
Colorado Springs
 
Experience: Intermediate
Platform: Sierra Chart, Ninja Trader
Broker: IQFeed, AMP/CQG
Trading: EC, ES, TF
 
tdaman's Avatar
 
Posts: 130 since Oct 2010
Thanks: 37 given, 23 received

No I haven't... just thought it was a different way to show divergence. You got me thinking though Cory.

Started this thread Reply With Quote
 
(login for full post details)
  #8 (permalink)
 tdaman 
Colorado Springs
 
Experience: Intermediate
Platform: Sierra Chart, Ninja Trader
Broker: IQFeed, AMP/CQG
Trading: EC, ES, TF
 
tdaman's Avatar
 
Posts: 130 since Oct 2010
Thanks: 37 given, 23 received

Click on the link below...


https://www.precisiontradingsystems.com/Precision_Divergence_Finder.htm

Started this thread Reply With Quote
 
(login for full post details)
  #9 (permalink)
 bluemele 
Honolulu, Hawaii
 
Experience: Intermediate
Platform: NinjaTrader
Broker: ATC/TT, AMP/Zen-Fire, AMP/CQG
Trading: TF
 
bluemele's Avatar
 
Posts: 2,547 since Jun 2010
Thanks: 3,803 given, 2,836 received

I noticed some of their indicators seem to be straight out of the box very common indi's.

So, my guess is that he is doing something simple here as well.

If the indicator is that good, he would be making millions in the spot forex market.

Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #10 (permalink)
 Fat Tails 
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,857 since Mar 2010
Thanks: 4,238 given, 26,759 received


The divergence finder is based on the Demand Index by James Sibbet.

As far as I know, there is no version of the Demand Index for NinjaTrader, so the first step would be to code the Demand Index. Below is a link with the code and some explanations.

https://www.zappos.com/

Further information on the Demand Index can be found in.

Robert W. Colby: The Encyclopedia of Technical Market Indicators
Thomas E.Aspray: Fine-Tuning the Demand Index in TASC Vol. 4:4, pp 141-143

https://store.traders.com/-v04-c04-fin-pdf.html

Once you got the Demand Index you need to look for divergences. The divergence finder possibly scans for divergences, using different periods for the Demand Index and then adds them up.

The idea is not bad at all. Divergence stands for a weakening = loss of momentum of a prevailing trend, not yet its reversal. If the trend is weakening across various timeframes a reversal might be imminent.

However, I believe that the indicator also will produce a significant number of false signals, as is usually the case with unfiltered divergences.

Reply With Quote
The following 8 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #11 (permalink)
 wccktrader 
Singapore
 
Experience: Intermediate
Platform: NinjaTrader, Sierra Charts
Broker: Thinkorswim, IQFeed
Trading: Options of SPY, IWM, QQQ
 
wccktrader's Avatar
 
Posts: 47 since Nov 2010
Thanks: 54 given, 149 received


Fat Tails View Post
The divergence finder is based on the Demand Index by James Sibbet.

As far as I know, there is no version of the Demand Index for NinjaTrader, so the first step would be to code the Demand Index. Below is a link with the code and some explanations.

Re: Sibbet's Demand Index, Omega TradeStation Email Archive | PureBytes.Com

Further information on the Demand Index can be found in.

Robert W. Colby: The Encyclopedia of Technical Market Indicators
Thomas E.Aspray: Fine-Tuning the Demand Index in TASC Vol. 4:4, pp 141-143

V.4:4 (141-143): Fine-tuning the demand index by Thomas E. Aspray

Once you got the Demand Index you need to look for divergences. The divergence finder possibly scans for divergences, using different periods for the Demand Index and then adds them up.

The idea is not bad at all. Divergence stands for a weakening = loss of momentum of a prevailing trend, not yet its reversal. If the trend is weakening across various timeframes a reversal might be imminent.

However, I believe that the indicator also will produce a significant number of false signals, as is usually the case with unfiltered divergences.


Perhaps another way to scan for divergences is to have a correlation indicator that shows the correlation for a certain lookback period between the Demand Index and closing price. If the correlation falls below 0.4, we have a divergence and if it falls below 0, we have a negative divergence. I could find a correlation indicator in NT that shows correlation between 2 instruments but not between an indicator and price. If someone could code such a correlation indicator, if could flag out divergences between price and any momentum indicators (e.g. Demand Index, RSI, MACD Histogram, CCI, etc).

