May 2011

TRADESTATION: VOLUME ZONE OSCILLATOR

In the article “In The Volume Zone” in this issue, authors Walid Khalil and David Steckler present a volume zone oscillator (Vzo) that can be used to incorporate both trending and oscillating price action. They also suggest some methods by which the Vzo can be used with other indicators and rules for trading.

We have prepared code for this indicator (_Vzo_Ind) and a strategy (_Vzo_Strategy). The strategy utilizes the 60-bar Ema of the close, the volume zone oscillator, and the 14-bar Adx. An Adx above 18 is considered trending, while below 18 is considered nontrending, according to the authors. Alerts were coded in the indicator to alert when the Vzo crosses the overbought and oversold values as set by the inputs.

To download the EasyLanguage code for the indicator, go to the TradeStation and EasyLanguage Support Forum (https://www.tradestation.com/Discussions/forum.aspx?Forum_ID=213) and search for the file “Vzo.Eld.” The code is also shown here. A sample chart is shown in Figure 1.

Figure 1: TRADESTATION, volume zone oscillator. This shows a daily chart of SPY with several indicators and the “_VZO_Strategy” applied. The indicators include the _VZO_Ind (cyan plot in subgraph 2), 60-bar EMA of the close (red plot with the price data), and the custom two-lines indicator (subgraph 3) plotting the 14-bar ADX (yellow) and the value of 18 (cyan line). The value of 18 for the ADX is the breakpoint for trending versus nontrending, according to the authors.

_VZO_Ind (Indicator)

{ TASC Article, May, 2011, "In The Volume Zone" }
{ Volume Zone Oscillator }
			
inputs:
	Period( 14 ),
	OverBought( 40 ),
	OverSold( -40 ) ;		

variables:
	MV( 0 ),
	R( 0 ),
	VP( 0 ),
	TV( 0 ),
	VZO( 0 ) ;

MV = Iff(BarType >= 2 and BarType < 5, Volume, Ticks) ;
R = Sign( C - C[1] ) * MV ;
VP = XAverage( R, Period ) ;
TV = XAverage( MV, Period ) ;

if TV <> 0 then	VZO = VP / TV * 100 ;

Plot1( VZO, "VZO" ) ;
Plot2( 60, "+60" ) ;
Plot3( 40, "+40" ) ;
Plot4( 15, "+15" ) ;
Plot5( -5, "-5" ) ;
Plot6( -40, "-40" ) ;
Plot7( -60, "-60" ) ;
Plot8( 0, "Zero" ) ;

if VZO crosses above OverBought then
	Alert( "VZO Overbought" ) ;

if VZO crosses below OverSold then
	Alert( "VZO Oversold" ) ;


_VZO_Strategy (Strategy)

{ TASC Article, May, 2011, "In The Volume Zone" }
{ Volume Zone Oscillator Strategy }

[IntrabarOrderGeneration = false]
				
inputs:
	Period( 14 ), { Volume Zone Oscillator Length }
	EMALen( 60 ), { Number of bars for EMA }
	ADXLen( 14 ), { Length for ADX }
	ADXTrendAmt( 18 ), { ADX Value for Trend }
	OverBought( 40 ), { VZO overbought value }
	OverSold( -40 ) ; { VZO oversold value }		

variables:
	EMA( 0 ),
	ADXTrending( false ),
	MV( 0 ),
	R( 0 ),
	VP( 0 ),
	TV( 0 ),
	VZOMaxHigh( 0 ),
	MaxCompare( 0 ),
	VZOMinLow( 0 ),
	MinCompare( 0 ),
	PrevPriceHigh( 9999999 ),
	PrevPriceLow( 0 ),
	BullishDiv( false ),
	BearishDiv( false ),
	PrevVZOHigh( 0 ),
	PrevVZoLow( 0 ),
	VZO( 0 ) ;

EMA = XAverage( C, EMALen ) ; { EMA of the Close }
ADXTrending = ADX( ADXLen ) > ADXTrendAmt ;
MV = Iff(BarType >= 2 and BarType < 5, Volume, Ticks) ;
R = Sign( C - C[1] ) * MV ;
VP = XAverage( R, Period ) ;
TV = XAverage( MV, Period ) ;

if TV <> 0 then
	VZO = VP / TV * 100 ;

