Volume Confirmation for a Trend System For ThinkOrSwim

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SethW446

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"Volume Confirmation For A Trend System" is an article by Buff Pelz Dormeier, CMT, published in the August 2024 edition of TASC's Traders' Tips.

The article discusses how volume flows can help validate price movements, both trending and non-trending. It also presents an updated trend-following trading system that combines the ADX, trend thrust indicator, and volume price confirmation indicator.

The ToS script below demonstrates the use of volume data to validate price movements based on the techniques in the article.

The link below gives good description of the indicator and the strategy results, which are noteworthy.
https://www.tradingview.com/script/...rates the use,edition of TASC's Traders' Tips.

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Last edited by a moderator:
SethW446 said:
This code is from TradingView, who used it in TASC article this August 24, title given above. The link below gives good description of the indicator and the strategy results, which are noteworthy. I would love to have someone convert this to TOS.

https://www.tradingview.com/script/K3s5dmdv-TASC-2024-08-Volume-Confirmation-For-A-Trend-System/

Code: 
// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © PineCodersTASC

//  TASC Issue: August 2024 - Vol. 42
//     Article: Volume Confirmation For A Trend System.
//              The Trend Thrust Indicator And
//              Volume Price Confirmation Indicator.
//  Article By: Buff Pelz Dormeier
//    Language: TradingView's Pine Script™ v5
// Provided By: PineCoders, for tradingview.com


//@version=5
string title = "TASC 2024.08 Volume Confirmation For A Trend System"
string stitle = "VCTS"
strategy(title, stitle, false)


// Input
lenADX  = input.int(14, "ADX Length", 1)
smt     = input.int(14, "ADX Smoothing", 1, 50)
fastTTI = input.int(13, "TTI Fast Average", 1)
slowTTI = input.int(26, "TTI Slow Average", 1)
smtTTI  = input.int(9,  "TTI Signal Length", 1)
shortVP = input.int(5,  "VPCI Short-Term Average", 1)
longVP  = input.int(25, "VPCI Long-Term Average", 1)


// Functions
// ADX
adx(lenADX, smt) =>
    upDM   =  ta.change(high)
    dwDM   = -ta.change(low)
    pDM    = na(upDM) ? na : upDM > dwDM and upDM > 0 ? upDM : 0
    mDM    = na(dwDM) ? na : dwDM > upDM and dwDM > 0 ? dwDM : 0
    ATR    = ta.atr(lenADX)
    pDI    = fixnan(100 * ta.rma(pDM, lenADX) / ATR)
    mDI    = fixnan(100 * ta.rma(mDM, lenADX) / ATR)
    ADX    = 100*ta.rma(math.abs((pDI - mDI)  / (pDI + mDI)), smt)
    ADX

// TTI
// See also: https://www.tradingview.com/script/B6a7HzVn/
tti(price, fast, slow) =>
    fastMA = ta.vwma(price, fast)
    slowMA = ta.vwma(price, slow)
    VWMACD = fastMA - slowMA
    vMult  = math.pow((fastMA / slowMA), 2)
    VEFA   = fastMA * vMult
    VESA   = slowMA / vMult
    TTI    = VEFA - VESA
    signal = ta.sma(TTI, smtTTI)
    [TTI, signal]

// VPCI
// See also: https://www.tradingview.com/script/lmTqKOsa-Indicator-Volume-Price-Confirmation-Indicator-VPCI/
vpci(long, short) =>
    VPC    = ta.vwma(close, long)  - ta.sma(close, long)
    VPR    = ta.vwma(close, short) / ta.sma(close, short)
    VM     = ta.sma(volume, short) / ta.sma(volume, long)
    VPCI   = VPC * VPR * VM
    VPCI


// Calculations
float ADX     = adx(lenADX, smt)
[TTI, signal] = tti(close, fastTTI, slowTTI)
float VPCI    = vpci(longVP, shortVP)


// Plot
col1  = #4daf4a50
col2  = #e41a1c20
col0  = #ffffff00
adxL1 = plot(ADX,    "ADX", #984ea3)
adxL0 = plot(30,     "ADX Threshold", #984ea350)
ttiL1 = plot(TTI,    "TTI", #ff7f00)
ttiL0 = plot(signal, "TTI Signal", #ff7f0050)
vpcL1 = plot(VPCI*10,"VPCI", #377eb8)
vpcL0 = plot(0,      "VPCI Zero", #377eb850)
fill(adxL1, adxL0, ADX > 30 ? col1 : col0)
fill(ttiL1, ttiL0, TTI > signal ? col1 : col0)
fill(vpcL1, vpcL0, VPCI > 0 ? col1 : col2)


// Strategy entry/exit rules
if ADX > 30
    if TTI > signal
        if VPCI > 0
            strategy.entry("entry", strategy.long)
if VPCI < 0
    strategy.close_all("exit")
Click to expand...
find below the indicator and strategy. * Paste the strategy under the strategy tab.

