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Trader - Indicators
 
-Use -Positive Volume Index
-Bollinger Bands -On Balance Volume
-Directional Movement -Price Rate of Change
-Envelopes -Relative Strength Index
-Moving Average -Parabolic SAR
-MACD -Stochastic Indikator
-Momentum -William‘s Acc/Dist
-Money Flow Index -William‘s %R
-Negative Volume Index
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Using indicators
Indicators are designed to help the user interpret time series of price information. There are many different types of indicators, almost all of which, however, are based on price or volume.
This means that these indicators are obtained by calculating price and volume ratios.
The range of these indicators extends from relatively simple ones such as the Moving Average (Moving Average MOV) to highly complex ones like the Directional Movement.
The ultimate purpose of all indicators is to provide assistance in reaching decisions and to help investors to solve the everlasting problem of identifying the right timing for buying or selling a security. Indicators are designed and plotted to process and highlight the information contained in prices. While indicators do not contain any new information, they can serve as means of increasing transparency and assist to interpret the underlying situation.
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Bollinger Bands BOLL

Formula:

Parameters:
Period: period over which the average is calculated. John Bollinger suggests a period of 21 days.
Stddev: number of standard deviations by which the bands plotted are above or below the moving average.
Interpretation:
Bollinger ascribed to his bands the ability to reflect a major part of price movements. However, he also emphasized that the “Bollinger Bands” did not support any statistical conclusions beyond this.
The most frequent applications of the Bollinger Bands:
Prices generally tend to move from one Bollinger Band to the next. This allows to draw conclusions for the purpose of projecting price targets.
When both Bollinger Bands approach the moving average (i.e. when volatility is low), a sustainable price movement is often imminent.
When prices break out of the Bollinger Bands, the movement may be expected to continue in the direction of the outbreak. This applies, in particular, if at the time of the outbreak, the Bollinger Bands were close to the moving average.
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Directional Movement DMI, PDI, MDI, ADX, ADXR

The ”Directional Movement System” developed by J. Welles Wilder comprises several indicators, five of which can be calculated by the ChartTrader:
Directional Movement Index (DMI)
Plus Directional Movement (PDI)
Minus Directional Movement (MDI)
Average Directional Movement (ADX)
(Average) Directional Movement Rating (ADXR)
The indicators of the “Directional Movement” system may be interpreted both as technical indicators and as a complete trading system.
Calculation:
The concept of the Directional Movement is based on the assumption that in an upward trend today’s high exceeds yesterday’s high, and in a downtrend today’s low is below yesterday’s low. Days that meet this criterion are called “Outside Days”.
The difference between today’s high and yesterday’s high corresponds to the “Plus Directional Movement” or “+DM”. By analogy, the difference between today’s low and yesterday’s low corresponds to the “Minus Directional Movement” or “-DM”. These “Outside Days” are both assigned a “+DM” and a “-DM”.
Days on which the previous day’s high is not exceeded or the previous day’s low not undercut are called “Inside Days” and receive a “+DM” and “-DM” of 0. In the “Directional Movement” calculation “Inside Days” are thus not taken into account.
Calculation of the “Directional Indicators” (“PDI” and “MDI”) also requires the calculation of the “True Range” (TR). The True Range is always positive and is defined as the highest difference of a) today’s high minus today’s low b) today’s high minus yesterday’s closing price and c) today’s low minus yesterday’s closing price.
The “Plus Directional Movement Index” (“PDI”) is now calculated by dividing the sum total of the “Plus Directional Movement” (+DM) over the observation period by the sum total of the “True Range” over the observation period. The “Minus Directional Movement Index” (MDI) is computed analogously.
The “Directional Movement Index” (DMI) is calculated by dividing the difference between the PDI and the MDI by the sum total of these two indicators. The result obtained is a percentage that quantifies the power or intensity of the prevailing trend.
Smoothing this “DMI” yields the “Average Directional Movement” (ADX). More simple smoothing provides the “Average Directional Movement Rating” (ADXR).
Formula:

