GKD-V Finite Volume Elements [Loxx]Giga Kaleidoscope Finite Volume Elements is a Volatility/Volume module included in Loxx's "Giga Kaleidoscope Modularized Trading System".
█ Giga Kaleidoscope Modularized Trading System
What is Loxx's "Giga Kaleidoscope Modularized Trading System"?
The Giga Kaleidoscope Modularized Trading System is a trading system built on the philosophy of the NNFX (No Nonsense Forex) algorithmic trading.
What is an NNFX algorithmic trading strategy?
The NNFX algorithm is built on the principles of trend, momentum, and volatility. There are six core components in the NNFX trading algorithm:
1. Volatility - price volatility; e.g., Average True Range, True Range Double, Close-to-Close, etc.
2. Baseline - a moving average to identify price trend
3. Confirmation 1 - a technical indicator used to identify trends.
4. Confirmation 2 - a technical indicator used to identify trends.
5. Continuation - a technical indicator used to identify trends.
6. Volatility/Volume - a technical indicator used to identify volatility/volume breakouts/breakdown.
7. Exit - a technical indicator used to determine when a trend is exhausted.
How does Loxx's GKD (Giga Kaleidoscope Modularized Trading System) implement the NNFX algorithm outlined above?
Loxx's GKD v1.0 system has five types of modules (indicators/strategies). These modules are:
1. GKD-BT - Backtesting module (Volatility, Number 1 in the NNFX algorithm)
2. GKD-B - Baseline module (Baseline and Volatility/Volume, Numbers 1 and 2 in the NNFX algorithm)
3. GKD-C - Confirmation 1/2 and Continuation module (Confirmation 1/2 and Continuation, Numbers 3, 4, and 5 in the NNFX algorithm)
4. GKD-V - Volatility/Volume module (Confirmation 1/2, Number 5 in the NNFX algorithm)
5. GKD-E - Exit module (Exit, Number 7 in the NNFX algorithm)
(additional module types will added in future releases)
Each module interacts with every module by passing data between modules. Data is passed between each module as described below:
GKD-B => GKD-V => GKD-C(1) => GKD-C(2) => GKD-C(Continuation) => GKD-E => GKD-BT
That is, the Baseline indicator passes its data to Volatility/Volume. The Volatility/Volume indicator passes its values to the Confirmation 1 indicator. The Confirmation 1 indicator passes its values to the Confirmation 2 indicator. The Confirmation 2 indicator passes its values to the Continuation indicator. The Continuation indicator passes its values to the Exit indicator, and finally, the Exit indicator passes its values to the Backtest strategy.
This chaining of indicators requires that each module conform to Loxx's GKD protocol, therefore allowing for the testing of every possible combination of technical indicators that make up the six components of the NNFX algorithm.
What does the application of the GKD trading system look like?
Example trading system:
Backtest: Strategy with 1-3 take profits, trailing stop loss, multiple types of PnL volatility, and 2 backtesting styles
Baseline: Leader Exponential Moving Average
Volatility/Volume: Finite Volume Elements as shown on the chart above
Confirmation 1: Double Smoothed Stochastic of Momentum
Confirmation 2: Jurik Turning Point Oscillator
Continuation: Fisher Transform
Exit: Rex Oscillator
Each GKD indicator is denoted with a module identifier of either: GKD-BT, GKD-B, GKD-C, GKD-V, or GKD-E. This allows traders to understand to which module each indicator belongs and where each indicator fits into the GKD protocol chain.
