Integrated VSA type indicator

[Rusty99]

I have been developing an integrated indicator based on VSA concepts.
The indicator combines three parameters

Position of the close on the bar as a percentage of the range
Rate of change of volume (%)
Rate of change the range (high-low)(%)

The parameters are scale and added, thus far.

This indicator is aimed at develping a screener tool to pick stocks for closer scrutiny. (see VSAtot in the chart). It would be used with other indicators and combined with other signals for the screener (price trend).

Given its combining three elements the signals are going to be mixed and require scrutiny. The idea is to find find stocks for closer examination. Currently the screener simply looks for an upswing in VSAtot in the last 3 days and a price surge.

I would be interested in any similar ideas for this approach.

Cheers,

 

[Boggo]

From your other posts on various software etc, if you do decide to download Amibroker again you may want to do a search for the VPA Analysis afl.

It seems to do what you are attempting, not an indicator but a method of finding setups.
It's worth a look, the guy behind it seems to know what he is on about.

(click to expand)

 

[Rusty99]

I have produced some preliminary backtesting using the new 'VSAtoot' indicator
(New Name following previous comments!!!!).
I stress that this is very preliminary but the 'VSAtoot' indicator has good buy and sell signals
and so has potential for system development. Two examples are shown below.

Cheers,




and another

 

[Rusty99]

Hi,

Just for fun!!!, shown below is screener output after Friday's EOD trade using VSAtoot.

I normally add a price change filter, but these are the raw asx results listed by volume, produced by VSAtoot itself (increase in last 3 days).

Anyway check it out - tell me what you think.

Please note this is very preminary and there is a lot of work to be done to refine the screener, BUT I think it has potential.

Anyone know of something similar???

No responsibility regarding use of this info

Cheers,

 

[beamstas]

$500 profit? Which included one of the biggest bear market rallies ever?
Stop worrying about being right and start worrying about the $$

 

[Rusty99]

$500 profit? Which included one of the biggest bear market rallies ever?
Stop worrying about being right and start worrying about the $$

Sorry the backtesting is based on buys of only 1000 units!

 

[tech/a]

Rusty.

I have a great deal to add but not the time at the moment.
Tradeguider has all plus much much more even in Realtime.

But my comments are more based on your attempt to reverse engineer.

 

[tech/a]

There are and will be many attempts both good and bad at reverse engineering VSA. As time goes by the original analysis will become basterdized
to the point that most wont have any idea what its supposed to represent and how its supposed to work.

I'm seeing this now.
While the Amibroker Code is helpful to those with no idea it picks up some which are true VSA signals and many more which arent.

VSA is often about a how a bar its range and volume react to past price action and future price action not about a bar itself.

The idea of alerting a bar is just that.
Its saying be aware of this and (If you know what to THEN look for) take action.
Code I see now is such that people think they ARE buy/sell signals.
Simply they arent in the strict sence of VSA.
Some may turn out to be and many wont.

I have seen much touted on this a other forums with regard to how to interpret VSA. Much is just totally in correct. There are many out there who firmly believe that this VSA stuff is as easy as buying/selling on high volume and wide range.

No offence but even your attempt here is showing a sad lack of understanding the analysis.
Not saying you should attempt doing what your doing---by all means Ive added my own VSA formulas myself -- ones not available even from those who designed it. But be sure you understand how to APPLY it and WHY.

Just compare your chart to a VSA chart of RIO.
Ofcourse those NOT conversent would not know why they shouldnt take some alerts and not others.As such any test ALONE on the alerts by themselves as buy signals would perform poorly.

As an example Ive highlighted one buy signal you would not have taken read from the second paragraph and you'll see why. Included in a test and you'll have a loser!

 

[beamstas]

Tradeguider has all plus much much more even in Realtime.

I'd just like to add to this -

I have a copy of the book you get with Tradeguider - about VSA and the software itself

If you can get a copy Rusty im 100% sure you would benefit from it
It goes into depth about VSA and has everything you'd need to know about, plus more. Maybe even do a trial of TradeGuider if they offer them

I really can't add to what Tech/A has said. He is well versed in VSA and is speaking from experience

Brad

 

[Rusty99]

tech/a - you are correct.

Despite calling it a VSA style Indicator it was not intended to do Volume Spread Analysis. It only uses similar parameters. There are good VSA tools already available, BUT few VSA indicators, or tools to sniff out stocks for closer examination. VSA itself does not use indicators.

I have renamed the indicator - Volume Position Range Signal (VPRS) it measures relative changes in the Volume, Position of the Close on the bar, and the relative True Range and generates a Signal that can be used to screen stock for closer scrutiny.

I'll check out the software and VSA manuals you and Beamstas have mentioned.

Others have pointed to various tools for using bar colours and width to display changes in volume such as 'better volume indicator' at emini-watch, etc. However these tools are not signals that could be used in a screener.

Cheers,

 

[Rusty99]

I'd just like to add to this -

I have a copy of the book you get with Tradeguider - about VSA and the software itself

If you can get a copy Rusty im 100% sure you would benefit from it
It goes into depth about VSA and has everything you'd need to know about, plus more. Maybe even do a trial of TradeGuider if they offer them

I really can't add to what Tech/A has said. He is well versed in VSA and is speaking from experience

Brad

You can see a basic Manual at

http://www.scribd.com/doc/12681451/Basic-Trading-Guide

If you go to tile mode, click on a page 1, go to "more" scroll down to "print" - you can print it. Fantastic stuff - Thanks Brad.

Cheers,

 

[tech/a]

Rusty

Thats the software manual Not the "Master The Markets" E book.

Its the E book you want.

 

[Rusty99]

Rusty

Thats the software manual Not the "Master The Markets" E book.

Its the E book you want.

Thanks,

Extract is here http://www.tradeguider.com/free/resources/mtm_extract.pdf

anyone have the full doc source??

cheers,

 

[Rusty99]

Thanks,

Extract is here http://www.tradeguider.com/free/resources/mtm_extract.pdf

anyone have the full doc source??

cheers,

Full doc only $10

http://www.tradeguider.com/m90_checkout/Cust_Product_Books.aspx

cheers,

 

[motorway]

I would be interested in any similar ideas for this approach.

Cheers,

This won the DOW award in 2007

http://www.mta.org/eweb/docs/2007DowAward.pdf

The Volume Price Confirmation Indicator or VPCI exposes the relationship between the prevailing price trend and the volume, as either being in a state of confirmation or contradiction, thereby giving notice of possible
impending price movements. This paper discusses the derivation and components of the VPCI, and explains how
to use the VPCI as a trend validation tool. We also review comprehensive testing of the VPCI, and presents
further applications using the indicator

motorway

 

[motorway]

Pascal Willain working with intra day data

http://www.willain.com/content/EffectiveVolume.html#

Also here

http://www.effectivevolume.eu/

motorway

 

[Rusty99]

Thaks motorway

I'll check those links - I'm sure this discussion of volume ideas will be useful for many people.

Cheers,

 

[tech/a]

Master the Markets E book here.

http://www.scribd.com/doc/12681488/mtmv3