Interpretation:
In an uptrend, the “PDI” lies above the “MDI” and, analogously, in a downtrend the “MDI” lies above the “PDI”. The higher the difference between PDI and MDI, the stronger is the trend intensity (and the higher is the “DMI”).
There are therefore several potential applications for the Directional Movement Indicators:
The “ADX” and the “ADXR” are arguably the most important and most effective indicators for measuring trend intensity. As many trading systems are trend-following designs, it is critical to know if and when a trend exists that may be exploited by using trend-following systems. The “ADX” helps to measure the “contribution” of trend intensity but not the direction of the trend. A rising ADX means a strengthening trend intensity (but not an uptrend), while a falling ADX indicates a weakening trend intensity (but not a downtrend).
As the “PDI” measures upward movement and the “MDI” downward movement, the points of intersection of these two lines are generating concrete trading signals. If the “PDI” line crosses the “MDI” line (on an upward path), it is interpreted as buy signal and, analogously, by crossing the “PDI” line below the “MDI” line, this is seen as sell signal. To prevent the system from emitting misleading signals, Wilder suggests not to open a position before the high or low of the day on which the signal was given has been surpassed or undercut.
Parameters:
Period: period used for index calculation. Wilder suggests a default setting of 14 days.
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Envelopes ENV

Calculation:
”Envelopes” are trading bands that are plotted at a certain identical percentage above and below a “Moving Average”. Envelopes are an extremely complex topic with many rules for interpretation and trading. Basically, however, envelopes capture a significant part of price movements. Any approach of a price to its envelope or any departure from it may thus issue concrete trading signals.
The ChartTrader designs “Envelopes” that are plotted around a “Moving Average” at a constant percent distance, i.e. that are added to or subtracted from this average. The two envelope lines thus define the prevailing “Trading Range”:
Formula:
Interpretation:
Trading based on “Envelopes” may be done either within or outside the envelope lines.
Trading outside the envelope lines: when the price of the underlying instrument breaks out of the trading range, a position is opened in the direction of the breakout. If the underlying crosses the upper “Envelope”, a long position should be disposed and, analogously, if it crosses the lower “Envelope”, a short position should be placed.
When trading is conducted within the envelope lines, a counter-trend position should be opened as soon as the underlying has approached the lower envelope. If the underlying security breaks out of the envelope, the position should be closed at short notice.
The core question in trading with “Envelopes” is certainly whether to trade inside or outside the “Envelopes”. This decision could be taken depending on the current trend intensity. If intensity is low, trading will be more successful inside the “Envelopes”; when intensity is high, outside.
Parameter:
Period: period used for calculating the “Moving Average”.
Shift: percent distance of bands from the “Moving Average”.
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Gleitender Durchschnitt MOV, MOV_E, MOV_W

Calculation:
The Moving Average (MOV) is the best-known and most frequently used technical study, which is certainly due largely to its simplicity and objectivity. The Moving Average is a method for calculating the average value of a security or an indicator over a specified number of time periods. “Moving” means that with each new price (minute, day, week or month) that is added, the oldest price is removed from the observation period used for calculation of the indicator. “Moving Averages” are used to smooth given price movements. The longer the period selected, the greater the “smoothing” effect of the indicator.
jTrader calculates 3 different types of moving averages: Simple, Weighted and Exponential.
Simple Average:
The Simple Moving Average calculates the arithmetic average of the underlying price in the observation period. The prices (usually closing prices) are added up over the period of observation and divided by their number (period). Each day of the observation period is thus accorded the same weight.
Formula:

n........Period
Weighted Average:
In a Weighted “Moving Average”, more weight is accorded to current and recent prices than to those of the more distant past. Each price in the observation period is multiplied by a weighting factor, with the current price receiving the highest weighting factor and the last value of the observation period the lowest.
Formula:

n........ Period
W....... Weighting factor
Exponential Average:
The Exponential “Moving Average” also accords a higher weight to more recent prices than to older ones. The calculation is, however, not based on a fixed period but takes into account all data series available.
This is achieved by subtracting yesterday’s Exponential “MA” from today’s price and multiplying this difference by an exponential valuation factor. Adding this product to yesterday’s Exponential “MA” yield today’s Exponential “MA”.
Formula:

