Is there a SVAPO indicator? - Wealth Lab Forum

Is there a SVAPO indicator?

Author: stanleywang

Creation Date: 6/28/2016 2:47 AM

Wealth Lab » Technical Indicators » Is there a SVAPO indicator?

stanleywang

6/28/2016 2:47 AM

Hi Eugene/guys,

I came across this Sylvain Vervoort's SVAPO indicator from Traders.com, it was first mentioned in year 2010. And according to the resources page there, this indicator has been added into wealth-lab code library. Did a search but could not find it anywhere in my wealthlab developer, neither in this forum. Any idea how to find it? thanks!

Cheers,
Stan

Eugene

6/28/2016 7:41 AM

Hi Stan,

No, there isn't. According to this Traders' Tip from 2007, SVAPO was created for legacy Wealth-Lab versions (v3-4) which does not mean it gets added to Wealth-Lab.NET (v5 and above) automatically. For whatever reason it didn't find its way into the TASCIndicators library.

stanleywang

6/28/2016 9:07 AM

ok, thanks Eugene.

Eugene

6/28/2016 10:55 AM

If you can live with the funny values my code below generates (in the ballpark of millions), then here you have it. It's not the readings of SVAPO that you should focus on but crossings with its upper and lower bands. I double checked that the indicator's curve (shape) is completely identical to the WL4 version so any crossover/crossunder signals will hold true, rendering it usable.

The enclosed trading system enters a long position when SVAPO crosses above the lower band and exits when SVAPO crosses below the upper band:

CODE:
Please log in to see this code.

The formula is complex enough and I don't have the original version at hand to whet my appetite for further troubleshooting. If not the funny readings I'd simply include the indicator in the upcoming update of TASCIndicators (2016.07). Hope this helps.

Size:

Color:

If you can live with the funny values my code below generates (in the ballpark of millions), then here you have it. It's not the readings of SVAPO that you should focus on but crossings with its upper and lower bands. I double checked that the indicator's curve (shape) is completely identical to the [link=http://traders.com/Documentation/FEEDbk_docs/2007/11/TradersTips/TradersTips.html#wealthlab]WL4 version[/link] so any crossover/crossunder signals will hold true, rendering it usable.

The enclosed trading system enters a long position when SVAPO crosses above the lower band and exits when SVAPO crosses below the upper band:

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using TASCIndicators;

namespace WealthLab.Strategies
{
	public class SVAPO_Demo : WealthScript
	{
		protected override void Execute()
		{
			int period = 8;
			double cutoff = 1;
			double devH = 1.5;
			double devL = 1.3;
			int sdPeriod = 100;
			
			#region Create Heikin-Ashi series
			Bars haBars = new Bars( Bars.Symbol.ToString() + " (Heikin-Ashi)", BarScale.Daily, 0 );
    		DataSeries HO = Open + 0;
			DataSeries HH = High + 0;
			DataSeries HL = Low + 0;         
			DataSeries HC = (Open + High + Low + Close) / 4;
    
			for (int bar = 1; bar < Bars.Count; bar++)
			{
				double o1 = HO[bar-1]; 
				double c1 = HC[bar-1]; 
				HO[bar] = ( o1 + c1 ) / 2; 
				HH[bar] = Math.Max( HO[bar], High[bar] ); 
				HL[bar] = Math.Min( HO[bar], Low[bar] );             
        
				haBars.Add( Bars.Date[bar], HO[bar], HH[bar], HL[bar], HC[bar], Bars.Volume[bar]);
			}
			#endregion

//Smooth Heikin-Ashi closing price
			HC = TEMA.Series(HC, Math.Max((int)1, Convert.ToInt32(period/1.6d)), EMACalculation.Modern);
			
			//Medium term MA of Volume to limit extremes and division factor
			var vave = SMA.Series(Volume,period*5) >> 1;
			var vmax = vave*2;
			var vc = new DataSeries(Bars,"vcSeries");
			for(int bar = 0; bar < Bars.Count; bar++)
			{
				if(Volume[bar] < vmax[bar])
					vc[bar] = Volume[bar];
				else
					vc[bar] = vmax[bar];
			}
			
			//Basic volume trend
			var vtr = TEMA.Series(LinearRegSlope.Series(Volume, period), period, EMACalculation.Modern);
			
			//SVAPO result of price and volume}
			var tempSeries = new DataSeries(Bars,"tempSeries");
			
			for(int bar = 2; bar < Bars.Count; bar++)
			{
				double temp = 0;
				double sum = 0;
				
				bool hcRising = HC[bar] > (HC[bar-1]*(1+cutoff/1000d));
				bool hcDeclining = HC[bar] < (HC[bar-1]*(1-cutoff/1000d));
				bool lame2PeriodAlert1 = (vtr[bar] >= vtr[bar-1]) || (vtr[bar-1] >= vtr[bar-2]);
				bool lame2PeriodAlert2 = (vtr[bar] > vtr[bar-1]) || (vtr[bar-1] > vtr[bar-2]);
				
				temp = ( hcRising && lame2PeriodAlert1 ) ? vc[bar] :
					( hcDeclining && lame2PeriodAlert2 ) ? -vc[bar] : 0;
				
				tempSeries[bar] = temp;
			}
			
			var sumSeries = Sum.Series(tempSeries, period);
			var SVAPO = TEMA.Series( (sumSeries + vave + 1), period, EMACalculation.Modern);			
			var sdUpper = StdDev.Series( SVAPO, sdPeriod, StdDevCalculation.Sample ) * devH;
			var sdLower = StdDev.Series( SVAPO, sdPeriod, StdDevCalculation.Sample ) * -devL;
			SVAPO.Description = "SVAPO";
			sdUpper.Description = "SVAPO Upper Band";
			sdLower.Description = "SVAPO Lower Band";
			HideVolume();
			var SvapoPane = CreatePane( 35, false, false );
			PlotSeries( SvapoPane, SVAPO, Color.Blue, LineStyle.Solid, 2 );
			PlotSeriesFillBand(SvapoPane, sdUpper, sdLower, Color.Silver, Color.Transparent, LineStyle.Dotted, 2);
			DrawHorzLine( SvapoPane, 0, Color.Gray, LineStyle.Dotted, 2 );	
			
			for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;    
					if ( CrossUnder( bar, SVAPO, sdUpper ) )
						SellAtMarket( bar+1, p );    
				}
				else
				{
					if ( CrossOver( bar, SVAPO, sdLower ) )
						BuyAtMarket( bar+1 );
				}
			}

}
	}
}[/code]

stanleywang

6/29/2016 8:18 AM

woah! this is fast eugene! code looks fine, flows well with the original article. thanks!

Eugene

6/29/2016 2:58 PM

Glad to help. Let's make it part of TASCIndicators (since 2016.07) and eventually fix the readings if possible:

TASC 2007-11 | Short-Term Volume And Price Oscillator (SVAPO) (Vervoort)
SVAPO