AFL Library

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Details:

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Description:

Ord Volume indicator as described on http://www.ord-oracle.com/. I have not found any exact description, so I am using the built in Zig function to pick the swings.

This formula is designed to pick out the swings in a stock and then measure the force between the swings. The
force is the amount of volume between the swings that pushes the stock in an up-mode or down-mode...read more in the header of the formula file.

Formula:

/*        Ord Volume by Peter Bjarheim
            Rev - 11-12-07
			
	Adjust "zig percent change" so that each swing last from 5 to 30 days 
	(the the percentage, the more sigificant the swing is).
	
	Peak Volume Extreme Detection:
		->Sometimes several days around the true swing price extreme, a higher volume
extreme has been encountered. 
		Back testing suggests that these swing volumes while rare, do occur and are
significant.
	
	
---->	Rules For Trading from http://www.ord-oracle.com/
	
	
	This software is designed to pick out the swings in a stock and then measure
the force between the swings. The
force is the amount of volume between the swings that pushes the stock in an
up-mode or down-mode. Stocks trend
in the direction of the highest volume. Stocks correct or consolidate on
lighter volume. By measuring the volume
between the swings and comparing to previous swings, one can "See" the force of
a particular move developing in the
stock. In an uptrend the stock should have higher volume on the rally phase
than the correction phase. In a
downtrend the stock should have higher volume on the declining phase than the
up correction phase. With that in
mind, we have developed this software to do just that. Keep in mind that this
software measures volume force in a
stock and is not implied to be a stand-alone tool to pick every turn in a
stock. The Ord-volume software is designed
to help identify the probable direction by the volume flow the stock has. Other
factors of the stock may push it in a
different direction.

1. To pick the strongest stock (in up-trend), average daily volume should
shrink near 50% on correction phase
compared to the rally phase.

2. To pick the weakest stocks (in down-trend) average daily volume should
shrink near 50% on up phase compared to
the declining phase.

Definition of a "Swing". A "Swing" is a price high or low where the stock
changes direction.
Definition of "Ord-Volume". "Ord-volume" measures the average volume between
"Swings".
Definition of "Ord-Volume Low". "Ord-Volume Low" is a down-leg in a stock.
Definition of "Ord-Volume High". "Ord-Volume High" is an up-leg in a stock.

3. A buy signal is triggered when a stock closes above a previous important
"Ord-Volume low" where the current
"Ord-volume low" shrinks near 50% or greater against the "Important "Ord-volume
low"". An "Important
"Ord-volume Low" is when that low marks a bottom where the equity starts a
sideways consolidation.

4. A sell signal is triggered when a stock closes below a previous important
"Ord-Volume High" where the current
"Ord-Volume High" shrinks near 50% or greater against the "Important
"Ord-Volume High"". An "Important
"Ord-Volume High"" is when that high marks a top where the equity starts a
sideways consolidation.

5. Target price Projections:
	5.1 An upside target for a buy signal will be the previous "Swing High". If
volume is equal or greater on the test of the
	previous high then the next higher swing high will be the target and so on.

	5.2 A downside target after a sell signal will be the previous "Swing Low". If
volume is equal or greater than the
	previous "Swing Low" then the next lower swing will be the target and so on.
	
*/
swingDays = 0;
swingVol = 0;
ordVol = 0;
upswingSignal = 0;
downswingSignal = 0;
accumulatedVolume = 0;
accumulatedDays = 0; 
arrayHasSignal = 0;
zigPercentage = Param("ZigZag Percent", 10, 2, 50);
trendZig = Zig(C, zigPercentage); 
action = Status("action");
midPointY = 0;
midPointValue = 0;
peakVolumeExtremeDetectionDays = Param("Peak Vol. Days", 6, 1, 20); //3 days
before and 3 days after a peak
daysBeforeAndAfterForPeakVolume = round(peakVolumeExtremeDetectionDays/2);
peakVolume = 0;
colorOrdVolume = ParamColor("Ord Vol. Info.", colorGrey50);
colorZig = ParamColor("ZigZag", colorGold);
colorPeakUp = ParamColor("Support Info.", colorGreen);
colorPeakDown = ParamColor("Resistance Info.", colorRed);
scalingFactor = 0.1;


function volumeInMillions(inVolume)
{
	volInM = inVolume/1000000;
	return NumToStr(volInM, 1.2, False) + " m";
}

function getPeakVolume(daysToCheck, nowDay)
{
	returnPeakVolume = V[nowDay];
	dayNumberBefore = (nowDay) - daysToCheck;
	dayNumberAfter = (nowDay) + daysToCheck;
	//find Max swing Volume
	if( dayNumberBefore > 0 AND dayNumberAfter < BarCount )
	{
		returnPeakVolume = V[dayNumberBefore];
		//_TRACE("Start returnPeakVolume = " + returnPeakVolume);
		for( j = dayNumberBefore; j < dayNumberAfter; j++ )
		{
			if(returnPeakVolume < V[j])
			{
				returnPeakVolume = V[j];
			} 
			//_TRACE("returnPeakVolume = " + returnPeakVolume);
		}
	}
	else if( dayNumberBefore > 0 AND dayNumberAfter >= BarCount )
	{
		returnPeakVolume = V[dayNumberBefore];
		//_TRACE("Start returnPeakVolume = " + returnPeakVolume);	
		for( j = dayNumberBefore; j < BarCount; j++ )
		{
			if(returnPeakVolume < V[j])
			{
				returnPeakVolume = V[j];
			}
			//_TRACE("returnPeakVolume = " + returnPeakVolume);			
		}
	}
	else 
	{
		peakVolume = V[i-1];
	}
	
	return returnPeakVolume;
}

for( i = 3; i < BarCount; i++)
{
//initialize parameters
	arrayHasSignal[i] = 0;