MaxCompare = Iff( ADXTrending, 60, 40 ) ;
MinCompare = Iff( ADXTrending, -60, -40 ) ;

if VZO > MaxCompare then
	VZOMaxHigh = MaxList( VZOMaxHigh, VZO )
else 
	VZOMaxHigh = -999 ;
	 
if VZO < MinCompare then
	VZOMinLow = MinList( VZOMinLow, VZO )
else
	VZOMinLow = 999 ;

{ Pivot High of VZO - look for divergence }
if PivotHighVSBar( 1, VZO, 1, 1, 2 ) <> -1 then
	begin
	if H[1] > PrevPriceHigh and 
		VZO[1] < PrevVZOHigh then
			BearishDiv = true
	else
		BearishDiv = false ;
	PrevPriceHigh = H[1] ;
	PrevVZOHigh = VZO[1] ;
	end
else
	BearishDiv = false ;

{ Pivot Low of VZO - look for divergence }
if PivotLowVSBar( 1, VZO, 1, 1, 2 ) <> -1 then 
	begin
	if L[1] < PrevPriceLow and 
		VZO[1] > PrevVZOLow then
			BullishDiv = true
	else
		BullishDiv = false ;
	PrevPriceLow = L[1] ;
	PrevVZOLow = VZO[1] ;
	end 
else
	BullishDiv = false ;

{------------------------------------------------
		ENTRIES
-------------------------------------------------}
{ Long Entry Conditions - Trending }
Condition1 = C > EMA and ADXTrending ;
Condition2 = VZO crosses above OverSold ;

if Condition1 and Condition2 then
	Buy ( "OS Rev LE" ) next bar market ;

if VZO crosses below 40 then
	Condition3 = true
else if VZO crosses below -40 then
	Condition3 = false ;

if Condition3 and VZO crosses above 0 then
	begin
	Condition4 = true ; { Long entry trigger }
	Condition3 = false ;
	end ;

if Condition1 and Condition4 then
	begin
	Buy ( "LE Trend 2" ) next bar market ;
	end ;


{ Short Entry Conditions - Trending }
Condition11 = C < EMA and ADXTrending ;
Condition12 = VZO crosses below OverBought ;

if Condition11 and Condition12 then
	SellShort ( "OB Rev SE" ) next bar market ;

if VZO crosses above -40 then
	Condition13 = true
else if VZO crosses above 40 then
	Condition13 = false ;

if Condition13 and VZO crosses below 0 then
	begin
	Condition14 = true ; { Short entry trigger }
	Condition13 = false ;
	end ;

if Condition11 and Condition14 then
	SellShort( "SE Trend 2" ) next bar market ;

{ Long Entry Conditions - Oscillating }
Condition21 = VZO crosses above 15 ;

Condition30 = ADXTrending = false and 
	( Condition2 or Condition21 ) ;

if Condition30 then
	Buy ( "Osc LE" ) next bar market ;


{ Short Entry Conditions - Oscillating }
Condition31 = VZO crosses below -5 ;
	
Condition40 = ADXTrending = false and
	( Condition12 or Condition31 ) ;

if Condition40 then
	SellShort ( "Osc SE" ) next bar market ;

{------------------------------------------------
		EXITS
-------------------------------------------------}
{ Long Exits - Trending }

if ADXTrending then
	if ( VZO > 60 and VZO < VZOMaxHigh ) or
		VZO crosses below 60 then
		Sell ("VZO Rev Trend LX" ) next bar market ;

{ Divergence Exit }
if ADXTrending and CurrentBar > 50 and BearishDiv and 
	VZO crosses below 40 then
		Sell ( "Div LX" ) next bar market ;

if ADXTrending and C < EMA and VZO < 0 then
	Sell ( "Below EMA/0 LX" ) next bar market ;


{ Short Exits - Trending }
if ADXTrending then
	if ( VZO < -60 and VZO > VZOMinLow ) or
	VZO crosses above -60 then
	BuyToCover ( "VZO Rev Trend SX" ) next bar market ;

{ Divergence Exit }
if ADXTrending and CurrentBar > 50 and BullishDiv 
	and VZO crosses above -40 then
		BuyToCover ( "Div SX" ) next bar market ;

if ADXTrending and C > EMA and VZO > 0 then
	BuyToCover ( "Above EMA/0 SX" ) next bar market ;


