After a few weeks work I have finished this round of changes to the study. Some of the changes are referenced in previous posts but many are not. One thing that bothered me about the original study was that the color scheme assigned to the symbols seemed to make no sense at all. (By reading a
NinjaTrader thread on the original code I discovered that the programmer himself was less than satisified with the color scheme). I changed it using the ROYGBIV color spectrum as a model. I also added UpArrow and DownArrow symbols to indicate the strongest indications. The legend and a brief explanation is pasted below.
I was also bothered by the fact that candles identified as UpThrusts often don't look anything like traditional UpThrusts. However, in most cases the Red Squares, Triangles, and DownArrows attached to those candles seem to work pretty well as indications of an impending downtrend. Because they seem to work pretty well as indicators I decided not to change the underlying code, at least until I have a clearer picture of why they work but don't look like UpThrusts. I'm still watching them.
Another thing I noticed is that often times a group of two or three candles that don't contain an UpThrust identification individually would be considered an UpThrust if taken together. So, I added Two Period and Three Period UpThrust indicators. I just did this today so I'm still evaluating their effectiveness.
I'm very interested in hearing what works, what doesn't work, and what other traders think of this study so please post comments, criticisms, etc. here. I won't have much time to devote to tweaking the code in the next few weeks or months because of other projects I am working on, but I'm still very interested in hearing comments about the study.
Btw, I use this study mostly on 2-minute candles, but am also watching it on 5 and 15-minute candles. I've attached an image of a chart from this morning which shows, among other things, two really good examples of various kinds of UpThrusts (Red Square, Triangle, and DownArrow; Magenta Three Period UpThrust) indicating impending downtrends. It also shows two good examples of Stopping Volume (Green Circle) after the first downtrend of the second test of highs at around 7:00 and at the end of the longer-term downtrend at about 8:00.
And finally, I don't know why the original code for NinjaTrader is called VPA (Volume Price Analysis) instead of VSA but I just kept the acronym in the filename for consistency's sake.
Legend from the study Comments:
# This is a conversion of the NinjaTrader VPA indicator.
ToS does not support directional
# triangles and diamonds, so there are some differences. The triangles are left as is, just
# not pointing a specific direction. The diamonds have been replaced with circles.
# C_RP Original notes by cbritton are above. Changes made after 20100722 by Richard Paske are marked below by the C_RP comment tag. A few bugs were fixed. More significantly, the color scheme for symbols was changed radically in an attempt to map directional strength to hue based on the ROYGBIV color spectrum. In addition, a symbol's shape and its vertical position above or below a candle now imparts added meaning to it. In general, the strength of a symbol is assigned by its color and shape in that order. In certain circumstances a symbol's vertical offset from its candle's top
or bottom strengthens the symbol's meaning. The symbol strength hierarchy is defined as follows:
# 1. Color: Symbols below candles are assigned strength from weakest to strongest in this order: white (or grey), cyan (blue/green), green. A red symbol under a candle indicates the failure of the symbol attached below the candle immediately preceding it.
# Symbols above candles are assigned strength from weakest to strongest in this order: yellow, orange, red. A green symbol above a candle indicates the failure of a symbol attached above the candle immediately preceding it. A magenta (pinkish purple) square above a candle is a special case indicating Distribution. Another special case for testing purposes as of 20100830 is a white triangle high above a candle indicating a Gravestone
Doji.
# Symbols drawn on the middle of a candle are of two types with one variation. A green circle indicates Effort to Move Up on up bars. A magenta (pinkish purple) circle indicates Effort to Move Down on down bars except for red down bars on which magenta displays poorly. In order to be seen easily, yellow circles indicate Effort to Move Down on red down bars.
# 2. Shape: A symbol of a given color is assigned increasing strength according to this hierarchy (from low to high): circle, square, triangle, downward or upward arrow. In certain circumstances two symbols of the same shape and color will be stacked vertically, adding strength through the combined symbols. Occasionally, two different symbols will be stacked vertically because that candle satisfies the criteria for two indications.
# Listed below are the symbols and their meanings.
# ___Symbols in the Middle of Candles___
# Green Circle - Effort to Move Up
# Magenta Circle - Effort to Move Down
# Yellow Circle - Effort to Move Down on Red Down Candles