Dear All
I'm trader from Toronto, Canada
My friend Pascal Willain has invented a new method how to recognise new trends.
This method is called Effective Volume (www.effectivevolume.eu)
He was published book "Value in Time" .
I want to program some plug-ins for Metastock based on this method.
I have permission from Pascal Willain to do it.
I want to use its for myself and distribute its to Pascal and allow him to share its for other people in exchange of donation to his foundation of hanicapped children.
I'm not a professional progammer and I need help to do it.
If somebody can help us?
Here a letter from Pasacal Willain:
Date: Wed, 5 Nov 2008 15:30:22 +0100
From: [email protected]
To: [email protected]
Subject: Re: Metastock
Hi Sergey,
I think that it is a good idea to have a Metastock indicator. I however will need to have a contact with this developper to make sure that he develops EV in the way it should be, especially for the separation volume calculation.
I can supply the Tradestation code as well as the Visual Basic code that I am using.
I understand that the developper is offering this work for free and that he will supply the source code together with the compiled code.
I will then offer this indicator on my web site against a donation for charity.
This developper's name will also be mentionned on the web site as the author.
Also, I ask that the following comment is added in the add-on, so that everything is clear to "customers":
Effective Volume is an indicator developed by Pascal Willain and published in the book "Value in Time" , Wiley 2008.
This indicator detects institutional activities by stastistically analysing price/volume movements on the minute level.
This analysis allows to show institutional players' activities out of the noise generated by retail players. More information can be found on www.effectivevolume.eu
Adaptation of Effective Volume to "Metastock" has been provided by XXXXXX.
Below is what is needed in order to program EV. Regarding the separation volume, it is an iterative process: you need to find the number of shares that separate the two groups (large and small) of an equal total number of shares. Also, I add the following filtration algorithm to avoid large blocks of data: If the minute volume is higher than 5% of the total volume of the day, but the price change from one minute to the next is lower than 1%, the Effective Volume for that minute is set to "0".
The Effective Volume is calculated by using the following formula, which is a modified version of Larry Williams' A/D (Accumulation/Distribution) formula:
(ABS (Closei-1 - Closei )+ PI) / (Highi - Lowi + PI)
Closei-1 = Closing price corresponding to Time Interval (i-1): TIi-1
Closei = Closing price corresponding to Time Interval (i): TIi
Highi = Max (Highi , Closei-1)
Lowi = Min (Lowi , Closei-1)
PI = Price Interval (usually US$ 0.01).
ABS= Absolute value
As you can see, the Larry Williams formula was changed in two ways:
I replaced the Open of the time interval by the Close of the previous time interval. Of course, I had to adapt the High and the Low of the current time interval to the value of the Close of the previous time interval.
I added the PI number, usually 0.01, to take into account the very small variations that occur during one time interval.
Thanks again,
I'm trader from Toronto, Canada
My friend Pascal Willain has invented a new method how to recognise new trends.
This method is called Effective Volume (www.effectivevolume.eu)
He was published book "Value in Time" .
I want to program some plug-ins for Metastock based on this method.
I have permission from Pascal Willain to do it.
I want to use its for myself and distribute its to Pascal and allow him to share its for other people in exchange of donation to his foundation of hanicapped children.
I'm not a professional progammer and I need help to do it.
If somebody can help us?
Here a letter from Pasacal Willain:
Date: Wed, 5 Nov 2008 15:30:22 +0100
From: [email protected]
To: [email protected]
Subject: Re: Metastock
Hi Sergey,
I think that it is a good idea to have a Metastock indicator. I however will need to have a contact with this developper to make sure that he develops EV in the way it should be, especially for the separation volume calculation.
I can supply the Tradestation code as well as the Visual Basic code that I am using.
I understand that the developper is offering this work for free and that he will supply the source code together with the compiled code.
I will then offer this indicator on my web site against a donation for charity.
This developper's name will also be mentionned on the web site as the author.
Also, I ask that the following comment is added in the add-on, so that everything is clear to "customers":
Effective Volume is an indicator developed by Pascal Willain and published in the book "Value in Time" , Wiley 2008.
This indicator detects institutional activities by stastistically analysing price/volume movements on the minute level.
This analysis allows to show institutional players' activities out of the noise generated by retail players. More information can be found on www.effectivevolume.eu
Adaptation of Effective Volume to "Metastock" has been provided by XXXXXX.
Below is what is needed in order to program EV. Regarding the separation volume, it is an iterative process: you need to find the number of shares that separate the two groups (large and small) of an equal total number of shares. Also, I add the following filtration algorithm to avoid large blocks of data: If the minute volume is higher than 5% of the total volume of the day, but the price change from one minute to the next is lower than 1%, the Effective Volume for that minute is set to "0".
The Effective Volume is calculated by using the following formula, which is a modified version of Larry Williams' A/D (Accumulation/Distribution) formula:
(ABS (Closei-1 - Closei )+ PI) / (Highi - Lowi + PI)
Closei-1 = Closing price corresponding to Time Interval (i-1): TIi-1
Closei = Closing price corresponding to Time Interval (i): TIi
Highi = Max (Highi , Closei-1)
Lowi = Min (Lowi , Closei-1)
PI = Price Interval (usually US$ 0.01).
ABS= Absolute value
As you can see, the Larry Williams formula was changed in two ways:
I replaced the Open of the time interval by the Close of the previous time interval. Of course, I had to adapt the High and the Low of the current time interval to the value of the Close of the previous time interval.
I added the PI number, usually 0.01, to take into account the very small variations that occur during one time interval.
Thanks again,