{ Long Exits - Oscillating }
if ADXTrending = false then
	if ( VZO > 40 and VZO < VZOMaxHigh ) or
		VZO crosses below 40 then
		Sell ("VZO Rev Osc LX" ) next bar market ;

if ADXTrending = false and VZO crosses below -5 then
	Sell ( "Osc LX" ) next bar market ;

{ Short Exits - Oscillating }
if ADXTrending = false then
	if ( VZO < -40 and VZO > VZOMinLow ) or
		VZO crosses above -40 then
	BuyToCover ( "VZO Rev Osc SX" ) next bar market ;

if ADXTrending = false and VZO crosses above 15 then
	BuyToCover ( "Osc SX" ) next bar market ;

Condition4 = false ;
Condition14 = false ;

This article is for informational purposes. No type of trading or investment recommendation, advice, or strategy is being made, given, or in any manner provided by TradeStation Securities or its affiliates.

—Chris Imhof, TradeStation Securities, Inc.
A subsidiary of TradeStation Group, Inc.
www.TradeStation.com

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BLOOMBERG: VOLUME ZONE OSCILLATOR

The Bloomberg chart in Figure 3 shows the volume zone oscillator described in the article by Walid Khalil and David Steckler in this issue, “In The Volume Zone.” Based on the uptrend rules given in the article, a bullish signal is present during December 2010 (defined by a rectangle) that coincides with the early stage of the rally that peaked in mid-February 2011. The oscillator crosses above the zero line on December 6, the final day on the chart where the entire bar is below the 60-day Ema. At that point, the Adx line hovers just around the 18 level, as evidenced by the orange line that cuts through the Adx histogram. Three days later, on December 9, the Vzo crossed back above +15, the market gapped above the 60-day Ema, and the Adx is close to 20, showing the strengthening of the up move.

Figure 3: BLOOMBERG, volume zone oscillator. Here is a one-year daily chart of Goodyear Tire & Rubber (GT), with the volume zone oscillator and ADX shown in separate panels below the price chart.

In their article, the authors also note that the Vzo will react to that volume behavior by staying in the lower zone between -40 and zero, indicating more selling pressure than buying pressure. Conversely, on this chart, one can observe the Vzo oscillating in a range between zero and +40 as the market is in the first wave of the up move during the second half of December.

Using the CS.Net framework within the Stdy<GO> function on the Bloomberg Terminal, C# code or Visual Basic code can be written to display the volume zone oscillator. The C# code for this indicator is shown at Traders.com. All Bloomberg code written for Traders’ Tips can also be found in the sample files provided with regular Sdk updates, and the studies will be included in the Bloomberg global study list.

Bloomberg code for volume zone oscillator

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using Bloomberg.Study.API;
using Bloomberg.Study.CoreAPI;
using Bloomberg.Study.Util;
using Bloomberg.Study.TA;
using Bloomberg.Math;

namespace Volume_Zone_Oscillator
{
    
    public partial class VolumeZoneOscillator
    {
        //Create the user defineable input 'Period' to use in the EMA's
        public StudyIntegerProperty Period = new StudyIntegerProperty(14);

        private void Initialize()
        {
            //Create a Study Panel beneath the price chart panel
            Panels.Add("VZOPanel", new StudyPanel());

            //Create the Volume Zone Oscillator Line
            Output.Add("VZO", new TimeSeries());
            StudyLine vzoLine = new StudyLine("VZO", Color.Blue);
            Panels["VZOPanel"].Visuals.Add("VZO", vzoLine);
            vzoLine.DisplayName = "Volume Zone Oscillator";
            //Display user defined period on VZO legend
            vzoLine.SetDisplayNameSuffix(Period);

            //Add horizontal to show the oscillator levels referenced within the Trader's Tips column
            Output.Add("Level1", new TimeSeries());
            StudyHorizontalLine Level1 = new StudyHorizontalLine(60, Color.Green, VisualLineStyle.Solid);
            Level1.Style = VisualLineStyle.Dot;
            Level1.Width = 4;
            Panels["VZOPanel"].Visuals.Add("Level1", Level1);
            Level1.DisplayName = "+60";

