U - V

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Go to the top menu, choose Study>Study Group>Study Name

or Go to the top menu, choose Study>All Studies> Start typing in the study name until you see it appear in the list> Click on the study name> Click OK.

Ulcer Index

The Ulcer Index was authored by Peter Martin in 1987. It is designed as a measure of an instrument’s volatility or risk. The user may change the input (close) and period length. This indicator’s definition is further expressed in the condensed code given in the calculation below.

How To Trade Using the Ulcer Index

The Ulcer Index may be used to evaluate an instrument’s volatility or risk. No trading signals are calculated.

Calculation

//input = price, user defined, default is close //period = p1, user defined, default is 30 //index = current bar number, LOE = less or equal //sqrt = square root

Plot: ulcer = ulcer(index, p1, input);
....
Method ulcer(int index, int period, Object input) 
sumSq = 0, iprice = 0, dd = 0; 
peak = 0;
for (int i = index-period+1; i LOE index; i++) 
    iprice = price[i];
    if (iprice moreThan peak) peak = iprice;
    else 
        dd = (100 * (iprice/peak) -1);
        sumSq = sumSq + (dd * dd);
    endif
endFor
return Math.sqrt(sumSq/period);
....

Ultimate Oscillator

The Ultimate Oscillator (UO) was developed by Larry Williams in the 1980s. This indicator combines an instrument’s price action during 3 different time frames into one bounded oscillator. The user may change the period lengths. This indicator’s definition is further expressed in the condensed code given in the calculation below.

Click here for more information.

How To Trade Using Ultimate Oscillator

Adjust the top and bottom guides to control the quantity and quality of the trading signals. If the OU crosses above the top guide a sell signal will be generated. Conversely, if the OU crosses below the bottom guide, a buy signal will be given.

Calculation

//period = user defined, default is 7 //period2 = user defined, default is 14 //period3 = user defined, default is 28 //TL = true low, BP = buying pressure //TR = true range, prev = previous //index = current bar number, sig = signal

prevClose = close[index-1];
TL = Math.min(low, prevClose);
BP = close - TL; 
TR = getTrueRange(index); 
// Calculate BPSum1 and TRSum1
sumBP1 = sum(index, period, BP);
umTR1 = sum(index, period, TR);
DIV1 =  sumBP1/sumTR1;
// Calculate BPSum2 and TRSum2
sumBP2 = sum(index, period2, BP);
sumTR2 = sum(index, period2, TR);
DIV2 = sumBP2/sumTR2;
// Calculate BPSum2 and TRSum2
sumBP3 = sum(index, period3, BP);
sumTR3 = sum(index, period3, TR);
DIV3 = sumBP3/sumTR3);
// Now we have enough data to calculate the Ultimate Osc
RawUO = 4*DIV1) + 2*DIV2 + Values.DIV3;
Plot: UO = (RawUO / (4 + 2 + 1)) * 100;
// Signals
buy =  crossedAbove(UO, topGuide);
sell = crossedBelow(UO, bottomGuide);

Uni Channel

Uni Channel by Omega Research 1997 is an overlay that displays a top, middle and bottom path. The channels are calculated by adding, subtracting or multiplying user-defined factors from a simple moving average. The user may modify the input (close), method (SMA), periods (10) and factors (.o2,.o2). This indicator’s definition is further expressed in the condensed code given in the calculation below.

How To Trade using Uni Channel

Adjust the input factors to control the quantity and quality of the trading signals. If a high goes above the top channel a sell signal is generated. Conversely, if a low goes below the bottom channel a buy signal is given.

Calculation

//input = price (user defined, default is closing price) //method = moving average (user defined, default is SMA) //period = user defined, default is 10 //ubFac = user defined, default is .02 //lbFac = user defined, default is .02 //type1 = user defined, default is false //ma = moving average

ma = ma(method, period, input);
if (type1) ub = ma + ubFac; lb = ma - lbFac;
else ub = ma + (ma * ubFac); lb = ma - (ma * lbFac);
Plot1: ub;
Plot2: ma;
Plot3: lb;
//Signals
buy = low lessThan lb;
sell = high moreThan ub;

Upside Potential Ratio

The Upside Potential Ratio was authored by Frank A. Sortino. It is designed to evaluate how well an investor is compensated for the risk taken. The higher the Upside Potential Ratio the better the instrument’s performance. The main ingredients are the current price and a prior price which are adjusted with the user-defined safe return. The user must select linear bars but may change the input (close), period length, beta and a safe return value. This indicator’s definition is further expressed in the condensed code given in the calculation below.

