2004 Jun: VolumeCurtailment.efs

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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 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;}