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VPA indicator

Posted by SARA 
VPA indicator
November 21, 2016 11:24AM
VPA indicator




# This is a conversion of the NinjaTrader VPA indicator. ToS does not support directional
# triangles and diamonds, so there are some differences. The triangles are left as is, just
# not pointing a specific direction. The diamonds have been replaced with circles.

# C_RP Original notes by cbritton are above. Changes made after 20100722 by Richard Paske are marked below by the C_RP comment tag. A few bugs were fixed. More significantly, the color scheme for symbols was changed radically in an attempt to map directional strength to hue based on the ROYGBIV color spectrum. In addition, a symbol's shape and its vertical position above or below a candle now imparts added meaning to it. In general, the strength of a symbol is assigned by its color and shape in that order. In certain circumstances a symbol's vertical offset from its candle's top or bottom strengthens the symbol's meaning. The symbol strength hierarchy is defined as follows:

# 1. Color: Symbols below candles are assigned strength from weakest to strongest in this order: white (or grey), cyan (blue/green), green. A red symbol under a candle indicates the failure of the symbol attached below the candle immediately preceding it.
# Symbols above candles are assigned strength from weakest to strongest in this order: yellow, orange, red. A green symbol above a candle indicates the failure of a symbol attached above the candle immediately preceding it. A magenta (pinkish purple) square above a candle is a special case indicating Distribution. Another special case for testing purposes as of 20100830 is a white triangle high above a candle indicating a Gravestone Doji.
# Symbols drawn on the middle of a candle are of two types with one variation. A green circle indicates Effort to Move Up on up bars. A magenta (pinkish purple) circle indicates Effort to Move Down on down bars except for red down bars on which magenta displays poorly. In order to be seen easily, yellow circles indicate Effort to Move Down on red down bars.

# 2. Shape: A symbol of a given color is assigned increasing strength according to this hierarchy (from low to high): circle, square, triangle, downward or upward arrow. In certain circumstances two symbols of the same shape and color will be stacked vertically, adding strength through the combined symbols. Occasionally, two different symbols will be stacked vertically because that candle satisfies the criteria for two indications.

# Listed below are the symbols and their meanings. The original symbol chart can be found at the end of this study.

# ___Symbols Below Candles___
# White Square - Test for Supply
# Cyan Circle - No Supply
# Cyan Triangle - Successful Test for Supply
# 2 Cyan Triangles - Successful Test for Supply 2

# Grey Square - Test for Supply in Uptrend

# Green Circle - Stopping Volume

# Cyan Square - Strength in Downtrend
# Green Square - Strength in Downtrend 1
# Green Triangle - Strength in Downtrend 2
# Green UpArrow - Strength Confirmation Bar
# 2 Green UpArrows - Strength Confirmation Bar with High Close
# Red Square - Failed Strength Signal


# ___Symbols in the Middle of Candles___
# Green Circle - Effort to Move Up
# Magenta Circle - Effort to Move Down
# Yellow Circle - Effort to Move Down on Red Down Candles

# ___Symbols Above Candles___
# White Triangle - Gravestone Doji (included as an experiment as of 20100830 to test its usability in the UpThrust category)
# Yellow Triangle - Weakness

# Orange Circle - No Demand
# Orange Square - PseudoUpThurst
# Orange Triangle - PseudoUpThurst Confirmation

# Red Square - UpThrust
# Red Triangle - Confirmed UpThrust Condition 1
# Red DownArrow - Confirmed UpThrust Condition 2 or 3
# Green Square - Failed UpThrust or PseudoUpThrust Confirmation

# Red Circle - Reversal Likely
# Magenta Square - Distribution
# Magenta Triangle - Two or Three Period UpThrust

#######################################################

# C_RP The next two comments are from the original comments by cbritton.
# The NT version used a LinRegSlopeSFX indicator for determining trends. Those have been
# replaced in this ToS version with a call to the built in LinearRegressionSlope indicator.

#######
# Arguments

input volumeEMALength = 30;
input narrowSpreadFactor = 0.7;
input wideSpreadFactor = 1.5;
input aboveAvgVolfactor = 1.5;
input ultraHighVolfactor = 2;
input highCloseFactor = 0.70;
input lowCloseFactor = 0.25;
input GdojiFactor = 0.2; # C_RP
input WickFactor = 0.1; # C_RP
input colorBars = {default false, true};
input trendText = {false, default true};
input volumeDefinitions = { false, default true };
input alerts = { default false, true };

#######
# Calculations

rec spread = high - low;
def median = (high + low ) / 2;
rec avgVolume = compoundValue(volumeEMALength, ExpAverage(volume, volumeEMALength), Double.NaN);

# Calculate Volume moving average and it's standard deviation
rec sAvgVolume = compoundValue(volumeEMALength, Average(volume, volumeEMALength), Double.NaN);
def sAvgVolumeSTD = stdev(sAvgVolume, volumeEMALength);

# check if the vloume has been decreasing in the past two days.
def isTwoDaysLowVol = (volume < volume[1] && volume[0] < volume[2]);

# Calculate Range information
def avgSpread = WildersAverage(spread, volumeEMALength)[0];
rec isWideSpreadBar = (spread > (wideSpreadFactor * avgSpread));
rec isNarrowSpreadBar = (spread < (narrowSpreadFactor * avgSpread));

# Price information
rec isUpBar = close > close[1];
rec isDownBar = close < close[1];

# Check if the close is in the Highs/Lows/Middle of the bar.
# C_RP 20100809
# original code - def x1 = if (close == low) then avgSpread else (spread / (close - low));
def x1 = if (high==low) then 2.0 else if (close == low) then 2.65 else (spread / (close - low));
# C_RP try the line below with various divisors totalSum result in a minimum of 2.3 on a spread of 1 pip instead of using a fixed 2.3 as in the line above
# def x1 = if (high==low) then 2.0 else if (close == low) then (spread / 0.43 ) else (spread / (close - low));



def isUpCloseBar = (x1 < 2);
def isDownCloseBar = (x1 > 2);
def isMidCloseBar = (x1 < 2.2 && x1 > 1.8);
def isVeryHighCloseBar = (x1 < 1.35);
# C_RP 20100809 added isVeryLowCloseBar
def isVeryLowCloseBar = (x1 >= 2.65);


