Date/Time: Fri, 20 Jul 2018 08:58:44 +0000
Post From: Offering To The Community: On Balance Volume By Bar With Filters
|bjohnson777 (Brett Johnson) - Posts: 224|
I've been programming some indicators from my base tool kit and am offering them to the community. I request they be added into the main SC distro once checked over.
From the "Display Study Documentation" button:
On Balance Volume By Bar With Filters. Traditional OBV is calculated by comparing the previous bar with the current. This creates an offset problem. When watching a live graph, the current price and current volume happen together, not offset by 1. This OBV version fixes that. An up bar increases the balance. A down bar decreases the balance. A bar with an open equal to close does nothing. Note that true OBV requires tick by tick data, so if you have it, use it. This algorithm estimates OBV from data by the bar. Like all algorithms of this type, it is not 100% accurate and subject to manipulation by large institutions.
This OBV version has a Volume Filter option to handle cases when a volume spike smashes the indicator making it hard to read. Large institutions sometimes do this to hide their activity afterward. The "Straight" option passes volume data through without any filtering. The "Log" option runs each volume bar through the log function making a type of "log scale". The "Square Root" option runs each volume bar through the square root function making a type of "square root scale". The "MA Clip" option will clip volume above a chosen moving average. The final Smoothing option will apply a moving average to take some of the noise out of the final OBV line.
Observations. The various volume filters are very effective and will walk right through the volume spike bar hardly noticing it. The volume filters also tend to minimize errant graph changes.
When using one of the volume filters, it is necessary to have the first OBV instance running in "Straight" mode. Add the second OBV instance to the same graph with "Independent Scaling". This is important because the filtered bars tend to drift in value with smaller volume bars. While this drift will show the OBV bias direction, it will not do it to scale and may cause false signals. The "Straight" instance will be used to verify actual distance moved. Note that Log tends to drift the most (sometimes offering an early indicator), followed by Square Root and then MA Clip. To learn the movement characteristics of each, put them all on one chart for equal comparison.
Take note when all OBV lines pivot in the same direction. This tends to indicate a change with strength.
Minor update 2016-10-15. No major function changes.
Regular compiles moved to "Brett Johnson's Standard Tool Kit" DLL.
Date Time Of Last Edit: 2016-10-15 06:56:17
OnBalanceVolumeByBarWithFilters.cpp - Attached On 2016-10-15 06:56:04 UTC - Size: 9.04 KB - 32 views
OnBalanceVolumeByBarWithFilters.dll - Attached On 2016-10-15 06:56:09 UTC - Size: 82.5 KB - 34 views