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Finite Volume Element (FVE) System
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| Added: December 08, 2006 |
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TradeStation, system
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Markos Katsanos' article "Detecting Breakouts" describes the calculation
and use of a price-volume indicator called the finite volume element (FVE). Katsanos
provides a detailed Excel spreadsheet in the article, and I've used it to write
the equivalent EasyLanguage code for the Fve. We named this indicator "FiniteVolumeElement."
Finally, Katsanos tests his Fve by basing a mechanical strategy on it. The
strategy can be tested in TradeStation with the EasyLanguage strategy code named
"FiniteVolEle."
Code:
Type : Strategy, Name : FiniteEleVol
inputs:
CutOff( .003 ),
Samples( 22 ) ;
variables:
TP( 0 ),
MF( 0 ),
VolumePlusMinus( 0 ),
FVEsum( 0 ),
FveFactor( 0 ),
FVE( 0 ) ;
TP = (High + Low + Close ) / 3 ;
MF = (Close - (High + Low ) / 2 )+ TP - TP[1] ;
if MF > CutOff * Close then
FveFactor = 1
else if MF < -1 * CutOff * Close then
FveFactor = -1
else
FveFactor = 0 ;
if BarNumber > Samples then
begin
VolumePlusMinus = Volume * FveFactor ;
FVEsum = Summation( VolumePlusMinus, Samples ) ;
FVE = ( FVEsum / (Average( Volume, Samples ) * Samples ) ) * 100 ;
Value1 = LinearRegSlope( FVE , 35 ) ;
Value2 = LinearRegSlope( Close, 35 ) ;
if FVE crosses over -5 and Value1 > 0
and Value2 < 0
then
Buy Next Bar at Market ;
if ( LinearRegSlope( FVE, 25) < 0 ) or
( DateToJulian( Date ) - DateToJulian( EntryDate ) > 50*( 7 / 5 ) )
then
Sell Next bar at Market ;
end ;
Code to difficult? Find somebody to help you with coding here.
Author: Markos Katsanos
Source: http://www.traders.com
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