Indicator :
CSS: 
#// Indicator for TOS
#// © PineCodersTASC
#//  TASC Issue: August 2024 - Vol. 42
#//     Article: Volume Confirmation For A Trend System.
#//              The Trend Thrust Indicator And
#//              Volume Price Confirmation Indicator.
#//  Article By: Buff Pelz Dormeier
#//    Language: TradingView's Pine Script™ v5
#// Provided By: PineCoders, for tradingview.com
#string title = "TASC 2024.08 Volume Confirmation For A Trend System"
# converted by Sam4@Samer800    - 07/2024
declare lower;

input adxThreshold = 30.0;
input adxLength  = 14;#, "ADX Length", 1)
input adxSmoothingLength = 14;#, "ADX Smoothing", 1, 50)
input ttiFastLength = 13;#, "TTI Fast Average", 1)
input ttiSlowLength = 26;#, "TTI Slow Average", 1)
input ttiSignalLength  = 9;#  "TTI Signal Length", 1)
input vpciFastLength = 5;#,  "VPCI Short-Term Average", 1)
input vpciSlowLength  = 25;#, "VPCI Long-Term Average", 1)

def na = Double.NaN;
def last = IsNaN(close);

#vwma(source, length)
script VWMA {
    input src = close;
    input len = 14;
    input vol = volume;
    def nom = Average(src * vol, len);
    def den = Average(vol, len);
    def VWMA = nom / den;
    plot result = if isNaN(VWMA) then 0 else VWMA;
}
#// TTI
#// See also: https://www.tradingview.com/script/B6a7HzVn/
script tti {
    input price = close;
    input fast = 13;
    input slow = 26;
    def fastMA = vwma(price, fast);
    def slowMA = vwma(price, slow);
    def VWMACD = fastMA - slowMA;
    def vMult  = Power((fastMA / slowMA), 2);
    def VEFA   = fastMA * vMult;
    def VESA   = slowMA / vMult;
    def TTI    = VEFA - VESA;
    plot out = TTI;
}
#// VPCI
#// See also: https://www.tradingview.com/script/lmTqKOsa-Indicator-Volume-Price-Confirmation-Indicator-VPCI/
script vpci {
    input long = 25;
    input short = 5;
    def VPC  = vwma(close, long)  - Average(close, long);
    def VPR  = vwma(close, short) / Average(close, short);
    def VM   = Average(volume, short) / Average(volume, long);
    def VPCI = VPC * VPR * VM;
    plot out = if isNaN(VPCI) then 0 else VPCI;
}
#// Calculations
def "DI+"   = DMI(Length = adxLength)."DI+";
def "DI-"   = DMI(Length = adxLength)."DI-";
def DX = if ("DI+" + "DI-" > 0) then 100 * AbsValue("DI+" - "DI-") / ("DI+" + "DI-") else 0;
def ADX = WildersAverage(DX, adxSmoothingLength);
def TTI = tti(close, ttiFastLength, ttiSlowLength);
def signal = Average(TTI, ttiSignalLength);
def VPCI   = vpci(vpciSlowLength, vpciFastLength);

def ttiL1 = TTI; #,    "TTI", #ff7f00)
def ttiL0 = signal; #, "TTI Signal", #ff7f0050)
def vpcL1 = VPCI * 10; #,"VPCI", #377eb8)
def vpcL0 = if last then na else 0; #,      "VPCI Zero", #377eb850)

plot adxL1 = ADX; #,    "ADX", #984ea3)
plot adxL0 = if last then na else adxThreshold; #,     "ADX Threshold", #984ea350)

adxL0.SetStyle(Curve.SHORT_DASH);
adxL1.SetDefaultColor(Color.MAGENTA);
adxL0.SetDefaultColor(Color.PLUM);

AddCloud(adxL1, adxL0, Color.MAGENTA, Color.CURRENT);
AddCloud(vpcL1, vpcL0, Color.DARK_GREEN, Color.DARK_RED, yes);
AddCloud(ttiL1, ttiL0, Color.ORANGE, Color.VIOLET, yes);

