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Date/Time: Tue, 24 Apr 2018 16:26:50 +0000



Post From: Offering To The Community: Up/Down Volume Difference By Tick With Filters

[2015-07-19 14:20:25]
bjohnson777 (Brett Johnson) - Posts: 221
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:

Up/Down Volume Difference By Tick With Filters. To properly use this indicator, Sierra Chart must be set up in tick by tick mode with intraday bars. If all "Input Data" options show a straight line at 0.0, then tick by tick data is not available or not enabled. Note that some volume data is only available when the market is open.

This indicator shows the difference between up and down volume on a graph. Generally speaking, the difference in positive territory shows strength, and the difference in negative territory shows weakness. This indicator is very similar to "Up/Down Volume Ratio" but handles 2 problems: (1) On low volume the ratio can go way out in the distance. Low volume with this indicator will show low distance. If the distance is too low, try the Volume Filter of Square Root or Log for large number signal compression.(2) With each new bar the ratio usually jumps very far out and pulls back as enough data to establish a solid ratio becomes available. With this indicator each difference bar starts small and builds up as the volume bar grows. This also makes it easier to use with automated trading systems.

This indicator version has a second smoothing option. The difference data is very choppy and extremely noisy. The second moving average can be of any type and will help clean up the line. Smoothing with a larger number isn't as effective as double smoothing with a number half that size.

This indicator 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.

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Minor update 2018-01-31. No major function changes.
Regular compiles moved to "Brett Johnson's Standard Tool Kit" DLL.
https://www.sierrachart.com/SupportBoard.php?ThreadID=18945
Quick compile instructions:
https://www.sierrachart.com/SupportBoard.php?PostID=114621#P114621
Date Time Of Last Edit: 2018-01-31 07:28:09
attachmentUpDownVolumeDifferenceByTickWithFilters.cpp - Attached On 2018-01-31 07:27:47 UTC - Size: 10.38 KB - 14 views
attachmentUpDownVolumeDifferenceByTickWithFilters.dll - Attached On 2018-01-31 07:27:54 UTC - Size: 815 KB - 11 views