Date/Time: Fri, 27 Apr 2018 03:01:29 +0000
Post From: Offering To The Community: Adaptive OBV RSI Moving Average By Tick 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:
Adaptive OBV RSI Moving Average 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.
OBV acts similar for volume for what price does on the main chart. OBV is first calculated and then an RSI is taken of it. The RSI values are then put into an EMA formula to make an Adaptive Moving Average. When RSI goes weak (indicating volume movement has gone weak), the AMA line will slow down. For a more complete picture, it is recommended to use this indicator with Up/Down Volume Ratio or Difference, OBV By Tick using the MA Ribbon option, OBV By Tick MACD, and OBV By Tick RSI to help see the volume moves to identify the trend.
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.
This RSI version has recommended extra smoothing options to help take the noise out of the RSI line.
Observations. Volume tends to have longer runs than price. Setting the RSI period too small will just smash the indicator during these long runs. The AOBVRSI line tends to be slower than Adaptive IIO and Adaptive Volume Ratio (but a bit noisier at the RSI extremes) because RSI as a base tends to be a little more sluggish. That makes this indicator preferred when looking for slower AMA lines. Like the other tick based volume AMA's, this one tends to ignore weaker price movements.
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 06:59:37
AdaptiveOBVRSIByTick_MA.cpp - Attached On 2018-01-31 06:59:22 UTC - Size: 12.58 KB - 18 views
AdaptiveOBVRSIByTick_MA.dll - Attached On 2018-01-31 06:59:28 UTC - Size: 817 KB - 20 views