//Then we check which way the price goes

	swingVol = swingVol + V[i-1];//Don't add today since price may have changed
direction
	swingDays = swingDays + 1;

	if( (trendZig[i] < trendZig[i-1]) AND (trendZig[i-1] > trendZig[i-2]) AND i >
10 )//Changes from up swing to down swing
	{
		/*_TRACE("Changes from up swing to down swing, i = " + i);
		_TRACE("trendZig[i-2] = " + trendZig[i-2]);
		_TRACE("trendZig[i-1] = " + trendZig[i-1]);
		_TRACE("trendZig[i] = " + trendZig[i]);*/
		downswingSignal[i-1] = 0;
		upswingSignal[i-1] = 1;
		ordVol[i-1] = swingVol/swingDays;	
		accumulatedVolume[i-1] = swingVol;
		accumulatedDays[i-1] = swingDays; 
		arrayHasSignal[i-1] = 1;
		if(action == actionIndicator)
		{
			midPointValue = i - round(swingDays/2) - 1;
			midPointY = trendZig[midPointValue];
			peakVolume = getPeakVolume(daysBeforeAndAfterForPeakVolume, i - 1);
			PlotText("(" + volumeInMillions(ordVol[i-1]) + ")", midPointValue,
midPointY, colorOrdVolume);
			PlotText(NumToStr(H[i-1], 1.1, False) + " (" + volumeInMillions(peakVolume)
+ ")", i-4, trendZig[i-1] * 1.02, colorPeakUp);
		}
		swingVol = 0;
		swingDays = 0;
	}

	if( (trendZig[i] > trendZig[i-1]) AND (trendZig[i-1] < trendZig[i-2]) AND i >
10 )//Changes from down swing to up swing
	{
		downswingSignal[i-1] = 1;
		upswingSignal[i-1] = 0;
		ordVol[i-1] = swingVol/swingDays;
		accumulatedVolume[i-1] = swingVol;
		accumulatedDays[i-1] = swingDays; 
		arrayHasSignal[i-1] = 1;
		if(action == actionIndicator)
		{
			midPointValue = i - round(swingDays/2) - 1;
			midPointY = trendZig[midPointValue];
			peakVolume = getPeakVolume(daysBeforeAndAfterForPeakVolume, i - 1);
			PlotText("(" + volumeInMillions(ordVol[i-1]) + ")", midPointValue,
midPointY, colorOrdVolume);
			PlotText(NumToStr(L[i-1], 1.1, False) + " (" + volumeInMillions(peakVolume)
+ ")", i-4, trendZig[i-1] * 0.95, colorPeakDown);
		}	
		swingVol = 0;
		swingDays = 0;
	}
	if( i == BarCount - 1)//add last signal too
	{
		swingVol = swingVol + V[i];//Remember to add today also
		swingDays = swingDays + 1;

		if(trendZig[i] < trendZig[i-1])//is down swing
		{
			downswingSignal[i] = 1;
			upswingSignal[i] = 0;
			ordVol[i] = swingVol/swingDays;	
			accumulatedVolume[i] = swingVol;
			accumulatedDays[i] = swingDays; 
			arrayHasSignal[i] = 1;
		}

		if(trendZig[i] > trendZig[i-1])//is up swing
		{
			downswingSignal[i] = 0;
			upswingSignal[i] = 1;
			ordVol[i] = swingVol/swingDays;
			accumulatedVolume[i] = swingVol;
			accumulatedDays[i] = swingDays; 
			arrayHasSignal[i] = 1;
		}
		
		if(action == actionIndicator)
		{
			midPointValue = i - round(swingDays/2) - 1;
			midPointY = trendZig[midPointValue]; 
			PlotText("(" + volumeInMillions(ordVol[i]) + ")", midPointValue, midPointY,
colorOrdVolume);
		}

	}
}
if(action == actionExplore)
{
	//Filter = 1;
	Filter = arrayHasSignal;
	//AddColumn(trendZig , "trendZig ", 1.2);
	AddColumn(C, "Swing Up", 1.2, colorDefault, IIf(upswingSignal, colorPeakUp,
colorDefault));
	AddColumn(C, "Swing Down", 1.2, colorDefault, IIf(downswingSignal,
colorPeakDown, colorDefault));
	AddColumn(ordVol, "Ord Vol.", 1.0);
	AddColumn(accumulatedDays, "Swing Days", 1.0);
	AddColumn(accumulatedVolume, "Tot. Swing Vol.", 1.0);
}
else if(action == actionIndicator)
{
	Plot(trendZig, "Ord Vol ZigZag", colorZig);
	//Scale the axis so we can read the numbers
	Plot(trendZig + (trendZig * scalingFactor), "", colorRed, styleNoDraw);
	Plot(trendZig - (trendZig * scalingFactor), "", colorBlue, styleNoDraw);
}

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