2nd derivative test for volume

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09/24/2021 at 6:35 PM #178327 quote

Participant

Average

Good day, I hope you are having a great weekend.

Has anyone seen anyone making an indicator or scanner with the second derivative test of preferably volume ( if not, its price is ok too)? The second derivative test is basically the slope of the slope. It is a similar relationship to acceleration and speed.

Rough concept code will be like this:

///////////////1st derivative test ///////////////

IF (Volume[2] - Volume[1]) < -1  THEN 

SlopeDecending2=-1                             

IF (Volume[1] - Volume) <  -1    THEN   // the above decending has been contenuaslly going down

SlopeDecending1=-1                              


///////////////2nd derivative test ///////////////


IF  (Volume[2] - Volume[1])  <   (Volume[1] - Volume)  THEN

Steepness=-1                               //Sharply falling stringent down


ELSE                                             //The above decending is ending soon

Steepness= 1                                //Bearish is ending and recovering to be Bull soon

Reference:

https://www.khanacademy.org/math/ap-calculus-ab/ab-diff-analytical-applications-new/ab-5-7/v/second-derivative-test

09/27/2021 at 3:25 PM #178574 quote

Participant

Master

<u>FD First derivative (slope)</u>

FD = Close – Close[n]

When FD = 0 then there is a relative maximum or minimum value.

<u>SD Second derivative (slope of the slope)</u>

SD = FD – FD[n]

When FD = 0 and SD < 0 then there is a relative maximum value.

When FD = 0 and SD > 0 then there is a relative minimum value.

FD = Close - Close[n]
SD = FD - FD[n]

If FD = 0 and SD > 0 then
Buy x contract at Market
ElsIf FD = 0 and SD < 0 then
SellShort x contract at Market
EndIf

Suzu Yuk thanked this post

09/27/2021 at 3:42 PM #178576 quote

robertogozzi

Moderator

Legend

Line 1 will almost never return 0, so lines 4 and 6 will almost never be true.

Could lines 4 and 6 be If FD <> 0 and ?

09/27/2021 at 4:07 PM #178580 quote

Participant

Master

Seems to work fine but you can use “round” if you like…
FD must be equal to zero because at this value there is a relative max. value or relative min. value.

robertogozzi and Suzu Yuk thanked this post

09/27/2021 at 5:33 PM #178588 quote

robertogozzi

Moderator

Legend

It works. Thank you 🙂

09/28/2021 at 3:56 PM #178663 quote

Suzu Yuk

Participant

Average

Thank you very much, Rob and Js!! After using “” If FD <> 0 and “” I did it!! It is working.

I still have to clean up the code but here is the progress so far.

Defparam CalculateOnLastBars = 5000
// 
//AvgPeriod=14                       // opens & closes 1 day back
//pubs = ( Dclose(2) - Dopen(1) )    // yesterday close -> today open
//profs = ( Dopen(1) - Dclose(1) )   // today open -> today close
//pubsAvg = average[AvgPeriod](pubs)
//profsAvg = average[AvgPeriod](profs)
//return pubsAvg as "pub", profsAvg as "pros", 0 as "zero line"
fade1=10
fade2=100
fade3=200

dis1=1.5
dis2=2.5
dis3=3
dis4=4.5
dis5=5
plus1=1
atr = averagetruerange[10](close)*0.5
ABSProfessionalslope=ABS(slopePro)
a0=1
a1=5
a2=20
s0=20
s1=40

pub=open-close[1]
pro=close-open
Avepub=average[24](pub)
Avepro=average[24](pro)

////////////////profe slope //////////////////
sum3= (Avepro -Avepro [1])+(Avepro[1] -Avepro [2])+(Avepro[2] -Avepro [3])
slopePro =sum3/3
if slopePro > slopePro[1] then
PubSlope=1
DRAWTEXT("➚",barindex,dis1, Dialog, Standard, 20) COLOURED(255,0,0)
endif
//////////////publi slope  //////////////////
slopPub = (Avepub -Avepub [1])
if slopePro > slopePro[1] then
ProSlope=-1
DRAWTEXT("↘",barindex,-dis1, Dialog, Standard, 20) COLOURED(0,0,255)
endif
//////////////END  slope  //////////////////
a=25
pub1=ExponentialAverage(open)- ExponentialAverage (close)[1]
pro1=ExponentialAverage (close)- ExponentialAverage (open)
publi1=average[a](pub1)
profe1=average[a](pro1)

b=5
pub2=ExponentialAverage(open)- ExponentialAverage (close)[1]
pro2=ExponentialAverage (close)- ExponentialAverage (open)
publi2=average[b](pub2)*10
profe2=average[b](pro2)