Interpretation:
The main use of the indicator is inherent in its “smoothing function”. A Moving Average evens out short-time fluctuations and clears the picture to show the prevailing trend. An upward “Moving Average” indicates an uptrend whereas a falling “MA” indicates a downtrend.
Consequently, buy and sell signals are generated by the Moving Average whenever it changes its direction. Another frequent option for interpretation is the comparison of the closing price of a security with its Moving Average. A buy signal would be given off by a closing price rising above its Moving Average. A sell signal would be issued by the price of a security falling below its Moving Average.
Frequently, several „Moving Averages“ of different periods are combined, with the focus being on their points of intersection. If, for example, two “Moving Averages” are used, a buy signal is generated when the short-term “MA” (shorter period) crosses the longer-term “MA” on an upward path. By analogy, the point of intersection of the short-term “MA” with the longer-term “MA” on a downward path issues a sell signal.
The “Shift” parameter allows Moving Averages to be moved vertically by a specified percentage. Frequently, “Envelopes” are formed that are designed to lie by a specified, usually identical percentage above and below a “Moving Average”.
Parameters:
Period: period over which the average is calculated. With daily charts, periods of 25, 38 and 200 days are commonly used.
Shift (%): by defining Shift in percent you can specify the vertical shift of the Average.
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MACD MACD

Calculation:
The MACD, developed by Gerald Appel, is a trend-following indicator, with the abbreviation standing for ”Moving Average Convergence Divergence”. It is calculated by subtracting two exponentially-weighted average lines, with the default setting calculating the average lines for periods of 12 and 26 days. As a next step, another 9-day Exponentially-weighted Average is determined from this “MACD” curve, called “trigger” or “signal line”.
Formula:

Interpretation:
The MACD is frequently used as a trend-following indicator. When the “MACD” line rises it indicates an uptrend, otherwise a downtrend. When the “MACD” line rises above its “trigger”, it issues a buy signal. Analogously, a sell signal is given, when the “MACD” line falls below its trigger.
These signals are generally the most successful when the “MACD” line and its “trigger” are far from the central line, i.e. when trend intensity is very high. Frequently, divergences may also be observed between the “MACD” indicator and the price movements of the underlying instrument that is being analysed, which indicates an imminent trend reversal.
Parameters:
Period 1: period of the first moving average.
Period 2: period of the subtracted moving average.
Signal: period of the moving average that is shown as a signal line.
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Momentum MOM

Calculation:
The Momentum indicator is one of the most frequently used technical indicators. It is very easy to compute and can be used in a variety of ways.
It simply involves subtracting the closing price of n days ago from today’s closing price. The result is a graph that oscillates around the centre line. A positive oscillator value shows that prices are higher than n days ago, a negative value that they are lower than n days ago.
Alternatively, the Momentum indicator may also be calculated by dividing today’s closing price by the closing price of n days ago and by multiplying the quotient by a factor of 100.
Formula:

Interpretation:
Momentum measures the velocity, the power or strength of a price movement. The indicator is based on the experience that before reversing, strong price rallies first tend to weaken before the price of a security falls after peaking at the local maximum.
The significance of this phenomenon lies in the fact that by analysing price advances and price losses a chartist can determine what phase the up- or downtrend is currently passing through. As the shape of the momentum curve is influenced greatly by the time lag, the selection of the lag is of critical importance. For short-term analysis, lags of 5 to 20 days are commonly used.
If the Momentum line is above the 100 line (abscissa), the price has risen relative to the comparative period and is in an uptrend. The price increase is the stronger the further the momentum is removed from the abscissa. When momentum falls below the abscissa, the price is trending downwards. Buy and sell signals may be generated as soon as the indicator crosses the central line around which it oscillates.
As momentum measures the velocity of the rise, it may happen that the Momentum indicator starts falling in positive territory even though the price of the instrument has reached new highs. Such formations are also called divergences and are indicative of a trend reversal in the near future.
In addition, the Momentum indicator may also be used as an Overbought/Oversold indicator. The higher the Momentum indicator, the more overbought the security. The lower the Momentum, the more likely a rally. However, here again, as with all Overbought/Oversold indicators, it is better to wait until the market starts correcting before placing an order. A market that appears to be overbought may remain overbought for quite some time. As a matter of fact, extremely overbought or oversold conditions imply a continuation of the current trend.
Parameters:
Period: distance of comparative value or lag.
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Money Flow Index MFI

