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Volume Spread Analysis

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jalna View Drop Down
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Post Options Post Options   Quote jalna Quote  Post ReplyReply Direct Link To This Post Topic: Volume Spread Analysis
    Posted: 15 Sep 2008 at 7:51pm
see discussion under" Better Volume" thread
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cmacdon View Drop Down
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Post Options Post Options   Quote cmacdon Quote  Post ReplyReply Direct Link To This Post Posted: 10 Sep 2012 at 11:30am
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cmacdon View Drop Down
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Post Options Post Options   Quote cmacdon Quote  Post ReplyReply Direct Link To This Post Posted: 10 Sep 2012 at 11:49am
After doing much reading and a lot of analysis on VSA, the specific  indicators tend to be very judgemental.  My own coding is 20 A4 pages so it is very unlikly my interpretation of VSA will be the same as anyone elses other than the general thrust of the SOS and SOW principles should be working.
Consequently, here is my Bullcharts VSA coding framework showing the variables involved in many of the VSA indicators and two example Sign of weakness 1 and Sign of strength 1 indicators, and source of information i used for my interpretation of those specificators .
You can copy and past and add your own additional codes in similar fashion to complete your anaysis of VSA, if you so wish.
 
I also attach a second indicator to colour code the volume bars.
 
 

 

 [citation

=" Wyckoff Supply & Demand CMD This has now been coded using various sources of Volume Spread Analysis - Undeclared Secrets and Master of the Markets by Tom Williams, and Master Class 4/4/2010, and Trading in the Shadow of Smart Money Vol2 (TSSM), and That was the week that was by Tom Williams. VSA is largely judgemental.  The threshold weightings below allow my interpreatation for the Bullchart coding  CMD"]

 

 

{In summary there may be a number of indicators for each of these

 

Principles of weakness

1 End of rising market

2 No Demand at Market Top

3 No Result from effort

4 Upthrusts

5 No Demand on Downtrend

6 Widespread down through previous support

7 Buying Climax

8 Top Reversal

 

Principles of Strength

1 Bottom Reversal

2 Stopping Volume

3 Tests

4 Absorption

5 Bagholding

6 Selling Climax

7 Shakeout

8 No Supply in a rising market}

 

{-------------------------------------------------------------------------------------------------------}

 

{ The selection of an appropriate trend calculation method is most critical as many SOS and SOW indicators depend on whther trend is up or down.}

[target=Price]

 

Vib:=input("Vibration", 4, .001, 100);

Z:=Zig(If(Outside() AND Ref(H,-1)>Ref(H,-2),H,If(Outside() AND Ref(L,-1)<Ref(L,-2),L,If((Outside() OR Inside()) AND C>O,H,If((Outside() OR Inside()) AND O>C,L,If(H>Ref(H,-1),H,If(L<Ref(L,-1),L,If(Ref(H,-1)>Ref(H,-2),H,If(Ref(L,-1)<Ref(L,-2),L,C)))))))),Vib,%);

 

Trendup:=Z>ref(z,-1);

 

 

Trenddown:=Z<=ref(z,-1);

 

 

{-------------------------------------------------------------------------------------------------------}

 

prd1:=input("Period for  Volume MA", 30, 1, 200);

prd2:=input("Period for Total Spread MA", 200, 1, 200);

Cut:=input("Narrow Spread Cut off", 0.5, .05, 0.8);

Cut2:=input("UltraWS Cut off", 1.2, .05, 2.0);

method := inputma("Method",SIMPLE);

 

THExLo:=input("Extreme Low Vol Maximum Threshold", 0.70, .1, 2);

THLo:=input("Maximum for Low Vol Threshold", 1.0, .1, 2);

THNo:=input("Ultra High Minimum Vol Threshold", 1.3, .1, 2.00);

 

Uf:=input("Upthrust % on previous High", 1.0005, .05, 2.0);

Tf:=input("Test decline factor", 0.9995, .05, 2.0);

 

Range := H - L;

 

ExtremeLowVol:=If(V<=THExLo*ma(V,prd1,s),V,0);

LowVol:=If(V>THExLo* ma(V,prd1,s) and V<=THLo*ma(V,prd1,s), V, 0);

HighVol:=If(V>THLo* ma(V,prd1,s) and V<=THNo*ma(V,prd1,s), V,0) ;

UltraHighVol:=If(V>THNo*ma(V,prd1,s),V,0);

 

