Damiani Volatmeter - trend/flat determining algorithm.
There are five inputs:
- Viscosity;
- Sedimentation;
- Threshold;
- Lag suppressor - whether to limit lagging (Yes/No);
- Applied price - price used for calculations.
Calculations:
-
If Lag suppressor:
LineP = ATR_V / ATR_S + (LineP[1]-LineP[3]) / 2.0
-
Else:
LineP = ATR_V / ATR_S
LineM = Threshold - StdDevV / StdDevS
where:
ATR_V - ATR(Viscosity) ATR_S - ATR(Sedimentation) StdDevV - StdDev(Viscosity) StdDevS - StdDev(Sedimentation)
If the M line (red) is below the P line (green), there is a flat in the market. If above, there is a trend.
Fig. 1. Damiani_Volatmeter + Lag suppressor
Fig. 2. Damiani_Volatmeter without Lag suppressor