# Trend Definitions
rec fiveDaysSma = compoundValue(5, Average(close, 5)[0], Double.NaN);
def LongTermTrendSlope = LinearRegressionSlope(price = fiveDaysSma, length = 40)[0];
def MiddleTermTrendSlope = LinearRegressionSlope(price = fiveDaysSma, length = 15)[0];
def ShortTermTrendSlope = LinearRegressionSlope(price = fiveDaysSma, length = 5)[0];

######################################################################
# VSA Definitions

# utbar
rec isUpThrustBar = isWideSpreadBar && isDownCloseBar && ShortTermTrendSlope > 0;
# utcond1
def upThrustConditionOne = (isUpThrustBar[1] && isDownBar);
# utcond2
def upThrustConditionTwo = (isUpThrustBar[1] && isDownBar[0] && volume > volume[1]);
# utcond3
def upThrustConditionThree = (isUpThrustBar[0] && volume > 2 * sAvgVolume[0]);
# scond1
rec isConfirmedUpThrustBar = (upThrustConditionOne OR upThrustConditionTwo OR upThrustConditionThree);
# scond
rec isNewConfirmedUpThrustBar = (isConfirmedUpThrustBar[0] && !isConfirmedUpThrustBar[1]);

# Two Period UpThrust Bar
rec isTwoPerUpT = isUpBar[1] && isWideSpreadBar[1] && isDownBar[0] && isDownCloseBar[0] && !isUpThrustBar[0] && (absValue(open[1] - close[0]) < (GdojiFactor * spread[1])) ;

# Three Period UpThrust Bar
rec isThreePerUpT = isUpBar[2] && isWideSpreadBar[2] && isDownBar[0] && isDownCloseBar[0] && !isUpThrustBar[0] && (absValue(open[2] - close[0]) < (GdojiFactor * spread[2])) ;


# C_RP 20100816
# rec isGraveDojiBar = (spread > avgSpread) && (open == low) && (close == low); totally strict Gravestone Doji. Revised version below identifies a candle with above average spread, a real body smaller than 20% of the spread, and a lower wick less than 10% of the spread as a Gravestone Doji pictured as a white triangle above the candle.

rec isGraveDojiBar = (spread > avgSpread) && (absValue(open - close) < (GdojiFactor * spread)) && ((absValue(close - low) < (WickFactor * spread)) or (absValue(open - low) < (WickFactor * spread))); # less strict Gravestone Doji


# trbar
def reversalLikelyBar = (volume[1] > sAvgVolume[0] && isUpBar[1] && isWideSpreadBar[1] && isDownBar[0] && isDownCloseBar && isWideSpreadBar[0] && LongTermTrendSlope > 0 && high == Highest(high, 10)[0]);

# hutbar
rec isPseudoUpThrustBar = (isUpBar[1] && (volume[1] > aboveAvgVolfactor * sAvgVolume[0]) && isDownBar[0] && isDownCloseBar && !isWideSpreadBar[0] && !isUpThrustBar[0]);
# hutcond
def pseudoUpThrustConfirmation = (isPseudoUpThrustBar[1] && isDownBar[0] && isDownCloseBar && !isUpThrustBar[0]);

# C_RP Failed UpThrustConfirmation or pseudoUpThrustConfirmation occurs when the close of bar following such confirmation is not lower than the close of the confirmation bar

rec isFailedUpThrustConfirmation = (isNewConfirmedUpThrustBar[1] or pseudoUpThrustConfirmation[1]) && close[0] >= close[1];

# tcbar
def weaknessBar = (isUpBar[1] && high[0] == Highest(high, 5)[0] && isDownBar[0] && (isDownCloseBar OR isMidCloseBar) && volume[0] > sAvgVolume[0] && !isWideSpreadBar[0] && !isPseudoUpThrustBar[0]);

# stdn, stdn0, stdn1, stdn2
def strengthInDownTrend = (volume[0] > volume[1] && isDownBar[1] && isUpBar[0] && (isUpCloseBar OR isMidCloseBar) && ShortTermTrendSlope < 0 && MiddleTermTrendSlope < 0);
def strengthInDownTrend0 = (volume[0] > volume[1] && isDownBar[1] && isUpBar[0] && (isUpCloseBar OR isMidCloseBar) && ShortTermTrendSlope < 0 && MiddleTermTrendSlope < 0 && LongTermTrendSlope < 0);
def strengthInDownTrend1 = (volume[0] > (sAvgVolume[0] * aboveAvgVolfactor) && isDownBar[1] && isUpBar[0] && (isUpCloseBar OR isMidCloseBar) && ShortTermTrendSlope < 0 && MiddleTermTrendSlope < 0 && LongTermTrendSlope < 0);
def strengthInDownTrend2 = (volume[1] < sAvgVolume[0] && isUpBar[0] && isVeryHighCloseBar && volume[0] > sAvgVolume[0] && ShortTermTrendSlope < 0);

rec bycond1 = (strengthInDownTrend OR strengthInDownTrend1);

# bycond
def isStrengthConfirmationBar = (isUpBar[0] && bycond1[1]);

# bycond2 C_RP UpClose on higher volume with all slopes down adds extra strength
def isStrengthConfirmationBar2 = (isUpBar[0] && isUpCloseBar[0] && volume[0] > volume[1] && longtermtrendslope < 0 && bycond1[1]);

# Failed strength in downtrend signal force a follow-up bar that closes below mid-point of confirmaton bar C_RP

def isFailedStrengthSignal = (isStrengthConfirmationBar[1] or isStrengthConfirmationBar2[1] or strengthinDownTrend2[1])&& close[0] <= (close[1] - (spread[1]/2));

# stvol
def stopVolBar = low[0] == Lowest(low, 5)[0] && (isUpCloseBar OR isMidCloseBar) && volume[0] > aboveAvgVolfactor * sAvgVolume[0] && LongTermTrendSlope < 0;

# ndbar, nsbar
def noDemandBar = (isUpBar[0] && isNarrowSpreadBar[0] && isTwoDaysLowVol && isDownCloseBar);
# C_RP 20100809
# def noSupplyBar = (isDownBar[0] && isNarrowSpreadBar[0] && isTwoDaysLowVol && isDownCloseBar);
def noSupplyBar = (isDownBar[0] && isNarrowSpreadBar[0] && isTwoDaysLowVol && isUpCloseBar);