Calculation:
The Money Flow Index (MFI) is closely related to the RSI. The difference between the two is that the Money Flow Index also takes into account volume, while the RSI draws its conclusions only from price movements.
As a first step, money flow is calculated by determining the average price for a day and then comparing it with the average price of the preceding day.
If today’s average price is higher, money flow is assumed to be positive. If it is lower, money flow is considered to be negative or a money outflow is assumed. The money flow for a specific day is calculated by multiplying the average price by volume. As a next step, Positive Money Flow is calculated as the sum total of money inflows over a specified number of time periods and Negative Money Flow as the sum total of money outflows over a specified number of time periods. Then the Money Flow Index is computed with the equivalent formula of the RSI.
Formula:

Interpretation:
The MFI seeks to measure the strength of money flows into and out of a security. The emergence of divergences between the price plot and the MFI is regarded as an indication that volume fails to support the up- or downtrend. An early trend reversal is to be expected.
In addition, the MFI may also be used as an Overbought/Oversold indicator. Search the market for tops when the MFI is above a certain level (e.g. 80). The opposite applies to bottoms, when the MFI lies below a certain level (e.g. 20).
Parameters:
Period: period used for calculating average prices.
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Negative Volume Index NVI

Calculation:
The NVI is a cumulative indicator. It is calculated by comparing the current volume with the volume of the preceding period. When volume has risen, the NVI remains at its last value. When volume has fallen, however, the NVI is adjusted by the percent price change.
Formula:

Interpretation:
Interpretation is based on the assumption that on days of falling trading volumes small, misinformed investors are in the market, while large investors keep away. On days with rising trading volumes, on the other hand, it is assumed that the large institutional investors representing the “smart money” are trading.
The NVI is therefore designed to show when the “smart money” is buying into a market or an instrument and when it keeps away.
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Positive Volume Index PVI
Calculation:
The Positive Volume Index studies the market at times of rising volumes. Like the NVI, it is a cumulative indicator. It is newly calculated whenever volume has risen compared with the previous day. Otherwise, the PVI remains unchanged.
When volume has risen, the PVI is calculated by adding the percent change of the underlying price.
Formula:

Interpretation:
Calculation and interpretation follow the exactly opposite course to the Negative Volume Index. This index is calculated only when volume rises. Interpretation is based on the assumption that on days with rising trading volumes it is the large institutional investors representing the “smart money” that are engaging in transactions.
Conversely, on days with falling trading volumes, the assumption applies that big capital keeps away and the small, misinformed investors are in the market. The PVI also indicates when small investors buy into a market or a specific instrument and when they are crowded out by big capital.
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On Balance Volume OBV

Calculation:
The “On Balance Volume” (OBV) indicator designed by Joe Granville is calculated by continuously summing up volumes. If today’s closing price is higher than yesterday’s, then the entire day’s volume is added to yesterday’s OBV.
If, on the other hand, the closing price is lower than yesterday’s closing price, the volume of the day is subtracted. Unchanged closing prices have no impact on the OBV, with volume being neither added nor subtracted.
Formula:

Interpretation:
The OBV also shows in a simple manner whether capitals flows into or out of a market or a stock. According to Granville’s basic assumption, trend reversals in a security are anticipated by a trend reversal in the “OBV”. The underlying theory is that one can see “smart money” going into a stock by a rising OBV. When the mass of investors starts buying a stock both will rise, the stock and the OBV.
An OBV indicates an uptrend when each new high is higher than the previous one and each low lower than the previous one. Conversely, a lower high and a lower low would be indications of a downtrend. When the OBV moves from a rising to a falling trend this is called a breakout. With OBV analysis, chartists assume that OBV breakouts precede breakouts in the security, but the time left for taking action is short.
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Price Rate-Of-Change ROC

