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November 2007 Stocks and Commodities Traders Tips


Short-term Price & Volume Oscillator

Original article by Sylvain Vervoort
AIQ Code by Richard Denning


The AIQ code for The Short-Term Volume and Price Oscillator (SVAPO) is given below together with some background information re the Heikin-Ashi candlesticks and the triple moving average method (TEMA) that is used in the indicator. To test the effectiveness of the indicator, I constructed entry rules for longs and shorts based on the author’s examples. These rules were not expressly spelled out by the author but are just one interpretation of how the indicator might be used in a trading system.

Enter a long position when:
1) SVAPO is below the lower band and
2) SVAPO increases from the day before.

Enter a short position when:
1) SVAPO is above the upper band and
2) SVAPO decreases from the day before.

Using the NASDAQ list of stocks and AIQ’s EDS module, which tests all trade signals that do not overlap, I tested the above rules over the four-year period from 9/12/03 to 9/12/07, exiting after 1, 3, 5, 10 and 20 day fixed holding periods while not using any other exit techniques. The results of the tests are summarized in Table 1. The longs show favorable results in all periods and the trades outperform the NASDAQ 100 index on an average trade basis in all the tests of the longs (not shown in the table). The shorts show losses that increase progressively as the holding period is increased. Since the test period was primarily a bullish period and the short positions were net losers, adding a trend filter probably would improve the results of both the longs and shorts.

Table 1: Test results using various fixed holding periods on the NASDAQ 100 list of stocks.

Click here to view Table 1.

EDS Code for Short-term Price & Volume Oscillator
SVAPO.EDS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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