#-- Signals
#/ Strategy entry/exit rules
def buy = ADX > adxThreshold and TTI > signal and VPCI > 0;
def buyCondition = buy and (buy!=buy[1]);
def stopAll = VPCI < 0;
def buyCond;
def closeBuy;
def inTrade;

if buyCondition and !inTrade[1] {
    inTrade = yes;
    buyCond = yes;
    closeBuy = no;
} else if stopAll and inTrade[1] {
    inTrade = no;
    buyCond = no;
    closeBuy = yes;
} else {
    inTrade = inTrade[1];
    buyCond = no;
    closeBuy = no;
}

AddVerticalLine(buyCond, "Buy", Color.GREEN);
AddVerticalLine(closeBuy, "Exit", Color.RED);

#-- END of CODE

Strategy:

CSS: 
#// Indicator for TOS
#// © PineCodersTASC
#//  TASC Issue: August 2024 - Vol. 42
#//     Article: Volume Confirmation For A Trend System.
#//              The Trend Thrust Indicator And
#//              Volume Price Confirmation Indicator.
#//  Article By: Buff Pelz Dormeier
#//    Language: TradingView's Pine Script™ v5
#// Provided By: PineCoders, for tradingview.com
#string title = "TASC 2024.08 Volume Confirmation For A Trend System"
# converted by Sam4Cok@Samer800 - 07/2024 (Strategy)

input adxThreshold = 30.0;
input adxLength  = 14;#, "ADX Length", 1)
input adxSmoothingLength = 14;#, "ADX Smoothing", 1, 50)
input ttiFastLength = 13;#, "TTI Fast Average", 1)
input ttiSlowLength = 26;#, "TTI Slow Average", 1)
input ttiSignalLength  = 9;#  "TTI Signal Length", 1)
input vpciFastLength = 5;#,  "VPCI Short-Term Average", 1)
input vpciSlowLength  = 25;#, "VPCI Long-Term Average", 1)

#vwma(source, length)
script VWMA {
    input src = close;
    input len = 14;
    input vol = volume;
    def nom = Average(src * vol, len);
    def den = Average(vol, len);
    def VWMA = nom / den;
    plot result = if isNaN(VWMA) then 0 else VWMA;
}
#// TTI
#// See also: https://www.tradingview.com/script/B6a7HzVn/
script tti {
    input price = close;
    input fast = 13;
    input slow = 26;
    def fastMA = vwma(price, fast);
    def slowMA = vwma(price, slow);
    def VWMACD = fastMA - slowMA;
    def vMult  = Power((fastMA / slowMA), 2);
    def VEFA   = fastMA * vMult;
    def VESA   = slowMA / vMult;
    def TTI    = VEFA - VESA;
    plot out = TTI;
}
#// VPCI
#// See also: https://www.tradingview.com/script/lmTqKOsa-Indicator-Volume-Price-Confirmation-Indicator-VPCI/
script vpci {
    input long = 25;
    input short = 5;
    def VPC  = vwma(close, long)  - Average(close, long);
    def VPR  = vwma(close, short) / Average(close, short);
    def VM   = Average(volume, short) / Average(volume, long);
    def VPCI = VPC * VPR * VM;
    plot out = if isNaN(VPCI) then 0 else VPCI;
}
#// Calculations
def "DI+"   = DMI(Length = adxLength)."DI+";
def "DI-"   = DMI(Length = adxLength)."DI-";
def DX = if ("DI+" + "DI-" > 0) then 100 * AbsValue("DI+" - "DI-") / ("DI+" + "DI-") else 0;
def ADX = WildersAverage(DX, adxSmoothingLength);
def TTI = tti(close, ttiFastLength, ttiSlowLength);
def signal = Average(TTI, ttiSignalLength);
def VPCI   = vpci(vpciSlowLength, vpciFastLength);


#-- Signals
#/ Strategy entry/exit rules
def buy = ADX > adxThreshold and TTI > signal and VPCI > 0;
def buyCondition = buy and (buy != buy[1]);
def stopAll = VPCI < 0;
def buyCond;
def closeBuy;
def inTrade;

if buyCondition and !inTrade[1] {
    inTrade = yes;
    buyCond = yes;
    closeBuy = no;
} else if stopAll and inTrade[1] {
    inTrade = no;
    buyCond = no;
    closeBuy = yes;
} else {
    inTrade = inTrade[1];
    buyCond = no;
    closeBuy = no;
}

AddOrder(OrderType.BUY_TO_OPEN, buyCond, open[-1], 1, Color.CYAN, Color.CYAN, "BUY");
AddOrder(OrderType.SELL_TO_CLOSE, closeBuy, open[-1], 1, Color.MAGENTA, Color.MAGENTA, "Exit");
#-- END of CODE
 
Last edited by a moderator:
samer800 said:
find below the indicator and strategy. * Paste the strategy under the strategy tab.

