Description
The Volume Positive Negative (VPN) strategy is based on the eponymous technical indicator. Both the strategy and the indicator have been developed by Markos Katsanos and act on possible high-volume breakouts.
A simulated buy order is added when all of the following conditions are true:
- The calculated VPN indicator crosses above the critical value (+10 by default).
- 50-bar momentum of average volume is positive.
- The calculated RSI (relative strength index) is less than the specified max overbought level (+90 by default).
- The close price is above the average.
A simulated sell to close order is added when both of the following conditions are true:
- The calculated VPN crosses below the VPN Average.
- The close price is less than a recent highest close minus ATR (average true range) times a specified coefficient.
Input Parameters
| Parameter | Description |
|---|---|
length
|
The VPN indicator period. |
ema length
|
The length of the exponential moving average to smooth the result with (VPN calculation). |
average length
|
The length of the average used in the calculation of the VPN Average. |
rsi length
|
The length to calculate RSI with (simulated buy condition). |
volume average length
|
The length of the volume average (simulated buy condition). |
highest length
|
The length of the period for which the highest close is found (simulated sell condition). |
atr length
|
The length to calculate ATR with (simulated sell condition). |
factor
|
The factor to multiply ATR by when calculating the positive/negative volume(VPN calculation). |
critical value
|
The critical value of the VPN indicator (simulated buy condition). |
rsi max overbought level
|
The maximum overbought value of the RSI (simulated buy condition). |
num atrs
|
The coefficient to multiply ATR by (simulated sell condition). |
average type
|
The type of the moving average to be used in the calculation of the VPN Average: simple, exponential, weighted, Wilder's, or Hull. |
Further Reading
1. "Detecting High-Volume Breakouts" by Markos Katsanos. Technical Analysis of Stocks & Commodities, April 2021.