TS Finite Volume Element (FVE) System

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Trading System "Finite Volume Element (FVE) System"

Markos Katsanos' nel suo articolo "Detecting Breakouts" descrive il calcolo di un indicatore prezzo-volume e lo chiama "finite volume element" (FVE). Questa è la strategia per TradeStation in EasyLanguage."

Formula per Tradestation™:

INIZIO FORMULA

Type : Strategy, Name : FiniteEleVol

inputs:
CutOff( .003 ),
Samples( 22 ) ;

variables:
TP( 0 ),
MF( 0 ),
VolumePlusMinus( 0 ),
FVEsum( 0 ),
FveFactor( 0 ),
FVE( 0 ) ;

TP = (High + Low + Close ) / 3 ;
MF = (Close - (High + Low ) / 2 )+ TP - TP[1] ;
if MF > CutOff * Close then
FveFactor = 1
else if MF < -1 * CutOff * Close then
FveFactor = -1
else
FveFactor = 0 ;
if BarNumber > Samples then
begin
VolumePlusMinus = Volume * FveFactor ;
FVEsum = Summation( VolumePlusMinus, Samples ) ;
FVE = ( FVEsum / (Average( Volume, Samples ) * Samples ) ) * 100 ;
Value1 = LinearRegSlope( FVE , 35 ) ;
Value2 = LinearRegSlope( Close, 35 ) ;
if FVE crosses over -5 and Value1 > 0
and Value2 < 0
then
Buy Next Bar at Market ;
if ( LinearRegSlope( FVE, 25) < 0 ) or
( DateToJulian( Date ) - DateToJulian( EntryDate ) > 50*( 7 / 5 ) )
then
Sell Next bar at Market ;
end ;

FINE FORMULA

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