Upbar:=   C>Hist(C,1);

Levelbar:=Hist(C,1);  {used for TW Easy Trend rules}

Downbar:= C< Hist (C,1);

 

GapUp:=L>= Hist (H,1);

GapDown:=H<= Hist (L,1);

 

NS:=(Range<=Cut*ma(Range,prd2,method));

WS:=(Range>Cut*ma(Range,prd2,method) ) and (Range<Cut2* ma(Range,prd2,method));

UltraWS:=(Range>=Cut2*ma(Range,prd2,method) );

 

UltraBear:=C<=((Range*0.2)+L);

Bear:=C>((Range*0.2)+L) AND C<=((Range*0.50)+L);

Bull:=C>((Range*0.50)+L) AND C<=((Range*0.80)+L);

UltraBull:=C>((Range*0.80)+L);

 

{SOS 1 Bottom Reversal}

SOS1:=

If ( (TrendDown OR (Trendup and Hist(c,1)<Hist(c,15)))

AND L<Hist(L,1)

AND Ultrabull

AND (upbar or C=Hist(c,1))

AND (Hist(Bull,1) OR Hist(Bear,1) OR Hist(Ultrabear,1))

AND (WS OR UltraWS) {Distinguish from version 1a}

AND (HighVol OR Ultrahighvol)

AND (Hist(C,1)<=Hist(C,2) AND Hist(C,1)<=Hist(C,3) AND Hist(C,1)<=Hist(C,4) AND Hist(C,1)<=Hist(C,5))

AND (Hist(L,1)<=Hist(L,2) AND Hist(L,1)<=Hist(L,3) AND Hist(L,1)<=Hist(L,4) AND Hist(L,1)<=Hist(L,5)),1,0);

 

[name=1 brS; linestyle=marker; marker=long; fontsize=8; tooltip="SOS 1 Bottom Reversal - based on two bars a variety of versions. Second bar is rapidly marked up to lock in traders that shorted or to lock you out if you want to buy the market.  People hesitate buying as the shares look expensive relative to yesterday. 

 

THIS VERSION HAS HIGH VOLUME INDICATING SUPPLY IS STILL PRESENT. We can expect the market to come back down within a few days to test to see if supply has dried up.  (See SOS1a There is high volume on the second day it indicates supply and we can expect the market to come back down within a few days to test to see if supply has dried up).  Gavin Holmes Trading in theShadow of the Smart Money78,79,97.";];

SOS1;

 

{SOW 1S End of Rising Market.  Similar to SOW 81b Selling Pressure.  Per TW 061110 Markets TOP OUT on NS upbars}

SOW1S:=

If(H=Highest(H,25)

AND TrendUP

AND (Upbar Or C=Hist(c,1))

AND UltraHighVol {Vol =Supply Or See V2 Extreme low Vol No Demand}

AND (NS OR WS) {Added WS as some TG NS indicators were not getting picked up}

{Added Ultrabull as TG indicators sometimes show close=High}

AND (Ultrabear OR Bear ),1,0);

 

[name=1 ermSup;  marker=short;  fontsize=8; tooltip="SOW 1S End of rising market Supply - Don't see too often Fresh new ground to the left is not 10 bars but 2 to 3 months or a year per Tom Williams.  Gavin Holmes uses 500 bars

 

Psychology: a) Uptrend to the left into fresh new ground.  . b) GapUp in the morning is a strong sign but some variations have no Gap Up c)SM is selling to satisfy surges of demand hence putting a cap on higher prices and the NS. d) Buy orders are being rapidly satisfied. If SM had been buying there would be a wide spread f)the Close does not make a difference what counts is the NS g) Ultrahighvol.  This is a serious sign of weakness

 

Gavin conservative approach Follow Up:Wait for market to mushroom over if you are going to short.  Mkt should make lower highs each day.  Wait for at least 10 bars in any time frame to see the result of weakness. TW would jump[ in.

