Kevin_in_GA
4,599 posts
msg #84703
- Ignore Kevin_in_GA |
12/19/2009 4:54:14 PM
Well, here is a somewhat different take on using volume as a signal for trading.
It is based on the simple idea that volume pressure drives stock price, not the other way around. So tracking both buy and sell volume would show you if there is an accumulation of buying power ahead of a price move.
Unfortunately, SF does not provide this type of data, so I have tried to extract it from the aggregate daily volume by looking at how that volume affected price. Kind of backwards, but it seems to work.
Obviously, with access to actual buy and sell volume, this would be more effective. Also, the choice of an EMA(20) for the smoothing is an arbitrary setting, which I would encourage others to play with as suits their needs.
|
mystiq
650 posts
msg #84932
- Ignore mystiq |
12/25/2009 1:37:52 AM
nice filter: have you tried using the PMF / NMF volume critieria from MFRSI
set{up,count(close above close 1 day ago,1)}
set{down,count(close below close 1 day ago,1)}
set{pivot,pp}
set{MF, pivot * volume}
set{UPMF, MF * up}
set{PMF, sum(UPMF,20)}
set{DNMF, MF * down}
set{NMF, sum(DNMF,20)}
set{ratio, PMF / NMF}
set{MFI, 1 + ratio}
set{MFSI, 100 / MFI}
set{MFRSI, 100 - MFSI}
|