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Hi Herb,
The construction of the indicator was included in a couple
articles in Active Trader Magazine, Feb and March, 2005. I don't have them
at hand just now as they are buried across the room somewhere. AT often
includes code for MS, TS, and other software, but AB is not usually one of
them. To my knowledge, no one has converted it to AB. The
Tradestation code is apparently in the article because it was included
in a question on how to code it to this group back on Jan 11, 2005,
under the subject "VPCI indicator in Active Trader Feb 2005" ( http://finance.groups.yahoo.com/group/amibroker/message/76530 ).
As Duke Jones noted in a response to the original inquiry, the code from an
article in TASC would be needed as well to calculate Dormeier's Volume Weighted
Moving Average. That code was published in Vol 19:2 (Feb 2001).
My hard copy is buried even deeper than the AT article, however I do have
it on the CD compilation of back issues from TASC.
As no one bothered to translate it, I don't know if it is really of any
value. It's not the sort of indicator I am using to trade from what I can
see of the explanation in AT's limited online description (posted
below). If what you're looking for is something else, perhaps you could
post what you do recall of indicator/system and we might have a go at it.
If the following is the concept you heard, perhaps you have some detailed
insight on it that might encourage translation to AB. Hope this
helps.
Peace and Justice --- Patrick
From Active Trader, March 2005:
Calculating the VPCI
The VPCI involves three calculations: volume-price
confirmation/contradiction (VPC+/), volume-price ratio (VPR) and the volume
multiplier (VM).
The VPC is the
difference between a long-term volume-weighted moving average (VWMA) and a
simple moving average (SMA) of the same length. This difference, when positive,
is volume-price confirmation (VPC+); when negative, is volume-price
contradiction (VPC-).
For example,
say a 50-day VWMA is 50 and the 50-day SMA is 48.5. The difference of +1.5
represents volume-price confirmation. (If the 50-day VMA value was 48.5 and the
SMA was 50, the resulting difference of -1.5 would represent volume-price
contradiction.)
The VPR is
calculated by dividing a short-term VWMA by a short-term SMA. For example,
assume the short-term time frame is 10 days, and the 10-day VWMA is 25, while
the 10-day SMA is 20. The VPR would be 25/20 = 1.25. The VPR is then multiplied
by the (VPC +/-).
The VM is the
short-term average volume divided by the long-term average volume. For example,
if the short-term (10-day) average volume is 1.5 million shares a day and the
long-term (50-day) average volume is 750,000 shares per day, the VM is 2
(1,500,000/750,000).
The VM
calculation is then multiplied by the product of the VPC+/- and VPR to create
the VPCI reading:
VPCI =
VPC*VPR*VM
In this
example, the VPC+ confirmation of +1.5 times the VPR of 1.25 is 1.875. This
result is then multiplied by the VM of 2, producing a VPCI of
3.75.
----- Original Message -----
Sent: Saturday, December 17, 2005 2:03
PM
Subject: [amibroker] Volume Price
Confirmation Indicator
I attended a session at the Las Vegas Traders Expo on the
VPCI by Buff
Dormeier and was impressed with it as a possible leading
indicator
but I wasn' fast enough to get all the rules. Does anyone
have the
code for the VPCI or know the rule set so I could look into it
further
?
Thanks -
Herb
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