The TFS volume oscillator is the second component of Bryan Strain's Trending Following System. This indicator is used, together with the TFS Tether line and the TFS MBO, to generate buy signals.
TFS VO uses the open, close and volume time-series, as well as a time frame. Generally, a period of...
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TFS is a trend-following system introduced by Bryan Strain in "How to get with the trend and out at the end" in the Stock & Commodities magazine in 2000. It consists of a set of three indicators, used together to generate entries. We here focus on the TFS tether line...
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The Relative Vigor Index or RVI has two lines, the RVI line and RVI Signal line.
This function takes the cycle period as argument and returns the indicator Signal line. The RVI line can be downloaded here: 251.
The function name is "relative_vigor_index_signal"....
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The Relative Vigor Index is an oscillator introduced by John Ehder. Described in an article entitled 'Something old, something new' in the Technical Analysis of Stocks and Commodities magazine in January 2002 edition, the RVI combines modern digital signal processing with the classical market technical analysis.
In fact, the RVI...
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The Vertical Horizontal Filter, introduced by Adam White, is an indicator used to identify trending and ranging markets. In fact, similarly to the popular ADX indicator, the VHF estimates the raise / fall price acceleration, and thus attempts to predict whether we are going to deal with a trending or...
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The Detrended Price Oscillator is an indicator used as a long or short signal. In fact, the DPO eliminates cycles that are longer than the moving average period. It leaves thus short-term trends, and it allows both overbought and oversold levels to be detected more accurately. These levels are used...
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The Safezone indicator, introduced by Alexander Elder in 2002, is used as a stop order against signal reversal in trending markets.
The Safezone stop intends to create a better trailing stop by eliminating the noise component of a trend and by creating a safer stop. It calculates two lines depending...
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The Coppock indicator, developed by Edwin Coppock, is used as a technical analysis tool to detect the beginning of bullish periods. Initially confined to the Dow Jones Industrial Average, it is also appropriate for use with other indices.
The Coppock indicator, also called Coppock curve, is generally used by long-term...
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The 'Buff Averages' is an indicator created by Buff Dormeier. It first appeared in the Traders' Tips section of the Stocks & Commodities magazine in February 2001. The function accepts two inputs: a price time-series and a length period. The indicator volume-weighting calculation is applied to the price time-series. The...
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The Mass Index is an indicator developed by Donald Dorsey; it is used to catch trend reversal points (predict reversals) by comparing the changes in the trading range, which is the high price minus the low price. The Mass Index goes up if there is a considerable movement in the...
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Those who have downloaded and are using one of the historical calendar events downloader for forex pairs (202 or 211 or 212) may find this function very useful.
The function accepts two inputs: A symbol name (the one that contains the historical calendar events) and an event name.
It reads the...
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The Chande's Range Action Verification Index (RAVI) indicator was developed by Tushar Chande. As the ADX indicator, the RAVI is used to identify whether a market or security is trending. The RAVI indicator is calculated using moving averages of different lengths. The first one is a short moving average with...
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The 'Choose' function is a small piece of code that returns a vector given an index. The function accepts six parameters, the first one is the index and it is used to select one the next five parameters. The others parameters accept any numeric vectors.
Example:
a = rsi(14);
b = rsi(14) >...
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This is the Yang and Zhang extension of the Garman and Klass historical volatility estimator.
The equation was modified to include the logarithm of the open price divided by the preceding close price. As a result, this function uses the open, high, low and close prices to estimate volatility.
This modification allows...
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The Rogers-Satchell function is a volatility estimator that outperforms other estimators when the underlying follows a geometric Brownian motion (GBM) with a drift (historical data mean returns different from zero).
As a result, it provides a better volatility estimation when the underlying is trending.
However, this Rogers-Satchell estimator does not account for...
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This function returns the Garman-Klass estimation of volatility. It was developed by Graman and Klass and it uses the high, low and close prices to estimate volatility.
