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                                                   Volume Adjusted Moving Average

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Joshua Laferriere
2019-09-03 08:40:33


I want to write my first formula

How do I access the previous trading day's value?

VAMA is (En1 price x volume) / En1 volume

En1 is the sum of (E) of the past n days including today

So... I would use close, but I'd like a moving average of the past 3 closes and past 3 volumes.

Yes I've been looking in the docs

https://www.quantshare.com/item-1194-prev-previous-value-of-the-same-formula

https://www.quantshare.com/how-341-how-to-create-a-custom-trading-indicator

The problem I have is I don't know what built in accessor functions or variables I have access to.

A wiki with them documented would be nice vs having to jump through these half documented how-to's.

I'm new to this editor. I've only written one function. I like the layout of your site. Please bear with me as I'm getting used to it. I work better with top level wiki's and hyperlinks.

A glossary of all available built in variables and functions would be nice



QuantShare
2019-09-03 14:21:04

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Hi,

The previous bar value can be accessed using the "ref" function or using []
Example:
a = ref(close, 1);
a = close[1];

To get the moving average of the volume for the past 3 bars:
a = sma(volume, 3);

The link on how to create a custom trading indicator shows instructions on how to create custom function in c# (not in QS language). This is in case the formula is too complex to be implemented in QS language.

Please also check this QS language introduction:
https://www.quantshare.com/sa-499-quantshare-programming-language-tutorial




Joshua Laferriere
2019-09-06 22:35:53

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thank you for all that. I've saved them in a reference file I use now for tutorials

So I've created a 3 period volume adjusted moving average

indicator = ((close * volume)+(ref(close, 1)* ref(volume, 1))+(ref(close, 2)* ref(volume, 2)))/(volume+ref(volume, 1)+ref(volume, 2));

edit: for some reason this isn't including volume. It is only a 3 day moving average of price as when mapped against the candlsticks, it's spot on.

I think I have this correct from the formula here: http://www.periyaruniversity.ac.in/ijcii/issue/Vol6No3Dec2016/D4_PID0365.pdf

https://imgur.com/a/iECHPGM

and saved it as vama.azf and added to indicators and it plotted

https://imgur.com/a/5Bvk9XQ

yay! I'm making progress. I suppose you don't know how I could turn this into a function that would accept any value of n? I suppose I could answer that question myself. I'd like to recursively iterate through each close/volume up to n so I can call vama like vama(3) and have it do 3 periods vs a static 3 each time. I might even modify it to be exponential.

The reason I'm relying on this so heavily is because machine learning likes equally sampled data points (i.e. at specific tradeable units, which time is not). Such as trades by dollar or volume and vama is a great candidate.

See: https://towardsdatascience.com/ai-for-algorithmic-trading-rethinking-bars-labeling-and-stationarity-90a7b626f3e1



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