my idea for new volume oscillators

[gidielle]

to create, for volume oscillators like Chaikin/Twiggs Money Flow, PV Trend, Williams Pro-Go, and others, two new oscillators, one to BID and one to ASK.

 

for example, the Chaikin Money Flow formula would be:

 

1. Money Flow Multiplier = [(Close - Low) - (High - Close)] /(High - Low)

2. Money Flow Volume = Money Flow Multiplier x Volume for the Period

3. 20-period CMF = 20-period Sum of Money Flow Volume / 20 period Sum of Volume

 

instead to use the volume  of all trades, use only the volume of the trades to bid and only the volume of the trades to ask, so to have more clearly the strength of the buyers and of the sellers.

 

thank you   

[gidielle]

or better:

 

at point 2

Volume for the Period: to use bid/ask volume

 

at point 3:

Sum of Volume: to use total volume

[Mike Medved]

Sorry I didn't reply earlier. It is possible to do, but:

 

1. It will only work on tick-data. Won't work on aggregate backfilled data at all.

 

2. There would be two lines instead of the previous one. Wouldn't that make it a bit "busy"?

 

3. Using bid/ask volume for part of it and total volume for the rest of the calc would be inconsistent and I don't think would produce good results. But using it throughout is possible.

 

Have you seen this done anywhere?

[gidielle]

1. backfill is not a problem, also "pressure bar" doesn't work.

 

2. my english is bad, but if I understand what you say the first line doesn't change, but probably I haven't understood.

 

3. no, I think otherwise; yes we can use only the bid/ask volume, but using the total volume we have more informations, we can weigh better the streght of up/down trend. Image to use only bid/ask volume, we could have CMF = 1 (or -1) also if there are few volume to ask (or to bid) and many to bid (to ask), but with total volume in the denomiator you would have a CMF << 1 (>> -1). With total volume in the denominator  when CMF >> 0 (<< 0 ) (+/- 1 are very unlikely) say that price and volume are going in the same direction.

 

How I have written, is only a my idea.

Sorry I didn't reply earlier. It is possible to do, but:

 

1. It will only work on tick-data. Won't work on aggregate backfilled data at all.

 

2. There would be two lines instead of the previous one. Wouldn't that make it a bit "busy"?

 

3. Using bid/ask volume for part of it and total volume for the rest of the calc would be inconsistent and I don't think would produce good results. But using it throughout is possible.

 

Have you seen this done anywhere?

[gidielle]

I have create the CMF modificated with QT, the paintbar-top indicate:

 

white:    +0,5 < CMF_m <= 1

lime:           0 < CMF_m <= +0.5

red:            0 > CMF_m >= -0.5

black :    -0.5 > CMF-m >= -1

 

and you can see that isn't inconsistent

 

 

 

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English (auto-detected) » Italian

 

 

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English (auto-detected) » Italian

 

[Mike Medved]

Will look at this..