Giga Kaleidoscope Modularized Trading System Signals (based on the NNFX algorithm)
Standard Entry
1. GKD-C Confirmation 1 Signal
2. GKD-B Baseline agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume agrees
Baseline Entry
1. GKD-B Baseline signal
2. GKD-C Confirmation 1 agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume agrees
6. GKD-C Confirmation 1 signal was less than 7 candles prior
Continuation Entry
1. Standard Entry, Baseline Entry, or Pullback; entry triggered previously
2. GKD-B Baseline hasn't crossed since entry signal trigger
3. GKD-C Confirmation Continuation Indicator signals
4. GKD-C Confirmation 1 agrees
5. GKD-B Baseline agrees
6. GKD-C Confirmation 2 agrees
1-Candle Rule Standard Entry
1. GKD-C Confirmation 1 signal
2. GKD-B Baseline agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
Next Candle:
1. Price retraced (Long: close < close or Short: close > close )
2. GKD-B Baseline agrees
3. GKD-C Confirmation 1 agrees
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume agrees
1-Candle Rule Baseline Entry
1. GKD-B Baseline signal
2. GKD-C Confirmation 1 agrees
3. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
4. GKD-C Confirmation 1 signal was less than 7 candles prior
Next Candle:
1. Price retraced (Long: close < close or Short: close > close )
2. GKD-B Baseline agrees
3. GKD-C Confirmation 1 agrees
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume Agrees
PullBack Entry
1. GKD-B Baseline signal
2. GKD-C Confirmation 1 agrees
3. Price is beyond 1.0x Volatility of Baseline
Next Candle:
1. Price is within a range of 0.2x Volatility and 1.0x Volatility of the Goldie Locks Mean
3. GKD-C Confirmation 1 agrees
4. GKD-C Confirmation 2 agrees
5. GKD-V Volatility/Volume Agrees
█ Finite Volume Elements
What is Finite Volume Elements
The Finite Volume Element Indicator ( FVE ) was developed by Markos Katsanos and introduced in the April 2003 issue of Technical Analysis of Stocks & Commodities magazine. It was modified for volatility in the September 2003 issue of TASC.
FVE is a money flow indicator but with two important differences from existing money flow indicators:
It resolves contradictions between intraday money flow indicators (such as Chaikin’s money flow ) and intraday money flow indicators (like On Balance Volume ) by taking into account both intra- and intraday price action.
Unlike other money flow indicators which add or subtract all volume even if the security closed just 1 cent higher than the previous close, FVE uses a volatility threshold to take into account minimal price changes
Other things to note
The GKD trading system requires that a GKD-V indicator be present in the indicator chain, but the GKD-V indicator doesn't need to be active. You can turn on/off the Volatility Ratio as you wish so you can backtest your trading strategy with the filter on or off.
Additional features will be added in future releases.
This indicator is only available to ALGX Trading VIP group members . You can see the Author's Instructions below to get more information on how to get access.
FVE
[blackcat] L1 Markos Katsano Finite Volume ElementLevel: 1
Background
If you use both an interday indicator (such as the OBV) and an intraday (such as Chaikin’s money flow or intraday intensity) you might have noticed that they sometimes move in opposite directions.
This is because intraday money flow indicators leave out all price action from the close to the next day’s open. This omission should not be ignored, since major news such as earnings announcements are usually released overnight. You can find examples of contradicting signals between the OBV and CMF in Markos Katsanos' April 2003 and July 2011 articles in S&C.
To reconcile both methods Markos Katsanos designed a money flow indicator which takes into account both intra and interday price action and presented it in the April 2003 issue of S&C. In designing the FVE, Markos Katsanos also introduced a volatility threshold that excludes minimal price changes.
Function
Markos Katsanos' article "Detecting Breakouts" described the calculation and use of a price-volume indicator called the finite volume element (FVE) in April, 2003. Katsanos provides a detailed Excel spreadsheet in the article, and I've used it to write the equivalent pine code for the FVE. I named this indicator "Markos Katsanos Finite Volume Element" indicator.
The FVE provides 2 types of signals:
The strongest signal is divergence between price and the indicator. Divergence can provide leading signals of breakouts or warnings of impending corrections. The classic method for detecting divergence is for FVE to make lower highs while price makes higher highs (negative divergence). An alternative method is to draw the linear regression line on both charts, and compare the slopes. A logical buy signal would be for FVE, diverging from price, to rise sharply and make a series higher highs and/or higher lows.