            Output.Add("Level2", new TimeSeries());
            StudyHorizontalLine Level2 = new StudyHorizontalLine(40, Color.Green, VisualLineStyle.Solid);
            Level2.Width = 2;
            Panels["VZOPanel"].Visuals.Add("Level2", Level2);
            Level2.DisplayName = "+40";

            Output.Add("Level3", new TimeSeries());
            StudyHorizontalLine Level3 = new StudyHorizontalLine(15, Color.DarkGray, VisualLineStyle.Solid);
            Level3.Width = 2;
            Panels["VZOPanel"].Visuals.Add("Level3", Level3);
            Level3.DisplayName = "+15";

            Output.Add("ZeroLine", new TimeSeries());
            StudyHorizontalLine zeroline = new StudyHorizontalLine(0, Color.Black, VisualLineStyle.Solid);
            zeroline.Width = 2;
            Panels["VZOPanel"].Visuals.Add("ZeroLine", zeroline);
            zeroline.DisplayName = "0";

            Output.Add("Level4", new TimeSeries());
            StudyHorizontalLine Level4 = new StudyHorizontalLine(-5, Color.DarkGray, VisualLineStyle.Solid);
            Level4.Width = 2;
            Panels["VZOPanel"].Visuals.Add("Level4", Level4);
            Level4.DisplayName = "-5";

            Output.Add("Level5", new TimeSeries());
            StudyHorizontalLine Level5 = new StudyHorizontalLine(-40, Color.Red, VisualLineStyle.Solid);
            Level5.Width = 2;
            Panels["VZOPanel"].Visuals.Add("Level5", Level5);
            Level5.DisplayName = "-40";

            Output.Add("Level6", new TimeSeries());
            StudyHorizontalLine Level6 = new StudyHorizontalLine(-60, Color.Red, VisualLineStyle.Solid);
            Level6.Style = VisualLineStyle.Dot;
            Level6.Width = 4;
            Panels["VZOPanel"].Visuals.Add("Level6", Level6);
            Level1.DisplayName = "-60";

            //Here we create a new field based on the internal Bloomberg field of Volume
            DataField volumeData = new DataField("PX_VOLUME");
            Input.Add("Volume", volumeData);

        }
   
        public override void Calculate()
        {
            TimeSeries close = Input.Close;
            TimeSeries Volume = Input["Volume"];
            TimeSeries R = new TimeSeries(close.Count);


            for (int ii = 1; ii < close.Count; ii++)
            {
                if (close[ii] < close[ii - 1])
                {
                    R[ii] = Volume[ii] * -1;
                }
                else
                {
                    R[ii] = Volume[ii];
                }
            }         
            
            TimeSeries VP = Indicator.EMAvg(R, Period.Value);
            TimeSeries TV = Indicator.EMAvg(Volume, Period.Value);
            TimeSeries VZO = 100 * (VP / TV);

            Output.Update("VZO", VZO); 
 
        }
        
    }

}

—Bill Sindel
Bloomberg, LP
wsindel@bloomberg.net

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AMIBROKER: VOLUME ZONE OSCILLATOR

In their article in this issue, “In The Volume Zone,” authors Walid Khalil and David Steckler present a new volume zone oscillator that can be easily implemented using AmiBroker Formula Language. A ready-to-use formula for the indicator can be found below.

To use the code, enter the formula in the Afl Editor, then press “Insert indicator.” To modify the averaging period of the volume zone oscillator, right-click on the chart and select “Parameters” from the context menu.

A sample chart is shown in Figure 5.

Figure 5: AMIBROKER, volume zone oscillator. Here is a weekly price chart of the DJIA (upper pane) with a 14-period volume zone oscillator (middle pane).

function VZO( Period ) 
{ 
 R = sign( Close - Ref( Close, -1 ) ) * Volume; 
 VP = EMA( R, Period ); 
 TV = EMA( Volume, Period ); 
 return Nz( 100 * VP / TV ); 
} 

Period = Param("Period", 14, 1, 100 ); 
Plot( VZO( Period ), "Volume Zone Osc" + _PARAM_VALUES(), colorBlack, styleThick ); 
Plot( 60, "", colorLightOrange, styleNoLabel ); 
Plot( 40, "", colorLightOrange, styleNoLabel  ); 
Plot( 0, "", colorBlack, styleNoLabel  ); 
Plot( -40, "", colorLime, styleNoLabel  ); 
Plot( -60, "", colorLime, styleNoLabel  );

