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Thread: Coding the Active Boundaries indicator

  1. #21

    LEV/SEV

    Yes, you are right. In my calculations, I am using SEV = 0.9 LEV. That way, I collect slightly more shares on the LEV side. The difference is not fundamental though. Both methods would give about similar results.

    I tweaked the formula after the book was published.



    Pascal

  2. #22
    Quote Originally Posted by Pascal View Post
    Yes, you are right. In my calculations, I am using SEV = 0.9 LEV. That way, I collect slightly more shares on the LEV side. The difference is not fundamental though. Both methods would give about similar results.

    I tweaked the formula after the book was published.



    Pascal
    Thanks for the explanation! I guess now I'm fully ready to program the algorithms and experiment with real data.

    Michael

  3. #23
    Join Date
    Aug 2016
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    2
    Quote Originally Posted by jagin View Post
    Hi Pascal,

    i'm also working on the indicators from your excelent book 'Value In Time'. Would be possible to get a picture of Effective Volume of minute data for the company X for the comparison purpose. I would be very greatfull.

    Thanks

    Jarek
    do you have the codes for all the indicators yet(LEV , Active Boundaries)?

  4. #24
    Join Date
    Nov 2018
    Posts
    2
    Quote Originally Posted by Pascal View Post
    here is the "X" data

    Pascal

    Attachment 32396
    Dear Mr. Pascal,

    In following column the effective value is calculated as 0 but as i calculate base on formula it shall be -216,082 it there any exception?

    Date time Open High Low Close Vol Eff Vol

    9/11/2015 16:00:00 14.14 14.15 14.09 14.11 432163 0

    Regards,
    Soleimani

  5. #25
    Quote Originally Posted by soleimani View Post
    Dear Mr. Pascal,

    In following column the effective value is calculated as 0 but as i calculate base on formula it shall be -216,082 it there any exception?

    Date time Open High Low Close Vol Eff Vol

    9/11/2015 16:00:00 14.14 14.15 14.09 14.11 432163 0

    Regards,
    Soleimani
    It is because I have set an option that filters out large one minute volume as "block trades"
    I believe that I set the filter at 5%, but it could be 3%.

    Pascal

  6. #26
    Join Date
    Nov 2018
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    2
    Quote Originally Posted by Pascal View Post
    It is because I have set an option that filters out large one minute volume as "block trades"
    I believe that I set the filter at 5%, but it could be 3%.

    Pascal
    thanks a lot,
    3% of that day volume?

  7. #27
    Quote Originally Posted by soleimani View Post
    thanks a lot,
    3% of that day volume?
    I checked and it is 5% of the day volume!
    For the RT Effective Volume, of course the volume used for the 5% cut-off calculation is the trading volume upto calculation time.


    Pascal

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