# lvtbar, lvtbar1, lvtbar2
rec supplyTestBar = (isTwoDaysLowVol && low[0] < low[1] && isUpCloseBar);
def supplyTestInUpTrendBar = (volume[0] < sAvgVolume[0] && Low[0] < Low[1] && isUpCloseBar && LongTermTrendSlope > 0 && MiddleTermTrendSlope > 0 && isWideSpreadBar[0]);
def successfulSupplyTestBar = (supplyTestBar[1] && isUpBar[0] && isUpCloseBar);

def successfulSupplyTestBar2 = (successfulsupplyTestBar[1] && isUpBar[0] && x1 <= 2 && volume[0] > volume[1]); # C_RP x1 finds Mid and UpCloseBars

# dbar
def distributionBar = (volume[0] > ultraHighVolfactor * sAvgVolume[0] && isDownCloseBar && isUpBar[0] && ShortTermTrendSlope > 0 && MiddleTermTrendSlope > 0 && !isConfirmedUpThrustBar[0] && !isUpThrustBar[0]);

# eftup, eftupfl, eftdn
def effortToMoveUpBar = (high[0] > high[1] && low[0] > low[1] && Close[0] > Close[1] && Close[0] >= ((high[0] - low[0]) * highCloseFactor + low[0]) && spread[0] > avgSpread && volume[0] > volume[1]);
def failedEffortUpMove = (effortToMoveUpBar[1] && (isUpThrustBar[0] OR upThrustConditionOne OR upThrustConditionTwo OR upThrustConditionThree));

def effortToMoveDownBar = (high[0] < high[1] && low[0] < low[1] && close[0] < close[1] && Close[0] <= ((high[0] - low[0]) * lowCloseFactor + low[0]) && spread[0] > avgSpread && volume[0] > volume[1]);

######################################################################
# set the shapes on the graph

# upthurst and NOT confirmed - red square on top
plot upThrustBarPlot = if isUpThrustBar[0] AND !isNewConfirmedUpThrustBar[0] then (high + 2 * tickSize()) else Double.NAN;
upThrustBarPlot.SetPaintingStrategy(PaintingStrategy.LINE_VS_SQUARES);
upThrustBarPlot.SetStyle(Curve.POINTS);
upThrustBarPlot.SetDefaultColor(Color.Red);
upThrustBarPlot.HideBubble();
upThrustBarPlot.HideTitle();

# C_RP 20100816
# any instance of a Gravestone Doji - white triangle on top
plot GraveDojiBarPlot = if isGraveDojiBar[0] then (high +4 * tickSize()) else Double.NAN;
GraveDojiBarPlot.SetPaintingStrategy(PaintingStrategy.LINE_VS_TRIANGLES);
GraveDojiBarPlot.SetStyle(Curve.POINTS);
GraveDojiBarPlot.SetDefaultColor(CreateColor(255,255,255));
GraveDojiBarPlot.HideBubble();
GraveDojiBarPlot.HideTitle();

# C_RP
# Two Period UpThrust Plot - magenta triangle high on top
plot TwoPerUpTPlot = if isTwoPerUpT[0] then (high + 4 * tickSize()) else Double.NAN;
TwoPerUpTPlot.SetPaintingStrategy(PaintingStrategy.LINE_VS_TRIANGLES);
TwoPerUpTPlot.SetStyle(Curve.POINTS);
TwoPerUpTPlot.SetDefaultColor(Color.magenta);
TwoPerUpTPlot.HideBubble();
TwoPerUpTPlot.HideTitle();

# C_RP
# Three Period UpThrust Plot - magenta triangle high on top
plot ThreePerUpTPlot = if isThreePerUpT[0] then (high + 4 * tickSize()) else Double.NAN;
ThreePerUpTPlot.SetPaintingStrategy(PaintingStrategy.LINE_VS_TRIANGLES);
ThreePerUpTPlot.SetStyle(Curve.POINTS);
ThreePerUpTPlot.SetDefaultColor(Color.magenta);
ThreePerUpTPlot.HideBubble();
ThreePerUpTPlot.HideTitle();

# reversal likely - blue diamond on top C_RP red 6 * ticksize
plot reversalLikelyBarPlot = if reversalLikelyBar then (high + 6 * tickSize()) else Double.NAN;
reversalLikelyBarPlot.SetPaintingStrategy(PaintingStrategy.POINTS);
reversalLikelyBarPlot.SetDefaultColor(Color.Red);
reversalLikelyBarPlot.HideBubble();
reversalLikelyBarPlot.HideTitle();

# new confirmed upthrust bar - red triangle (down) on top C_RP for upThrustConditionOne only
plot isNewConfirmedUpThrustBarPlot = if isNewConfirmedUpThrustBar && upThrustConditionOne then (high + 2 * tickSize()) else Double.NAN;
isNewConfirmedUpThrustBarPlot.SetPaintingStrategy(PaintingStrategy.LINE_VS_TRIANGLES);
isNewConfirmedUpThrustBarPlot.SetDefaultColor(Color.Red);
isNewConfirmedUpThrustBarPlot.HideBubble();
isNewConfirmedUpThrustBarPlot.HideTitle();

# new confirmed upthrust bar - red triangle (down) on top C_RP red arrow down at 4 * tickSize for conditions 2 and 3
plot isNewConfirmedUpThrustBarPlot23 = if isNewConfirmedUpThrustBar && (upThrustConditionTwo or upThrustConditionThree) then (high + 4 * tickSize()) else Double.NAN;
isNewConfirmedUpThrustBarPlot23.SetPaintingStrategy(PaintingStrategy.ARROW_DOWN);
isNewConfirmedUpThrustBarPlot23.SetDefaultColor(Color.Red);
isNewConfirmedUpThrustBarPlot23.HideBubble();
isNewConfirmedUpThrustBarPlot23.HideTitle();

# strength in down trend - lime square on bottom C_RP cyan for weakest strengthInDownTrend
plot strengthInDownTrendPlot = if strengthInDownTrend then (low - 4 * tickSize()) else Double.NAN;
strengthInDownTrendPlot.SetPaintingStrategy(PaintingStrategy.LINE_VS_SQUARES);
strengthInDownTrendPlot.SetDefaultColor(Color.cyan);
strengthInDownTrendPlot.HideBubble();
strengthInDownTrendPlot.HideTitle();

