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jfh123
 Posted : Tuesday, May 19, 2009 6:47:32 PM
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Joined: 12/17/2004
Posts: 143
I can't begin to figure out a workable way to write a PCF for this.  What I tried was to divide the price range, over a time frame (let's say 20 periods), into pieces (let's say 10 deciles).  I can easily find the 20-day high and low.  Next, I'd assign each day's volume to a decile via (C>MINL20+(MAXH20-MINL20)*.3 AND C<=MINL20+(MAXH20-MINL20)*.4)*(-1)*V (assumes today is in the 4th price declie from the bottom).  Then I would do the same for C1 thru C19, and sum them, to get total volume in that declie.  Then, I'd have to do the same for the other 9 declies to know which had the most volume, then I'd use the top and bottom of that price decile as the boundaries of my support/resistance line (based on whether price is above or below it.  But, there has got to be an easier way, no?

In case anyone's unclear on what I mean by a "volume by price overlay", an example is at the following URL: http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:volume_by_price
But I don't want a logarithmic chart, and I expect it'll be most doable if all "slices" are the same "height".  All I want is to know the top and bottom of the horizontal slice of the chart which has the most volume.

I'd appreciate any help anyone can provide.
Bruce_L
 Posted : Wednesday, May 20, 2009 1:32:54 PM

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Joined: 10/7/2004
Posts: 65,138
I've been playing with this. You can shorten:

(C > MINL20 + (MAXH20 - MINL20) * .3 AND C <= MINL20 + (MAXH20 - MINL20) * .4) * (-1) * V

To:

(C > .3 * MINL20 + .7 * MAXH20 AND C <= .4 * MINL20 + .6 * MAXH20) * (-V)

But the resulting formula would seem to be even longer and more complicated than your original summary might indicate. You would need to sum this for all 20-Periods to get the Volume of the decile. You would then need to compare it to the Volume of the other 9-Deciles (all of which have their own 20-terms) to see if it is the largest and multiply the result by the boundary if True. So you have something that is 400 times larger than this formula to possibly add the boundary if this Decile is the largest. But you would need to do this for all ten deciles meaning the resulting formula ends up being about 4000 times longer than this formula.

-Bruce
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jfh123
 Posted : Wednesday, May 20, 2009 4:54:01 PM
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Joined: 12/17/2004
Posts: 143
Exactly.  Bummer.  Thanks for looking at it.
Bruce_L
 Posted : Wednesday, May 20, 2009 4:55:35 PM

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Joined: 10/7/2004
Posts: 65,138
You're welcome.

-Bruce
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