OPEN-SOURCE SCRIPT
Hancock - Filtered Volume OBV
This idea was taken from "Trading Systems and Methods - 2013".
"The decision to remove low volume days, or intervals, means that a series of low volume days that results in a collective change will be ignored. If you have decided that removing those days makes sense, then measure the daily or intraday volume against a threshold created using the average volume minus one or two standard deviations of the volume.
Using a 1 standard deviation filter will remove the lowest 16% of the days; a 2 standard deviation filter removes 32% of the days. This type of filter is best applied to a volume index, such as On-Balance Volume. For example, we find that the average volume on the New York Stock Exchange is 1.5 billion shares, and 1 standard deviation of the volume is 0.25 billion shares. We decide that the volume filter is 2 standard deviations; therefore, any day with volume below 1.0 billion shares will be ignored." - Trading Systems and Methods, 2013.
This has a signal line ema which is subtracted from the volume filtered OBV to produce a simple oscillator giving signals above or below the 0 line.
Happy Trading
Hancock
"The decision to remove low volume days, or intervals, means that a series of low volume days that results in a collective change will be ignored. If you have decided that removing those days makes sense, then measure the daily or intraday volume against a threshold created using the average volume minus one or two standard deviations of the volume.
Using a 1 standard deviation filter will remove the lowest 16% of the days; a 2 standard deviation filter removes 32% of the days. This type of filter is best applied to a volume index, such as On-Balance Volume. For example, we find that the average volume on the New York Stock Exchange is 1.5 billion shares, and 1 standard deviation of the volume is 0.25 billion shares. We decide that the volume filter is 2 standard deviations; therefore, any day with volume below 1.0 billion shares will be ignored." - Trading Systems and Methods, 2013.
This has a signal line ema which is subtracted from the volume filtered OBV to produce a simple oscillator giving signals above or below the 0 line.
Happy Trading
Hancock
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