The indicator level is a unique and very important property of this indicator. 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 from the bulls to the bears or vice versa. The best scenario is when a stock is in the process of building a base, and FVE diverges from price and rises to cross the zero line from below, at a sharp angle. Conversely the crossing of the zero line from above is a bearish signal to liquidate positions or initiate a short trade.
Inputs
CutOff --> Cut Off Coefficient.
Samples --> Sample Periods.
Key Signal
FVE1 --> FVE fast signal
FVE2 --> FVE slow signal
Remarks
This is a Level 1 free and open source indicator.
Feedbacks are appreciated.
Combo Backtest 123 Reversal & Finite Volume Elements (FVE) This is combo strategies for get a cumulative signal.
First strategy
This System was created from the Book "How I Tripled My Money In The
Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
The strategy buys at market, if close price is higher than the previous close
during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50.
The strategy sells at market, if close price is lower than the previous close price
during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
Second strategy
The FVE is a pure volume indicator. Unlike most of the other indicators
(except OBV), price change doesn?t come into the equation for the FVE (price
is not multiplied by volume), but is only used to determine whether money is
flowing in or out of the stock. This is contrary to the current trend in the
design of modern money flow indicators. The author decided against a price-volume
indicator for the following reasons:
- A pure volume indicator has more power to contradict.
- The number of buyers or sellers (which is assessed by volume) will be the same,
regardless of the price fluctuation.
- Price-volume indicators tend to spike excessively at breakouts or breakdowns.
WARNING:
- For purpose educate only
- This script to change bars colors.
Combo Strategy 123 Reversal & Finite Volume Elements (FVE) This is combo strategies for get a cumulative signal.
First strategy
This System was created from the Book "How I Tripled My Money In The
Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
The strategy buys at market, if close price is higher than the previous close
during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50.
The strategy sells at market, if close price is lower than the previous close price
during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
Second strategy
The FVE is a pure volume indicator. Unlike most of the other indicators
(except OBV), price change doesn`t come into the equation for the FVE (price
is not multiplied by volume), but is only used to determine whether money is
flowing in or out of the stock. This is contrary to the current trend in the
design of modern money flow indicators. The author decided against a price-volume
indicator for the following reasons:
- A pure volume indicator has more power to contradict.
- The number of buyers or sellers (which is assessed by volume) will be the same,
regardless of the price fluctuation.
- Price-volume indicators tend to spike excessively at breakouts or breakdowns.
WARNING:
- For purpose educate only
- This script to change bars colors.
FVE - Finite Volume Elements [UTS]FVE is a money flow indicator but with two important differences from existing money flow indicators:
It resolves contradictions between intraday money flow indicators (such as Chaikin’s money flow) and interday money flow indicators (like On Balance Volume) by taking into account both intra- and interday price action.
Unlike other money flow indicators which add or subtract all volume even if the security closed just 1 cent higher than the previous close, FVE uses a volatility threshold to take into account minimal price changes.
General Usage
The FVE provides 3 types of signals:
The strongest signal is divergence between price and the indicator. Divergence can provide leading signals of breakouts or warnings of impending corrections. The classic method for detecting divergence is for FVE to make lower highs while price makes higher highs (negative divergence). An alternative method is to draw the linear regression line on both charts, and compare the slopes. A logical buy signal would be for FVE, diverging from price, to rise sharply and make a series higher highs and/or higher lows.
The most obvious and coincident signal is the slope of the FVE line. An upward slope indicates that the bulls are in control and the opposite for downward.
This is a unique and very important property of this indicator. 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 from the bulls to the bears or vice versa. The best scenario is when a stock is in the process of building a base, and FVE diverges from price and rises to cross the zero line from below, at a sharp angle. Conversely the crossing of the zero line from above is a bearish signal to liquidate positions or initiate a short trade.