—Tomasz Janeczko, AmiBroker.com
www.amibroker.com

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NEUROSHELL TRADER: VOLUME ZONE OSCILLATOR

The volume zone oscillator (Vzo) described by Walid Khalil and David Steckler in their article in this issue can be easily implemented with a few of NeuroShell Trader’s 800+ indicators. Simply select “New Indicator…” from the Insert menu and use the Indicator Wizard to set up the following indicator:

Multiply2( 100, Divide( ExpAvg( Multiply2( NumPosNegMom(Close,1,1), Volume), 14), ExpAvg(Volume, 14) ) )

To create a volume zone oscillator trading system, select “New Trading Strategy …” from the Insert menu and enter the following in the appropriate locations of the Trading Strategy Wizard:

Generate a buy long market order if ALL of the following are true:
A>B(Close, ExpAvg(Close, 60) )
A>B(ADX(High, Low, Close, 14, 14), 18 )
OR2( CrossAbove(VZO, -40), CrossAbove(VZO,0) )

Generate a sell long market order if ONE of the following is true:
AND2( A>B(VZO, 60), A<B(Momentum(VZO,1), 0 )
CrossBelow(VZO, 40)
AND2( A<B(Close, ExpAvg(Close, 60), A<B(VZO, 0) )

Generate a sell short market order if ALL of the following are true:
A<B(Close, ExpAvg(Close, 60) )
A>B(ADX(High, Low, Close, 14, 14), 18 )
OR2( CrossBelow(VZO, 40), CrossBelow(VZO,0) )

Generate a cover short market order if ONE of the following is true:
AND2( A<B(VZO, -60), A>B(Momentum(VZO,1), 0 )
CrossAbove(VZO, -40)
AND2( A>B(Close, ExpAvg(Close, 60), A>B(VZO, 0) )

If you have NeuroShell Trader Professional, you can also choose whether the parameters should be optimized. After backtesting the trading strategy, use the “Detailed Analysis…” button to view the backtest and trade-by-trade statistics for the strategy.

Users of NeuroShell Trader can go to the Stocks & Commodities section of the NeuroShell Trader free technical support website to download a copy of this or any previous Traders’ Tips.

A sample chart is shown in Figure 7.

Figure 7: NEUROSHELL TRADER, volume zone oscillator. This NeuroShell Trader chart demonstrates the volume zone oscillator and corresponding trading system.

—Marge Sherald, Ward Systems Group, Inc.
301 662-7950, sales@wardsystems.com
www.neuroshell.com

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TRADERSSTUDIO: VOLUME ZONE OSCILLATOR

The TradersStudio code for the Vzo indicator based on Walid Khalil and David Steckler’s article in this issue, “In The Volume Zone,” is shown here.

' IN THE VOLUME ZONE
' Authors: Walid Khalil and David Steckler
' Coded by: Richard Denning 03/12/2011
' www.TradersEdgeSystems.com

Function VZO(vLen)
' Default:vLen = 14. 
Dim R As BarArray
Dim VP As BarArray
Dim TV As BarArray
R = IFF(C > C[1],V,-V)
VP = XAverage(R,vLen)
TV = XAverage(V,vLen)
VZO = (VP / TV) * 100
End Function

'---------------------------------------------

'VZO INDICATOR:
Sub VZO_IND(vLen)
plot1(VZO(vLen))
plot2(60)
plot3(40)
plot4(0)
Plot5(-40)
Plot6(-60)
End Sub

Figure 9 shows the Vzo indicator on a chart of Adbe.

Figure 9: TRADERSSTUDIO, volume zone oscillator. Here is the VZO indicator on a TradersStudio chart of Adobe Systems (ADBE).

The code can be downloaded from the TradersStudio website at www.TradersStudio.com → Traders Resources → FreeCode or www.TradersEdgeSystems.com/traderstips.htm.

—Richard Denning
info@TradersEdgeSystems.com
for TradersStudio

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TRADINGSOLUTIONS: VOLUME ZONE OSCILLATOR

In the article “In The Volume Zone” in this issue, Walid Khalil and David Steckler present an oscillating indicator based on volume and price direction.

The TradingSolutions function is provided below and is also available as a function file that can be downloaded from the TradingSolutions website (www.tradingsolutions.com) in the Free Systems section.

