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.
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.
//////////////////////////////////////////////////////////// // Copyright by HPotter v1.0 02/06/2014 // 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. //////////////////////////////////////////////////////////// study(title="Volatility Finite Volume Elements", shorttitle="FVI") Samples = input(22, minval=1) Perma = input(40, minval=1) Cintra = input(0.1) Cinter = input(0.1) xhl2 = hl2 xhlc3 = hlc3 xClose = close xIntra = log(high) - log(low) xInter = log(xhlc3) - log(xhlc3[1]) xStDevIntra = stdev(sma(xIntra, Samples) , Samples) xStDevInter = stdev(sma(xInter, Samples) , Samples) xVolume = volume TP = xhlc3 TP1 = xhlc3[1] Intra = xIntra Vintra = xStDevIntra Inter = xInter Vinter = xStDevInter CutOff = Cintra * Vintra + Cinter * Vinter MF = xClose - xhl2 + TP - TP1 FveFactor = iff(MF > CutOff * xClose, 1, iff(MF < -1 * CutOff * xClose, -1, 0)) xVolumePlusMinus = xVolume * FveFactor Fvesum = sum(xVolumePlusMinus, Samples) VolSum = sum(xVolume, Samples) xFVE = (Fvesum / VolSum) * 100 xEMAFVE = ema(xFVE, Perma) plot(xFVE, color=green, title="FVI") plot(xEMAFVE, color=blue, title="FVI EMA")