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April 2010 Stocks and Commodities Traders Tips

Modified Volume-Price Trend Indicator

Original article by David Hawkins
AIQ Code by Richard Denning
Traders Studio Code by Richard Denning

AIQ Version:

The AIQ code for David G. Hawkins indicators from his April 2010 article, “Modified Volume-Price Trend Indicator”, is shown below. His article discusses three price-volume type indicators, the On Balance Volume Indicator, the Volume-Price Trend Indicator and the Modified Volume-Price Indicator. All three indicators are provided in AIQ code and these can be plotted either as single line indicators on the chart or as separate indicators as shown in Figure 1 on the recent chart of Apple. Should you want to plot the indicators on the chart you can adjust the scale by using the “Level” and “Scale” inputs that are available for each indicator. The AIQ charts can display in either in linear scale or semi-log scale but we can not show the indicator in linear scale and the price in semi-log scale at the at the same time.

Figure 1: Chart of Apple with the On Balance Volume, Volume-Price, and Modified Volume-Price Indicators.

AIQ EDS Code for Modified Volume-Price Trend Indicator:

Traders Studio Version:

The TradersStudio code for David G. Hawkins indicators from his April 2010 article, “Modified Volume-Price Trend Indicator”, is shown below. I have supplied the code for all three indicators discussed in the article as well as the code for a simple system that I chose to test the indicator. The test system makes counter trend trades and uses the price volume indicators in divergence mode to filter out some of the trades. The basic idea is to make countertrend trades based on two moving averages. We buy when the fast average crosses below the slower moving average and sell on the opposite cross. Time and maximum dollar loss stops are also used. Pinnacle back-adjusted data (day session only) was used for the following symbols: AD, BO, BP, C, CC, CD, CL, CT, DJ, DX, ED, FA, FC, FX, GC, HG, HO, HU, JO, JY, KC, KW, LC, LH, NG, NK, PB, RB, S, SB, SF, SI, SM, SP, TA, TD, UA, and W over the test period from January 2, 1999 to February 8, 2010.

In Table 1, I show the optimization results comparing average system results when
• not using a money flow filter (first line of table)
• to using an On Balance Volume filter (second line of the table)
• to using the Volume-Price filter (third line of table)
• to using the Modified Volume-Price filter (forth line of table)

Each line represents an average of a range of parameters for the system rather than just the best set of parameters. All of the metrics are improving as we move from the unfiltered system to the best of the batch, the MPVT filtered system. I also used the TradersStudio genetic optimizer to optimize all of the 7 parameters of the system. The set chosen by the genetic optimizer was one that uses the Modified Volume-Price filter.

Caption for Table 1:
Comparison of average system test results for a portfolio of 38 futures contracts over the period 1/2/1999 to 2/8/2010. The system results were solidly improved by adding the Modified Volume-Price indicator as a filter in the system.

Traders Studio Code for Modified Volume-Price Trend Indicator:















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