Volume Indicator

The volume of market transactions - one of the most important, in addition to price, market indicators. That is why there are a significant number of technical indicators, based on the interpretation of the volume of transactions. Their use in the construction of mechanical trading systems is quite useful, although many analysts are often unfairly overlooked in favor of these indicators advanced mathematical methods of analysis, the profitability of which is very controversial.

General Characteristics
The volume of transactions, as is known, reflects the intensity and strength of price trends. A significant movement has occurred on a thin volume, deserves less attention than the less significant price jump, accompanied by high volume. It can be summarized as value for the analysis of the market. In addition, should follow the direction of this trend, as expressed by a tendency to trend growth in the recoil down. Divergence of the volume and prices showed a possible fracture trend. These rules are widely used in the classic technical analysis, affirming the formation of such figures as triangles, head and shoulders, etc. The computer technical analysis is most often used increased as a possible precursor of a change of trend. It should be remembered that the volume is always ahead of the price. This makes it possible to build assumptions about the future behavior of the market with the help of the volume.

Granville OBV
The best known indicator of the amount considered to be the balance amount (on Balance Volume), developed by Stock Guru 70-ies of the last century, Joseph Granville. Curve OBV indicator is used to confirm the trend in the «normal» volume and signaling a change of trend in the divergence. The curve is based on the values of the daily volume at the time of closing. If the closing price that day was lower than the closing price the previous day, the value of the volume will be as negative. If the closing price the day higher yesterday, the same values, the volume will be positive. Countdown to filter false signals usually is not from zero but from 10 thousand. It numeric value is not particularly important in the interpretation of the indicator - a much more important than its direction.

In the construction of trading systems line of this indicator by itself is not used - it is used as a basis for the imposition of other indicators. It is believed that the OBV better to computer analysis, than the price. Opening the OBV is in a separate window, it can impose any indicators. For example, simple moving averages with different periods (Fig. 1).

As we see in the picture, you can write a trading system that will work at the intersection of these moving averages - textbook version, but instead prices are used indicator OBV. ID system would be as follows:

Enter Long:
Cross (Mov (OBV (C), opt1, S), Mov (
OBV (C), opt2, S)) AND opt1
The rate of change
The rate of change (Volume Rate of Change) - an indicator congenerous speed of price changes (Price Rate of Change). It is calculated on the same formula, but instead expands the amount of the price. The interpretation of this indicator, again based on the fact that all the extrema market are accompanied by an explosive increase in volume. Indicator simply determines the degree of force of the explosion. The formula changes in the speed indicator is the ratio of the difference between the amount and the amount of n days ago to the value n days ago, expressed in percentage form. The development of trading systems can take as a point of opening the position of the zero line, just as interpreted code commercial channel. In this case, long positions are open when crossing the zero line of the indicator lines from the bottom up, and a short position - at the intersection of the line indicator zero line downwards. Code of the trading system will be as follows:

Enter Long:
Cross (ROC (VOLUME, opt1,%), 0)
Enter Short:
Cross (0, ROC (VOLUME, opt1,%)).

In the period indicator, equal to 4, yield trading system on the time schedule of Euro sostavlyaet 295 items per month. The system that gives a large number of signals and does not have a sustainable yield curve, therefore, needs to be modernized. If you look at the schedule of Volume ROC with period 4, applied to the euro (Fig. 3), one can notice that the price rarely falls below zero, but often makes small jumps over the line. Therefore, we can try to choose a better indicator of the importance of the median line. To do this, instead of 0 to substitute the code trading system variable opt2. As a result, the trading system, with values opt1 = 2 and opt2 = 20 makes a profit in paragraph 384 a month on the same schedule.

You can add to the system exits to the crossing of some extreme values of the indicator, just as is the case with the oscillator. Then the code of the system will be:

Enter Long:
Cross (ROC (VOLUME, opt1,%), 0)
Close Long:
Cross (opt1, ROC (VOLUME, opt2,%))
Enter Short:
Cross (0, ROC (VOLUME, opt1,%))
Close Short:
Cross (ROC (VOLUME, opt3,%), opt4)

Testing showed that the best value is achieved at the closing of long positions on the intersection line of the indicator with a period of 8 lines from top to bottom and 100 at the closing of short positions on the intersection line of the indicator with a period of 4 from 300 upwards. In this case, the profitability of the system on time schedules Euro is 466 points per month (Fig. 4).

Klinger Oscillator
This volume indicator was designed specifically for short-term trading analyst Stephen J. Klinger. He tried to make the newly created short-term trend indicator is allocated to long-term trend, giving the trader the opportunity to speculate on the rollback, filtering movement against the trend. As a result, Klinger has developed almost finished mechanical trading system.

Trend in the concept of an indicator is determined by the sum of three values of the bar: the two extremes, and closing prices. If the sum of the day more than the previous day, this means accumulation. The trend does not change if these amounts are equal, which happens very rarely. All this is expressed in the form of an oscillator is the difference between the exponential moving averages with periods of 34 and 55 days, which are superimposed on a moving average signal line, period, method, and a shift which may vary at will the trader. This oscillator tracks «force volume» of cash income in a financial instrument, and from it. The signals are served first, while crossing the zero line oscillators (bullish signal - from the bottom up, Bear - from top to bottom), and secondly, at the intersection of the oscillator with the signal line (in this scheme, similar to the zero crossing).

