Date/Time: Mon, 23 Apr 2018 03:53:11 +0000
Post From: Offering To The Community: On Balance Volume By Tick MACD With Filters
|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:
On Balance Volume By Tick MACD 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.
OBV acts similar for volume for what price does on the main chart. OBV is first calculated and then a MACD is taken of it. Using MACD as a measurement of volume movement gives clues to when volume has moved too far and will stop or reverse. Reading OBV MACD is very similar to reading price MACD. Volume movements affect price, and when volume stops, so does price. For a more complete picture, it is recommended to combine this indicator with OBV By Tick using the MA Ribbon option, OBV By Tick RSI, Intraday Intensity Oscillator By Tick, and Up/Down Volume Difference By Tick. Accurate volume measurement by tick is crucial to seeing what the market is doing under the hood.
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.
Setting the MACD periods too small will just give a lot of false crossover signals. My personal preferences are 15,80,10 to capture the overall movement.
Minor update 2018-01-31. No major function changes.
Regular compiles moved to "Brett Johnson's Standard Tool Kit" DLL.
Quick compile instructions:
Date Time Of Last Edit: 2018-01-31 07:20:24
OnBalanceVolumeByTickMACDWithFilters.cpp - Attached On 2018-01-31 07:20:02 UTC - Size: 12.66 KB - 18 views
OnBalanceVolumeByTickMACDWithFilters.dll - Attached On 2018-01-31 07:20:13 UTC - Size: 816 KB - 20 views