See Upside Potential Ratio See also Sortino Ratio

How To Trade Using the Upside Potential Ratio

The Upside Potential Ratio may be used to evaluate an instrument’s performance. No trading signals are calculated.

Calculation

//input = price, user defined, default is close //period = p1, user defined, default is 30 //minium return = mar = user defined, default is 5 percent //pow = power, sqrt = squart root //sma = simple moving average, sdDev = standard deviation //index = current bar number

barMin = 0;
BarSize bar = getBarSize();
if (bar.getType() == BarSizeType.LINEAR) barMin = bar.getInterval();
else return;
minPerYr = 60*24*30*12;
priorP = price[index-p1];
mar = mar /100;  //convert percent to decimal
barsPerYr = minPerYr/barMin;
pdRet = Math.pow((1 + mar), p1/barsPerYr) - 1; //minium acceptable return/period compounded 
ret = (((price/priorP)-1));
upside = upside(index, p1, pdRet, RET);
....
Method upside(int index, int period, double mar, Object key)
ret = 0, upSide = 0, dnSide = 0;
for (int i = index-period+1; i lessOr=index; i++)
    ret = price[i];
    if (ret moreThan mar)
        upSide = upSide + (ret - mar) * (1 / period);
    endIf
    if (ret lessThan mar)
        dnSide = dnSide + Math.pow((ret - mar), 2) * (1 / period);
    endIf
endFor
if (dnSide moreThan 0)
    return upSide / Math.sqrt(dnSide);
else return null;
endIf
EndMethod
....

UpSide DownSide Volume

UpSide DownSide Volume (UDVOL) was authored by Aldo A. Palles for Omega Research 1997. This indicator gives volume a direction. If prices are rising volume is assigned a plus value; if prices are falling volume is assigned a minus value. The ratio of the plus-minus volume over a time period creates an oscillator. The user may change the input (close) and period length. This indicator’s definition is further expressed in the condensed code given in the calculation below.

How To Trade Using UpSide DnSide Volume

If the udVol crosses above the midGuide, a buy signal will be generated. Conversely, if the udVol crosses below the midGuide, a sell signal will be given. The 0 line divides the bulls above from the bears below.

Calculation

//input = price, user defined, default is closing price //period = user defined, default is 50 //index = current bar number //prev = previous

lastU = udVol[index-1];
udVol = upDnVol(index, period, input);
Plot: udVol = upDnVol(index, period, key);
//Signals
sell = (udVol moreThan midGuide) AND ( lastU lessThan midGuide);
buy = (udVol lessThan midGuide) AND ( lastU moreThan midGuide);
....
Method upDnVol(int index, int period, Object input){
ivolume =  0, iprice = 0, prevP = 0;
upVol = 0, dnVol = 0, upDnVol = 0;
for (i = index-period+1; i LOE index; i++) {
    ivolume =  volume[i];
    iprice = price[i];
    prevP = price[i-1];
    if (iprice MOE prevP) upVol = upVol + ivolume;
    if (iprice lessThan prevP) dnVol = dnVol + ivolume;
endFor
if (dnVol != 0) upDnVol = upVol / dnVol;
return upDnVol;
endMethod
....

VIDYA1 Indicator

VIDYA1 Indicator by Chande and Kroll is a type of Moving Average that uses Standard Deviation and feedback in its calculation. The user may change the input (close), method (SMA), period (5) and alpha (.2). This indicator’s definition is further expressed in the condensed code given in the calculation below.

How To Trade Using VIDYA1 Indicator

VIDYA1 Indicator may be used as a type of Moving Average in conjunction with other indicators. No trading signals are calculated.

Calculation

//input = price, user defined, default is close //method = moving average, user defined, default is SMA //period = user defined, default is 5 //alpha = user defined, default is .2 //prev = previous, av = average //std = standard deviation //index = current bar number

stdDev = std(index, period, input);
avStdDev = ma(method, index, period, stdDev);
prevVidya = isNull(price, vidya[index-1]);
ratio = stdDev/avStdDev;
Plot: vidya = (alpha * ratio * price) + ((1-(alpha*ratio)) * prevVidya);

VIDYA2 Indicator

VIDYA2 Indicator by Chande and Kroll are types of Adaptive Moving Averages that use Standard Deviation and feedback in their calculation. Two paths are plotted with different alpha values. The user may change the input (close), period (20) and alphas (.2,.04). This indicator’s definition is further expressed in the condensed code given in the calculation below.