# strength in down trend - lime square on bottom C_RP for next-to-weakest strengthInDownTrend
plot strengthInDownTrend1Plot = if strengthInDownTrend1 then (low - 4 * tickSize()) else Double.NAN;
strengthInDownTrend1Plot.SetPaintingStrategy(PaintingStrategy.LINE_VS_SQUARES);
strengthInDownTrend1Plot.SetDefaultColor(Color.green);
strengthInDownTrend1Plot.HideBubble();
strengthInDownTrend1Plot.HideTitle();

# supply test in up trend - lime square on bottom of the bar C_RP grey
plot supplyTestInUpTrendBarPlot = if supplyTestInUpTrendBar then (low - 4 * tickSize()) else Double.NAN;
supplyTestInUpTrendBarPlot.SetPaintingStrategy(PaintingStrategy.LINE_VS_SQUARES);
supplyTestInUpTrendBarPlot.SetDefaultColor(CreateColor(153,153,153));
supplyTestInUpTrendBarPlot.HideBubble();
supplyTestInUpTrendBarPlot.HideTitle();

# successful test for supply - yellow triangle up on bottom of the bar C_RP cyan
plot successfulSupplyTestBarPlot = if successfulSupplyTestBar or successfulSupplyTestBar2 then (low - 2 * tickSize()) else Double.NAN;
successfulSupplyTestBarPlot.SetPaintingStrategy(PaintingStrategy.LINE_VS_TRIANGLES);
successfulSupplyTestBarPlot.SetDefaultColor(Color.cyan);
successfulSupplyTestBarPlot.HideBubble();
successfulSupplyTestBarPlot.HideTitle();

# successful test for supply - yellow triangle up on bottom of the bar C_RP cyan double triangle for strong follow-up bar
plot successfulSupplyTestBarPlot2 = if successfulSupplyTestBar2 then (low - 4 * tickSize()) else Double.NAN;
successfulSupplyTestBarPlot2.SetPaintingStrategy(PaintingStrategy.LINE_VS_TRIANGLES);
successfulSupplyTestBarPlot2.SetDefaultColor(Color.cyan);
successfulSupplyTestBarPlot2.HideBubble();
successfulSupplyTestBarPlot2.HideTitle();

# stopping volume green (diamond) circle at bottom of bar
plot stopVolBarPlot = if stopVolBar then (low - 2 * tickSize()) else Double.NAN;
stopVolBarPlot.SetPaintingStrategy(PaintingStrategy.LINE_VS_POINTS);
stopVolBarPlot.SetDefaultColor(Color.green);
stopVolBarPlot.HideBubble();
stopVolBarPlot.HideTitle();

# green triangle up at bottom of the bar C_RP Green arrow up 4 * tickSize for strong strength_In_DownTrend
plot isStrengthConfirmationBarPlot = if isStrengthConfirmationBar then (low - 4 * tickSize()) else Double.NAN;
isStrengthConfirmationBarPlot.SetPaintingStrategy(PaintingStrategy.ARROW_UP);
isStrengthConfirmationBarPlot.SetDefaultColor(Color.green);
isStrengthConfirmationBarPlot.HideBubble();
isStrengthConfirmationBarPlot.HideTitle();

# green triangle up at bottom of the bar C_RP Green arrow up 7 * tickSize for strongest strength_In_DownTrend with isUpCloseBar
plot isStrengthConfirmationBarPlot2 = if isStrengthConfirmationBar2 then (low - 7 * tickSize()) else Double.NAN;
isStrengthConfirmationBarPlot2.SetPaintingStrategy(PaintingStrategy.ARROW_UP);
isStrengthConfirmationBarPlot2.SetDefaultColor(Color.green);
isStrengthConfirmationBarPlot2.HideBubble();
isStrengthConfirmationBarPlot2.HideTitle();

# blue square at top of bar C_RP orange
plot isPseudoUpThrustBarPlot = if isPseudoUpThrustBar then (high + 2 * tickSize()) else Double.NAN;
isPseudoUpThrustBarPlot.SetPaintingStrategy(PaintingStrategy.LINE_VS_SQUARES);
isPseudoUpThrustBarPlot.SetDefaultColor(CreateColor(255,102,102));
isPseudoUpThrustBarPlot.HideBubble();
isPseudoUpThrustBarPlot.HideTitle();

# blue triangle (down) at top of bar C_RP orange
plot pseudoUpThrustConfirmationPlot = if pseudoUpThrustConfirmation then (high + 2 * tickSize()) else Double.NAN;
pseudoUpThrustConfirmationPlot.SetPaintingStrategy(PaintingStrategy.LINE_VS_TRIANGLES);
pseudoUpThrustConfirmationPlot.SetDefaultColor(CreateColor(255,102,102));
pseudoUpThrustConfirmationPlot.HideBubble();
pseudoUpThrustConfirmationPlot.HideTitle();

# Failed UpthrustBarPlot Confirmation plots a green square 2 * tickSize above the failed bar C_RP
plot FailedUpThrustConfirmationPlot = if isFailedUpthrustConfirmation then (high + 2 * tickSize()) else Double.NAN;
FailedUpThrustConfirmationPlot.SetPaintingStrategy(PaintingStrategy.LINE_VS_SQUARES);
FailedUpThrustConfirmationPlot.SetDefaultColor(Color.green);
FailedUpThrustConfirmationPlot.HideBubble();
FailedUpThrustConfirmationPlot.HideTitle();

# yellow triangle (down) at top of bar
plot weaknessBarPlot = if weaknessBar then (high + 2 * tickSize()) else Double.NAN;
weaknessBarPlot.SetPaintingStrategy(PaintingStrategy.LINE_VS_TRIANGLES);
weaknessBarPlot.SetDefaultColor(Color.yellow);
weaknessBarPlot.HideBubble();
weaknessBarPlot.HideTitle();

