SVAPO.efs
EFSLibrary - Discussion Board
File Name: SVAPO.efs
Description:
This study is based on the November 2007 article, Short-Term Volume and Price Oscillator, by Sylvain Vervoort.
Formula Parameters:
- SVAPO Period: 8
- Minimum %o price change: 1
- Standard Deviation High: 1.5
- Standard Deviation Low: 1.3
- Standard Deviation Period: 100
- Color: green
- Thickness: 2
Notes:
The related article is copyrighted material. If you are not a subscriber of Stocks & Commodities, please visit www.traders.com.
Download File:
SVAPO.efs
EFS Code:
/***************************************
Provided By :
eSignal (Copyright © eSignal), a division of Interactive Data
Corporation. 2007. All rights reserved. This sample eSignal
Formula Script (EFS) is for educational purposes only and may be
modified and saved under a new file name. eSignal is not responsible
for the functionality once modified. eSignal reserves the right
to modify and overwrite this EFS file with each new release.
Description: Short-Term Volume And Price Oscillator
by Sylvain Vervoort
Version 1.0 9/6/2007
Notes:
* Study requires version 8.0 or later.
Formula Parameters: Default:
SVAPO Period 8
Minimum %o price change 1
Standard Deviation High 1.5
Standard Deviation Low 1.3
Standard Deviation Period 100
Color green
Thickness 2
***************************************/
function preMain() {
setStudyTitle("Short-Term Vol And Price Osc ");
setShowTitleParameters(false);
setCursorLabelName("DevH", 0);
setCursorLabelName("SVAPO", 1);
setCursorLabelName("DevL", 2);
setDefaultBarStyle(PS_DASHDOT, 0);
setDefaultBarStyle(PS_DASHDOT, 2);
var fp1 = new FunctionParameter("nPeriod", FunctionParameter.NUMBER);
fp1.setName("SVAPO Period");
fp1.setLowerLimit(3);
fp1.setUpperLimit(20);
fp1.setDefault(8);
var fp2 = new FunctionParameter("nCutoff", FunctionParameter.NUMBER);
fp2.setName("Minimum %o price change");
fp2.setLowerLimit(1);
fp2.setUpperLimit(10);
fp2.setDefault(1);
var fp3 = new FunctionParameter("nDevH", FunctionParameter.NUMBER);
fp3.setName("Standard Deviation High");
fp3.setLowerLimit(0.1);
fp3.setUpperLimit(5);
fp3.setDefault(1.5);
var fp4 = new FunctionParameter("nDevL", FunctionParameter.NUMBER);
fp4.setName("Standard Deviation Low");
fp4.setLowerLimit(0.1);
fp4.setUpperLimit(5);
fp4.setDefault(1.3);
var fp5 = new FunctionParameter("nStdevPeriod", FunctionParameter.NUMBER);
fp5.setName("Standard Deviation Period");
fp5.setLowerLimit(1);
fp5.setUpperLimit(200);
fp5.setDefault(100);
var fp30 = new FunctionParameter("cColor", FunctionParameter.COLOR);
fp30.setName("Color");
fp30.setDefault(Color.green);
var fp40 = new FunctionParameter("nThick", FunctionParameter.NUMBER);
fp40.setName("Thickness");
fp40.setLowerLimit(1);
fp40.setDefault(2);
}
// Global Variables
var bVersion = null; // Version flag
var bInit = false; // Initialization flag
// globals variables
var xHaOpen = null;
var xHaClose = null;
var xHaTema = null;
var xVolLRSlope = null;
var xVtr = null;
var xSvapoSum = null;
var xSvapo = null;
var xStdev = null;
function main(nPeriod, nCutoff, nDevH, nDevL, nStdevPeriod, cColor, nThick) {
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
//Initialization
if (bInit == false) {
setDefaultBarFgColor(cColor, 0);
setDefaultBarThickness(nThick, 1);
addBand(0, PS_DASHDOT, 1, cColor, "zero");
xHaOpen = efsInternal("calcHaOpen");
xHaClose = efsInternal("calcHaClose", xHaOpen);
xHaTema = efsInternal("calcTEMA", (nPeriod/1.6), xHaClose);
xVolLRSlope = efsInternal("calcLinRegSlope", nPeriod, volume());
xVtr = efsInternal("calcTEMA", nPeriod, xVolLRSlope);
xVolAvg = sma((nPeriod*5), volume());
xVc = efsInternal("calcVc", xVolAvg);
xSvapoSum = efsInternal("calcSvapoSum", nPeriod, nCutoff,
xHaTema, xVtr, xVolAvg, xVc );