Calculation:
The Price Rate-Of-Change Indicator (ROC) is calculated by dividing prices by the prices of x-time periods ago. The result is the percentage by which the price has changed in the past x periods.
When the price has increased in a period, ROC is a positive number. When the price has fallen, ROC is negative.
Formula:

Interpretation:
The Rate-Of-Change Indicator displays exactly the same information as the Momentum indicator. The ROC shows the velocity or the power or strength of price movements. As its interpretation is completely identical to that of the Momentum indicator, no detailed description is provided here.
Parameters:
Period: the period used for calculating the ROC. With daily charts, periods of 12 and 25 days are common.
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Relative Strength Index RSI

Calculation:
The Relative Strength Index, developed by Welles Wilder is a special form of the Momentum and probably the most widely used countertrend oscillator. Contrary to the implications of its name, the study does not show a security’s strength in comparison to other securities, but rather the security’s internal strength compared to its former prices.
The RSI is calculated in several steps: within a given period, the individual differences between the upward closing prices (close today > close yesterday) and downward closing prices (close today < close yesterday) are added up and afterwards divided by the number of observations minus one. The result is the day’s mean value of the upward and downward strength of the underlying instrument. Thereafter, the “relative strength” is calculated by dividing the average upward strength by the average downward strength. Finally, the RSI is obtained by subtracting from 100 the quotient of 100 divided by 1 plus “relative strength”.
Formula:

Interpretation:
As an oscillator, the RSI indicates the internal strength of a price movement. An RSI of less than 30 shows that the underlying instrument is oversold (no internal strength). At an RSI of more than 70 it is deemed overbought (great internal strength), as a result of which a technical counter-movement has to be expected.
The RSI usually forms tops above 70 and bottoms below 30, which show up earlier than on the chart of the underlying instrument.
Frequently, the RSI develops chart formations (as e.g. a head-and-shoulders formation) that are not visible in the chart of the underlying. Often, the RSI also shows support and resistance zones more clearly than the underlying instrument.
Another popular application is the search for divergences in which the underlying moves to new highs which the RSI, however, fails to match. Such a divergence would be an indication of an imminent trend reversal.
Parameters:
Period: indicates how many values are used for calculating the averages. Wilder always uses a time series of 14 days for calculating the RSI. Meanwhile, other values, in particular 9, 11 and 25 days, have become common. The general rule is: the fewer days used as a basis for calculations, the more volatile the indicator.
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Parabolic SAR SAR

Calculation:
The “Parabolic SAR” Indicator developed by J. Welles Wilder is based on the concept of trailing price stops. “SAR” stands for Stop And Reverse, i.e. a position is reversed as soon as a stop is reached. “Parabolic” stands for the line marked by the stops, which approximates a parabola.
The Parabolic is plotted by spotting the first identifiable extreme point (high or low) at the beginning of the observation period. Starting from this extreme point, the Parabolic begins to approach the price in a parabolic line. When the price is reached, the Parabolic SAR crosses over and starts approaching the underlying price from the other side (starting from the last extreme point), again following a parabolic line.
Formula:

Interpretation:
The Parabolic SAR provides excellent stops. Due to the continuously increasing acceleration factor, the initially relatively broadly defined Parabolic SAR allows the underlying to develop a trend.
Provided the price develops in the expected direction, the Parabolic SAR will move closer and closer to the price. You should close long positions as soon as the price falls below the SAR and close out short positions as soon as it rises about the SAR.
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Stochastic Indikator STOC

