Diabolicus

Wash Volume Remover [Dia]

97 4 6
https://www.reddit.com/r/BitcoinMarkets/comments/3oaon9/daily_discussion_sunday_october_11_2015/cvvibub
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//@version=2
// Logic:
// determine ratio of current volume to current price range.
// If ratio greater 150% of the average ratio of the past 100 bars then assume wash trade and replace suspicious volume with
// an hypothetical volume equivalent to 75% of the 100 bar average (75% because the average might also be distorted by past wash trades;
// if anyone knows how to replace this with a median value let me know), normalized by current range.
study("Wash Volume Remover [Dia]")
lb=input(100, title = "Lookback Period")
th=input(3.0, minval=1.0, title = "Threshold")
range=high-low
ratio=volume/range
newvol=ratio<th*sma(ratio,lb)?volume:max(0.75*(sma(volume,lb)+sma(ratio,lb)*(range-sma(range,lb))),0)
plot(newvol,color=open<close?green:red,style=columns)
Diabolicus
a year ago
had to republish to fix some errors with negative volume
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Diabolicus
a year ago
test
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Diabolicus
a year ago
test
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Diabolicus
a year ago
v1.1 here: http://pastebin.com/3TgS5Y9G
- now filtering limited to bars with above average volume
- option to highlight filtered bars
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