EFS Analysis

[cpatte7372]

Hi all,

I've been using James Sibbett demand index indicator with measurable success. I decided to see if I could incorporate the formula into excel by simply injecting the formula into an excel spreadsheet.

The basic formula is:

@sum(upside volume, 10)
Demand Index = -------------------------------------
@sum(downside volume, 10)


So, I decided to manually calculate the index for MHS to enable me to compare my result with the result of the demand index ef modified by an esignal guy. The following is my result

Upside Vol Downside Vol
1615600 905800
2118100 2347900
1272600 2722800
1491000 1383100
1515600 1567100

8012900 8926700

8012900
Demand Index = ----------------------- = 0.8976
8926700

The demand index calculate by the efs is 0.08.

Now, the above is calculated over 10 days, and I believe the efs runs over 5 days so I calculated the demand index over 5 days as follows:

Upside vol Downside vol
1615600 905800
2118100 2347900
2722800

3733700 5976500


3733700
Demand Index = ----------------------- = 0.624
5976500


Again, my calculation doesn't match that of the demand efs efs.

I have attached the efs in question should anyone like to assist me in figuring out the discrepancy.

I should mention that I have not included todays data i.e. I worked back from 03/22.

Thanks in advance.

Cheers

Carlton

[cpatte7372]

Hi all,

Looking back at my post I noticed that the layout is a little off. However, I hope anyone willing to help out can make sense of it. In the meantime, I wonder if someone could define "Upside volume" and "Downside volume"?. - if you could provide an example that would be great. This will help me to ensure that I am calculating the demand index in accordance with the formula.

Cheers

Carlton

[cpatte7372]

Hi,

Again, I have re-read my original post and I don't think anyone is going to make any sense of it because the layout isn't the way it should look.

Therefore, can someone simply give me a definition of 'upside volume' v 'downside volume' with examples I will then put the figures into the demand index formula and take it from there.

Cheers

Carlton

[Guest]

Hi Carlton,

http://www.tradingsolutions.com/functions/UpsideDownsideRatio.html

[cpatte7372]

So, Steve,

Lets keep this simple. The advancing volume for the past two days (not including today) for Microsoft is as follows:

Up side vol = 79,456,800
downside vol = 102,433,650.

Now, if I want to calculate the D.I. for microsoft over the past two days would it be:


D.I. = 79,456,800/102,433,650 = 0.77? The indicator calculates it as -0.1

I'm little confused

[Guest]

Carlton,

The efs you posted uses moving averages of Volume and is not as simple as you are trying to make it. I would classify the efs as a valid implementation of the Demand Index concept, not necessarily the definitive method.

I placed a debugPrintln statement on the end of line 58, making line 58 read as follows

var nVolume = volume(0, -Length);debugPrintln("58: nVolume = "+nVolume); 

the output of this line onto the formula output window is

58: nVolume = 54782980,79456800,102433650,71618600,15838797

If you would like to understand how the efs calculates the DI, I would suggest that you similarly mark up the efs one or two lines at a time. Once you understand what each line does, take notes, comment out the active debugPrintln statements and move on to the next couple of steps. Only after you have gone through the whole efs like this will you truly understand how this works, and based on your posts, that seems to be where you want to be.

If you are having problems using the debugPrintln statement to output what you would like to see, such that you can understand what a line or lines of code are doing, post the question. I am going to be out of town for the better part of the holiday weekend, but I am sure someone else on the board would be willing to help you out there.

Cheers!

[cpatte7372]

Steve,

Thanks-ever-so-much, mate.

I'm going to get to the meat and bones of this efs over the weekend.

Have a nice Good Friday weekend.

Cheers

Carlton

[cpatte7372]

Hi all,

Steve said he would help me with the use of the debugPrintln statement, however he's away for the weekend. Therefore, I was wondering if someone could assist me.

Basically, I don't know where I would see the output and what I need to place the statement to understand what a line or lines of code are doing in the attached efs.

Cheers

Carlton

[cpatte7372]

OK, I figured out how to run the debugprintln statement, however still not able to figure out how convert the efs into excel.

As I mentioned, D.I. is calculated by dividing upside volume by the downside volume over a period of days. It appears simple but when I work it out according to formula and compare it to output of the efs I can't seem to get it to match.

Any help would be greatly appreciated.

Cheers

Carlton

[cpatte7372]

Hi all,

Sorry to be a nuisance, however if someone could even show me how to do a manual calculation so that I could input the figures into excel myself that would also be greatly appreciated.

Another way I could see how this efs calculates the demand index I guess would be to somehow do debugprint of the entire efs. If I'm correct, can someone show me how I go about doing a a debugprint of the entire formula?

Cheers

Carlton