Indicator :
CSS: 
#// Indicator for TOS
#// © PineCodersTASC
#//  TASC Issue: August 2024 - Vol. 42
#//     Article: Volume Confirmation For A Trend System.
#//              The Trend Thrust Indicator And
#//              Volume Price Confirmation Indicator.
#//  Article By: Buff Pelz Dormeier
#//    Language: TradingView's Pine Script™ v5
#// Provided By: PineCoders, for tradingview.com
#string title = "TASC 2024.08 Volume Confirmation For A Trend System"
# converted by Sam4@Samer800    - 07/2024
declare lower;

input adxThreshold = 30.0;
input adxLength  = 14;#, "ADX Length", 1)
input adxSmoothingLength = 14;#, "ADX Smoothing", 1, 50)
input ttiFastLength = 13;#, "TTI Fast Average", 1)
input ttiSlowLength = 26;#, "TTI Slow Average", 1)
input ttiSignalLength  = 9;#  "TTI Signal Length", 1)
input vpciFastLength = 5;#,  "VPCI Short-Term Average", 1)
input vpciSlowLength  = 25;#, "VPCI Long-Term Average", 1)

def na = Double.NaN;
def last = IsNaN(close);

#vwma(source, length)
script VWMA {
    input src = close;
    input len = 14;
    input vol = volume;
    def nom = Average(src * vol, len);
    def den = Average(vol, len);
    def VWMA = nom / den;
    plot result = if isNaN(VWMA) then 0 else VWMA;
}
#// TTI
#// See also: https://www.tradingview.com/script/B6a7HzVn/
script tti {
    input price = close;
    input fast = 13;
    input slow = 26;
    def fastMA = vwma(price, fast);
    def slowMA = vwma(price, slow);
    def VWMACD = fastMA - slowMA;
    def vMult  = Power((fastMA / slowMA), 2);
    def VEFA   = fastMA * vMult;
    def VESA   = slowMA / vMult;
    def TTI    = VEFA - VESA;
    plot out = TTI;
}
#// VPCI
#// See also: https://www.tradingview.com/script/lmTqKOsa-Indicator-Volume-Price-Confirmation-Indicator-VPCI/
script vpci {
    input long = 25;
    input short = 5;
    def VPC  = vwma(close, long)  - Average(close, long);
    def VPR  = vwma(close, short) / Average(close, short);
    def VM   = Average(volume, short) / Average(volume, long);
    def VPCI = VPC * VPR * VM;
    plot out = if isNaN(VPCI) then 0 else VPCI;
}
#// Calculations
def "DI+"   = DMI(Length = adxLength)."DI+";
def "DI-"   = DMI(Length = adxLength)."DI-";
def DX = if ("DI+" + "DI-" > 0) then 100 * AbsValue("DI+" - "DI-") / ("DI+" + "DI-") else 0;
def ADX = WildersAverage(DX, adxSmoothingLength);
def TTI = tti(close, ttiFastLength, ttiSlowLength);
def signal = Average(TTI, ttiSignalLength);
def VPCI   = vpci(vpciSlowLength, vpciFastLength);

def ttiL1 = TTI; #,    "TTI", #ff7f00)
def ttiL0 = signal; #, "TTI Signal", #ff7f0050)
def vpcL1 = VPCI * 10; #,"VPCI", #377eb8)
def vpcL0 = if last then na else 0; #,      "VPCI Zero", #377eb850)

plot adxL1 = ADX; #,    "ADX", #984ea3)
plot adxL0 = if last then na else adxThreshold; #,     "ADX Threshold", #984ea350)

adxL0.SetStyle(Curve.SHORT_DASH);
adxL1.SetDefaultColor(Color.MAGENTA);
adxL0.SetDefaultColor(Color.PLUM);

AddCloud(adxL1, adxL0, Color.MAGENTA, Color.CURRENT);
AddCloud(vpcL1, vpcL0, Color.DARK_GREEN, Color.DARK_RED, yes);
AddCloud(ttiL1, ttiL0, Color.ORANGE, Color.VIOLET, yes);

#-- Signals
#/ Strategy entry/exit rules
def buy = ADX > adxThreshold and TTI > signal and VPCI > 0;
def buyCondition = buy and (buy!=buy[1]);
def stopAll = VPCI < 0;
def buyCond;
def closeBuy;
def inTrade;

if buyCondition and !inTrade[1] {
    inTrade = yes;
    buyCond = yes;
    closeBuy = no;
} else if stopAll and inTrade[1] {
    inTrade = no;
    buyCond = no;
    closeBuy = yes;
} else {
    inTrade = inTrade[1];
    buyCond = no;
    closeBuy = no;
}