# aqua triangle up at bottom of bar C_RP green triangle for next-to-strongest strengthInDownTrend
plot strengthInDownTrend2Plot = if strengthInDownTrend2 then (low - 2 * tickSize()) else Double.NAN;
strengthInDownTrend2Plot.SetPaintingStrategy(PaintingStrategy.LINE_VS_TRIANGLES);
strengthInDownTrend2Plot.SetDefaultColor(Color.green); # ????
strengthInDownTrend2Plot.HideBubble();
strengthInDownTrend2Plot.HideTitle();

# Failed strength in downtrend signal plots red square at candle's bottom. Under rare conditions a strengthinDownTrend2 green triangle can be overwritten by a successfulsupplyTest cyan triangle below the previous bar. If the bar following the cyan triangle is a FailedStrengthSignal a red square will be plotted on the following bar which is a desirable artifact of this coincidence. C_RP

plot failedstrengthsignalPlot = if isfailedstrengthsignal then (low - 2 * tickSize()) else Double.NAN;
failedstrengthsignalPlot.SetPaintingStrategy(PaintingStrategy.LINE_VS_SQUARES);
failedstrengthsignalPlot.SetDefaultColor(Color.red);
failedstrengthsignalPlot.HideBubble();
failedstrengthsignalPlot.HideTitle();

# distribution at end of uptrend - blue square on top C_RP magenta
plot distributionBarPlot = if distributionBar then (high + 2 * tickSize()) else Double.NAN;
distributionBarPlot.SetPaintingStrategy(PaintingStrategy.LINE_VS_SQUARES);
distributionBarPlot.SetDefaultColor (Color.magenta);
distributionBarPlot.HideBubble();
distributionBarPlot.HideTitle();

# supply test bar - pink square on bottom C_RP white
plot supplyTestBarPlot = if supplyTestBar then (low - 2 * tickSize()) else Double.NAN;
supplyTestBarPlot.SetPaintingStrategy(PaintingStrategy.LINE_VS_SQUARES);
supplyTestBarPlot.SetDefaultColor(Color.white);
supplyTestBarPlot.HideBubble();
supplyTestBarPlot.HideTitle();

# no demand bar - blue squre on top C_RP orange circle
plot noDemandBarPlot = if noDemandBar then (high + 2 * tickSize()) else Double.NAN;
noDemandBarPlot.SetPaintingStrategy(PaintingStrategy.LINE_VS_POINTS);
noDemandBarPlot.SetDefaultColor(CreateColor(255,102,102));
noDemandBarPlot.HideBubble();
noDemandBarPlot.HideTitle();

# no supply bar - lime diamond on bottom C_RP turquoise
plot noSupplyBarPlot = if noSupplyBar then (low - 2 * tickSize()) else Double.NAN;
noSupplyBarPlot.SetPaintingStrategy(PaintingStrategy.LINE_VS_POINTS);
noSupplyBarPlot.SetDefaultColor (Color.cyan);
noSupplyBarPlot.HideBubble();
noSupplyBarPlot.HideTitle();

# effort to move up - turquoise diamond in the median of the bar C_RP green
plot effortToMoveUpBarPlot = if effortToMoveUpBar then (median) else Double.NAN;
effortToMoveUpBarPlot.SetPaintingStrategy(PaintingStrategy.LINE_VS_POINTS);
effortToMoveUpBarPlot.SetDefaultColor(CreateColor(0, 255, 0));
effortToMoveUpBarPlot.HideBubble();
effortToMoveUpBarPlot.HideTitle();

# effort to move down - yellow diamond in the median of the bar C_RP for all except red bars the circle's color is magenta
plot effortToMoveDownBarPlot = if effortToMoveDownBar && !(shortTermTrendSlope < 0 && MiddleTermTrendSlope < 0 && longTermTrendSlope < 0) then (median) else Double.NAN;
effortToMoveDownBarPlot.SetPaintingStrategy(PaintingStrategy.LINE_VS_POINTS);
effortToMoveDownBarPlot.SetDefaultColor(Color.magenta);
effortToMoveDownBarPlot.HideBubble();
effortToMoveDownBarPlot.HideTitle();

# effort to move down - yellow diamond in the median of the bar C_RP yellow circle for Red bars
plot effortToMoveDownBarPlotYel = if effortToMoveDownBar && shortTermTrendSlope < 0 && MiddleTermTrendSlope < 0 && longtermtrendslope < 0 then (median) else Double.NAN;
effortToMoveDownBarPlotYel.SetPaintingStrategy(PaintingStrategy.LINE_VS_POINTS);
effortToMoveDownBarPlotYel.SetDefaultColor(Color.yellow);
effortToMoveDownBarPlotYel.HideBubble();
effortToMoveDownBarPlotYel.HideTitle();



######
# Candle definitions

AssignPriceColor( if colorBars and shortTermTrendSlope > 0 and MiddleTermTrendSlope > 0 and longtermtrendslope > 0 then CreateColor(0, 255, 0)
else if colorBars and shortTermTrendSlope > 0 and MiddleTermTrendSlope > 0 and longtermtrendslope < 0 then Color.green else if
colorBars and shortTermTrendSlope > 0 and MiddleTermTrendSlope < 0 and longtermtrendslope < 0 then CreateColor(153, 255, 153) else if
colorBars and shortTermTrendSlope < 0 and MiddleTermTrendSlope < 0 and longtermtrendslope < 0 then Color.red else if
colorBars and shortTermTrendSlope < 0 and MiddleTermTrendSlope > 0 and longtermtrendslope > 0 then CreateColor(153, 255, 153) else if
colorBars and shortTermTrendSlope < 0 and MiddleTermTrendSlope < 0 and longtermtrendslope > 0 then color.orange
else if colorBars then Color.yellow else GetColor(7));


#######
# Trend Text Definitions
# C_RP 20100722 edited by Richard Paske to shorten text
# C_RP some colors changed to match symbols with text backgrounds

AddChartLabel(trendText, concat("Vol: ", if volume > sAvgVolume[0] + 2.0 * sAvgVolumeSTD then "VH"
else if Volume[0] > (sAvgVolume[0] + 1.0 * sAvgVolumeSTD) then "H"
else if (Volume[0] > sAvgVolume[0]) then ">Avg"
else if (Volume[0] < sAvgVolume[0] && Volume[0] > (sAvgVolume[0] - 1.0 * sAvgVolumeSTD)) then "<Avg"
else if (Volume[0] < (sAvgVolume[0] - 1.0 * sAvgVolumeSTD)) then "L"
else ""winking smiley, Color.white);
AddChartLabel(trendText, concat("Spr: ", if (spread > (avgSpread * 2.0)) then "W"
else if (spread > avgSpread) then ">Avg"
else "N"winking smiley, Color.white);