Function Name: Volume Zone Oscillator
Short Name: VZO
Inputs: Close, Volume, Period

Mult (100, Div (EMA (If (Inc (Close), Volume, Negate (Volume)), Period), EMA (Volume, Period)))

—Gary Geniesse, NeuroDimension, Inc.
800 634-3327, 352 377-5144
www.tradingsolutions.com

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NINJATRADER: VOLUME ZONE OSCILLATOR

The volume zone oscillator (Vzo), as presented by Walid Khalil and David Steckler in their article “In The Volume Zone” in this issue, has now been implemented as an indicator for NinjaTrader. The indicator is available for download at www.ninjatrader.com/SC/May2011SC.zip.

Once you have it downloaded, from within the NinjaTrader Control Center window, select the menu File → Utilities → Import NinjaScript and select the downloaded file. This indicator is for NinjaTrader version 7 or greater.

You can review the indicator source code by selecting the menu Tools → Edit NinjaScript → Indicator from within the NinjaTrader Control Center window and selecting “VolumeZoneOscillator.”

NinjaScript uses compiled Dlls that run native, not interpreted, which provides you with the highest performance possible.

A sample chart implementing the strategy is shown in Figure 12.

Figure 12: NINJATRADER, volume zone oscillator. This NinjaTrader chart shows the VolumeZonesOscillator applied to a daily chart of the SPDR Dow Jones Industrial Average ETF (DIA).

—Raymond Deux & Ryan Millard
NinjaTrader, LLC
www.ninjatrader.com

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FOR WINDOWS + MAC + LINUX
CHARTSY: VOLUME ZONE OSCILLATOR

The indicator presented in “In The Volume Zone” by Walid Khalil and David Steckler in this issue is available for Chartsy version 1.4 or higher as the “volume zone oscillator” plugin. To install this plugin, go to Tools → Plugins → Available Plugins.

You can find the Java source code for the volume zone oscillator (Vzo) here.

A sample chart is shown in Figure 14. The properties window for the Vzo is shown in Figure 15.

FIGURE 14: CHARTSY, volume zone oscillator. Here is a sample chart of the volume zone oscillator (VZO).

FIGURE 15: CHARTSY, PROPERTIES WINDOW. Here, the indicator properties window is shown for the volume zone oscillator.

To download Chartsy, discuss these tools, and help us develop other tools, please visit our forum at www.chartsy.org. Our development staff will be happy to assist and you can become a Chartsy contributor yourself.

—Larry Swing
(281) 968-2718, theboss@mrswing.com
www.mrswing.com

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GENESIS: VOLUME ZONE OSCILLATOR

Trade Navigator offers everything needed for recreating the indicators and highlights discussed in Walid Khalil and David Steckler’s article in this issue, “In The Volume Zone.”

Detailed instructions and code to recreate the custom indicator and add it to any chart in Trade Navigator are shown here. We also show you how to use the custom indicator alongside existing indicators in Trade Navigator to set up a template that can be easily applied to any chart.

Here is the TradeSense code to create the custom indicator. Input this code by opening the Trader’s Toolbox, then click on the Functions tab, and click the New button.

Volume zone oscillator 
&R := IFF (Close > Close.1 , Volume , Volume * -1) 
&VP := MovingAvgX (&R , 14 , False) 
&TV := MovingAvgX (Volume , 14 , False) 
&VZO := 100 * (&VP / &TV) 
&VZO
 

Figure 17: Trade Navigator function tab.

To create a chart template, go to the “Add to chart” window on a daily chart by clicking on the chart and typing “A” on the keyboard. Click on the Indicators tab, find the volume zone oscillator in the list, and either double-click on it or highlight the name and click the Add button.

Repeat these steps to add the Adx and the MovingAvgX indicator. (These are just two of the many indicators provided in Trade Navigator.) On the chart, click on the MovingAvgX label and drag it into the price pane.

Hold down the Crtl key and click in the pane with the volume zone oscillator to make seven horizontal lines. Click once for each line at the -60, -40, -5, 0, 15, 40, & 60 values in that pane. They do not have to be exact because you can either drag the line to the correct position later or set it in the Chart Settings window.

Click on the chart and type the letter E to bring up the chart settings window. Click on the MovingAvgX in the list under price. Change the values as follows: Expression: close, Bars used in average: 60, and Show initial bars: false.