How To Trade Using VIDYA2 Indicator

Trading signals are generated when VIDYA1 and VIDYA2 cross. If VIDYA1 crosses above (upward movement) a buy signal is generated. Conversely, if VIDYA1 crosses below (downward movement) a sell signal is given.

Calculation

//input = user defined, default is close //period = user defined, default is 20 //alpha1 = user defined, default is .2 //alpha2 = user defined, default is .04 //prev = previous, index = current bar number //std = stdDev = standard deviation

stdDev = std(index, period, input);
avStdDev = ma(method, index, period, stdDev);
prevVidya1 = isNull(price, vidya1[index-1]); //feedback
prevVidya2 = isNull(price, vidya2[index-1]); //feedback
ratio = stdDev/avStdDev;
Plot1: vidya1 = (alpha1 * ratio * price) + ((1-(alpha1*ratio)) * prevVidya1);
Plot2: vidya2 = (alpha2 * ratio * price) + ((1-(alpha2*ratio)) * prevVidya2);
//Signals
buy = crossedAbove(VIDYA1, VIDYA2);
sell = crossedBelow(VIDYA1, VIDYA2);

Vertical Horizontal Filter

Vertical Horizontal Filter (VHF) is a trending and ranging indicator authored by Adam White. The VHF uses the highest close minus the lowest close divided by the sum of the absolute value of the difference of the highest and lowest over a user-defined time period. The user may change the input (close) and period length. This indicator’s definition is further expressed in the condensed code given in the calculation below.

How To Trade Using the Vertical Horizontal Filter

Vertical Horizontal Filter is a trending and ranging indicator and may be used in conjunction with other studies. Rising values indicate an up trend, and falling indicates a ranging market. No trading signals are calculated.

Calculation

//input = price, user defined, default is close //period = user defined, default is 22 //prev = previous, LOE = less or equal //abs = absolute value, index = current bar number

diff = 0, sumD = 0, lowest = max_number, highest = 0;
for (int i = index - period+1; i LOE index; i++)
    iprice = price[i];
    prevP = price[i-1];
    if (iprice lessThan lowest) lowest = iprice;
    if (iprice moreThan highest) highest = iprice;
    diff = Math.abs(iprice-prevP);
    sumD = sumD + diff;
endFor
Plot: vhf = (highest - lowest) / sumD;

Volatility Index

The Volatility Index system is a trend-following system where the position is reversed at every stop. This overlay works as described in the book New Concepts in Technical Trading Systems by J Welles Wilder Jr. SAR (Stop and Reverse) points are calculated as follows: if (isLong) SAR = SIC – ATR(period)*C else SAR = SIC + ATR(period)*C. The user may change the period length and constant value. This indicator’s definition is further expressed in the raw code given in the calculation below.

How To Trade Using Volatility Index

Volatility Index The Volatility Index may be used for an exit strategy. If a close is less than or equal to the SAR, a sell-to-exit (exit long) signal will be generated. Conversely, if the close is more than or equal to the SAR a buy-to-cover (exit short) signal will be given.

Calculation

//period = user defined, default is 7 //constant = user defined, default is 3 //LT = less than, LOE = less or equal //MT = more than, MOE = more or equal

  protected void calculate(int index, DataContext ctx)
  
    int period = getSettings().getInteger(Inputs.PERIOD, 7);
    if (index LT period) return;
    DataSeries series = ctx.getDataSeries();
    // The VX is only relevant for completed bars 
    if (!series.isBarComplete(index)) return;
    
    Double SAR = series.getDouble(index-1, Values.SAR); // Stop And Reverse 
    Double ATR = series.getDouble(index-1, Values.ATR); // Average True Range 
    double C = getSettings().getDouble(CONSTANT, 3.0);
    Double SIC = series.getDouble(index-1, Values.SIC); // Significant Close 
    Boolean isLong = series.getBoolean(index-1, Values.LONG);
    Instrument instr = ctx.getInstrument();
    boolean latest = index == series.size()-1;
    