xSvapo = efsInternal("calcTEMA", nPeriod, xSvapoSum);
xStdev = efsInternal("calcStDev", nStdevPeriod, xSvapo);
bInit = true;
}
var nSvapo = xSvapo.getValue(0);
var nStdev = xStdev.getValue(0);
if (nSvapo == null || nStdev == null) return;
var nStDevH = nDevH * nStdev;
var nStDevL = -nDevL * nStdev;
return new Array( nStDevH, nSvapo, nStDevL );
}
// HaOpen globals
var nHaOpen = null;
var nHaOpen_1 = null;
function calcHaOpen() {
if (nHaOpen_1 == null && open(-1) != null) {
nHaOpen_1 = open(-1);
} else if (nHaOpen != null) {
nHaOpen_1 = nHaOpen;
}
if (nHaOpen_1 == null) return;
var nC_1 = sma(1, ohlc4(), -1);
if (nC_1 == null) return;
nHaOpen = (nC_1 + nHaOpen_1) / 2;
return nHaOpen;
}
function calcHaClose(xHaO) {
var n4 = sma(1, ohlc4(), 0);
var nHaO = xHaO.getValue(0);
if (n4 == null || nHaO == null) return;
var nHaCl = (n4 + nHaO +
Math.max(n4, high(0), nHaO) +
Math.min(n4, low(0), nHaO ) ) / 4;
return nHaCl;
}
// TEMA globals
var xAvg1 = null;
var xAvg2 = null;
var xAvg3 = null;
var bInit2 = false;
function calcTEMA(nLength,xSource){
if(bInit2 == false){
xAvg1 = ema(nLength,xSource);
xAvg2 = ema(nLength,xAvg1);
xAvg3 = ema(nLength,xAvg2);
bInit2 = true;
}
var nAvg1 = xAvg1.getValue(0);
var nAvg2 = xAvg2.getValue(0);
var nAvg3 = xAvg3.getValue(0);
if (nAvg1 == null || nAvg2 == null || nAvg3 == null) return;
var nTEMA = (3*nAvg1)-(3*nAvg2)+nAvg3;
return nTEMA;
}
function calcLinRegSlope( nLRlen, xSource) {
// y = Ax + B;
// A = SUM( (x-xAVG)*(y-yAVG) ) / SUM( (x-xAVG)^2 )
// A = slope
// B = yAVG - (A*xAVG); // y-intercept
if (xSource.getValue(-nLRlen) == null ||
xSource.getValue(0) == 0) return;
var xSum = 0;
var ySum = 0;
var i = 0;
for (i = 0; i < nLRlen; i++) {
xSum += i;
ySum += xSource.getValue(-i);
}
var xAvg = xSum/nLRlen;
var yAvg = ySum/nLRlen;
var aSum1 = 0;
var aSum2 = 0;
i = 0;
for (i = 0; i < nLRlen; i++) {
aSum1 += (i-xAvg) * (xSource.getValue(-i)-yAvg);
aSum2 += (i-xAvg)*(i-xAvg);
}
var A = -(aSum1 / aSum2); // slope
//var B = yAvg - (A*xAvg); // y-intercept
return A;
}
function calcVc( xAvg ) {
var nVolAvg = xAvg.getValue(-1);
if (nVolAvg == null) return;
var nVmax = nVolAvg * 2;
var nVc = volume(0);
if (nVc >= nVmax) nVc = nVmax;
return nVc;
}
function calcSvapoSum(nPeriod, nCutoff, xHaC, xvtr, xVAvg, xvc ) {
nCutoff /= 100;
var nSvapoSum = null;
var nSum = 0;
var i = 0;
var nVave = xVAvg.getValue(0);
if (nVave == null || xvtr.getValue( -(nPeriod+2) ) == null) return;
for (i = 0; i < nPeriod; i++) {
var b1 = false;
var b2 = false;
var nHaC = xHaC.getValue(-i);
var nHaC_1 = xHaC.getValue(-(i+1));
var nVc = xvc.getValue(-i);
var nVtr = xvtr.getValue(-i);
var nVtr_1 = xvtr.getValue(-(i+1));
var nVtr_2 = xvtr.getValue(-(i+2));
b1 = (nHaC > (nHaC_1*(1+nCutoff/1000)));
b2 = (nVtr >= nVtr_1) || (nVtr_1 >= nVtr_2);
if (b1 == true && b2 == true ) {
nSum += nVc;
} else {
b1 = (nHaC < (nHaC_1*(1-nCutoff/1000)));
b2 = (nVtr > nVtr_1) || (nVtr_1 > nVtr_2);
if (b1 == true && b2 == true ) {
nSum -= nVc;
}
}
}
nSvapoSum = nSum / (nVave+1);
return nSvapoSum;
}
function calcStDev(nLength, xSource) {
var sumX = 0;
var sumX2 = 0;
if (xSource.getValue(-nLength) == null) return;
for (i = 0; i < nLength; i++) {
var nVal = xSource.getValue(-i);
sumX += nVal;
sumX2 += (nVal * nVal);
}
var meanX = (sumX/nLength);
var stdev = Math.sqrt((sumX2/nLength) - (meanX*meanX));
return stdev;
}
function verify() {
var b = false;
if (getBuildNumber() < 779) {
drawTextAbsolute(5, 35, "This study requires version 8.0 or later.",
Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
null, 13, "error");
drawTextAbsolute(5, 20, "Click HERE to upgrade.@URL=http://www.esignal.com/download/default.asp",
Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
null, 13, "upgrade");
return b;
} else {
b = true;
}
return b;
}