GannsGhost
5 posts
msg #56317
- Ignore GannsGhost |
11/2/2007 12:34:45 PM
Need help in creating the SF syntax for the SVAPO which appeared in an article written by Sylvian Vervoort in the TASC Nov 07 issue.
The SVAPO is based on price and volume:
During uptrends, when price and volume are moving up, volume is added to the SVAPO.
During downtrends, when price is moving down, but volume moving up, volume is subtracted from the SVAPO.
During market phases when volume is not increasing with price moves in the direction of the trend, nothing is added to the SVAPO.
The oscillator construction involves Price and Volume Smoothing using a triple-EMA, or TEMA amd uses the expanded Japanese candlestick concept called "Heikin-Ashi."
Price smooting in MetaStock code:
haO=(Ref((O+H+L+C)/4,-1) + PREV)/2;
haCl:=((O+H+L+C)/4+haO+Max((O+H+L+C)4,
Max(H,haO)+Min((O+H+L+C)/4,Min(L,haO)))/4;
haC:=Tema(haCl,5);
Volume smoothing in MetaStock code:
vave:=Ref(Mov(V,40,S),-1);
vmax:=vave*2;
vc:lf(V
Vervoort writes:
"The first action item (re:Px) is to limit single extreme-volume counts...the second action volume (re:Vol) is to smooth without creating delays."
"You can smooth the linrear regression slope with a short-term TEMA average, but the result will stil not be smooth enough. So in the final step we maintain the previous calculated result over a period of 2 bars."
To do this:
vtr:=Tema(LinRegSlope(vc,8),8);
Alert(vtr>Ref(vtr,-1),2);
The author used a SVAPO period of 8 bars, a mimum per thousand price change of 1, (1%),
a Standard Deviation High of 1.5,
a standard Deviation Low of 1.3, and
a Standard Deviation Period of 100.
The oscillator should look to have a banded range of 10.0 at the top,
and -10 at the bottom. Turning point should show when the oscillator crossed below, say +7 for sells, and crosses above -7 for buys.
I trade options off the short-term trend reversals using an RSI(2), TDREI(5), and the SVAPO would seem to be an excellent addition to my arsenal of indicators.
Many thanks in advance,
Gann's Ghost
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