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Date/Time: Sat, 19 Jan 2019 01:12:15 +0000

Post From: Offering To The Community: Adaptive Volume Ratio Moving Average By Tick With Filters

[2015-07-26 15:47:40]
bjohnson777 (Brett Johnson) - Posts: 251
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 Volume Ratio 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.

This indicator turns the Up/Down Volume Ratio into an Adaptive Moving Average. It is generally faster than Adaptive IIO and Adaptive OBV RSI. It is pretty much guaranteed that you will have to tune the "AVRatio Scale Factor Change" number because of movement variances between different securities. The Scale Factor number will speed up or slow down the AMA line. To tune for fast mode, start the AMA line slightly slower and speed it up until it just follows the price line. This will show short term price movements that are weak and over shoots. To tune for slow mode, start the AMA line slightly fast and slow it down until most of the price movements are above or below the AMA line. The Up/Down Volume Ratio Limiter will slow down the AMA line on low volume and help identify weak and false moves. 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.

The AMA engine uses the traditional Up/Down Volume Ratio but adds a limiter to reduce the value on low volume. This helps reduce the large ranges on low volume that can blow out the scale. With the limiter in place, this is not a ratio with a 100% scale. It is very similar to Up/Down Volume Difference but much slower to calculate because of searching for the Highes Value average. The Highest Value average takes the selected number of highest values for a time period and averages them to a high value line. Anything above the line is ignored. Anything below the line gets the output ratio scaled proportionally by the limiter. Despite the higher number of calculations per bar, this helps identify which of the big peaks/dips are real or not. This indicator solves the problem of the ratio line jumping on each new bar with little data. This also makes it easier to use with automated trading systems.

This indicator version has a second smoothing option. The ratio 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.

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 07:02:00
attachmentAdaptiveVolumeRatio_MAByTick.cpp - Attached On 2018-01-31 07:01:46 UTC - Size: 16.08 KB - 48 views
attachmentAdaptiveVolumeRatio_MAByTick.dll - Attached On 2018-01-31 07:01:52 UTC - Size: 819.5 KB - 39 views