Finite Volume Element

Posted by on Aug 25, 2009 in Indicator, Oscillator | 0 comments

Markos Katsanos’ Finite Volume Element (FVE) indicator was first described in “Detecting Breakouts” in the April 2003 issue “Technical Analysis of Stocks and Commodities.” The FVE is a money flow indicator but with several key differences from Chakin’s Money Flow or On Balance Volume. Unlike these money flow indicators which add or subtract all volume even if the security barely closed higher than the previous close, FVE uses a volatility threshold to take into account minimal price changes.

Divergences between price and the indicator can provide leading signals whereas the slope of the indicator shows if the bulls or bears are in control. Values above zero are bullish and indicate accumulation while values below zero indicate distribution. FVE crossing the zero line indicates that the short to intermediate balance of power is changing.

Also pictured are the ThinkScripter Volumetric Trendlines and Volume Profile (still under development).

Finite Volume Element

Finite Volume Element

# TS_FiniteVolumeElement
# (c) 2009 http://www.thinkscripter.com
# thinkscripter@gmail.com
# Last Update 25 AUG 2009

declare lower;

input FVEPeriod = 22;
input smoothingPeriod = 10;
def intra = log(high)-log(low);
def vintra = stdev(intra, FVEPeriod);
def inter = log(hlc3)-log(hlc3[1]);
def vinter = stdev(inter,FVEPeriod);
def cutoff = 0.1*(vinter+vintra)*close;

def MF = (Close - (High + Low ) / 2 )+ hlc3 - hlc3[1] ;
def VE = if MF > cutoff then volume else if MF < -cutoff then -volume else 0;
def FVE = 100*sum(VE,FVEPeriod)/(average(volume,FVEPeriod)*FVEPeriod);

plot FiniteVolumeElement = FVE;
FiniteVolumeElement.setDefaultColor(color.cyan);

plot SmoothedFVE = Average(FVE,smoothingPeriod)  ;
SmoothedFVE.setDefaultColor(color.blue);

plot zero = 0;
zero.setDefaultColor(color.white);

Leave a Reply

Your email address will not be published. Required fields are marked *

You may use these HTML tags and attributes: <a href="" title=""> <abbr title=""> <acronym title=""> <b> <blockquote cite=""> <cite> <code> <del datetime=""> <em> <i> <q cite=""> <strike> <strong>