 

In strong down trend there should be increasing vol on Down bars and decreasing Vol on Up bars.  Wait for a No Demand up bar, an upthrust on either high or low volume in order to short.  The end of a down trend is often 2 consecutive Up bars followed by a Test or No Supply Down bar. TSSM 5,14,21,22,23,24,30,71 ";];

SOW1S;

 

 

{-------------------------------------------------------------------------------------------}

 

{This section takes up price colour bars equal to Volume bars for VSA codes}

{ Volume Spread Analysis

[description="VSA Volume Indicator CMD"]}

 

[target=Price; linestyle=PriceColor]

 

[name=Low Vol; Color=Lime Green] { Low volume}

LowVol;

 

[name=High Vol; Color=Dark Violet] { High Volume climax}

HighVol;

 

[name=Ultra High Vol; Color=Red] { Ultra High Volume}

UltraHighVol;

 

[name=Extreme Low Vol; Color=Orange] {Extremely Low Volume}

ExtremeLowVol;

 

{End of Indicator 1 }

 

 

 

 

 

{ Volume Spread Analysis Colour Volume Bars }

 

 

 

[description="VSA VOLUME Bars Colours adj weightings "]

prd1:=input("Period for MAs", 50, 1, 200);

 

THExLo:=input("Extreme Low Maximum Threshold", 0.7, .1, 2);

THLo:=input("Maximum for Low Threshold", 1.0, .1, 2);

THNo:=input("Extreme High Minimum Threshold",1.3, .1, 2);

 

 

Range := High - Low;

Value1 := Volume;

 

[linestyle=Bar; width=4]

{[name=Normal Vol; Color=Gray] { Normal }

Volume;}

 

[name=Extreme Low Vol;Color=Orange] {Extremely Low Volume}

If(Value1 <=THExLo*ma(V,prd1,s),V,0);

 

[name=Low Vol;Color=Lime Green] { Low volume}

If(Value1 >THExLo* ma(V,prd1,s) and v <=THLo*ma(V,prd1,s), V, 0);

 

[name=High Vol;Color=Dark Violet] { High Volume climax}

If(Value1 >THLo* ma(V,prd1,s) and v<=THNo*ma(V,prd1,s), V,0) ;

 

[name=Ultra High Vol;Color=Red] { Ultra High Volume}

If(Value1 >THNo*ma(V,prd1,s),V,0);

 
 
 
 
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cmacdon View Drop Down
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Post Options Post Options   Quote cmacdon Quote  Post ReplyReply Direct Link To This Post Posted: 17 Sep 2012 at 10:22am

Finally got images working.  If any interest, here is BHP at end of GFC run down period and turning point with my VSA indicators, Volume and ribbon

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Post Options Post Options   Quote cmacdon Quote  Post ReplyReply Direct Link To This Post Posted: 17 Sep 2012 at 1:31pm
Following on from colouring Heikin Ashi bars posts, here is a Heikin Ashi coloured bar version of the above VSA Chart with the HA bars coloured according to the relative volume.
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Post Options Post Options   Quote cmacdon Quote  Post ReplyReply Direct Link To This Post Posted: 17 Sep 2012 at 2:59pm
Sorry
 
That was SBM not BHP with coloure HA/VSA Volume bars
 
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cmacdon View Drop Down
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Post Options Post Options   Quote cmacdon Quote  Post ReplyReply Direct Link To This Post Posted: 17 Sep 2012 at 7:18pm
Here is a neat fusion. 
Puttimg the VSA coloure Heikin Ashi bars on first then opening the green up and red down HA solid couour  inidcator gives a chart where the Heikin Ashi trend bars are shown in the colour of the solid body of the HA bars, and the VSA relative Volume colours appear as the colour of the tails or the body outline; so, provides best of both worlds.
 
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Post Options Post Options   Quote jazza Quote  Post ReplyReply Direct Link To This Post Posted: 19 Sep 2012 at 1:27am

Hi Cmacdon,

Wow, a wealth of information contained in your VSA posts.  Great info on Wyckoff and Williams and some serious coding there!

I have made a template from your formulas supplied. Great top and bottom reversal signals.

How easy/difficult would it be to construct a Bullscan of the reversal signals?

 

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Post Options Post Options   Quote cmacdon Quote  Post ReplyReply Direct Link To This Post Posted: 19 Sep 2012 at 8:35am
Jazza
 
The scans are easy you then just use select Indicator signal. See two scan pictures below . If I have posted them in the right order,
 
The first is selecting a particular VSA signal from the main indicator - in t5his case Bottom reversal with Supply present.
 
 The second uses scan on the VSA coloured volume indicator to find stocks with ultrahighvol .
 
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Post Options Post Options   Quote cmacdon Quote  Post ReplyReply Direct Link To This Post Posted: 19 Sep 2012 at 8:37am
Obviously the post boxes doesn't accept two pictures posted together.  Here is the Vol scan example.
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