Figure 18: chart settings tab

Click on the pane 3: Adx line to highlight it. Then click the Add button at the bottom. Select Add Indicator → Add Indicator to Selected Pane. With “custom indicator” highlighted, click the Add button. Type “18” and click the OK button. Click in the Function name box and change it from custom indicator to 18 line.

Next, click on the Adx to highlight it in the list on the left. Set “Bars used in calculation” to 14. Click the Add button and select “Add HighlightBars to selected indicator.” With “Custom HighlightBars” highlighted, click the Add button. Click the No button when prompted to use indicators from the active chart. Type ADX (14, False)>18 and click the OK button.

Setting up the template
Click on 18 line to highlight it in the list on the left. Click the Add button and select “Add HighlightBars to selected indicator.” With “Custom HighlightBars” highlighted, click the Add button. Click the No button when prompted to use indicators from the active chart. Type ADX (14, False)<18 and click the OK button. Under Appearance, change the type to “highlight markers” and the icon to “+.”

Highlight each indicator, line, or highlight bar and change it to the desired color, value, and style in the chart settings window. When you have them the way you want to see them, click on the OK button.

Click on the Templates button on the toolbar at the top. Select “Manage chart templates.” Click the New button, type a name for the template, and click the OK button.

You now have a template that you can apply to any chart by going to the Templates button in the toolbar and selecting the template from the list.

Genesis Financial Technologies has provided a library called “In the Volume Zone,” which includes the template “SC1105 In the Volume Zone” with the custom indicators discussed in this article. You can download a special file named “SC1105,” downloadable through Trade Navigator.

—Michael Herman
Genesis Financial Technologies
www.GenesisFT.com

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VT TRADER: JM INTERNAL BAND TRADING STRATEGY

This Traders’ Tip is based on “Less Stress With The JM Internal Band” by Koos van der Merwe, which appeared in the December 2010 issue of S&C.

In the article, the author describes a trading system using a 15-period simple moving average with bands above and below at +/-2% respectively for identifying potential trading opportunities. A long trade is initiated when the price breaks out above the upper band, and a short trade is initiated when price breaks out below the lower band. Exits are initiated when price crosses the moving average in the opposite direction of the band breakout.

The VT Trader instructions for setting up the JM internal band trading system are shown below. The system is available for download in our VT client forums at https://forum.vtsystems.com, along with many other precoded and free trading systems.

1. Ribbon>Technical Analysis menu→Trading Systems group→Trading Systems Builder command→[New] button
2. In the General tab, type the following text for each field:

   
   Name: TASC - 05/2011 - JM Internal Band Strategy
   Function Name Alias: tasc_JmBandStrategy
   Label Mask: TASC - 05/2011 - JM Internal Band Strategy
   
   

3. In the Input Variable(s) tab, create the following variables:

   
   [New] button...
   Name: Pr
   Display Name: MA Price
   Type: price
   Default: Close
   
   [New] button...
   Name: tPr
   Display Name: MA Periods
   Type: integer
   Default: 15
   
   [New] button...
   Name: mt
   Display Name: MA Type
   Type: MA type
   Default: Simple
   
   [New] button...
   Name: prcnt
   Display Name: JM Band %
   Type: float
   Default: 0.2
   
   

4. In the Output Variable(s) tab, create the following variables:

   
   	[New] button...
   Var Name: UB
   Name: JM Upper Band
   * Checkmark: Indicator Output
   Select Indicator Output Tab
   Line Color: blue
   Line Width: 1
   Ling Style: solid
   Placement: Price Frame
   [OK] button...
   
   [New] button...
   Var Name: MA
   Name: Moving Average
   * Checkmark: Indicator Output
   Select Indicator Output Tab
   Line Color: blue
   Line Width: 1
   Ling Style: dashed
   Placement: Price Frame
   [OK] button...
   
   [New] button...
   Var Name: LB
   Name: JM Lower Band
   * Checkmark: Indicator Output
   Select Indicator Output Tab
   Line Color: blue
   Line Width: 1
   Ling Style: solid
   Placement: Price Frame
   [OK] button...
   