////////////////profe 1D  //////////////////
FDpro=profe2-profe2[1]
if profe2 > profe2[1] then
DRAWTEXT("U",barindex,dis5, Dialog, Standard, 20) COLOURED(255,0,0)
ElsIf profe2 < profe2[1] then
ProDecend=-1
DRAWTEXT("Dp",barindex,dis4, Dialog, Standard, 20) COLOURED(0,0,225)
endif
//////////////profe 2D  //////////////////
SDpro=FDpro-FDpro[1]
if FDpro <> 0 and SDpro > 0 then
ProCon=-1
DRAWTEXT("Vp",barindex,dis2, Dialog, Standard, 20) COLOURED(255,0,0)
ElsIf FDpro <> 0 and SDpro < 0 then
DRAWTEXT("A",barindex,dis3, Dialog, Standard, 20) COLOURED(0,0,225)
EndIf
/////////////END  1D  2D  //////////////////

//////////////publi 1D  //////////////////
FD=publi2-publi2[1]
FD=publi2-publi2[1]
if publi2 > publi2[1] then
DRAWTEXT("U",barindex,-dis4, Dialog, Standard, 20) COLOURED(255,0,0)
ElsIf publi2 < publi2[1] then
DRAWTEXT("D",barindex,-dis5, Dialog, Standard, 20) COLOURED(0,0,225)
endif
//////////////publi 2D  //////////////////
SD=FD-FD[1]
if FD <> 0 and SD > 0 then
DRAWTEXT("V",barindex,-dis2, Dialog, Standard, 20) COLOURED(255,0,0)
ElsIf FD <> 0 and SD < 0 then
DRAWTEXT("A",barindex,-dis3, Dialog, Standard, 20) COLOURED(0,0,225)
EndIf
/////////////END  1D  2D  //////////////////

//////Condition////////////////
if ProDecend=-1 AND ProCon=-1 AND PubSlope=1 AND ProSlope=-1 then
DRAWTEXT("P",barindex,-6, Dialog, Standard, 20) COLOURED(0,0,225)  //DRAWARROWup(barindex,-6) COLOURED(0,0,255,fade2)
endif

DRAWHLINE (0) COLOURED (0, 0,0,100)
// rat=0.05*Avepub/Avepro
return Avepub*a0 as "Pub", Avepro*a0 as "Professional", publi1*40 COLOURED(0, 0, 255) as "Publi1", profe1*20 COLOURED(255, 0, 255) as "Profe1", publi2 COLOURED(0, 0, 255) as "Publi2", profe2*a1 COLOURED(255, 0, 255) as "Profe2", slopPub*s1 COLOURED(0, 0, 255) as "slopPub", slopePro*s0 COLOURED(255, 0, 0) as "slopeAvepro",ABSProfessionalslope*10+5 COLOURED(255, 0, 255) as "ABSproslop" //, rat as "ratio"  //COLOURED(255, 0, 0)  COLOURED(0, 255, 0),

Regarding in the above code, ” if ProDecend=-1 AND ProCon=-1 AND PubSlope=1 AND ProSlope=-1 then ” attached picture

However, is it possible to have advice on how to call previously used if statement condition, please? ”

I do not want the “P” printed everywhere as attached picture…… I only want the P printed only if the above-mentioned 4 conditions are met.

12.png

09/28/2021 at 3:57 PM #178665 quote

Suzu Yuk

Participant

Average

12-1.png

09/28/2021 at 5:13 PM #178668 quote

Participant

Master

Suzu Yuk wrote:

Thank you very much, Rob and Js!! After using “” If FD <> 0 and “” I did it!! It is working.

I hope you didn’t misunderstand but the first derivative must be equal to zero (FD = 0) otherwise you don’t have a maximum or minimum relative value.
When FD 0 than all other slopes, except zero, will be true (in practice 99% of the slopes are true when FD 0)

Suzu Yuk thanked this post

09/28/2021 at 6:31 PM #178672 quote

Suzu Yuk

Participant

Average

Yes, you are right. I fixed it accordingly as you say.

//////////////profe 2D //////////////////
SDpro=FDpro-FDpro[1]
RoundFDpro = round(FDpro,1)
if RoundFDpro =0 and SDpro > 0 then
ProCon=-1
DRAWTEXT(“Vp”,barindex,dis2, Dialog, Standard, 20) COLOURED(255,0,0)
ElsIf RoundFDpro = 0and SDpro < 0 then
DRAWTEXT(“A”,barindex,dis3, Dialog, Standard, 20) COLOURED(0,0,225)
EndIf
/////////////END 1D 2D //////////////////

//////////////publi 1D //////////////////
FDpub=publi2-publi2[1]
if publi2 > publi2[1] then
DRAWTEXT(“U”,barindex,-dis4, Dialog, Standard, 20) COLOURED(255,0,0)
ElsIf publi2 < publi2[1] then
DRAWTEXT(“D”,barindex,-dis5, Dialog, Standard, 20) COLOURED(0,0,225)
endif
//////////////publi 2D //////////////////
SD=FDpub-FDpub[1]
RoundFDpub = round(FDpub,1)
if RoundFDpub= 0 and SD > 0 then
DRAWTEXT(“V”,barindex,-dis2, Dialog, Standard, 20) COLOURED(255,0,0)
ElsIf RoundFDpub= 0 and SD < 0 then
DRAWTEXT(“A”,barindex,-dis3, Dialog, Standard, 20) COLOURED(0,0,225)
EndIf
/////////////END 1D 2D //////////////////