# C_RP 20100809 added isVeryLowCloseBar and changed execution order so that both Verys and Mid execute first
AddChartLabel(trendText, concat("Cls: ", if (isVeryHighCloseBar) then "VH"
else if (isVeryLowCloseBar) then "VL"
else if (isMidCloseBar) then "M"
else if (isUpCloseBar) then "H"
else if (isDownCloseBar) then "D"
else "NC"winking smiley, Color.white);

AddChartLabel(trendText, concat("Trd: ", concat("St-", if (ShortTermTrendSlope > 0) then "U"
else "D"winking smiley), Color.white);

AddChartLabel(trendText, concat("Mt-", if (MiddleTermTrendSlope > 0) then "U" else "D"winking smiley, Color.white);

AddChartLabel(trendText, concat("Lt-", if (LongTermTrendSlope > 0) then "U" else "D"winking smiley, Color.white);


######
# Volume Bar Definitions

AddChartLabel(volumeDefinitions, if isUpThrustBar[0] then "An Upthrust Bar. A sign of weakness."
else if upThrustConditionOne then "A downbar after an Upthrust. Confirm weakness."
else if upThrustConditionTwo && !upThrustConditionOne then "A High Volume downbar after an Upthrust. Confirm weakness."
else if upThrustConditionThree then "This upthrust at very High Volume, Confirms weakness"
else if isTwoPerUpT then "Two Period UpThrust indicates weakness"
else if isThreePerUpT then "Three Period UpThrust indicates weakness"
else if isGraveDojiBar then "Gravestone Doji, watch for potential reversal"
else if strengthInDownTrend1 then "Strength seen returning after a down trend. High volume adds to strength. "
else if strengthInDownTrend0 && !strengthInDownTrend then "Strength seen returning after a down trend."
else if strengthInDownTrend && !strengthInDownTrend1 then "Strength seen returning after a long down trend."
else if supplyTestBar[0] then "Test for supply."
else if successfulSupplyTestBar[0] then "An Upbar closing near High after a Test confirms strength."
else if isStrengthConfirmationBar then "An Upbar indicates a return of Strength."
else if isStrengthConfirmationBar2 then "An Upbar closing near High confirms a return of Strength."
else if isfailedstrengthsignal then "Failed Strength Confirmation in downtrend is bearish."
else if distributionBar then "A High Volume Up Bar closing down in a uptrend shows Distribution."
else if isPseudoUpThrustBar[0] then "Psuedo UpThrust. A Sign of Weakness."
else if pseudoUpThrustConfirmation then "A Down Bar closing down after a Pseudo Upthrust confirms weakness."
else if isFailedUpthrustConfirmation then "Failed Upthrust or pseudoUpThrust Confirmation is less bearish."
else if supplyTestInUpTrendBar then "Test for supply in a uptrend. Sign of Strength."
else if strengthInDownTrend2 then "High volume upbar closing on the high indicates strength."
else if weaknessBar then "High volume Downbar after an upmove on high volume indicates weakness."
else if noDemandBar then "No Demand. A sign of Weakness."
else if noSupplyBar then "No Supply. A sign of Strength."
else if effortToMoveUpBar[0] then "Effort to Rise. Bullish sign."
else if effortToMoveDownBar then "Effort to Fall. Bearish sign."
else if failedEffortUpMove then "Effort to Move up has failed. Bearish sign."
else if stopVolBar then "Stopping volume. Normally indicates end of bearishness is nearing."
else "",
if isUpThrustBar[0] then Color.Red
else if upThrustConditionOne then Color.red
else if upThrustConditionTwo && !upThrustConditionOne then Color.red
else if upThrustConditionThree then Color.red
else if isTwoPerUpT then Color.magenta
else if isThreePerUpT then Color.magenta
else if isGraveDojiBar then CreateColor(255,255,255)
else if strengthInDownTrend1 then Color.green
else if strengthInDownTrend0 && !strengthInDownTrend then Color.cyan
else if strengthInDownTrend && !strengthInDownTrend1 then Color.cyan
else if isFailedStrengthSignal then Color.red
else if supplyTestBar[0] then Color.white
else if successfulSupplyTestBar[0] then CreateColor(102,255,0)
else if isStrengthConfirmationBar then Color.Green
else if distributionBar then Color.magenta
else if isPseudoUpThrustBar[0] then (CreateColor(255,102,102))
else if pseudoUpThrustConfirmation then (CreateColor(255,102,102))
else if isFailedUpThrustConfirmation then (Color.green)
else if supplyTestInUpTrendBar then CreateColor(153,153,153)
else if strengthInDownTrend2 then Color.green
else if weaknessBar then Color.Yellow
else if noDemandBar then CreateColor(255,102,102)
else if noSupplyBar then Color.cyan
else if effortToMoveUpBar[0] then CreateColor(0, 255,0)
else if effortToMoveDownBar then Color.magenta
else if failedEffortUpMove then Color.Blue
else if stopVolBar then Color.green
else Color.black);