   [New] button...
   Var Name: LongSignal
   Name: Long Signal
   * Checkmark: Graphic Enabled
   * Checkmark: Alerts Enabled
   Select Graphic Tab
   Font [...]: Up Arrow
   Size: Medium
   Color: Blue
   Symbol Position: Below price plot
   	Select Alerts Tab
   		Alert Message: Long Signal
   		Alert Sound: others.wav
   [OK] button...
   
   [New] button...
   Var Name: LongExitSignal
   Name: Long Exit Signal
   * Checkmark: Graphic Enabled
   * Checkmark: Alerts Enabled
   Select Graphic Tab
   Font [...]: Exit Sign
   Size: Medium
   Color: Blue
   Symbol Position: Above price plot
   	Select Alerts Tab
   		Alert Message: Long Exit Signal
   		Alert Sound: others.wav
   [OK] button...
   
   [New] button...
   Var Name: ShortSignal
   Name: Short Signal
   * Checkmark: Graphic Enabled
   * Checkmark: Alerts Enabled
   Select Graphic Tab
   Font [...]: Down Arrow
   Size: Medium
   Color: Red
   Symbol Position: Above price plot
   	Select Alerts Tab
   		Alert Message: Short Signal
   		Alert Sound: others.wav
   [OK] button...
   
   [New] button...
   Var Name: ShortExitSignal
   Name: Short Exit Signal
   * Checkmark: Graphic Enabled
   * Checkmark: Alerts Enabled
   Select Graphic Tab
   Font [...]: Exit Sign
   Size: MEdium
   Color: Red
   Symbol Position: Below price plot
   	Select Alerts Tab
   		Alert Message: Short Exit Signal
   		Alert Sound: others.wav
   [OK] button...
   
   [New] button...
   Var Name: OpenBuy
   Name: Open Buy
   * Checkmark: Trading Enabled
   Select Trading Tab
   Trading Action: BUY
   [OK] button...
   
   [New] button...
   Var Name: CloseBuy
   Name: Close Buy
   * Checkmark: Trading Enabled
   Select Trading Tab
   Trading Action: SELL
   [OK] button...
   
   [New] button...
   Var Name: OpenSell
   Name: Open Sell
   * Checkmark: Trading Enabled
   Select Trading Tab
   Trading Action: SELL
   [OK] button...
   	
   [New] button...
   Var Name: CloseSell
   Name: Close Sell
   * Checkmark: Trading Enabled
   Select Trading Tab
   Trading Action: BUY
   [OK] button...
   
   

5. In the Formula tab, copy and paste the following formula:

   
   {JM Bands}
   
   MA:= Mov(Pr,tPr,mt);
   UB:= MA+(MA*(prcnt/100));
   LB:= MA-(MA*(prcnt/100));
   
   {Generate Potential Trading Signals}
   
   LongSignal:= Cross(SignalFlag(Cross(C,UB),Cross(MA,C)),0.5);
   LongExitSignal:= Cross(0.5,SignalFlag(Cross(C,UB),Cross(MA,C)));
   ShortSignal:= Cross(SignalFlag(Cross(LB,C),Cross(C,MA)),0.5);
   ShortExitSignal:= Cross(0.5,SignalFlag(Cross(LB,C),Cross(C,MA)));
   
   {Auto-Trading Functionality; Used in Auto-Trade Mode Only}
   
   OpenBuy:= BuyPositionCount()=0 AND LongSignal=1;
   CloseBuy:= BuyPositionCount()>0 AND LongExitSignal=1;
   
   OpenSell:= SellPositionCount()=0 AND ShortSignal=1;
   CloseSell:= SellPositionCount()>0 AND ShortExitSignal=1;
   
   

6. Click the “Save” icon to finish building the trading system.

To attach the trading system to a chart, select the “Add Trading System” option from the chart’s contextual menu, select “TASC - 05/2011 - JM Internal Band Strategy” from the trading systems list, and click the [Add] button.

To learn more about VT Trader, visit www.vtsystems.com. A sample chart is shown in Figure 20.

Figure 20: VT TRADER, JM INTERNAL BAND TRADING SYSTEM. This shows the JM internal band trading system on a EUR/USD daily candlestick chart.

Risk disclaimer: Forex trading involves a substantial risk of loss and may not be suitable for all investors.

—Chris Skidmore
Visual Trading Systems, LLC
212 871-1747, info@vtsystems.com
www.vtsystems.com

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