    if (SAR == null) 
      // first entry point, calculate the first SAR 
      isLong = series.getClose(index) MT series.getClose(index-1);
      ATR = series.atr(period);
      SIC = (double)series.getClose(index-1);
      if (isLong) SAR = (double)instr.round(SIC-ATR*C);
      else SAR = (double)instr.round(SIC+ATR*C);
    end
    else 
      ATR = ((period-1)*ATR + series.getTrueRange(index))/period;
    end
    double ARC = ATR*C;
    double close = series.getClose(index);
    if (isLong) 
      if (close LOE SAR) 
        // Stop and Reverse 
        isLong = false;
        series.setBoolean(index, Signals.SAR_LONG, true);
        if (!latest) 
          ctx.signal(index, Signals.SAR_LONG, get("SIGNAL_SAR_LONG", instr.format(close), instr.format(SAR)), close);
        end
        SIC = close;
        SAR = instr.round(SIC + ARC);
      end
      else 
        SIC = Util.max(SIC, close);
        SAR = instr.round(SIC - ARC);
      end
    end
    else 
      if (close MOE SAR) 
        // Stop and Reverse 
        isLong = true;
        series.setBoolean(index, Signals.SAR_SHORT, true);
        if (!latest) {
          ctx.signal(index, Signals.SAR_SHORT, get("SIGNAL_SAR_SHORT", instr.format(close), instr.format(SAR)), close);
        end
        SIC = close;
        SAR = instr.round(SIC - ARC);
      end
      else 
        SIC = Util.min(SIC, close);
        SAR = instr.round(SIC + ARC);
      end
    end
    series.setDouble(index, Values.SAR, SAR);
    series.setDouble(index, Values.SIC, SIC);
    series.setDouble(index, Values.ATR, ATR);
    series.setBoolean(index,  Values.LONG, isLong);
    series.setComplete(index);
  end
end

Volatility Index Trading System

The Volatility Index Trading System (VIXTS) was described by Trent Gardner in the Stocks and Commodities Mag. Dec. 2012. The VIXTS compares a 50-day moving average of the VIX to its closing price. If the price stays above or below the 50-day average for the count a sell or buy signal will be generated. Set bar interval to 1 day. The user may change the input (close), method (SMA), period (50) and the count (11). This indicator’s definition is further expressed in the condensed code given in the calculation below.

How To Trade Using VIX Trading System

If the price stays above the VIXTS for 11 days, a sell signal will be generated. Conversely, if the price stays below the VIXTS for 11 days, a buy signal will be given.

Calculation

//input = price, default is closing //method = moving average, default is SMA //period = ma period, default is 50 //maxCount = default is 11 //index = current bar number

minCount = maxCount * -1;
Plot: vixts = ma(method, index, period, price);
prevCount = count[index-1];

if (price moreThan vixts AND prevCount moreOrEqual 0) count = prevCount + 1;
if (price lessOrEqual vixts AND prevCount lessOrEqual 0) count = prevCount - 1;
//Check for signal events
sell = count == maxCount;
buy = count == minCount;

Volatility Stops (VT)

Volatility Stops (VT) was authored by Welles Wilder. The VT identifies exit points for long and short positions. First, an exponential moving average (EMA) of the input is taken to determine the current trend. Then, the Average True Range (ATR) is calculated and multiplied by a user-defined factor. If the EMA is increasing (uptrend), the ATR product is subtracted from the highest price for the period or, if the EMA is decreasing (downtrend), it is added to the lowest price for the period. This final value of the VT is displaced to one future bar. The user may change the position (long), input (close), method (EMA), period lengths and percent factor. This indicator’s definition is further expressed in the condensed code given in the calculation below.

How To Trade Using Volatility Stops

Volatility Stops are designed to aid in exit decisions. For long positions, if the price crosses below the VSTOP and it is an uptrend, a sell signal is generated. Conversely, for short positions, if the price crosses above the VSTOP and it is a downtrend, a buy-to-cover signal is given.

Calculation

//position = pos, user defined, default is long //input = price, user defined, default is close //method = moving average (ma), user defined, default is EMA //period1 = maP, user defined, default is 63 //period2 = artP, user defined, default is 21 //factor = fac, user defined, default is 3 //art = Average True Range //index = current bar number, prev = previous //shortP = short position, longP = long position

longP = pos == "Long";
shortP = pos == "Short";
vstop = 0;
sic = 0, atrUp = 0, atrDn = 0;
ma = ma(method, index, maP, input);
upTrend = price moreThan ma;;
dnTrend = price lessOr= ma;
if (longP AND upTrend)
    atrUp = atr(index, atrP);
    sic = highest(index, atrP, input);
    vstop = sic - (fac * atrUp);
endIf
if (shortP AND dnTrend)
    atrDn = atr(index, atrP);
    sic = lowest(index, atrP, input);
    vstop = sic + (fac * atrDn);
endIf
if (vstop != 0) vstop[index+1];
//Signals
prevP = price[index-1];
if (vstop != 0) {
    sell = prevP moreThan vstop AND price lessThan vstop AND longP AND upTrend;
    buy = prevP lessThan vstop AND price moreThan vstop AND shortP AND dnTrend;
endIf

