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Finite Volume Element (FVE) System by Markos Katsanos

Markos Katsanos' article "Detecting Breakouts" describes the calculation and use of a price-volume indicator called the finite volume element (FVE). Katsanos provides a detailed Excel spreadsheet in the article, and I've used it to write the equivalent EasyLanguage code for the Fve. We named this indicator "FiniteVolumeElement."

Finally, Katsanos tests his Fve by basing a mechanical strategy on it. The strategy can be tested in TradeStation with the EasyLanguage strategy code named "FiniteVolEle."


Type : Strategy, Name : FiniteEleVol

inputs:
CutOff( .003 ),
Samples( 22 ) ;

variables:
TP( 0 ),
MF( 0 ),
VolumePlusMinus( 0 ),
FVEsum( 0 ),
FveFactor( 0 ),
FVE( 0 ) ;

TP = (High + Low + Close ) / 3 ;
MF = (Close - (High + Low ) / 2 )+ TP - TP[1] ;
if MF > CutOff * Close then
FveFactor = 1
else if MF < -1 * CutOff * Close then
FveFactor = -1
else
FveFactor = 0 ;
if BarNumber > Samples then
begin
VolumePlusMinus = Volume * FveFactor ;
FVEsum = Summation( VolumePlusMinus, Samples ) ;
FVE = ( FVEsum / (Average( Volume, Samples ) * Samples ) ) * 100 ;
Value1 = LinearRegSlope( FVE , 35 ) ;
Value2 = LinearRegSlope( Close, 35 ) ;
if FVE crosses over -5 and Value1 > 0
and Value2 < 0
then
Buy Next Bar at Market ;
if ( LinearRegSlope( FVE, 25) < 0 ) or
( DateToJulian( Date ) - DateToJulian( EntryDate ) > 50*( 7 / 5 ) )
then
Sell Next bar at Market ;
end ;

 

 

-- Mark Mills, MarkM@TSSec
EasyLanguage Specialist
TradeStation Securities
www.TradeStation.com, www.TradeStationWorld.com
Source / From: TOP
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