The goal of the VPN indicator is to detect breakouts using only . The basic idea is to compare on up days versus on down days. The indicator can oscillate between the range of -100 and 100. Values between 0 and 20 are generally considered , negative are .
When the plotted VPN crosses over what Markos refers to as the critical value, that may indicate a high breakout. The critical value can be adjusted between 0 to 20, 10 is the default,
Volume Positive Negative Calculation ( VPN )
VPN = (VP - VN) / MAV / Period * 100
VP - sum of positive
VN - sum of negative
MAV - moving average of
is considered positive when the average price is higher than the previous day's price by more than .1 of the ATR ( ).
From Markos Katsanos - "Each trading day the volume is classified as positive if the average stock price is higher than yesterday’s average price by more than 1/10 ATR (average true range) and the opposite for negative volume. If the average price difference is between +/- 0.10 ATR the volume is ignored."
■ Allow configuration of the fractional amount of ATR.
■ Additional configuration options for the VPN moving average, including length and type (SMA or EMA).
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