Volatility Ratio (VR)

Volatility indicates risks by measuring price fluctuations over time. The higher the volatility, the greater the risk of an asset. The Volatility Ratio (VR) measures the relative change in volatility. The ratio was first mentioned by Jack Schwager in his book, Technical Analysis. Traders can use this risk indicator to determine the volatility conditions of the market, which provides insights into market sentiment, reversals, and potential entry and exit points.

The Volatility Ratio is calculated based on the True Range (TR). The formula is Today's True Range is divided by the Exponential Moving Average of the True Range over x days. A VR ratio that is higher than 1 suggests higher volatility, which means more risk and price fluctuations. Meanwhile, a VR ratio that is lower than 1 indicates lower volatility, suggesting less risk and a more steady market. When the ratio surges dramatically, it might signal an overbought/oversold condition, suggesting potential breakouts, and reversals.

How to trade using the Volatility Ratio

This ratio should not be used as a stand-alone indicator, but rather be applied in conjunction with other indicators for better risk management and trend confirmations.

Volume

Volume presents the total number of shares traded during a specific period and is one of the essential tools in trading analysis. It shows how active traders are and their level of commitment. Traders use Volume to validate market strength, trends, and potential divergence and reversals.

How to trade using Volume

In general, a high volume signifies a strong interest in the asset while a low volume indicates less activity and a lack of interest. There are several ways to utilize Volume for trading decisions:

High or Low Volume can be used to confirm trends. A high and/or increasing volume in an uptrend expresses buyers' motivation to maintain the trend direction. Likewise, a significant volume in a downtrend shows strong selling interest and aims to sustain the downward movement. On the other hand, a low and/or decreasing volume signals weak motivation in trading, and the momentum might reverse soon. In summary, higher volume strengthens the price trends, while low volume may suggest weakness or consolidation.

The price patterns and volume can also indicate divergence. If the price and its volume are both increasing, it is considered a strong sign of bullish momentum. This means more buyers have joined the market and that pushes the price higher. If the volume is decreasing when the price is rising, the uptrend is likely to lose its momentum, suggesting a potential reversal. If the volume increases but the price falls, it shows a strong sign of bearish trend in which the sellers are in control and want to sustain the downtrend. If both the price and volume decline, they imply that fewer sellers are willing to continue and a reversal might occur soon.

In addition, traders can identify potential breakouts or reversals by monitoring volume spikes. If the price breaks through the resistance or support level along with a high volume, it is a strong breakout and the trend is likely to be sustained. For low-volume breakouts, however, there might be false signals or fail breakouts. In the case of reversals, if the volume spikes are close to resistance/support levels, it might imply reversals.

Volume Accum Percent

Volume Accum Percent was authored by Omega Research, 1997. Highs, lows, closes and volume over a 21 bar period are mathematically manipulated to produce this histogram plot. The user may change only the period length. This indicator’s definition is further expressed in the condensed code given in the calculation below.

How To Trade Using Volume Accum Percent

A positive value shows an upward trend, and a negative shows a downward trend. The Volume Accum Percent may be used in conjunction with other indicators. No trading signals are calculated.

Calculation

//period = user defined, default is 21 //index = current bar number

xT = 0;
vapc = 0;
if (high - low != 0) xT = ((close - low) - (high - close)) / (high - low);
tVa = volume * xT;
tVol = sum(index, period, VOLUME);
tVaSum = sum(index, period, tVa);
if (tVol != 0) vapc = (tVaSum / tVol) * 100;
PlotHist: vapc;

Volume Accumulation Oscillator

The Volume Accumulation Oscillator (VAO) was authored by Marc Chaikin. The VAO is the product of the volume times the difference of the current price and the midpoint price. The user may change only the input (close). This indicator’s definition is further expressed in the condensed code given in the calculation below.

How To Trade Using Volume Accumulation Oscillator

The Volume Accumulation Oscillator may be used as a divergence indicator with the high and low prices. No trading signals, however, are calculated for this indicator.