AddVerticalLine(buyCond, "Buy", Color.GREEN);
AddVerticalLine(closeBuy, "Exit", Color.RED);

#-- END of CODE

Strategy:

CSS: 
#// Indicator for TOS
#// © PineCodersTASC
#//  TASC Issue: August 2024 - Vol. 42
#//     Article: Volume Confirmation For A Trend System.
#//              The Trend Thrust Indicator And
#//              Volume Price Confirmation Indicator.
#//  Article By: Buff Pelz Dormeier
#//    Language: TradingView's Pine Script™ v5
#// Provided By: PineCoders, for tradingview.com
#string title = "TASC 2024.08 Volume Confirmation For A Trend System"
# converted by Sam4Cok@Samer800 - 07/2024 (Strategy)

input adxThreshold = 30.0;
input adxLength  = 14;#, "ADX Length", 1)
input adxSmoothingLength = 14;#, "ADX Smoothing", 1, 50)
input ttiFastLength = 13;#, "TTI Fast Average", 1)
input ttiSlowLength = 26;#, "TTI Slow Average", 1)
input ttiSignalLength  = 9;#  "TTI Signal Length", 1)
input vpciFastLength = 5;#,  "VPCI Short-Term Average", 1)
input vpciSlowLength  = 25;#, "VPCI Long-Term Average", 1)

#vwma(source, length)
script VWMA {
    input src = close;
    input len = 14;
    input vol = volume;
    def nom = Average(src * vol, len);
    def den = Average(vol, len);
    def VWMA = nom / den;
    plot result = if isNaN(VWMA) then 0 else VWMA;
}
#// TTI
#// See also: https://www.tradingview.com/script/B6a7HzVn/
script tti {
    input price = close;
    input fast = 13;
    input slow = 26;
    def fastMA = vwma(price, fast);
    def slowMA = vwma(price, slow);
    def VWMACD = fastMA - slowMA;
    def vMult  = Power((fastMA / slowMA), 2);
    def VEFA   = fastMA * vMult;
    def VESA   = slowMA / vMult;
    def TTI    = VEFA - VESA;
    plot out = TTI;
}
#// VPCI
#// See also: https://www.tradingview.com/script/lmTqKOsa-Indicator-Volume-Price-Confirmation-Indicator-VPCI/
script vpci {
    input long = 25;
    input short = 5;
    def VPC  = vwma(close, long)  - Average(close, long);
    def VPR  = vwma(close, short) / Average(close, short);
    def VM   = Average(volume, short) / Average(volume, long);
    def VPCI = VPC * VPR * VM;
    plot out = if isNaN(VPCI) then 0 else VPCI;
}
#// Calculations
def "DI+"   = DMI(Length = adxLength)."DI+";
def "DI-"   = DMI(Length = adxLength)."DI-";
def DX = if ("DI+" + "DI-" > 0) then 100 * AbsValue("DI+" - "DI-") / ("DI+" + "DI-") else 0;
def ADX = WildersAverage(DX, adxSmoothingLength);
def TTI = tti(close, ttiFastLength, ttiSlowLength);
def signal = Average(TTI, ttiSignalLength);
def VPCI   = vpci(vpciSlowLength, vpciFastLength);


#-- Signals
#/ Strategy entry/exit rules
def buy = ADX > adxThreshold and TTI > signal and VPCI > 0;
def buyCondition = buy and (buy != buy[1]);
def stopAll = VPCI < 0;
def buyCond;
def closeBuy;
def inTrade;

if buyCondition and !inTrade[1] {
    inTrade = yes;
    buyCond = yes;
    closeBuy = no;
} else if stopAll and inTrade[1] {
    inTrade = no;
    buyCond = no;
    closeBuy = yes;
} else {
    inTrade = inTrade[1];
    buyCond = no;
    closeBuy = no;
}

AddOrder(OrderType.BUY_TO_OPEN, buyCond, open[-1], 1, Color.CYAN, Color.CYAN, "BUY");
AddOrder(OrderType.SELL_TO_CLOSE, closeBuy, open[-1], 1, Color.MAGENTA, Color.MAGENTA, "Exit");
#-- END of CODE
Click to expand...
Thanks Samer, your work is appreciated, on this and many other projects
 
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“Volume Confirmation For A Trend System.”
 
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