İndikatör SVAPO

SVAPO or "Short term Volume And Price Oscillator", is my oscillator based on price and volume, looking at the relationship between these two components in an up trending and a down trending market. I like the name SVAPO, because it also starts with my initials!





To construct a short term oscillator based on price and volume, we have to look at the relationship between these two components in an up trending and a down trending market. Table 1 and 2 show their normal relationship.




Table 1: Up trending market




Table 2: Down trending market


Combining these two tables in a market direction, leaves us with 3 possible conditions (table 3):


- In an up trending market, price and volume are moving up. We will sum the volume when calculating the oscillator.
- In a down trending market, price goes down while volume is up. We will subtract the volume when calculating the oscillator.
- When volume is moving down, price is in a consolidation phase in either direction. There will be no volume taken into consideration when calculating the oscillator.




Table 3: volume calculation rules


A raw combination of price and volume will result in a much too choppy oscillator. Using conventional smoothing techniques, like moving averages, will create an unacceptable delay for a short term oscillator. So, I am applying a number of specific techniques for the final SVAPO creation.


This is the formula:


SVAPO:


haOpen:=(Ref((O+H+L+C)/4,-1) + PREV)/2;
haCl:=((O+H+L+C)/4+haOpen+Max(H,haOpen)+Min(L,haOpen))/4;
period:= Input("SVAPO period :", 2, 20, 8);
cutoff:= Input("Minimum %o price change :",0.0,10,1);
devH:= Input("Standard Deviation High :", 0.1, 5, 1.5);
devL:= Input("Standard Deviation Low :", 0.1, 5, 1.3);
stdevper:= Input("Standard Deviation Period :", 1, 200, 100);
haC:=Tema(haCl,period/1.6);
vave:=Ref(Mov(V,period*5,S),-1);
vmax:=vave*2;
vc:=If(V<vmax,V,vmax);
vtr:=Tema(LinRegSlope(V,period),period);
SVAPO:=Tema(Sum(If(haC>(Ref(haC,-1)*(1+cutoff/1000)) AND Alert(vtr>=Ref(vtr,-1),2), vc, If(haC<(Ref(haC,-1)*(1-cutoff/1000)) AND Alert(vtr>Ref(vtr,-1),2),-vc,0)),period)/(vave+1),period);
devH*Stdev(SVAPO,stdevper);
-devL*Stdev(SVAPO,stdevper);
zeroref:=0;
zeroref;
SVAPO

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