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Phillip Holt's technique for testing the on-balance volume disparity indicator (OBVDI) and the negative volume disparity indicator (NVDI) against the NYSE Composite Index also seems to show promise for commodities. Looking at currencies, I found that with a little manipulation of the parameters and using a decent money management stop, the performance results were well above average. Following are both the OBVDI and the NVDI as user functions. A word of caution: Be sure to set the properties of the user functions to "series." Type: User-Function, Name: OBVDI Inputs: Length(Numeric); Vars: BollTop(0), BollBot(0), PerB(0), OBVBollTop(0), OBVBollBot(0), OBVPerB(0); BollTop=BollingerBand(Close,Length,2); BollBot=BollingerBand(Close,Length,-2); If (BollTop-BollBot)<>0 then PerB=(Close-BollBot)/(BollTop-BollBot); OBVBollTop=BollingerBand(OBV,Length,2); OBVBollBot=BollingerBand(OBV,Length,-2); If (OBVBollTop-OBVBollBot)<>0 then OBVPerB=(OBV-OBVBollBot)/(OBVBollTop-OBVBollBot); OBVDI=(1+PerB)/(1+OBVPerB); Type: User-Function, Name: NVDI Inputs: Length(Numeric); Vars: BollTop(0), BollBot(0), PerB(0), NegVBollTop(0), NegVBollBot(0), NegVPerB(0), NegV(0); If Currentbar=1 then NegV=100; BollTop=BollingerBand(Close,Length,2); BollBot=BollingerBand(Close,Length,-2); If (BollTop-BollBot)<>0 then PerB=(Close-BollBot)/(BollTop-BollBot); NegV=IFF(Volume NegVBollTop=BollingerBand(NegV,Length,2); NegVBollBot=BollingerBand(NegV,Length,-2); If (NegVBollTop-NegVBollBot)<>0 then NegVPerB=(NegV-NegVBollBot)/(NegVBollTop-NegVBollBot); NVDI=(1+PerB)/(1+NegVPerB); To plot the NVDI, substitute the NVDI function for the OBVDI in the above formula. Next, coding the system for the OBVDI is simple: Type: System, Name: OBVDI System Inputs: BLevel(.95), SLevel(.95); IF Average(OBVDI(33),4) crosses over BLevel Then Buy on Close; IF Average(OBVDI(33),4) crosses below SLevel Then Sell on Close; All of this code will be made available on both the Omega Research area of America OnLine and at our Web site at http: //www.omegaresearch.com. -- Miles Dunbar, Easy Language Specialist, Omega Research Code:
Code to difficult? Find somebody to help you with coding here.
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| However we try to maintain hiqhest possible level of service - most formulas, oscillators, indicators and systems are submitted by anonymous users. Therefore S4T™ does not take any responsibility for it's quality. If you use any of this information, use it at your own risk. You are responsible for your own trading decisions. Be sure to verify that any information you see on these pages is correct, and is applicable to your particular trade. In no case will S4T™ be responsible for your trading gains or losses. |
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