The Garman-Klass estimator is up to eight times more efficient that the close-to-close estimator and unlike the Standard deviation and the Parkinson estimator, it...
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A common and well-known way to estimate historical volatility of a financial instrument is by calculating the standard deviation of each period in the sample. Although the standard deviation is a popular measure of the volatility of an instrument, it is not the sole one. Several different calculation methods exist...
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This function parses a symbol custom database and returns a value of one on bars where the database field data contain a specific word.
This function accepts three parameters. The first one is the database name (Example: ' yahoo_news ' if you are using the yahoo news downloader - 88),...
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The Federal Open Market Committee or FOMC consists of twelve voting members and is responsible for setting the monetary policy of the USA. The monetary principal goals are the economic growth, stable prices and full employment.
The monetary policy is set by specifying the short-term objective for open market operations.
There...
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The 'insideperiod' function is a custom function that deals with dates.
It returns a value of '1' on bars where the bar's date is superior or equal to the start date and inferior the end date.
It returns a value of '0' on bars where the bar's date is inferior...
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The swing index uses the current and past prices to determine the market direction and change in direction. It gives a numerical value that is between +100 and -100. This indicator is primarily used in the commodity and Forex markets, but it can also be applied to stocks.
The formula includes...
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The Chaikin Oscillator is calculated by subtracting an exponential moving average of the Accumulation Distribution line with a 10 bars lookback period from an exponential moving average of the Accumulation Distribution line with a 3 bars lookback period.
This Chaikin Oscillator indicator accepts two parameters. The first one, called 'slow' refers...
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The Accumulation/Distribution or A/D indicator tries to determine whether the current security is controlled by buyers (accumulation) or by sellers (distribution). It acts as a leading indicator and it is calculated by summing over a specific number of bars, a formula that uses the close, high, low and volume prices....
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The chaikin money flow is an indicator that helps traders determine whether a stock is under accumulation (the stock price closes near the session high with an increase in the volume) or distribution (the stock price closes near the session low with an increase in the volume).
The indicator compares the...
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This function calculates the Fibonacci retracement 61.8% level, also referred to as 'the golden mean' or 'the golden ratio'. It uses simple vector-based functions to do this. The function accepts one parameter which is the lookback period to use to define the highest and lowest close prices.
Fibonacci retracement is a...
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The Force index is an index developed by Dr Alexander Elder. It measures the strength of bulls and bears in the market. The formula uses both close prices and volume data. It is calculated by subtracting the yesterday close price from today (current bar) close price, then multiplying the result...
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Price and Volume Trend, also called PVT, is a technical analysis indicator that is similar to the On-balance Volume. While the On-balance volume adds up the volume value for each bar times 1 or -1 depending on whether the close is higher or lower than the previous close, the Price...
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The Ease of Movement Indicator or the Arms Index was developed by Richard Arms, Jr. The indicator shows the link between volume and price change, it determines the ease at which prices are moving. Its formula uses the current and previous high and low prices as well as the...
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The DeMark's DeMarker is a technical indicator that attempts to measure the demand of an asset by comparing the high and low prices with the previous high/low prices.
It is composed of two others indicators which are DeMax and DeMin. The first compares the current bar high with the previous bar...
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The buy indicator tells you whether to buy the current security or not based on an indicator previous performance.
For each bar, this indicator will calculate the performance of another indicator for the past bars. It will simulate a buy and sell after n-bars when the provided indicator gives a signal.
Example:...
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The drawdown measures the decline of a time-series from an historical peak; generally the drawdown is used to analyze portfolio equities.
The maximum drawdown will then let you know how much money a portfolio has lost (or the maximum portfolio value decline) during the investing/backtesting period and therefore the drawdown...
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This is a custom formula that calculates the put and call prices of European style options.
This Black-Scholes Option Pricing Model function accepts six parameters.
The first parameter is used to specify whether we want to calculate a put or a call, set 'p' for put and 'c' for call.
The others parameters...
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