New Indicator - VPRS - Volume, Positon, Range - Signel

[janderson99]

I have been working on a new indicator that can be used as a Stock Screener.

VPRS - Combines Volume and Bar Chart Signals into an Index.

The indicator uses the following components.

=> The absolute rate of change of volume as a percentage
=> The relative position of the close on the True Range as a percentage
=> The absolute rate of change of the True Range as a percentage

The three percentages are simply added and divided by 300 to give a VPRS score as a percentage. It is smoothed using a 3-day average.

Example 1 - The example shows a stock that has been steady for 5 days with only small changes in the price range and the close price is towards the low price for the day. Prices have been falling. The VPRS is moderately low and trends downward with the decline in closing price. (A)

The stock then enters a buying phase, with a trough (1) and a rise in the VPRS marked by closing prices being close to the high for the day. Volume increases as the price rises and there are major changes in the daily range, which doubles twice in successive days (B). The price rise continues but the VPRS declines because the volume remains steady and there is little change in the price range. A second trough and rise in VPRS (2) is triggered by the volume change, the variability in the price range and the closing price being close to the high for the day.

The trough labelled '1' can be used as potential 'BUY' signal for screening stock. The open and closed 'dot' on the graph are the symbols for the Parabolic SAR index. It is significant that the VPRS trough (1) occurs much earlier in the price surge than the change in the Parabolic SAR.

Example 2 - Shown is a 3-month Daily Chart for NCM for the Australian Market. Only the second of the four trough signals was false and the other three proceeded significant price rises. Trough 2 was clearly recognised as false as the price trend was downward. The trough signal should be confirmed as indicating a price surge before buying the stock.

I would love to get some feed-back on this method, which I primarily use as a screener.

Cheers,

 

[megamuel]

Hard to tell how good it is from looking at your charts, would need to see it on more data. Are you looking to sell this indicator or will you be sharing it for free? If you want proper feedback you are probably better off sharing the indicator with a few people as opposed to posting up screen shots. Nice idea though....

 

[janderson99]

Hard to tell how good it is from looking at your charts, would need to see it on more data. Are you looking to sell this indicator or will you be sharing it for free? If you want proper feedback you are probably better off sharing the indicator with a few people as opposed to posting up screen shots. Nice idea though....

I'm sharing the indicator - its so simple than anyone could apply it. I have posted the formulae below for anyone who is interested. My friends and I have been using it successfully for about 12 months as a screener for short-term trades (5-10 days). Simply looking for feedback on its potential and how it could be improved. Extra charts shown below.

The formulae are shown below

Volume (Vc) - This is the rate of change of volume expressed as a percentage
V1 = 100* ABS(volume - volume[1]) ................ absolute difference in volume
V2 = 1 + average[2](volume) ......................... average volume on two previous days
V2 = (2 + volume + volume[1] ) /2
Vc = V1 / V2
Volume [1] is the volume on previous day
Average [2](volume) refer to the average volume on the two previous days

Position (Pc) - This is the position of the close on the Absolute True Range (taking account of the low and high on the previous day)
P1 = 100 * ( MAX ( high, close[1]) - close ) + 0.001
P2 = MAX ( high, close[1] ) + 0.001 - MIN ( low, close[1] )
Pc = 100 - (P1 / P2 )
close[1] is the close on the previous day

True Range (Tc) - This is the rate of change of the true range expressed as a percentage
T1 = max( high, close[1]) - min ( low, close[1] ) ............... true range on last day
T2 = max( high[1], close[2]) - min ( low[1], close[2] ) ....... true range on previous day
Tc = (100* ABS(T1 - T2) + 0.001) / (T1 + 0.002 + T2)/2 )

Smoothing - The components are simply added and the signal smoothed using a 3 period moving average.
VPRS = ( Vc + Pc +Tc ) / 3

VPRS (smoothed) = (VPRS + VPRS[1] + VPRS[2]) /3

Example 2 - Shown is a 3-month Daily Chart for AWC on the Australian Stock Exchange. The chart included OHLC Bars, Volume, Parabolic SAR, MACD and VPRS. Four BUY trigger signals are shown as troughs for VPSR. In each case the troughs preceded a surge in prices, and Trough 1 and 2 corresponded with cross-over signals from MACD and the second trough was correlated with buy signals from both MACD and Parabolic SAR but the VPRS signal occurred 3 days earlier. Trough 3 was a false signal with the rise only lasting one day. Three of the four troughs would have let to price increases if the BUY signal had let to shares being bought.

Example 4 - Shown is a 3-month Daily Chart for NHC on the Australian Market. All six VPRS troughs preceded rises in stock prices. For Troughs 1 and 3/4 the increases were substantial. The price rises that followed the other 3 troughs were smaller. Trough 5 and 6 clearly occurred at the end of a price surge and Trough 2 could be considered as part of the 3/4 surge.

 

[megamuel]

Is the indicator for Tradestation? Do you have a Metatrader version?

Sam.

 

[janderson99]

No Sorry I don't use those applications.
The examples shown are from FC Charts
http://www.spacejock.com/FreechartsPro.html

The formulae are very simple

 

[janderson99]

The screener simply detects a recent trough to highlight stocks that are worth examining further.

For example