Velocity, Acceleration and Momentum

• 03/27/2021 at 3:15 PM #165495
  Khaled

  Hello everyone,

  I’ve been looking for filter to avoid false signals and want to submit this idea for improvement and critical thinking… Please share your thoughts.

  Nothing new, just compiling some physics principles. May be something similar exist already.

  The two basic principales are the Velocity (https://en.wikipedia.org/wiki/Velocity) and the Momentum (https://en.wikipedia.org/wiki/Momentum), applied to price and volume.

  For the price to make a signficant change in a sustainable manner, we need both acceleration in price change with signficant volume.

  The problem I found comparing Intraday Volume to previous bars (Volume > Volume[1]) or to Intraday Average Volume or to volume same time on previous day doesn’t work consistently and may be impacted by Geopolitics, Macro, etc. Further, because of the large volume on the X first bars of the day, most of the volume bars are below the the Intraday Average Volume, so the filter is defeated.

  Velocity = (Indicator – Indicator[1]) / (T – T[1])

  Acceleration = (Velocity – Velocity[1]) / (T – T[1])

  One can apply this idea to Close, MedianPrice, Averages, etc. I chose Hull Average in the exemple below because its one of the most sensitive.

  Then, to move the price in a sustainable manner => Momentum = Mass * Velocity.

  I chose to define Mass as (MedianPrice * Volume) “Mass of Money”.

  For Long, if Acceleration (change is Velocity) is higher than its EMA and Momentum is positive and higher than its EMA, then if your Indicator(s), say Moving Average crossing or Stochastics, etc., give a Signal, there is a high probability that it’s not a false signal and you can enter the trade with more assurance. (the opposite for Shorts)

  When you’re already in position, this might be used as Exit Signal in the opposite direction.

  Please share your thoughts!

  Velocity, Acceleration and Momentum

  DEFPARAM CALCULATEONLASTBARS=500 Period = 1 PRICE = MEDIANPRICE Mass1 = (PRICE * VOLUME) av1 = HullAverage[13](close) av2 = HullAverage[34](close) Velocity1Av1 = (av1 - av1[Period])/Period Velocity0Av1 = (av1[1] - av1[Period+1])/Period Acceleration1Avg1 = (Velocity1Av1 - Velocity0Av1) / Period EMAAcceleration1 = ExponentialAverage[8](Acceleration1Avg1) Momentum1 = Mass1 * Velocity1Av1 EMAMomentum1 = ExponentialAverage[8](Momentum1) Velocity1Av2 = (av2 - av2[Period])/Period Velocity0Av2 = (av2[1] - av2[Period+1])/Period Acceleration1Avg2 = (Velocity1Av2 - Velocity0Av2) / Period EMAAcceleration2 = ExponentialAverage[8](Acceleration1Avg2) IF Acceleration1Avg1 > EMAAcceleration1 and Acceleration1Avg1 > Acceleration1Avg2 and Momentum1 > 0 and Momentum1 > EMAMomentum1 THEN DRAWARROWUP(barindex, -1.5) coloured(0,255,0) ENDIF IF Acceleration1Avg1 < EMAAcceleration1 and Acceleration1Avg1 < Acceleration1Avg2 and Momentum1 < 0 and Momentum1 < EMAMomentum1 THEN DRAWARROWDOWN(barindex, 1.5) coloured(255,0,0) ENDIF RETURN +2, -2

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33

  DEFPARAM CALCULATEONLASTBARS=500   Period = 1   PRICE = MEDIANPRICE Mass1  = (PRICE * VOLUME)   av1 = HullAverage[13](close) av2 = HullAverage[34](close)   Velocity1Av1 = (av1 - av1[Period])/Period Velocity0Av1 = (av1[1] - av1[Period+1])/Period Acceleration1Avg1 = (Velocity1Av1 - Velocity0Av1) / Period EMAAcceleration1 = ExponentialAverage[8](Acceleration1Avg1)   Momentum1 = Mass1 * Velocity1Av1 EMAMomentum1 = ExponentialAverage[8](Momentum1)   Velocity1Av2 = (av2 - av2[Period])/Period Velocity0Av2 = (av2[1] - av2[Period+1])/Period Acceleration1Avg2 = (Velocity1Av2 - Velocity0Av2) / Period EMAAcceleration2 = ExponentialAverage[8](Acceleration1Avg2)     IF Acceleration1Avg1 > EMAAcceleration1 and Acceleration1Avg1 > Acceleration1Avg2 and Momentum1 > 0 and Momentum1 > EMAMomentum1 THEN DRAWARROWUP(barindex, -1.5) coloured(0,255,0) ENDIF   IF Acceleration1Avg1 < EMAAcceleration1 and Acceleration1Avg1 < Acceleration1Avg2 and Momentum1 < 0 and Momentum1 < EMAMomentum1 THEN DRAWARROWDOWN(barindex, 1.5) coloured(255,0,0) ENDIF   RETURN +2, -2

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  Monochrome, PLermite, Nicolas

  

  Khaled

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  03/27/2021 at 3:41 PM #165497
  Khaled

  @GraHal @Nicolas @robertogozzi @Monochrome @Vonasi

  Appreciate your thoughts on the above. Thanks

  

  Khaled

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  03/27/2021 at 6:00 PM #165501
  robertogozzi

  It’s a very nice and useful idea.

  Thanks for sharing with us! 🙂

  When drawing arrows I suggest that you use a more portable code. Instead of +1.5 and -1.5 you could use:

  (high + (range * 1.5)) (low - (range * 1.5))

  1 2	(high + (range * 1.5)) (low  - (range * 1.5))

  what use is RETURN +2, -2 ?

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  Khaled

  

  robertogozzi

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  03/27/2021 at 6:16 PM #165503
  Khaled

  Thank you Roberto. As my programming skills are average, I use “+2, -2” to have the arrows, placed at “+1.5, -1.5”, visible… it’s that simple 🙂 I’ll use your suggestion ((high + (range * 1.5)))

  

  Khaled

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  08/27/2023 at 11:21 PM #219891
  n_nwosu

  Hi Guys, I am not able to use this code. It appears to have some errors on it. Is anyone able to remove the errors on this code and post a working one. Thank you in advance. Regards

  

  n_nwosu

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  08/28/2023 at 3:42 PM #219956
  robertogozzi

  It’s due to lines 5 and 6, where the variable PRICE is defined and used. It is now a RESERVED keyword (which wasn’t back then), so you should replace PRICE with myPRICE, like that:

  myPRICE = MEDIANPRICE Mass1 = (myPRICE * VOLUME)

  1 2	myPRICE = MEDIANPRICE Mass1  = (myPRICE * VOLUME)

   

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  PeterSt

  

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