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OBVDI w/ Avg by Phillip Holt
Phillip Holt's technique for testing the on-balance volume disparity indicator (OBVDI) and the negative volume disparity indicator (NVDI) against the NYSE Composite Index also seems to show promise for commodities. Looking at currencies, I found that with a little manipulation of the parameters and using a decent money management stop, the performance results were well above average. Following are both the OBVDI and the NVDI as user functions. A word of caution: Be sure to set the properties of the user functions to "series."


Type: User-Function, Name: OBVDI

Inputs: Length(Numeric);
Vars: BollTop(0), BollBot(0), PerB(0), OBVBollTop(0), OBVBollBot(0), OBVPerB(0);

BollTop=BollingerBand(Close,Length,2);
BollBot=BollingerBand(Close,Length,-2);
If (BollTop-BollBot)<>0 then PerB=(Close-BollBot)/(BollTop-BollBot);

OBVBollTop=BollingerBand(OBV,Length,2);
OBVBollBot=BollingerBand(OBV,Length,-2);
If (OBVBollTop-OBVBollBot)<>0 then OBVPerB=(OBV-OBVBollBot)/(OBVBollTop-OBVBollBot);
OBVDI=(1+PerB)/(1+OBVPerB);

 
 


Type: User-Function, Name: NVDI

Inputs: Length(Numeric);
Vars: BollTop(0), BollBot(0), PerB(0), NegVBollTop(0), NegVBollBot(0), NegVPerB(0), NegV(0);

If Currentbar=1 then NegV=100;
BollTop=BollingerBand(Close,Length,2);
BollBot=BollingerBand(Close,Length,-2);
If (BollTop-BollBot)<>0 then
PerB=(Close-BollBot)/(BollTop-BollBot);
NegV=IFF(Volume<Volume[1],NegV+((Close-Close[1])/Close[1])*100,NegV);

NegVBollTop=BollingerBand(NegV,Length,2);
NegVBollBot=BollingerBand(NegV,Length,-2);
If (NegVBollTop-NegVBollBot)<>0 then
NegVPerB=(NegV-NegVBollBot)/(NegVBollTop-NegVBollBot);

NVDI=(1+PerB)/(1+NegVPerB);

 
To duplicate the OBVDI used in Holt's article, use the Plot function to plot the indicator and then the average of that indicator:

 


Type: Indicator, Name: OBVDI w/ Avg

Plot1( OBVDI(33),"OBVDI");
Plot2( Average(OBVDI(33),4),"AvgOBVDI");

 
t-i-OBVDI_w_Avg.gif
All of this code will be made available on both the Omega Research area of America OnLine and at our Web site at http: //www.omegaresearch.com.

-- Miles Dunbar, Easy Language Specialist, Omega Research
Source / From: TOP
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