$VOLSPD Oscillator (S&P Squeeze Alert)

Hi there,

I'm not an expert by any means, but I am working on a project to aid a very specific strategy that requires a very specific setup. The asset I am trading relies heavily on market internals, primarily SPX. Success is currently being back-tested in a journal, and I don't have enough results to claim this strategy works in all market conditions; which is why I'm looking to develop a tool (or perhaps gain insight on already existing tools). I am excited with what I would deem preliminary results have provided so far.

I apologize for any confusion this may bring, as I'm not quite a technician by any means. I'm using the best of my current knowledge in an entry and exit on a particular strategy. I hope this doesn't come off the wrong way!

What I am attempting to do is convert $VOLSPD into an oscillator that works similarly to how you would graphically view MACD & SqueezePro/TTM_Squeeze. Now $VOLSPD on a greater timeframe (e.x. 1y 1d chart) already operates as an oscillator, even though intraday will display a trend. It needs a zero-line and the bars would show up and down volume on $VOLSPD much like what you would see with TTM, MACD, DMI Oscillator, etc. I think for this to work you need to do $VOLSPD/10000000 which then gives it a range of double digits as opposed to...many digits $VOLSPD shows by default.

Okay, so we get $VOLSPD functioning as an oscillator, cool. The next step is we need to compile a couple key signals that would be provided by something else. The signals would be derived from when the Bollinger Bands enter the 1, 2, and 3 factorial Keltner Channels on a 5 minute chart (however if it's possible to automatically adjust to your timeframe that would be great). For summary purposes, we would essentially be replicating the "dots" that are on the zero line with TTM_Squeeze.

Lastly $TICK expressed as a line on the oscillator, basically a way to graphically view $TICK converging and diverging with $VOLSPD.
 
Last edited by a moderator:
Hi there,

I'm not an expert by any means, but I am working on a project to aid a very specific strategy that requires a very specific setup. The asset I am trading relies heavily on market internals, primarily SPX. Success is currently being back-tested in a journal, and I don't have enough results to claim this strategy works in all market conditions; which is why I'm looking to develop a tool (or perhaps gain insight on already existing tools). I am excited with what I would deem preliminary results have provided so far.

I apologize for any confusion this may bring, as I'm not quite a technician by any means. I'm using the best of my current knowledge in an entry and exit on a particular strategy. I hope this doesn't come off the wrong way!

What I am attempting to do is convert $VOLSPD into an oscillator that works similarly to how you would graphically view MACD & SqueezePro/TTM_Squeeze. Now $VOLSPD on a greater timeframe (e.x. 1y 1d chart) already operates as an oscillator, even though intraday will display a trend. It needs a zero-line and the bars would show up and down volume on $VOLSPD much like what you would see with TTM, MACD, DMI Oscillator, etc. I think for this to work you need to do $VOLSPD/10000000 which then gives it a range of double digits as opposed to...many digits $VOLSPD shows by default.

Okay, so we get $VOLSPD functioning as an oscillator, cool. The next step is we need to compile a couple key signals that would be provided by something else. The signals would be derived from when the Bollinger Bands enter the 1, 2, and 3 factorial Keltner Channels on a 5 minute chart (however if it's possible to automatically adjust to your timeframe that would be great). For summary purposes, we would essentially be replicating the "dots" that are on the zero line with TTM_Squeeze.

Lastly $TICK expressed as a line on the oscillator, basically a way to graphically view $TICK converging and diverging with $VOLSPD.

This may help you get started

Capture.jpg
Ruby:
declare lower;

#$Tick Normalized to $Volspd-------------------------------------------
#$TICK shown as a histogram with periods where no current data available, prior data used to plot it

script normalizePlot {
    input data      = close;
    input newRngMin = -.2;
    input newRngMax = .2;
    def hhData      = HighestAll( data );
    def llData      = LowestAll( data );
    plot nr = ((( newRngMax - newRngMin ) * ( data - llData )) / ( hhData -
llData )) + newRngMin;
}

input newRngMax = 100000000;
input newRngMin = -100000000;

def t           = if IsNaN(close("$TICK")) then t[1] else close("$TICK");
plot tick       = normalizePlot(t, newRngMin, newRngMax);
tick.SetDefaultColor(Color.MAGENTA);
tick.SetLineWeight(2);

#$VOLSPD -------------------------------------------------------------------------
#$VOLSPD shown as a histogram, colored like MACD, with periods where no current data available, prior data used to plot it

def vspd    = if IsNaN(close("$VOLSPD")) then vspd[1] else close("$VOLSPD");
plot volspd = vspd;
volspd.SetPaintingStrategy(PaintingStrategy.HISTOGRAM);
volspd.DefineColor("Positive and Up", Color.GREEN);
volspd.DefineColor("Positive and Down", Color.DARK_GREEN);
volspd.DefineColor("Negative and Down", Color.RED);
volspd.DefineColor("Negative and Up", Color.DARK_RED);
volspd.AssignValueColor(if volspd >= 0 then if volspd > volspd[1] then volspd.Color("Positive and Up") else volspd.Color("Positive and Down") else if volspd < volspd[1] then volspd.Color("Negative and Down") else volspd.Color("Negative and Up"));


#Squeeze Added to zero line shown as white dot ----------------------------------------
plot zero         = 0;
input showsqueeze = yes;
def bbupper       = reference BollingerBands(length = 20, "average type" = "EXPONENTIAL").UpperBand;
def kcupper       = KeltnerChannels(length = 15, "average type" = "EXPONENTIAL", "true range average type" = "EXPONENTIAL").Upper_Band;
def Squeeze       = bbupper - kcupper < 0;
plot Squeezeplot  = if showsqueeze and Squeeze then zero else Double.NaN;
Squeezeplot.SetDefaultColor(Color.WHITE);
Squeezeplot.SetPaintingStrategy(PaintingStrategy.POINTS);
Squeezeplot.SetLineWeight(5);
Squeezeplot.HideBubble();
 
Last edited by a moderator:
This may help you get started
Hi Sleepy,

thanks for for this indicator, just wanted to check is it possible to make this oscillator work for $ADSPD as well but without normalization. Since ADSPD is for stocks in SnP the max values would only be +500 & -500. Can you please let me know what changes I need to make in the above indicator to make it for ADSPD. thanks in advance.
 

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