Reply With Quote
The following user says Thank You to wccktrader for this post:
 
(login for full post details)
  #12 (permalink)
 wccktrader 
Singapore
 
Experience: Intermediate
Platform: NinjaTrader, Sierra Charts
Broker: Thinkorswim, IQFeed
Trading: Options of SPY, IWM, QQQ
 
wccktrader's Avatar
 
Posts: 47 since Nov 2010
Thanks: 54 given, 149 received

Managed to code the indie to show the correlation between Demand Index and price in the Thinkorswim platform. When the indie drops below 0.4, we have divergences between the Demand Index and price. A possible trading strategy would be trade in the direction of prevailing trend whenever the indie crosses back above 0.4. The Thinkscript code are given below:

#hint:<b>Demand Index</b>\nDeveloped by James Sibbet, the Demand Index is a market strength study that calculates a ratio of buying to selling pressure. It incorporates price and volume to indicate a change in price trend.
#hint length: The number of bars used to calculate the Demand Index. <b>(Default is 5)</b>

declare lower;

input length = 5;

def wClose = (high + low + 2 * close) * 0.25;
def wCRatio = (wClose - wClose[1]) / Min(wClose, wClose[1]);
def closeRatio = 3 * wClose / Average(Highest(High, 2) - Lowest(Low, 2), length) * AbsValue(wCRatio);
def volumeRatio = Volume / Average(Volume, length);
def volumePerClose = volumeRatio / exp(Min(88, closeRatio));
def buyP;
def sellP;
if (wCRatio > 0) {
buyP = volumeRatio;
sellP = volumePerClose;
} else {
buyP = volumePerClose;
sellP = volumeRatio;
}
rec buyPres = if IsNaN(buyPres[1]) then 0 else ((buyPres[1] * (length - 1)) + buyP) / length;
rec sellPres = if IsNaN(sellPres[1]) then 0 else ((sellPres[1] * (length - 1)) + sellP) / length;
def tempDI;
if ((((sellPres[1] * (length - 1)) + sellP) / length - ((buyPres[1] * (length - 1)) + buyP) / length) > 0) {
tempDI = - if (sellPres != 0) then buyPres / sellPres else 1;
} else {
tempDI = if (buyPres != 0) then sellPres / buyPres else 1;
}
def DMIndx = if IsNaN(close) then Double.NaN else if tempDI < 0 then -1 - tempDI else 1 - tempDI;
plot ZeroLine = 0;
plot DivergenceLine = 0.4;

input LookbackPeriod = 20;

plot Corr = correlation(close,DMIndx, LookbackPeriod);

Corr.setDefaultColor(GetColor(1));
ZeroLine.SetDefaultColor(GetColor(5));

DivergenceLine.setDefaultColor(GetColor(2));

Attached Thumbnails
Click image for larger version

Name:	SPY.jpg
Views:	603
Size:	210.0 KB
ID:	29129  
Reply With Quote
The following 2 users say Thank You to wccktrader for this post:
 
(login for full post details)
  #13 (permalink)
 Slipknot511 
Springfield,Missouri, USA
 
Experience: Advanced
Platform: NinjaTrader (It's a love/hate relationship)
Trading: CL, TF, 6E
 
Slipknot511's Avatar
 
Posts: 176 since May 2010
Thanks: 60 given, 311 received

Better Momentum for NT7 from Emini-Watch has a divergence indicator built in. If you purchase it, you also get a version that allows you to apply the divergence function to any other indicator of your choosing. For example, you can apply the divergence dots to RSI or Stochastic if that suits you. Pretty reasonable at $170.

Reply With Quote
The following user says Thank You to Slipknot511 for this post:
 
(login for full post details)
  #14 (permalink)
 Fat Tails 
Berlin, Europe
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,857 since Mar 2010
Thanks: 4,238 given, 26,759 received


wccktrader View Post
Managed to code the indie to show the correlation between Demand Index and price in the Thinkorswim platform. When the indie drops below 0.4, we have divergences between the Demand Index and price. A possible trading strategy would be trade in the direction of prevailing trend whenever the indie crosses back above 0.4. The Thinkscript code are given below:

Thanks for posting the code. But at first sight I have some difficulty to imagine a trading strategy using this indicator, but then I have no experience with the Demand Index.