########
# Alerts

alert(if alerts and (isUpThrustBar[0]
or upThrustConditionOne
or (upThrustConditionTwo && !upThrustConditionOne)
or upThrustConditionThree
or strengthInDownTrend1
or (strengthInDownTrend0 && !strengthInDownTrend)
or (strengthInDownTrend && !strengthInDownTrend1)
or supplyTestBar[0]
or successfulSupplyTestBar[0]
or isStrengthConfirmationBar
or distributionBar
or isPseudoUpThrustBar[0]
or pseudoUpThrustConfirmation
or supplyTestInUpTrendBar
or strengthInDownTrend2
or weaknessBar
or noDemandBar
or noSupplyBar
or effortToMoveUpBar[0]
or effortToMoveDownBar
or failedEffortUpMove
or stopVolBar) then 1 else 0, if isUpThrustBar[0] then "An Upthrust Bar. A sign of weakness."
else if upThrustConditionOne then "A downbar after an Upthrust. Confirm weakness."
else if upThrustConditionTwo && !upThrustConditionOne then "A High Volume downbar after an Upthrust. Confirm weakness."
else if upThrustConditionThree then "This upthrust at very High Volume, Confirms weakness."
else if strengthInDownTrend1 then "Strength seen returning after a down trend. High volume adds to strength. "
else if strengthInDownTrend0 && !strengthInDownTrend then "Strength seen returning after a down trend."
else if strengthInDownTrend && !strengthInDownTrend1 then "Strength seen returning after a long down trend."
else if supplyTestBar[0] then "Test for supply."
else if successfulSupplyTestBar[0] then "An Upbar closing near High after a Test confirms strength."
else if isStrengthConfirmationBar then "An Upbar closing near High. Confirms return of Strength."
else if distributionBar then "A High Volume Up Bar closing down in a uptrend shows Distribution."
else if isPseudoUpThrustBar[0] then "Psuedo UpThrust. A Sign of Weakness."
else if pseudoUpThrustConfirmation then "A Down Bar closing down after a Pseudo Upthrust confirms weakness."
else if supplyTestInUpTrendBar then "Test for supply in a uptrend. Sign of Strength."
else if strengthInDownTrend2 then "High volume upbar closing on the high indicates strength."
else if weaknessBar then "High volume Downbar after an upmove on high volume indicates weakness."
else if noDemandBar then "No Demand. A sign of Weakness."
else if noSupplyBar then "No Supply. A sign of Strength."
else if effortToMoveUpBar[0] then "Effort to Rise. Bullish sign."
else if effortToMoveDownBar then "Effort to Fall. Bearish sign."
else if failedEffortUpMove then "Effort to Move up has failed. Bearish sign."
else if stopVolBar then "Stopping volume. Normally indicates end of bearishness is nearing."
else "", Alert.BAR, Sound.Ding);

# Red Square - UpThrust bar.
# Blue Diamond - Reversal possible, yesterday was high volume wide spread up bar, but
# today we reached 10 days high with low close wide spread down bar.
# Red Triangle Down - UpThrust confirmation.
# Lime Square - Strength bar (either strength is showing in down trend or a supply
# test in up trend).
# Yellow Triangle Up - An Upbar closing near High after a Test confirms strength.
# Lime Diamond - Stopping volume. Normally indicates end of bearishness is nearing
# /OR/ No supply.
# Lime Triangle Up - The previous bar saw strength coming back, This upbar confirms strength.
# Blue Square - Psuedo UpThrust, A Sign of Weakness /OR/ A High Volume Up Bar closing
# down in a uptrend shows Distribution /OR/ No Demand.
# Blue Triangle Down - A Down Bar closing down after a Pseudo Upthrust confirms weakness.
# Yellow Triangle Down - High volume Downbar after an upmove on high volume indicates weakness.
# Aqua Triangle Up - High volume upbar closing on the high indicates strength (in short
# term down trend).
# Deep Pink Square - Test for supply.
# Turquoise Diamond - Effort to Rise. Bullish sign.
# Yellow Diamond - Effort to Fall. Bearish sign.
Re: VPA indicator
November 21, 2016 11:42AM
Awesome, thanks for sharing that with us Sara!
Re: VPA indicator
November 21, 2016 12:08PM
# Volume Bars
declare lower;

input volumeEMALength = 30;

input narrowSpreadFactor = 0.7;
input wideSpreadFactor = 1.5;
input aboveAvgVolfactor = 1.5;
input ultraHighVolfactor = 2;
input highCloseFactor = 0.70;
input lowCloseFactor = 0.25;

rec spread = high - low;
def median = (high + low )/2;
rec avgVolume = compoundValue(volumeEMALength,ExpAverage(volume, volumeEMALength), Double.NaN);

# Calculate Volume moving average and it's standard deviation
rec sAvgVolume = compoundValue(volumeEMALength,Average(volume, volumeEMALength), Double.NaN);
def sAvgVolumeSTD = stdev(sAvgVolume, volumeEMALength);

# check if the vloume has been decreasing in the past two days.
def isTwoDaysLowVol = (volume < volume[1] && volume[0] < volume[2]);

# Calculate Range information
def avgSpread = WildersAverage(spread, volumeEMALength)[0];
rec isWideSpreadBar = (spread > (wideSpreadFactor * avgSpread));
rec isNarrowSpreadBar = (spread < (narrowSpreadFactor * avgSpread));

# Price information
rec isUpBar = close > close[1];
rec isDownBar = close < close[1];

# Check if the close is in the Highs/Lows/Middle of the bar.
def x1 = if (close == low) then avgSpread else (spread / (close - low));

def isUpCloseBar = (x1 < 2);
def isDownCloseBar = (x1 > 2);
def isMidCloseBar = (x1 < 2.2 && x1 > 1.8);
def isVeryHighCloseBar = (x1 < 1.35);

# Trend Definitions
rec fiveDaysSma = compoundValue(5, Average(close, 5)[0], Double.NaN);
def LongTermTrendSlope = LinearRegressionSlope(price=fiveDaysSma,length=40)[0];
def MiddleTermTrendSlope = LinearRegressionSlope(price=fiveDaysSma,length=15)[0];
def ShortTermTrendSlope = LinearRegressionSlope(price=fiveDaysSma, length=5)[0];

######################################################################
# VSA Definitions

# utbar
rec isUpThrustBar = isWideSpreadBar && isDownCloseBar && ShortTermTrendSlope > 0;
# utcond1
def upThrustConditionOne = (isUpThrustBar[1] && isDownBar);
# utcond2
def upThrustConditionTwo = (isUpThrustBar[1] && isDownBar[0] && volume > volume[1]);
# utcond3
def upThrustConditionThree = (isUpThrustBar[0] && volume > 2 * sAvgVolume[0]);
# scond1
rec isConfirmedUpThrustBar = (upThrustConditionOne OR upThrustConditionTwo OR upThrustConditionThree);
# scond
rec isNewConfirmedUpThrustBar = (isConfirmedUpThrustBar[0] && !isConfirmedUpThrustBar[1]);

# trbar
def reversalLikelyBar = (volume[1] > sAvgVolume[0] && isUpBar[1] && isWideSpreadBar[1] && isDownBar[0] && isDownCloseBar && isWideSpreadBar[0] && LongTermTrendSlope > 0 && high == Highest(high, 10)[0]);