Calculation

//input = price, user defined, default is closing price

Plot: vao = volume * (price - (high + low) / 2);

Volume Imprint

Volume Imprint (sometimes known as a Volume Footprint) is a very versatile study that provides multiple ways to look at volume distribution inside of a price candle. This study can be found under Study>Volume Based>Volume Imprint

There are 5 different ways to visualize the volume distribution:

Profile - Displays a volume histogram using the given price interval.
Bid/Ask - Displays a numerical view of the bid and ask volume using the given price interval.
Ladder - Displays a price candle with a bid and ask volume histogram on the left/right sides.
Delta - Displays a numerical view of the difference between the ask and bid volume (Delta) using the given price interval.
Volume - Displays a numerical view of the volume using the given price interval.

For details on how to use this study, see our Volume and Order Flow Analysis Guide

Volume Oscillator

The Volume Oscillator (VO) charts the difference between 2 moving averages of volume. The VO helps to determine if the volume trend is rising or falling. The user may change the method (SMA) and period lengths. This indicator’s definition is further expressed in the condensed code given in the calculation below

How To Trade Using the Volume Oscillator

No trading signals are calculated for this indicator.

Calculation

//method = moving average (ma), user defined, default is SMA //period1 = user defined, default is 10 //period2 = user defined, default is 30 //index = current bar number

MA1 = ma(method, index, period1, VOLUME);
MA2 = ma(method, index, period2, VOLUME);
Plot: VO = MA1 - MA2;

Volume Price Confirmation Indicator (VPCI)

Volume Price Confirmation Indicator (VPCI) is an oscillator that plots the difference between a Volume-weighted Moving Average (VWMA) and the corresponding Simple Moving Average (SMA). It is developed by Buff Dormeier in his article, Price and Volume: Digging Deeper, 2007. Dormeier created the Four Quadrants of Price-Volume Relationship to validate whether the volume supports the price trends. This indicator displays the price-volume relationship that helps traders confirm trends, market strength, crossover signals, divergence and reversals. The key idea is that price movements are more reliable and sustainable when confirmed with corresponding volume.

Click here for more information

How to trade using the Volume Price Confirmation Indicator

The VPCI is used for trend confirmation. If the price is rising, associated with a high or increasing volume, it suggests a strong and steady uptrend, and traders may consider entering long positions Likewise if the price is dropping while the volume is high or increasing, it indicates a strong and stable downtrend, and therefore traders may consider entering short positions.

Traders can use crossovers between the VPCI path and the Signal path for potential trading opportunities. If the VPCI path crosses below the Signal path, a bearish/sell signal will be given. Conversely, if the VPCI path crosses above the Signal path, a bullish crossover will be generated and therefore, suggests traders to buy.

Divergences between the price and VPCI may also provide insights into trading opportunities. If the price makes higher highs but the VPCI doesn't share the same directions, it signals a bearish divergence and therefore, a potential reversal to a downtrend. Conversely, if the price makes lower lows but the VPCI lacks confirmation for the same trend, it shows a bullish divergence and therefore, it might be the signal for a reversal to an uptrend.

Volume Price Trend

The Volume Price Trend uses the difference between the price and the previous price with volume and feedback to arrive at its final form. The user may change only the input (close). This indicator’s definition is further expressed in the condensed code given in the calculation below.

How To Trade Using Volume Price Trend

The Volume Price Trend (VPT) may be used directly with the price plot. If there appears to be a bullish divergence of price and the VPT (upward slope of the VPT and downward slope of the price) a buy opportunity exists. Conversely, a bearish divergence (downward slope of the VPT and upward slope of the price) implies a sell opportunity. The VPT may also be used in conjunction with other indicators. No trading signals are calculated.

Calculation

//input = price, user defined, default is close //prev = previous, index = current bar number

prevP = price[index-1];
prevVpt = ifNull(0, vpt[index-1]);  //returns 0 on first try
Plot: vpt = prevVpt + volume * ((price - prevP) / prevP);

Volume Profile

The Volume Profile displays a vertical representation of the volume distribution over the price range for the visible bars. The user may change the number of bars, width, align, range percent, and show range option. The default values of this indicator are given in the calculation below.

How To Trade Using the Volume Profile

No trading signals are calculated for this indicator.

Calculation

//Bars = user defined, default is 20 //Width = user defined, default is 100 //Align = user defined, default is right //Range Percent = user defined, default is 70 //Show Range = user defined, default is true

Code may be available on request.

