2004 Jun: VolumeCurtailment.efs

[gstein]

The VFI study that you wrote does not appear to plot what one would expect based upon a comparison of the study you wrote applied to a weekly chart of GLW and Figure 2 from Markos Katsanos' article.
Shouldn't the attached file look similar?

[eSignal_JasonK]

Hello gstein,

One factor that could account for this is the data set. In order to get an exact match both the data set from the eSignal chart and the article image must be the same. I have to admit I wasn't able to reproduce an exact match myself. Either the data set from the article image doesn't match the start date listed in the table or there's something being miscalculated in the formula. It's coded correctly to the best of my knowledge.

[gstein]

Jason,
I am not a EFS programmer but I was able to duplicate exactly Figure 2 from the article as evidenced by the attached JPG using TradeStation's EasyLanguage.
I don't know if it would be any help but I can e-mail you the EasyLanguage ELS file if you would like.
Regards,
Gregory

[eSignal_JasonK]

Hello Gregory,

Please post your ELS code to this thread.

[gstein]

Here is the EasyLanguage code that you requested. There is a function that is called by both indicators.
Let me know if you get the EFS code to work.
Thanks!
Gregory

VFISmooth Function
inputs:
Coef( NumericSimple ),
VCoef( NumericSimple ),
Period( NumericSimple ),
SmoothedPeriod( NumericSimple ),
MyVolume( NumericRef ),
CutOff( NumericRef ),
VC( NumericRef ),
MF( NumericRef ),
VFI( NumericRef ) ;

variables:
MyTypicalPrice( 0 ),
Inter( 0 ),
VInter( 0 ),
VAve( 0 ),
MyVolAvg( 0 ),
VMax( 0 ),
DirectionalVolume( 0 ) ;

MyTypicalPrice = TypicalPrice ;
MyVolAvg = Average( MyVolume, Period ) ;
MF = MyTypicalPrice - MyTypicalPrice[1] ;

if MyTypicalPrice > 0 and MyTypicalPrice[1] > 0 then
begin
Inter = Log( MyTypicalPrice ) - Log( MyTypicalPrice[1] ) ;
VInter = StdDev( Inter, 30 ) ;
CutOff = Coef * VInter * Close ;
VAve = MyVolAvg[1] ;
VMax = VAve * VCoef ;
VC = Iff( MyVolume < VMax , MyVolume, VMax ) ;
DirectionalVolume = Iff( MF > CutOff, VC, Iff( MF <
-CutOff, -VC, 0 ) ) ;
VFI = IFF(Summation( DirectionalVolume, Period ) = 0, 0, Summation( DirectionalVolume, Period ) /
VAve) ;
VFISmooth = XAverage( VFI, SmoothedPeriod ) ;
end
else
VFISmooth = 0 ;

VFISmoothed Indicator
inputs:
Coef( 0.2 ), VCoef( 2.5 ), Period( 130 ), SmoothedPeriod( 3 ), EMAPeriod(7) ;

variables:
oCutOff( 0 ),
oVC( 0 ),
oMF( 0 ),
oVFI( 0 ),
MyVFI( 0 ),
MyVolume( 0 ),
MyEMA( 0 );

MyVolume = Iff( BarType < 2, Ticks, AbsValue(Volume) ) ;
MyVFI = VFISmooth( Coef, VCoef, Period, SmoothedPeriod, MyVolume, oCutOff, oVC, oMF, oVFI ) ;
MyEMA = XAverage(MyVFI, EMAPeriod) ;

Plot1( MyVFI, "VFI" ) ;
Plot2( MyEMA, "EMA");
Plot3( 0, "0" ) ;
{Plot4(XAverage(MyVFI,20), "FastEMA");}

if MyEMA > 0 then
SetPlotColor( 2, DarkGreen )
else
SetPlotColor( 2, Red ) ;

VFI Volume Indicator
inputs:
Coef( 0.2 ),
VCoef( 2.5 ),
Period( 130 ),
SmoothedPeriod( 3 ),
EMAPeriod(50);

variables:
oCutOff( 0 ),
oVC( 0 ),
oMF( 0 ),
oVFI( 0 ),
MyVFI( 0 ),
MyVolume( 0 ),
MyEMA( 0 );

MyVolume = Iff( BarType < 2, Ticks, AbsValue(Volume) ) ;
MyVFI = VFISmooth( Coef, VCoef, Period, SmoothedPeriod, MyVolume, oCutOff, oVC, oMF, oVFI ) ;
MyEMA = Average(oVC, EMAPeriod);

Plot1( oVC, "VFIVol" ) ;
Plot2( MyEMA, "EMA" ) ;

if oMF > oCutOff then
SetPlotColor( 1, DarkGreen )
else if oMF < -oCutOff then
SetPlotColor( 1, Red )
else
SetPlotColor( 1, LightGray)

[Bubby]

cant seem to get this code to save right in a efs file. can anyone crunch it for me so I can download it? thanks so much.

Vince B

[eSignal_JasonK]

Hello Bubby,

Try this link.
VolumeCurtailment.efs

In regards to your PM, you could search for "momentum" on my user name, which will help filter the number of results for you to search through.

[Bubby]

actually...what i was hoping to get was what gregory posted below with that oscillator and arrows. is that one possible to duplicate or is it a different set of tools all together?

[Bubby]

yea what I was actually looking for was a possible efs coded version of the VFI smoothed indicator. Any help?

[eSignal_JasonK]

Hello Bubby,

That code you are referring to is not EFS. That code would have to be manually translated into EFS code. You might try contacting one of our EFS Consultants for assistance if no one posts an EFS converted version for you here.