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Volume Spike Exploration for Amibroker (AFL)

Rating:
3 / 5 (Votes 3)
Tags:
amibroker, exploration

Demo code by Progster in response to this thread here and posted in this thread

The formula is an exploration for finding volume spikes:

  • A volume spike is defined to be when volume exceeds a StdDev above it’s moving average
  • Looking back, the code filters for a volume spike an exact # of bars ago
  • Looking forward, the code filters for the first volume spike that takes place after the current bar.

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Indicator / Formula

Copy & Paste Friendly
/*	
	VolSpikeDemo_01.afl

	Demo code by Progster in response to:

	http://finance.groups.yahoo.com/group/amibroker/message/124977

	This is Exploration code.

*/


MaxBack = 150; 		// maximum number of bars to look back
MaxFwd = 30;			// maximum number of bar to look forward

//	Exploration parameters
ShowBack = ParamToggle("ShowBack","No|Yes",1);
LB = Param("LookBack",1,1,MaxBack,1);		//	LookBack (for vol spikes exactly this many bars ago)

ShowFwd = ParamToggle("ShowFwd","No|Yes",0);
LF = Param("LookFwd",10,1,MaxFwd,1);		//	LookFwd (for vol spikes up to this many bars in the future)

//	Array calculations
MA_V = (MA(V,MaxBack)) ;	
SD_V = StDev(V,MaxBack) ;
VolSpike = Volume > (MA_V + SD_V);

//	Use array function BarsSince() to look back  (convenient and fast)
BarsSinceVolSpike = BarsSince(VolSpike);


//	Use a loop to look forward	(less convenient, less fast)
BarsToVolSpike = -1 ;

if ( ShowFwd )
{
    for ( idx = 0 ; idx < ( BarCount - MaxFwd ); idx++ )
    {
        //	Since jdx is positive, we are looking into the future relative to the current bar
        for ( jdx = 1; jdx < MaxFwd; jdx++ )
        {
            if ( VolSpike[idx + jdx] )
            {
                BarsToVolSpike[idx] = jdx;
                break;
            }
        }
    }
}

//	Set exploration Filter according to whether we are looking back, forward, or both
if(ShowBack AND ShowFwd){
	Filter = (BarsSinceVolSpike == LB) OR (BarsToVolSpike >= 0) ;
}
else if ( ShowBack ){
	Filter = (BarsSinceVolSpike == LB) ;
}
else if ( ShowFwd ){
	Filter = (BarsToVolSpike >= 0) ;
}

//	Info at current bar
AddColumn( DateTime(), "cDate", formatDateTime );		//	c = "current"
/*
AddColumn(Volume, "cVolume" );
AddColumn(MA_V, "cMA_V" );
AddColumn(SD_V, "cSD_V" );
*/

//	Info at the previous VolSpike bar.  p = "previous" or "past"
if ( ShowBack )
{
	// Volume-based calcs with no particular formatting applied
    AddColumn( LB, "BarsBack" );
    AddColumn( Ref( DateTime(), -LB ), "pDate", formatDateTime );
    AddColumn( Ref( Volume, -LB ), "pVolume" );
    AddColumn( Ref( MA_V, -LB ), "pMA_V" );
    AddColumn( Ref( SD_V, -LB ), "pSD_V" );
}

//	Info at the next VolSpike bar.  f = "forward"

if ( ShowFwd )
{
    textColor = colorDefault ;
    BGColor = IIf( BarsToVolSpike < 0, colorRed, colorDefault ) ;		// Use Red BG color if no forward vol spike found

    //	Volume-based calcs formetted to 0 decimals
    AddColumn( BarsToVolSpike, "BarsFwd", 1.0, textColor, BGColor );
    AddColumn( Ref( DateTime(), BarsToVolSpike ), "fDate", formatDateTime, textColor, BGColor );
    AddColumn( Ref( Volume, BarsToVolSpike ), "fVolume", 1.0, textColor, BGColor );
    AddColumn( Ref( MA_V, BarsToVolSpike ), "fMA_V", 1.0, textColor, BGColor );
    AddColumn( Ref( SD_V, BarsToVolSpike ), "fSD_V", 1.0, textColor, BGColor );
}

1 comments

1. d4vidk4ng

Hi do you have afl for volume spike in line chart
thanks

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