Divergences have me gotten in trouble quite often, so I believe that you need additional filters.

Reply With Quote
The following 2 users say Thank You to Fat Tails for this post:
 
(login for full post details)
  #15 (permalink)
 monpere 
Bala, PA, USA
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Mirus, IB
Trading: SPY, Oil, Euro
 
monpere's Avatar
 
Posts: 1,858 since Jul 2010
Thanks: 300 given, 3,339 received


Fat Tails View Post
Thanks for posting the code. But at first sight I have some difficulty to imagine a trading strategy using this indicator, but then I have no experience with the Demand Index.

Divergences have me gotten in trouble quite often, so I believe that you need additional filters.

I you don't make sure you are very intimate with divergence produced by your particular indicator, you will loose your shirt... and probably your pants!

Reply With Quote
The following user says Thank You to monpere for this post:
 
(login for full post details)
  #16 (permalink)
 wccktrader 
Singapore
 
Experience: Intermediate
Platform: NinjaTrader, Sierra Charts
Broker: Thinkorswim, IQFeed
Trading: Options of SPY, IWM, QQQ
 
wccktrader's Avatar
 
Posts: 47 since Nov 2010
Thanks: 54 given, 149 received


monpere View Post
I you don't make sure you are very intimate with divergence produced by your particular indicator, you will loose your shirt... and probably your pants!

Thanks monpere. I have just backtested the divergence indicator with another trend following indicator for entry, and exit using an ATR trailing stop indicator. The backtesting results looks good but walk forward analysis results is not good. This confirms that I will loose my shirt trading divergence in real time. Nonetheless, I think divergence may serve as a tool to alert me to have a second look at price actions.

Reply With Quote
 
(login for full post details)
  #17 (permalink)
kk240
Europe,Nomad
 
 
Posts: 85 since Nov 2010
Thanks: 25 given, 30 received

Removed text somebody allready sent info here.

Reply With Quote
 
(login for full post details)
  #18 (permalink)
 monpere 
Bala, PA, USA
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Mirus, IB
Trading: SPY, Oil, Euro
 
monpere's Avatar
 
Posts: 1,858 since Jul 2010
Thanks: 300 given, 3,339 received


wccktrader View Post
Thanks monpere. I have just backtested the divergence indicator with another trend following indicator for entry, and exit using an ATR trailing stop indicator. The backtesting results looks good but walk forward analysis results is not good. This confirms that I will loose my shirt trading divergence in real time. Nonetheless, I think divergence may serve as a tool to alert me to have a second look at price actions.

What do you use to do walk forward testing?

Reply With Quote
 
(login for full post details)
  #19 (permalink)
 wccktrader 
Singapore
 
Experience: Intermediate
Platform: NinjaTrader, Sierra Charts
Broker: Thinkorswim, IQFeed
Trading: Options of SPY, IWM, QQQ
 
wccktrader's Avatar
 
Posts: 47 since Nov 2010
Thanks: 54 given, 149 received


monpere View Post
What do you use to do walk forward testing?

Ninjatrader 7. Optimization with genetic optimizer using 6 months of hourly data and walk forward for the next 6 months.

Reply With Quote
 
(login for full post details)
  #20 (permalink)
 gordo 
Tonganoxie, Kansas
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Mirus Futures/Zen-Fire
Trading: CL,6E
 
gordo's Avatar
 
Posts: 160 since Nov 2009
Thanks: 129 given, 400 received


Fat Tails View Post
The divergence finder is based on the Demand Index by James Sibbet.

As far as I know, there is no version of the Demand Index for NinjaTrader, so the first step would be to code the Demand Index. Below is a link with the code and some explanations.

Re: Sibbet's Demand Index, Omega TradeStation Email Archive | PureBytes.Com

Further information on the Demand Index can be found in.

