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VPA composite index

Discussion in 'Trading Strategies/Systems' started by Gringotts Bank, Apr 15, 2012.

  1. Gringotts Bank

    Gringotts Bank Well-Known Member

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    Here I've added VPA bullish signs to a composite index. In the lower pane it plots the number of stocks of turnover>$200000 that show bullish signs on any given day (according to VPA theory). VPA code courtesy of Karthic.

    I was expecting a good correlation to movement of the Ords, but it just seems to mirror it. Disappointing.

    EDIT: signs used (stdn1 OR lvtbar2 OR bycond OR lvtbar1 OR stdn2 OR nsbar OR eftup OR stvol).
     

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  2. tech/a

    tech/a No Ordinary Duck!

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    Another useless squiggly line
     
  3. sinner

    sinner Well-Known Member

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    What's VPA? How is this different/better than any regular breadth indicator?
     
  4. Gringotts Bank

    Gringotts Bank Well-Known Member

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    VPA is an acronym meaning Vitriolic Post Attack. I thought you'd be an expert at that?

    Pull your head in before someone knocks it off.
     
  5. sinner

    sinner Well-Known Member

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    wtf GB?

    I don't know what VPA is.

    The indicator you posted is clearly a breadth indicator. Since I don't know what VPA is and you didn't tell us in the original post, how am I supposed to know how it's different or better than other breadth indicators which I'm familiar with like Adv/Dec or New highs/New lows?

    Threatening physical violence to someone in your own thread is so classy.

    For the record, when you google "VPA theory stocks" this thread is the top hit.
     
  6. Joe Blow

    Joe Blow Administrator

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    I hope this is the last we see of remarks like this in this thread. To be honest, I'm not even sure what motivated it, but it's completely out of line. Enough.
     
  7. Lone Wolf

    Lone Wolf Well-Known Member

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    Volume Price Analysis. Think VSA. Someone named Karthic had a go at coding up something similar to tradeguider in amibroker.
     
  8. tech/a

    tech/a No Ordinary Duck!

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    Another useless squiggly line
     
  9. sinner

    sinner Well-Known Member

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    Thanks Lone Wolf, if that's correct then the view that 'smart money buys weakness' probably explains how the "VPA breadth" was making huge relative highs in the May 2010 lows and March 2011 lows in GBs chart and also offers a good cause why the time-series isn't correlated with the index at all (probably has a high negative corr if you measure 5-20 days rel).

    If you want a breadth indicator with high positive correlation to the index, you can try the regular ones. My favourite without doubt is the Summation Index of the McClellan Oscillator. I don't use it for entry signals, but I never bet against it either.

    I find it pretty interesting that despite it being run against the underlying AORD components, the highest the index ever got is 200? What's that, like 4% of the total number of component stocks?
     
  10. Lone Wolf

    Lone Wolf Well-Known Member

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    No argument from me there. Although I'm quite happy for people to post their failed experiments as evidence of what doesn't work.

    I've never looked at the VPA code so I don't know what that indicator considers as bullish signs. I also don't know if the indicator provides any kind of statistical edge (has it been coded by someone who knows how to read volume?). But considering what I've seen of tradeguider VSA I wouldn't expect it to tell you anything anyway. Tradeguider spews out heaps of signals, most of which should be ignored at the time. Each indication in isolation without understanding the background is meaningless. If you graphed the number of bullish tradeguider signals similar to GB has above I doubt it'd offer you anything valuable.
     
  11. Lone Wolf

    Lone Wolf Well-Known Member

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    Thanks for the McClellan Oscillator recommendation.

    I tried to run a quick scan to find out how many stocks in that period had a turnover of more than 200,000 (as GB specified). Unfortunately my Amibroker skills are even worse than I thought so I don't know. GB might be able to tell us if he hasn't left already. But I thought it odd too.

    I know we all agreed that it doesn't mean much. But for discussion... The indicator shows that 40 - 80 stocks are always showing bullish signs. But which stocks? The bottom 80 penny stocks or the top 80? Since the index is weighted towards the largest companies. Should the indicator be arranged so that it weighs these stocks more heavily? Maybe that would've given GB the correlation he was looking for. Personally, due to what I said to Tech above, I don't think so since the idea is flawed from the start.
     
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