Volume Rate Of Change

Volume Rate Of Change (VROC) was authored by Omega Reasearch 1997. The VROC uses the current volume and a prior volume to create an oscillator which is plotted as a histogram. The user may change the input (close) and period length. This indicator’s definition is further expressed in the condensed code given in the calculation below.

How To Trade Using Volume Rate Of Change

If the volRoc crosses above the 0 line, a sell signal will be generated. Conversely, a buy signal will be given if the volRoc crosses below the 0 line.

Calculation

//input = price, user defined, default is closing price, used in signal message only //period = user defined, default is 14 //index = current bar number

v = getVolume(index);
if (v == null) v = 0;
priorV = volume(index-period);
if (priorV == null) priorV = 0;
volRoc = 0;
if ((priorV != 0) AND (v != 0)) volRoc = 100 * (v - priorV) /(v + priorV);
Plot: volRoc;
//Signals
lastVr = volRoc[index-1];
sell = (volRoc moreThan 0) AND (lastVr lessThan; 0);
buy = (volRoc lessThan 0) AND (lastVr moreThan 0);

Volume Weighted Average Price (VWAP)

The Volume Weighted Average Price (VWAP) calculates the average weighted price by volume for the day. Traders often use VWAP to determine the value of an asset (whether it is overvalued or undervalued) and trading opportunities. This indicator is often used as an intraday trading tool and by institutional traders. The user may change the input (typical price) and bar size.

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How To Trade Using Volume Weighted Average Price

No trading signals are calculated for this indicator. When the price is above the VWAP, it indicates an uptrend and a bullish signal, therefore, traders can look for opportunities to buy. Conversely, when the price is below the VWAP, it suggests a downtrend and a bearish sign, therefore, traders can look for opportunities to sell.

Calculation

//input =price, user defined, default is typical price //bar size = user defined, default is 1440 (1 day)

Code may be available on request.

Volume-Weighted Moving Average (VWMA)

The Volume-Weighted Moving Average (VWMA) study calculates the average weighted price by volume over a period of N bars. The formula is as follows: SUM(vol*price)/SUM(vol). The user may change the input (close), period and shift.

How To Trade Using Volume Weighted Moving Average

No trading signals are calculated for this indicator.

Calculation

//fastInput = price, user defined, default is close //slowInput = price, user defined, default is close //fastMethod = moving average (ma), user defined, default is EMA //slowMethod = moving average (ma), user defined, default is EMA //fastPeriod = user defined, default is 10 //slowPeriod = user defined, default is 20 //index = current bar number

fastMA = ma(fastMethod, index,  fastPeriod, fastInput);
slowMA = ma(slowMethod, index, slowPeriod, slowInput);
// Check to see if a cross occurred and raise signal.
buy = crossedAbove(fastMA, slowMA);
sell = crossedBelow(fastMA, slowMA);

Volume Zone Oscillator

The Volume Zone Oscillator (VZO) was authored by Walid Khalil and David Steckler in the Stocks and Commodities Magazine, May 2011. The VZO uses price, previous price and moving averages to compute its oscillating value. It is a leading indicator that calculates buy and sell signals based on oversold/overbought conditions. The VZO system also uses a 60-period Exponential Moving Average and a 14-period Average Directional Movement Index (ADX). The user may change the input (close), method (EMA) and period lengths. This indicator’s definition is further expressed in the condensed code given in the calculation below.

How To Trade Using The Volume Zone Oscillator

Four trading signals (enter long, exit long, enter short, exit short) are calculated for this indicator. For details refer to the S and C article and the code given below.

Calculation

//input = price, user defined, default is closing price //method = moving average, user defined, default is EMA //period = user defined, default is 14 //maPeriod = user defined, default is 60 //reduceWhipsaws = default is true //index = current bar number

