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Need help to make Cumulative Volume Index indicator for MT4

  • #61
  • Sep 21, 2015 9:53am Sep 21, 2015 9:53am
Quoting Bernhard
{quote} Hi there. I am just trying for today on a m1 chart to see what it does. I support the idea to plot an EMA on the delta candles maybe period editable in settings. wish you good luck with new idea Bernhard
The cumulative volume idea is not new, its just hard to implement in the FX realm because your broker does not differentiate Bid and Ask volumes. What the indicator does is if it receives volume data, it looks for an up change in the Ask price. In there is, it applies the volume to the buy side. If it sees that the bid price has gone down, it applies the volume to the sellers. If the spread widens (Ask goes up and Bid goes down simultaneously), the volumes cancel each other out.
  • #62
  • Sep 21, 2015 10:01am Sep 21, 2015 10:01am
Quoting Bernhard
I watched now a day delta but i see no pattern. If someone see it please tell me for what I need to look for. The sequences show up - up down - down down - up flat - up down - down flat - up down - down flat - up down - down up - up so whats the pattern? m5 looks same {image} {image}
today, as most mondays are, a strong trend day it can be tough to use volume for analysis because of the lower volume.
Learn, a forex trader must, unlearn and relearn he will.
  • #63
  • Sep 21, 2015 10:43am Sep 21, 2015 10:43am
Quoting Bernhard
I watched now a day delta but i see no pattern. If someone see it please tell me for what I need to look for. The sequences show up - up down - down down - up flat - up down - down flat - up down - down flat - up down - down up - up so whats the pattern? m5 looks same {image} {image}

By no means is this the be all end all of this type os analysis, but this is what I notice quite a bit on the shorter time-frames. Longer time frames might be different.
Try looking at it this way...what does price tell you about what happen in the NEXT step.


up - up <<correlated (expect price to do the same as volume in next step)
down - down <<correlated
down - up << not correlated (expect opposite of volume in next step?? Buying buy retail traders with no response in price?)
flat - up << still more buying by retail traders with no rise in price.
down - down << finally, price falls after lost battle of the buyers.
flat - up << more buying again with no rise in price
down - down << price falls after buyers lose battle in previous sequence.
flat - up << again
down - down << again, the response.
up - up << buyers and price finally correlated.
  • #64
  • May 10, 2016 4:22am May 10, 2016 4:22am
Quoting hannele
Hi Scirurus, This looks very interesting, I'll follow with great interest. cheers hannele
Have you been able to develope the indicator using multiple brokers' volume data?
  • #65
  • Aug 3, 2016 1:42am Aug 3, 2016 1:42am
dear sciurus
i have read this thread and new thread. in your pic the blue line and red lines are related to that cumulative volume delta? when it is in peak it give lines on price chart?

Quoting Sciurus
Without getting too ahead of myself (), here is the 20 period Pearson's product moment correlation between delta volume and price. with the limited amount of data I have, it seems to cycle between 0 and 50% correlation. I'm not sure how useful, but it is interesting. As I was doing this, it occurred to me that a decent way to measure correlation would be to compare the slope of MAs on both price and volume. {image}
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot1.png Size: 268 KB
Success is a Journey Not a Destination....... kind regards ramzam
  • #66
  • Aug 3, 2016 6:27am Aug 3, 2016 6:27am
Razam, that is a separate indicator based upon the zigzag. It just shows swing high and lows along with 1-2-3 breaks. The one in the image is named 123PatternsV6, and I'm pretty sure I was using a depth of 7. And wow, was I really using a blue background then? Maybe that was an experiment that lasted about 1 day, hah hah.

Quoting ramzam
dear sciurus i have read this thread and new thread. in your pic the blue line and red lines are related to that cumulative volume delta? when it is in peak it give lines on price chart? {quote} {image}
  • #67
  • Dec 11, 2018 12:59pm Dec 11, 2018 12:59pm
Quoting Sciurus
Razam, that is a separate indicator based upon the zigzag. It just shows swing high and lows along with 1-2-3 breaks. The one in the image is named 123PatternsV6, and I'm pretty sure I was using a depth of 7. And wow, was I really using a blue background then? Maybe that was an experiment that lasted about 1 day, hah hah. {quote}
My friend you could modify the cumulative delta to be a up down volume ratio if you change the way it plots the data, instead of difference between up down volume you divide the up volume by the down volume of each bar.

The cumulative volume index formula is prior's period CVI + (up volume - down volume) added to a running total.


It is always good to code moving averages to those indis, so we can check for instance the 10 day (or whatever value you want) average of delta, CVI or ratio...
  • #68
  • Dec 24, 2018 12:40pm Dec 24, 2018 12:40pm
Quoting Gauer
{quote} My friend you could modify the cumulative delta to be a up down volume ratio if you change the way it plots the data, instead of difference between up down volume you divide the up volume by the down volume of each bar. The cumulative volume index formula is prior's period CVI + (up volume - down volume) added to a running total. It is always good to code moving averages to those indis, so we can check for instance the 10 day (or whatever value you want) average of delta, CVI or ratio...

Sorry Gauer, that is not in the cards at this time. I have achieved what I wanted with this indicator moved on. Moreover, it is not as simple as you make it seem. Due to the nature of how this indicator plots and stores data, it is one of the more complex volume indicators out there. You might be better served by writing code for your own indicator or modifying a simpler one. As for the moving average, you can add a moving average to an indicator in a separate window by adding the moving average and then selecting "first indicator's data" instead of the close. Best of luck. S.
  • #69
  • Jul 24, 2019 1:44pm Jul 24, 2019 1:44pm
Hi there Sciurus, hope all is good.

Can you tell me why the indicator does not plot in historical data? So I can hire a freelancer and tell him what to look for and upgrade or try to make it work.

I really need to scroll far back in time and study the price/indicator relationship.

Or is it something impossible?

Thanks
  • #70
  • Aug 27, 2019 9:06am Aug 27, 2019 9:06am
I was testing here the Cumulative Volume 1.1 posted by COGSx86 Vs. the CumulativeDelta posted by Sciurus. The Cumulative Volume 1.1 is way better and seems to work properly, extremely close to a "real cumulative delta" (I mean from a futures trading account), not to mention it plots all the historical data. It gives very good divergence warnings, whereas the CumulativeDelta seems to keep trending a long time to the same direction.

Attached Image (click to enlarge)
Click to Enlarge Name: testing indis.png Size: 61 KB
  • #71
  • Last Post: Nov 15, 2020 5:45am Nov 15, 2020 5:45am
hi, i try to create a simple cumulative volume on M5 chart without using moving average, do you know how to return total volume to zero at every start of the day ?
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