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Up/Down volume ratio & Advance/Decline ratio Topic Rating:
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tsisung
Posted : Wednesday, April 6, 2005 3:14:38 PM
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Joined: 4/3/2005
Posts: 41
Is it possible, even if it means exporting data to Excel, to create an Up/Down volume ratio (for the major indexes) and an Advance/Decline ratio? Reason for asking is due to research by others.

For instance, Mark Boucher has tested that when 5 day moving avg of Up Volume over Total Volume exceeds 77% the S&P returns 25.3% annualized over the next 3 months.

For advance/decline, when the ratio of the 11 day moving avg of advances over 11 day moving avg of decliners exceeds 1.9 a similar type of move as above occurs.

Tim
Craig_S
Posted : Wednesday, April 6, 2005 3:31:58 PM


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Joined: 10/1/2004
Posts: 18,819
5-day Up Volume as a % of Total 5-day volume:

((((C>C1)*V)+((C1>C2)*V1)+((C2>C3)*V2)+((C3>C4)*V3)+((C4>C5)*V4))*-1)/(AVGV5*5)*100

Up volume/down volume ratio 11-day

((((C>C1)*V)+((C1>C2)*V1)+((C2>C3)*V2)+((C3>C4)*V3)+((C4>C5)*V4)+((C5>C6)*V5)+((C6>C7)*V5)+((C7>C8)*V7)+((C8>C9)*V8)+((C9>C10)*V9)+((C10>C11)*V10))+1)/((((C<C1)*V)+((C1<C2)*V1)+((C2<C3)*V2)+((C3<C4)*V3)+((C4<C5)*V4)+((C5<C6)*V5)+((C6<C7)*V5)+((C7<C8)*V7)+((C8<C9)*V8)+((C9<C10)*V9)+((C10<C11)*V10))+1)



- Craig
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Donk
Posted : Saturday, January 4, 2014 5:01:48 AM
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Joined: 11/17/2007
Posts: 28

In TC2000 12.4 Platinum, is it possible to stream watchlist data into Excel for live analysis? End of day data would be fine too if can't do live.

If so how can it be done?

 

Ken D

 

Bruce_L
Posted : Monday, January 6, 2014 10:58:01 AM


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Joined: 10/7/2004
Posts: 65,138

It is not possible to stream data into Excel from any version of TC2000. You can export only one symbol at a time in TC2000 version 12.4. If you want to export an entire WatchList of data at a time, you would need to use TC2000 version 7.

Exporting data to text format - comma, space or tab delimited



-Bruce
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stochastics
Posted : Friday, August 7, 2015 11:54:35 PM
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Joined: 3/3/2013
Posts: 57

Please help w/ a Up/Down Volume Ratio PCF.  

Thesis:  Up/Down Volume Ratio = ratio of toatal volume on up-closing days, divided by the total volume on down-closing days, over 50 trading sessions.  

A value of >1 usually indicates more buying than selling interest, & a value <1 indicates greater selling.  Accumulation/Distribution 
Bruce_L
Posted : Monday, August 10, 2015 12:06:25 PM


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Joined: 10/7/2004
Posts: 65,138

Please try the following Indicator Formula.

(V * (C > C1) + V1 * (C1 > C2) + V2 * (C2 > C3) + V3 * (C3 > C4) + V4 * (C4 > C5) + V5 * (C5 > C6) + V6 * (C6 > C7) + V7 * (C7 > C8) + V8 * (C8 > C9) + V9 * (C9 > C10) + V10 * (C10 > C11) + V11 * (C11 > C12) + V12 * (C12 > C13) + V13 * (C13 > C14) + V14 * (C14 > C15) + V15 * (C15 > C16) + V16 * (C16 > C17) + V17 * (C17 > C18) + V18 * (C18 > C19) + V19 * (C19 > C20) + V20 * (C20 > C21) + V21 * (C21 > C22) + V22 * (C22 > C23) + V23 * (C23 > C24) + V24 * (C24 > C25) + V25 * (C25 > C26) + V26 * (C26 > C27) + V27 * (C27 > C28) + V28 * (C28 > C29) + V29 * (C29 > C30) + V30 * (C30 > C31) + V31 * (C31 > C32) + V32 * (C32 > C33) + V33 * (C33 > C34) + V34 * (C34 > C35) + V35 * (C35 > C36) + V36 * (C36 > C37) + V37 * (C37 > C38) + V38 * (C38 > C39) + V39 * (C39 > C40) + V40 * (C40 > C41) + V41 * (C41 > C42) + V42 * (C42 > C43) + V43 * (C43 > C44) + V44 * (C44 > C45) + V45 * (C45 > C46) + V46 * (C46 > C47) + V47 * (C47 > C48) + V48 * (C48 > C49) + V49 * (C49 > C50)) / (V * (C < C1) + V1 * (C1 < C2) + V2 * (C2 < C3) + V3 * (C3 < C4) + V4 * (C4 < C5) + V5 * (C5 < C6) + V6 * (C6 < C7) + V7 * (C7 < C8) + V8 * (C8 < C9) + V9 * (C9 < C10) + V10 * (C10 < C11) + V11 * (C11 < C12) + V12 * (C12 < C13) + V13 * (C13 < C14) + V14 * (C14 < C15) + V15 * (C15 < C16) + V16 * (C16 < C17) + V17 * (C17 < C18) + V18 * (C18 < C19) + V19 * (C19 < C20) + V20 * (C20 < C21) + V21 * (C21 < C22) + V22 * (C22 < C23) + V23 * (C23 < C24) + V24 * (C24 < C25) + V25 * (C25 < C26) + V26 * (C26 < C27) + V27 * (C27 < C28) + V28 * (C28 < C29) + V29 * (C29 < C30) + V30 * (C30 < C31) + V31 * (C31 < C32) + V32 * (C32 < C33) + V33 * (C33 < C34) + V34 * (C34 < C35) + V35 * (C35 < C36) + V36 * (C36 < C37) + V37 * (C37 < C38) + V38 * (C38 < C39) + V39 * (C39 < C40) + V40 * (C40 < C41) + V41 * (C41 < C42) + V42 * (C42 < C43) + V43 * (C43 < C44) + V44 * (C44 < C45) + V45 * (C45 < C46) + V46 * (C46 < C47) + V47 * (C47 < C48) + V48 * (C48 < C49) + V49 * (C49 < C50))



-Bruce
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stochastics
Posted : Tuesday, August 11, 2015 8:03:22 PM
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Joined: 3/3/2013
Posts: 57

Bruce,

I like it & thank you for the PCF!  

For a period < 50 bars, I would just take off both sides of the formula?    For example, if I wanted a 49 day period I would eliminate the following:

+V49 * (C49 < C50) 

+ V49 * (C49 > C50)

Thank you again! 

 

Bruce_L
Posted : Wednesday, August 12, 2015 9:59:24 AM


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Joined: 10/7/2004
Posts: 65,138

That is exactly what you would need to do to shorten the formula. if it gets too short, you might want to add some sort of term to the denominator (like + .00001) to avoid division by zero issues.



-Bruce
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