Calculation:
The “Stochastic” Indicator developed by George Lane is designed to relate the difference between today’s closing price and the period low with the trading range of the observation period. The “Stochastic” quantifies the position of a price within the prevailing price range.
The Stochastic is composed of two (exponential) average lines designated as the %K line and the %D line, which oscillate between 0 and 100.
The %K line is calculated as the difference of today’s closing price and the period low, divided by the difference of the period high and period low. For better presentation, this quotient is multiplied by 100. The %D line represents a simple moving average of the %K line and therefore reacts less sensitively than the %K line.
These explanations define the “Fast Stochastic”. The “Slow Stochastic” provides identical information and is interpreted in the same way but has lower sensitivity. It is designed by renaming the (“Fast”) %D line as (“Slow”) %K line and by calculating for it another moving 3-day average, the (“Slow”) %D line.
Formula:
Fast Stochastics:

Slow Stocastics:

Interpretation:
The Stochastic oscillators always range between 0% and 100%.
A value of 0% indicates that the closing price of the underlying instrument corresponds to the lowest price in the observation period. Analogously, a value of 100% shows that the closing price represents the highest value in the observation period. Stochastic values above 70% or 80% define an overbought condition, those below 30% or 20% an oversold condition.
There are several way of interpreting the Stochastic Oscillator. Three popular methods will be presented here:
Buy when the Oscillator (either %K or %D) falls below a specified level (e.g. 20) and then rises above this level. Sell when the Oscillator rises above a specified level (e.g. 80) and then falls below this level.
Buy when the %K line rises above the %D line and sell when %K falls below %D.
Look for divergences.
If the prices, for example, form a series of new highs and the Stochastic Oscillator fail to reach new highs, a divergence exists.
Parameters:
Period %K: this is the number of periods that were used for calculating the Stochastic. Default settings are 5 or 14 periods (minutes, days, weeks, ...)
Period %D: the period of the moving average.
Velocity: this parameter controls the internal smoothing of the indicator.
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William‘s Acc/Dist WIL_AC/DI

Calculation:
The William’s A/C (Accumulation/Distribution) developed by and named after Larry Williams is a price change index which is obtained by subtracting from today’s close the greatest price difference to today’s high or low or to yesterday’s close.
Specifically, when prices rise, the “true low” (i.e., the daily low or yesterday’s close) is subtracted from today’s close; when prices fall, the “true high” (today’s high or yesterday’s close) is subtracted from today’s close.
The cumulative sum of these (possibly expanded) price changes yield ”William’s Accumulation/Distribution”, a price index with an initial value of 0 that is open-ended in both directions.
Formula:

Interpretation:
The William’s A/D is to define the “true” price movement in the course of a trading session. This is to be greater than the difference between just the closing prices when, in the case of rising prices, the daily low is below the previous day’s close or, when prices are falling, the daily high is above the previous day’s close.*
Williams recommended to use this indicator for trading on the basis of divergences. Where a new high or low in the underlying instrument is not confirmed by a new high or low in the William’s A/D line, it is likely that the trend will reverse soon.
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William‘s %R WILL%R

Calculation:
The “William’s Indicator” or “William’s %R” developed by Larry Williams is very similar to the “Stochastic” but designed to relate the difference between period high and today’s close to the price range of the observation period. The indicator thus determines the relative position of the closing price within the observation period.
William’s %R oscillates between the boundary levels of 0% and 100%. An oscillator reading of 0% shows that the close is identical to the period high; by analogy, a reading of 100% shows that the close corresponds to the period low.
Formula:

Interpretation:
The analysis of WILL%R is very similar to the stochastic, with the exception that the WILL%R is shown in inverse form and the Stochastic undergoes internal smoothing.
Values between 80 and 100 show that the market is oversold whereas values between 0 and 20 indicate an overbought situation. As with all Overbought/Oversold indicators, it is best to wait until prices have reversed before placing a trade as the indicator may also persist in an overbought or oversold situation for a longer period of time.
Williams defined the following trading rules for his %R:
A buy signal is given when
William’s %R has reached 100% and
five trading days have passed since 100% were last reached and
the William’s %R than falls again below 85 / 95%.
A sell signal is given when
William’s %R has reached 0% and
five trading days have passed since 0% were last reached and
the William’s %R then rises again above 15 / 5%.
Parameters:
Period: the time period used for calculating the indicator. Default setting: 10.
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