Description
The Demand Index indicator, developed by James Sibbet, combines price and volume and is often considered a leading indicator of price changes.
It has one configurable parameter: Period - calculation periods.
James Sibbet defined six "rules" for the Demand Index:
- Divergence between the Demand Index and the price indicates an upcoming price reversal.
- The price often reaches new highs after an extreme peak in the Demand Index, as the index acts as a leading indicator.
- A high price accompanied by a lower peak in the Demand Index usually coincides with an important peak, serving as a confirmation indicator.
- The Demand Index breaking the zero level indicates a trend change, although with a delay, making it a confirmation indicator.
- If the Demand Index consistently fluctuates around zero, it suggests that the current price trend has weak potential and is unlikely to last long.
- A significant long-term divergence between prices and the Demand Index indicates an important market top or bottom.
using System;
using cAlgo.API;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;
namespace cAlgo
{
[Levels(0)]
[Indicator(IsOverlay = false, AccessRights = AccessRights.None)]
public class mDemandIndex : Indicator
{
[Parameter("Period (5)", DefaultValue = 5, MinValue = 2)]
public int inpPeriod { get; set; }
[Output("Demand Index", LineColor = "Black", PlotType = PlotType.Line, Thickness = 1)]
public IndicatorDataSeries outDemandIndex { get; set; }
private IndicatorDataSeries _di, _tr, _ratiopr, _ratiovol, _constant, _buypreassure, _sellpreassure, _bulls, _bears, _sign, _raw;
private MovingAverage _travg, _volavg;
protected override void Initialize()
{
_di = CreateDataSeries();
_tr = CreateDataSeries();
_travg = Indicators.MovingAverage(_tr, inpPeriod, MovingAverageType.Simple);
_volavg = Indicators.MovingAverage(Bars.TickVolumes, inpPeriod, MovingAverageType.Simple);
_ratiopr = CreateDataSeries();
_ratiovol = CreateDataSeries();
_constant = CreateDataSeries();
_buypreassure = CreateDataSeries();
_sellpreassure = CreateDataSeries();
_bulls = CreateDataSeries();
_bears = CreateDataSeries();
_sign = CreateDataSeries();
_raw = CreateDataSeries();
}
public override void Calculate(int i)
{
_tr[i] = i>1 ? Math.Max(Bars.HighPrices[i],Bars.HighPrices[i-1]) - Math.Min(Bars.LowPrices[i],Bars.LowPrices[i-1]) : Bars.HighPrices[i] - Bars.LowPrices[i];
if(i>1 && Bars.WeightedPrices[i] != 0 && Bars.WeightedPrices[i-1] != 0 && _travg.Result[i] !=0 && _volavg.Result[i] != 0)
{
_ratiopr[i] = i>1 ? (Bars.WeightedPrices[i] - Bars.WeightedPrices[i-1]) / Math.Min(Bars.WeightedPrices[i],Bars.WeightedPrices[i-1]) : 0.01;
_ratiovol[i] = Bars.TickVolumes[i] / _volavg.Result[i];
_constant[i] = _ratiovol[i] /Math.Exp(Math.Min(3.0 * Math.Abs(_ratiopr[i]) * Bars.WeightedPrices[i] / _travg.Result[i], 88.0));
_buypreassure[i] = _ratiopr[i] > 0 ? _ratiovol[i] : _constant[i];
_sellpreassure[i] = _ratiopr[i] > 0 ? _constant[i] : _ratiovol[i];
_bulls[i] = ((i>inpPeriod ? _bulls[i-1] : 0) * (inpPeriod - 1) + _buypreassure[i]) / inpPeriod;
_bears[i] = ((i>inpPeriod ? _bears[i-1] : 0) * (inpPeriod - 1) + _sellpreassure[i]) / inpPeriod;
_raw[i] = 1;
_sign[i] = 0;
if(_bears[i] > _bulls[i])
{
_sign[i] = -1;
if(_bears[i] != 0)
_raw[i] = _bulls[i] / _bears[i];
}
else
{
_sign[i] = +1;
if(_bulls[i] != 0)
_raw[i] = _bears[i] / _bulls[i];
}
_di[i] = (_raw[i] * _sign[i] < 0 ? (-1.0 - (_raw[i] * _sign[i])) : (1.0 - (_raw[i] * _sign[i])));
}
else
_di[i] = 0;
outDemandIndex[i] = _di[i];
}
}
}
mfejza
Joined on 25.01.2022
- Distribution: Free
- Language: C#
- Trading platform: cTrader Automate
- File name: mDemandIndex.algo
- Rating: 5
- Installs: 470
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