Coding the Active Boundaries indicator

[Harry]

Congrats acepsut!

Harry

[acepsut]

Congrats acepsut!

Harry

Thanks Harry.

[jagin]

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

I think that what you are asking is technically too difficult for non-developers to come up with an easy response.
The AB calculation is similar to a VWAP calculation. A VWAP uses the Volume to calculate the average price. (Volume weighted Average price.) AB also needs to use the number of shares that were exchanges at each price level: this is also a volume weighted average price and not a simple average price.

Below is the minute data for the company X and the Active Boundaries graph as of last night.
The best is that you try your different ideas and see which comes close to the pattern below.
The, the answer will be obvious.


Pascal

Attachment 25307

[John Snow]

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)?

[Pascal]

Looks good indeed.
I filter with a 3MA. Looks better that way.


Pascal

[acepsut]

Looks good indeed.
I filter with a 3MA. Looks better that way.


Pascal

Thanks, I will try to filter with a 3 period MA.

As a test, I have also added the Bollinger Bands: below are some entry signals based on the BB (50, 2.5).

[Pascal]

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

[rupiter]

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