prevPrice = price[index-1];
vol = getVolume(index);
r = Utility.sign(price, prevPrice) * vol;
ma = ma(method, index, maPeriod, key);
vp = ma(method, index, period, R);
tv = ma(method, index, period, VOLUME);
if (tv != 0) vzo = 100 * vp / tv;
prevVzo = vzo[index-1];
//ADX
// Calculate the +DM, -DM and TR
pdm = getPositiveDM(index);
ndm = getNegativeDM(index);
tr = getTrueRange(index);
// Calculate the Average +DM, -DM and TR
pdma = smma(index, period, PDM);
ndma = smma(index, period, NDM);
tra = smma(index, period, TR);
// Determine the +DI, -DI and DX
pdi = pdma / tra * 100;
ndi = ndma / tra * 100;
dx = abs((pdma - ndma)) / (pdma + ndma) * 100;
// Calculate the Average DX
Plot:adx = smma(index, period, DX);
// Signals
//Note:Shorthand example: bottGuide40=bottom guide with default value of 40
boolean enterLong = false, exitLong = false, enterShort = false, exitShort = false;
//uptrend
if (price moreThan ma AND adx moreThan adxMidG)
      if (reduceWS) enterLong = (prevVzo lessThan bottG40 AND vzo moreThan bottG40) OR (prevVzo lessThan topG15 AND  vzo moreThan topG15);
      if (!reduceWS) enterLong= (prevVzo lessThan bottG40 AND vzo moreThan bottG40) OR (prevVzo lessThan midG AND vzo moreThan midG);
  exitLong = ((prevVzo moreThan topG60 AND vzo lessThan prevVzo) OR (prevVzo moreThan topG40 AND vzo lessThan   topG40) OR (price lessThan ma AND vzo lessThan midG)); 
endIf
//down trend
if (price lessThan ma AND adx moreThan adxMidG)
      if (reduceWS) enterShort = (prevVzo moreThan topG40 AND vzo lessThan topG40) OR (prevVzo moreThan bottG5 AND vzo lessThan bottG5);  
      if (!reduceWS) enterShort = (prevVzo moreThan topG40 AND vzo lessThan topG40) OR (prevVzo moreThan midG AND vzo lessThan midG);  
      exitShort = (vzo lessThan bottG60 AND vzo moreThan prevVzo) OR (prevVzo lessThan bottG40 AND vzo moreThan bottG40) OR (price moreThan ma AND prevVzo lessThan midG AND vzo moreThan midG);
         
endIf  
//non trending
if (adx lessThan adxMidG)
      enterLong = (prevVzo lessThan bottG40 AND vzo moreThan bottG40) OR (prevVzo lessThan topG15 AND vzo moreThan topG15);
      exitLong = ((prevVzo lessThan topG40 AND vzo moreThan topG40) AND exitLong) OR (prevVzo moreThan bottG5 AND vzo lessThan bottG5);
      enterShort = (prevVzo moreThan topG40 AND vzo lessThan topG40) OR (prevVzo moreThan bottG5 AND vzo lessThan bottG5);
if ((prevVzo moreThan bottG40 AND vzo lessThan bottG40))
        if (reduceWS) exitShort = (prevVzo lessThan bottG40 AND vzo moreThan bottG40) OR (prevVzo lessThan topG15 AND vzo moreThan topG15);
        if (!reduceWS) exitShort= (prevVzo lessThan bottG40 AND vzo moreThan bottG40) OR (prevVzo lessThan midG AND vzo moreThan midG);
 
endIf
      if (vzo moreThan bottG40) exitShort =  (prevVzo lessThan topG15 AND vzo moreThan topG15);

Vortex Indicator

The Vortex Indicator was invented by Etienne Botes and Douglas Siepman. It is a trend reversal indicator. Two paths are plotted a viPlus and a viMinus. When the two paths cross a change in the trend is indicated and trading signals are generated. The indicator may be used in any market and any time frame. The user may change the period length which has a default value of 21. This indicator’s definition is further expressed in the condensed code given in the calculation below.

Click here for more information on the Vortex Indicator.

How To Trade Using Vortex Indicator

The vortex indicator may be used alone or with other indicators, in particular, a trailing stop may be useful. Sell signals are generated when the viPlus crosses below the viMinus. Conversely, buy signals are given when the viPlus crosses above the viMinus. If using short time frames (minute bars) the default period of 21 should be increased.

Calculation

//period = user defined, default is 21 //tr = true range //abs = absolute value //prev = previous, index = current bar number //vi = vortex indicator

tr = getTrueRange(index);
prevLow = low[index-1];
prevHigh = high[index-1];
vPlus = abs(high - prevLow);
vMinus = abs(low - prevHigh);
sumTr = sum(index, period, tr);
sumVplus = sum(index, period, vPlus);
sumVminus = sum(index, period, vMinus);
Plot1: viPlus = sumVplus / sumTr;
Plot2: viMinus = sumVminus / sumTr;
//Signals
buy = crossedAbove(viPlus, viMinus);
sell =crossedBelow(viPlus, viMinus);

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Last updated 28 days ago