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July 2007 Stocks and Commodities Traders Tips

Between Price and Volume

Original article by Buff Dormeier
AIQ code by Richard Denning

The AIQ code for VPCI and related indicators is given below. This code can be used to develop trading systems or the indicator can be used as a filter for existing systems. Due to a short publishing deadline, I was unable to run system tests. I tried different plotted indicator displays and decided that two smoothed VPCI indicators plotted as a histogram, which shows the difference between the two smoothed indicators, would give the most useful display. The indicator plot shown in figure 1 uses parameters of 50 and 10 days to compute the VPCI then takes two simple averages of this VPCI using 5 days and 10 days. The difference between these two smoothed indictors is then plotted as a historigram.

FIGURE 1 (Click here to view).

Figure 1: SPY shown with 50-day VWMA (red), 10-day VWMA (yellow) and sVPCI, ssVPCI (50,10,5,10) historigram (lower indictor plot in white).

EDS Code For VPCI and Related Indicators:
















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