VolumeCurtailment.efs
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 2004
Study: Volume Curtailment by Markos Katsanos
Version: 1.1
4/8/2004
Notes: 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 price
var nTyp1 = null; // Previous typical price
var nTypChg = 0; // Current typical price change
var vVol = null; // Current volume
var nVolSum = 0; // Cumulative volume sum
var nVolAdj = 0; // Current adjusted volume
var nVolMA = null; // Current Vol MA
var nVolMA1 = null; // Previous Vol MA
//var aTypPrice = new Array(30); // Array of changes in typical price
//var aVolume = new Array(50); // Volume array
var aTypPrice = null; // Array of changes in typical price
var aVolume = null; // Volume array
var 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;
}