Simple trading system based on this indicator is not difficult to guess, would look like this:

Enter Long:
Cross (KVO (), Mov (KVO (), opt1, E))
Enter Short:
Cross (Mov (KVO (), opt1, E), KVO ()),

where opt1 - period exponential moving average.

When tested on time schedules euro system with a period equal to 66 EMA gives profits 343 points in a month. The drawback is the large number of positions offered to the trend. The author recommends the use of an indicator for confirmation signals perekuplennosti and pereprodannosti LED Williams% R, and to confirm the trend - MACD.

When using% R trading system will have the following:

Enter Long:
Cross (KVO (), Mov (KVO (), opt1, E))
AND Cross (WillR (opt2), -50)
Enter Short:
Cross (Mov (KVO (), opt1, E), KVO ())
AND Cross (-50, WillR (opt2))

Accordingly, the validation signal is the intersection of the line marks -50% R and opt1 and opt2 - period exponential moving average and% R Williams. The best values for the time schedule of the euro are opt1 = 21 and opt2 = 73. With these values of the profitability of the system - 325 points per month, with 100% profitable transactions (Fig. 5).

Using the MACD confirms bovine signal will serve as the intersection of the MACD signal line from the bottom up, as proof of Bear signal - MACD signal line crossing the top down. Then the code will be as follows:

Enter Long:
Cross (KVO (), Mov (KVO (), opt1, E))
AND Cross (MACD (), Mov (MACD (), opt2, E))
Enter Short:
Cross (Mov (KVO (), opt1, E), KVO ())
AND Cross (Mov (MACD (), opt2, E),
MACD ())

The best value for the testing time schedules euro - 120 points per month, with periods of signal lines 11 and 14. As we can see, despite the recommendations Klinger, his oscillators better combines% R Williams.

Oscillator volume
Unlike the price oscillator, the oscillator is used as the object of interpretation of the volume of transactions. In fact, it is calculated as expressed in points or (more often) as a percentage difference between two moving averages, superimposed on the volume of trades on financial instruments. This difference determines the direction of the overall volume trends. If the oscillator is above the median line (default - 0), the volume is growing, if below the zero line - the amount falls. The same can be interpreted, and the price. That is code trading system will have already known for other type of oscillator:

Enter Long:
Cross (OscV (opt1, opt2, E,%), opt3)
Enter Long:
Cross (opt3, OscV (opt1, opt2, E,%)),

where opt1 and opt2 - period exponential moving averages, and opt3 - meaning the median line. At the time schedules of the euro the best result (163 item in the profitability of 85%) is achieved with values opt1 = 85, opt2 = 14, opt3 = 38 (Fig. 6).

Accumulation-distribution
This indicator was developed in 1972, Larry Williams - the author of the above-mentioned indicator% R. Like the previous volume indicator, this indicator relates to the movement of the price movements of the volume. The greater the change in volume, the higher the volatility of the market - both claimed Williams. This indicator is similar to the OBV Granville. When the curve of the indicator is growing, this means that the assets purchased, and the price is a prerequisite to growth. When the curve is falling, it means a sale of assets with the resulting effects on prices. The indicator is calculated as volume multiplied by the relevant difference in prices of opening and closing of the difference between the extremes of the day. Strong signal is divergence between the indicator values and prices. This shows the peak price or price floor. If the price reaches a new peak, and A / D begins to decrease, it means the opportunity to sell if the price falls to a new level, and A / D rises, it means the opportunity to purchase. In the construction of trading systems, the indicator can be used as a filter, trend and market volatility. To determine points of entry and exit, it is not suitable. You can superimpose on it the other indicators, just as they put on the price. For example, it will look like a system made up of this indicator in combination with stripes Bollindzhera:

Enter Long:
Cross (AD (), BBandBot (AD (), opt1, S,
2))
Enter Short:
Cross (BBandTop (AD (), opt1, S, 2), AD ())

When opt1 = 41 system makes a profit equal to 265 points per month.

Chaikin Oscillator
This indicator - an indicator derived from the accumulation-distribution. It is the difference between moving averages of this indicator. The method of interpretation is common to all oscillators. When the price reaches a new maximum or minimum, and the oscillator makes divergence, the trader must decide accordingly on the sale or purchase. I recommend to use in coupled oscillators with filters trend, as not convinced of the usefulness of the indicator of trade against the dominant trend. However, for most oscillators, this rule is also true. First, determine the time schedule for the euro extreme line oscillator. Testing shows that these lines are equal to -100 for long positions and 64 for short. Next, the line at which the adjournment. According to the results of testing on the same graph, these values are equal to 296 long positions and -821 for short. Thus, the code system will have the form:

Enter Long:
Cross (CO (), -100)
Close Long:
Cross (296, CO ())
Enter Short:
Cross (64, CO ())
Close Short:
Cross (CO (), -821)

Profitability of the trading system - 676 points per month (Fig. 7).

So, we found indicators of the volume can be divided into two categories: indicators, repetitive line pricing in smoothed form 9 (OBV, A / D) and indicators on the basis of existing oscillators (oscillator volume, Klinger Oscillator, Chaikin Oscillator). Of these, the greatest profitability has Chaikin oscillator, but that he does not need constant adjustment by the market, because no variable period - for his interpretation is to determine the extreme line.

Roman Mamchits