# hutbar
rec isPseudoUpThrustBar = (isUpBar[1] && (volume[1] > aboveAvgVolfactor * sAvgVolume[0]) && isDownBar[0] && isDownCloseBar && !isWideSpreadBar[0] && !isUpThrustBar[0]);
# hutcond
def pseudoUpThrustConfirmation = (isPseudoUpThrustBar[1] && isDownBar[0] && isDownCloseBar && !isUpThrustBar[0]);

# tcbar
def weaknessBar = (isUpBar[1] && high[0] == Highest(high, 5)[0] && isDownBar[0] && (isDownCloseBar OR isMidCloseBar) && volume[0] > sAvgVolume[0] && !isWideSpreadBar[0] && !isPseudoUpThrustBar[0]);

# stdn, stdn0, stdn1, stdn2
def strengthInDownTrend = (volume[0] > volume[1] && isDownBar[1] && isUpBar[0] && (isUpCloseBar OR isMidCloseBar) && ShortTermTrendSlope < 0 && MiddleTermTrendSlope < 0);
def strengthInDownTrend0 = (volume[0] > volume[1] && isDownBar[1] && isUpBar[0] && (isUpCloseBar OR isMidCloseBar) && ShortTermTrendSlope < 0 && MiddleTermTrendSlope < 0 && LongTermTrendSlope < 0);
def strengthInDownTrend1 = (volume[0] > (sAvgVolume[0] * aboveAvgVolfactor) && isDownBar[1] && isUpBar[0] && (isUpCloseBar OR isMidCloseBar) && ShortTermTrendSlope < 0 && MiddleTermTrendSlope < 0 && LongTermTrendSlope < 0);
def strengthInDownTrend2 = (volume[1] < sAvgVolume[0] && isUpBar[0] && isVeryHighCloseBar && volume[0] > sAvgVolume[0] && ShortTermTrendSlope < 0);

rec bycond1 = (strengthInDownTrend OR strengthInDownTrend1);

# bycond
def isStrengthConfirmationBar = (isUpBar[0] && bycond1[1]);

# stvol
def stopVolBar = low[0] == Lowest(low, 5)[0] && (isUpCloseBar OR isMidCloseBar) && volume[0] > aboveAvgVolfactor * sAvgVolume[0] && LongTermTrendSlope < 0;

# ndbar, nsbar
def noDemandBar = (isUpBar[0] && isNarrowSpreadBar[0] && isTwoDaysLowVol && isDownCloseBar);
def noSupplyBar = (isDownBar[0] && isNarrowSpreadBar[0] && isTwoDaysLowVol && isDownCloseBar);

# lvtbar, lvtbar1, lvtbar2
rec supplyTestBar = (isTwoDaysLowVol && low[0] < low[1] && isUpCloseBar);
def supplyTestInUpTrendBar = (volume[0] < sAvgVolume[0] && Low[0] < Low[1] && isUpCloseBar && LongTermTrendSlope > 0 && MiddleTermTrendSlope > 0 && isWideSpreadBar[0]);
def successfulSupplyTestBar = (supplyTestBar[1] && isUpBar[0] && isUpCloseBar);

# dbar
def distributionBar = (volume[0] > ultraHighVolfactor * sAvgVolume[0] && isDownCloseBar && isUpBar[0] && ShortTermTrendSlope > 0 && MiddleTermTrendSlope > 0 && !isConfirmedUpThrustBar[0] && !isUpThrustBar[0]);

# eftup, eftupfl, eftdn
def effortToMoveUpBar = (high[0] > high[1] && low[0] > low[1] && Close[0] > Close[1] && Close[0] >= ((high[0] - low[0]) * highCloseFactor + low[0]) && spread[0] > avgSpread && volume[0] > volume[1]);
def failedEffortUpMove = (effortToMoveUpBar[1] && (isUpThrustBar[0] OR upThrustConditionOne OR upThrustConditionTwo OR upThrustConditionThree));

def effortToMoveDownBar = (high[0] < high[1] && low[0] < low[1] && close[0] < close[1] && Close[0] <= ((high[0] - low[0]) * lowCloseFactor + low[0]) && spread[0] > avgSpread && volume[0] > volume[1]);

#############
# Plot the volume

plot Vol = volume;
plot VolAvg = avgVolume;

Vol.SetDefaultColor(GetColor(1));
Vol.SetPaintingStrategy(PaintingStrategy.HISTOGRAM);
Vol.SetLineWeight(3);
Vol.DefineColor("Strong", Color.green);
Vol.DefineColor("Weak", Color.red);
Vol.DefineColor("Strong-Weak", Color.yellow);

Vol.AssignValueColor(if upThrustConditionThree or upThrustConditionTwo or isUpThrustBar[0] then Vol.color("Weak"winking smiley else if strengthInDownTrend or strengthInDownTrend0 or strengthInDownTrend1 or strengthInDownTrend2 then Vol.color("Strong"winking smiley else Vol.color("Strong-Weak"winking smiley);

VolAvg.SetDefaultColor(Color.blue);
Re: VPA indicator
November 21, 2016 12:41PM
How are your long term results using this?
Re: VPA indicator
November 21, 2016 11:59PM
I found it with some positive views, but I didn't test it yet. I just want to share it and get feedback and tips from the people of experience here smiling smiley

Here are the Files to Downloads:

On Chart:
[www.filedropper.com]

On Volume :
[www.filedropper.com]

Explanation:
[www.filedropper.com]
Re: VPA indicator
April 17, 2017 02:41PM
Hello Sara,
Impressive work! Thank you for sharing.
I am kind of new to TOS and I am just learning my way around. I Understand how to copy the code into thinkscript and set up indicator with it. I copy your code into a clean chart and I am not getting exactly what you are showing on your chart. Not sure If I am missing a steep. This is What I did.
1. For the chart portion copy and paste the code into the thinkscript window. It highlighted a section of the code as invalid statement so I deleted it and it was fine.(part with smiley face).
2. Then I copy the code for the volume portion into a separate thinkscript window. Also had some invalid error, which I deleted. I applied to the chat but got no colors on the bars like yours.
Again not sure if doing something wrong
Thanks for the help


.
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