Trend Visualisation
Optional: If the trend direction is DOWN the moving average is painted red. If the trend direction is UP the moving average is painted in green.
If the movement is FLAT then the color is grey.
Moving Averages
Five different types of Moving Averages are available for both FVE and the optional moving average of the FVE.
ALMA (Arnaud Legoux Moving Average)
Average Value
EMA (Exponential Moving Average)
SMA (Simple Moving Average)
WMA (Weighted Moving Average)
Calculation Methods
Since Markos Katsanos presented the first version of the FVE in April 2003.
Since then there have been various adaptions and improvements on this indicator.
The following are choosable for calculating the FVE:
Thinkscript usethinkscript.com
Linnsoft www.linnsoft.com
Volatility Adapted traders.com
Finite Volume Elements (FVE) Backtest The FVE is a pure volume indicator. Unlike most of the other indicators
(except OBV), price change doesn?t come into the equation for the FVE (price
is not multiplied by volume), but is only used to determine whether money is
flowing in or out of the stock. This is contrary to the current trend in the
design of modern money flow indicators. The author decided against a price-volume
indicator for the following reasons:
- A pure volume indicator has more power to contradict.
- The number of buyers or sellers (which is assessed by volume) will be the same,
regardless of the price fluctuation.
- Price-volume indicators tend to spike excessively at breakouts or breakdowns.
You can change long to short in the Input Settings
WARNING:
- For purpose educate only
- This script to change bars colors.
Finite Volume Elements (FVE) Strategy The FVE is a pure volume indicator. Unlike most of the other indicators
(except OBV), price change doesn?t come into the equation for the FVE (price
is not multiplied by volume), but is only used to determine whether money is
flowing in or out of the stock. This is contrary to the current trend in the
design of modern money flow indicators. The author decided against a price-volume
indicator for the following reasons:
- A pure volume indicator has more power to contradict.
- The number of buyers or sellers (which is assessed by volume) will be the same,
regardless of the price fluctuation.
- Price-volume indicators tend to spike excessively at breakouts or breakdowns.
WARNING:
- This script to change bars colors.
FVE Volatility color-coded Volume bar The FVE is a pure volume indicator. Unlike most of the other indicators
(except OBV), price change doesn?t come into the equation for the FVE
(price is not multiplied by volume), but is only used to determine whether
money is flowing in or out of the stock. This is contrary to the current trend
in the design of modern money flow indicators. The author decided against a
price-volume indicator for the following reasons:
- A pure volume indicator has more power to contradict.
- The number of buyers or sellers (which is assessed by volume) will be the same,
regardless of the price fluctuation.
- Price-volume indicators tend to spike excessively at breakouts or breakdowns.
This study is an addition to FVE indicator. Indicator plots different-coloured volume
bars depending on volatility.
FVE (Volatility Modified) This is another version of FVE indicator that we have posted earlier
in this forum.
This version has an important enhancement to the previous one that`s
especially useful with intraday minute charts.
Due to the volatility had not been taken into account to avoid the extra
complication in the formula, the previous formula has some drawbacks:
The main drawback is that the constant cutoff coefficient will overestimate
price changes in minute charts and underestimate corresponding changes in
weekly or monthly charts.
And now the indicator uses adaptive cutoff coefficient which will adjust to
all time frames automatically.
Finite Volume Elements (FVE) The FVE is a pure volume indicator. Unlike most of the other indicators
(except OBV), price change doesn`t come into the equation for the FVE (price
is not multiplied by volume), but is only used to determine whether money is
flowing in or out of the stock. This is contrary to the current trend in the
design of modern money flow indicators. The author decided against a price-volume
indicator for the following reasons:
- A pure volume indicator has more power to contradict.
- The number of buyers or sellers (which is assessed by volume) will be the same,
regardless of the price fluctuation.
- Price-volume indicators tend to spike excessively at breakouts or breakdowns.