| | File Name: VolumeCurtailment.efs
Description:
Based on Using Money Flow to Stay With the Trend by Markos Katsanos. This article appeared in the June 2004 issue of Stock & Commodities.
Formula Parameters:
Length - 30 Notes:
The related article is copyrighted material. If you are not a subscriber of Stocks & Commodities, please visit www.traders.com.Version 1.1This formula has been modified 5/4/2004. An input parameter for the Length was added and the MA length of volume for volume curtailment is set to the same length. Download File:
VolumeCurtailment.efs
EFS Code:
/******************************************Provided By : eSignal. (c) Copyright 2004Study: Volume Curtailment by Markos KatsanosVersion: 1.14/8/2004Notes: 1.1 5/4/2004* Added input parameter for Length and set MA length of volume for volume curtailment to the same length.Formula Parameters: Default: Length 30 *******************************************/function preMain() { setStudyTitle("Volume Curtailment "); setShowTitleParameters(false); setCursorLabelName("Volume", 0); setCursorLabelName("Vol Cutoff", 1); setDefaultBarFgColor(Color.green, 0); setDefaultBarFgColor(Color.black, 1); setDefaultBarThickness(3, 0); setDefaultBarThickness(1, 1); setPlotType(PLOTTYPE_HISTOGRAM, 0); var fp0 = new FunctionParameter("nLength", FunctionParameter.NUMBER); fp0.setName("Length"); fp0.setLowerLimit(1); fp0.setDefault(26);}var nTyp = null; // Current typical pricevar nTyp1 = null; // Previous typical pricevar nTypChg = 0; // Current typical price changevar vVol = null; // Current volumevar nVolSum = 0; // Cumulative volume sumvar nVolAdj = 0; // Current adjusted volumevar nVolMA = null; // Current Vol MAvar nVolMA1 = null; // Previous Vol MA//var aTypPrice = new Array(30); // Array of changes in typical price//var aVolume = new Array(50); // Volume arrayvar aTypPrice = null; // Array of changes in typical pricevar aVolume = null; // Volume arrayvar bEdit = false;function main(nLength) { var nState = getBarState(); var vInter = 0; var nCutoff = 0; var dSum = 0; var i = 0; var vColor = Color.blue; if (bEdit == false) { if (aTypPrice == null) aTypPrice = new Array(nLength); if (aVolume == null) aVolume = new Array(nLength); bEdit = true; } if (nState == BARSTATE_NEWBAR) { if (nTyp != null) { aTypPrice.pop(); aTypPrice.unshift(nTypChg); nTyp1 = nTyp; } if (nVol != null) { aVolume.pop(); aVolume.unshift(nVol); } nVolMA1 = nVolMA; nVolSum += nVolAdj; } nVol = volume(); if (nVol == null) return; aVolume[0] = nVol; if (aVolume[nLength-1] != null) { for (i = 0; i < nLength; ++i) { dSum += aVolume[i]; } nVolMA = dSum/nLength; } nTyp = (high() + low() + close()) / 3; if (nTyp1 != null) { nTypChg = (Math.log(nTyp) - Math.log(nTyp1)); aTypPrice[0] = nTypChg; } if (nVolMA == null || nVolMA1 == null) return; if (aTypPrice[nLength-1] != null) { vInter = StDev(nLength); nCutoff = (.2 * vInter * close()); } else { return; } nVolAdj = nVol; //Minimal Change Cutoff if ((nTyp - nTyp1) >= 0 && (nTyp - nTyp1) < nCutoff) nVolAdj = 0; if ((nTyp - nTyp1) < 0 && (nTyp - nTyp1) > -nCutoff) nVolAdj = 0; // Volume curtailment if (nVolAdj > (2.5*nVolMA1)) nVolAdj = (2.5*nVolMA1); if (nTyp - nTyp1 < 0) nVolAdj *= -1; if (nVolAdj > 0) vColor = Color.green; if (nVolAdj < 0) vColor = Color.red; setBarFgColor(vColor); return new Array(nVol, (2.5*nVolMA1).toFixed(0)*1);}/***** Functions *****/function StDev(nLength) { //var nLength = 30; var sumX = 0; var sumX2 = 0; for (i = 0; i < nLength; ++i) { sumX += aTypPrice[i]; sumX2 += (aTypPrice[i] * aTypPrice[i]) } var meanX = (sumX/nLength); var stdev = Math.sqrt((sumX2/nLength) - (meanX*meanX)); return stdev;} |
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