Time-Segmented-Volume

Not yet but I could work on getting it included in the PowerPack.

Great! Thanks for the quick response.

As the real "Time Segmented Volume" (R) formula is trademarked (!) closed source, the many examples found on various discussion boards are unofficial. Therefore our version will be released under a different name to avoid legal issues - yet easy to find in WL.

A 'Time Segment Value' is set to appear in PowerPack B33.

Hi Eugene - happy new year. Do you have an ETA for Build 33?

Hi Paul,

The "Time Segment Value" (a replica of the closed source indicator) has been released. Check out TSV in PowerPack's B32.

Happy New Year to you too.

found it, thanks! Can you describe the calculation? I'm seeing different results than I see in other TSV charts.

Thanks

It implements the following Metastock formula found somewhere:

TSV = (Sum(IIf(C > Ref(C, -1), V * (C - Ref(C, -1)), IIf(C < Ref(C, -1), -V * (C - Ref(C, -1)), 0)), period));

You're expected to see different results because I found different "TSV" derived formulas published by amateurs on the various boards.

Also since the calculation is cumulative, having set equal starting dates is the key for a proper comparison.

What's "IIF" and "Ref" mean? Can you express the above formula in C# code and/or attach a URL to the WL indicator definition?

QUOTE:
What's "IIF" and "Ref" mean? Can you express the above formula in C# code and/or attach a URL to the WL indicator definition?

@superticker, WL8 is closed source. This is a port of the unofficial indicator. If you're interested in Metastock's Ref and IIf definitions, you're welcome to search for them on the internet like I did before. Then you can create your own derivation and compare for yourself.

Thanks, Eugene

Hi Eugene - I've studied this a bit to understand why I'm getting different results. The TSV calculation I've seen returns a positive value if C > Ref(C,-1) and negative value if C < Ref(C,-1). Your calculation is showing them both positive since you are multiplying the negative result by -V. A key to this indicator is trending back and forth over the 0 baseline so that +/- is critical.

Also, the calculation is returning a number that follows the difference in C - C(Ref,-1) and is not multiplying by volume. Here's a sample of what I'm seeing - note the index. If Volume were included it would be a much larger number.

excellent, thanks Eugene

Just a follow up to say thanks for updating this indicator! I'm finding it does a good job to help improve both Sharpe ratios and drawdowns in my strategies.

I do find that it increases the backtesting time. I see the warning that it is processor intensive - would it be possible to explain why it has such an impact?

We optimized the calculation for the next Build, is super speedy now!

excellent, thanks Glitch! I just tested it and it works great.