Robert W. Colby: The Encyclopedia of Technical Market Indicators
Thomas E.Aspray: Fine-Tuning the Demand Index in TASC Vol. 4:4, pp 141-143

V.4:4 (141-143): Fine-tuning the demand index by Thomas E. Aspray

Once you got the Demand Index you need to look for divergences. The divergence finder possibly scans for divergences, using different periods for the Demand Index and then adds them up.

The idea is not bad at all. Divergence stands for a weakening = loss of momentum of a prevailing trend, not yet its reversal. If the trend is weakening across various timeframes a reversal might be imminent.

However, I believe that the indicator also will produce a significant number of false signals, as is usually the case with unfiltered divergences.

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

Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #21 (permalink)
 redratsal 
Milan (I)
 
Experience: Advanced
Platform: Ninjatrader
Broker: Kinetick
Trading: FDAX,6E,CL,YM,NQ,ES
 
redratsal's Avatar
 
Posts: 1,653 since Oct 2010
Thanks: 1,215 given, 2,084 received


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.

Attached Thumbnails
Recreate &quot;Precision Divergence Finder Indicator&quot;?-di.pdf  
Visit my futures io Trade Journal Reply With Quote
The following 2 users say Thank You to redratsal for this post:
 
(login for full post details)
  #22 (permalink)
 gordo 
Tonganoxie, Kansas
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Mirus Futures/Zen-Fire
Trading: CL,6E
 
gordo's Avatar
 
Posts: 160 since Nov 2009
Thanks: 129 given, 400 received

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

Attached Files
Register to download File Type: docx James Sibbet - Demand Index.docx (29.6 KB, 107 views)
Visit my futures io Trade Journal Reply With Quote
The following user says Thank You to gordo for this post:
 
(login for full post details)
  #23 (permalink)
 gordo 
Tonganoxie, Kansas
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Mirus Futures/Zen-Fire
Trading: CL,6E
 
gordo's Avatar
 
Posts: 160 since Nov 2009
Thanks: 129 given, 400 received

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

Visit my futures io Trade Journal Reply With Quote
The following 8 users say Thank You to gordo for this post:
 
(login for full post details)
  #24 (permalink)
 fluxsmith 
Santa Maria
 
Experience: Advanced
Platform: NinjaTrader, ThinkOrSwim
Broker: Mirus/Zen-Fire
Trading: ES
 
Posts: 295 since May 2010
Thanks: 97 given, 322 received

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


Visit my futures io Trade Journal Reply With Quote
The following user says Thank You to fluxsmith for this post:
 
(login for full post details)
  #25 (permalink)
Javed1972
New Delhi India
 
 
Posts: 1 since Aug 2013
Thanks: 0 given, 0 received


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

Reply With Quote
 
(login for full post details)
  #26 (permalink)
 gordo 
Tonganoxie, Kansas
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Mirus Futures/Zen-Fire
Trading: CL,6E
 
gordo's Avatar
 
Posts: 160 since Nov 2009
Thanks: 129 given, 400 received

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.

Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #27 (permalink)
DaveWave
New york, NY/USA
 
 
Posts: 4 since Sep 2014
Thanks: 0 given, 0 received

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

Reply With Quote
 
(login for full post details)
  #28 (permalink)
 TheWizard 
Houston, TX
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Optimus Futures, AMP, CQG
Trading: 6E
 
TheWizard's Avatar
 
Posts: 1,736 since Jun 2009
Thanks: 517 given, 4,215 received


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

Maybe this?


After all, it's what you learn AFTER you know it all, that counts!
Reply With Quote
The following 3 users say Thank You to TheWizard for this post:
 
(login for full post details)
  #29 (permalink)
DaveWave
New york, NY/USA
 
 
Posts: 4 since Sep 2014
Thanks: 0 given, 0 received

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

Reply With Quote


futures io Trading Community Traders Hideout > Recreate "Precision Divergence Finder Indicator"?


Last Updated on December 16, 2014


Upcoming Webinars and Events

NinjaTrader Indicator Challenge!

Ongoing

Journal Challenge w/$1,800 in prizes!

May 7

The Cold Hard Truth: Maybe I Am Not Good Enough w/Chris Gray @ Earn2Trade

Elite only
     



Copyright © 2021 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada), info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts