**Created by Shanghai Reed Asset Management Co., Ltd.**
5 Entry Conditions by the Original Idea:
1. Absolute Value of 5-day Price Change is larger than Standard Deviation of Price Change
2. 5-day Average Volume is smaller than 75% of 5-day Average Volume ten days ago.
3. 5-day Price Change is negative (Long Entry)
4. 5-day Price Change is positive (Short Entry)
5. All Positions will be closed 5 days after the entry
Enter Long when Price Change Ratio crosses under the Lower Band and Volume Ratio is under the Level
Enter Short when Price Change Ratio crosses over the Upper Band and Volume Ratio is over the Level
5 Entry Conditions by the Original Idea:
1. Absolute Value of 5-day Price Change is larger than Standard Deviation of Price Change
2. 5-day Average Volume is smaller than 75% of 5-day Average Volume ten days ago.
3. 5-day Price Change is negative (Long Entry)
4. 5-day Price Change is positive (Short Entry)
5. All Positions will be closed 5 days after the entry
Enter Long when Price Change Ratio crosses under the Lower Band and Volume Ratio is under the Level
Enter Short when Price Change Ratio crosses over the Upper Band and Volume Ratio is over the Level
//@version=2
//Idea by Michael Cooper
//Created by Shanghai Reed Asset Management Co., Ltd.
//本策略为上海蘆田资产管理有限公司制
study("[蘆田资產]Volume Reversal Indicator", shorttitle = "VRI", overlay = false)
//Price Change
fastLength = input(5, "Fast Length")
slowLength = input(100, "Slow Length")
band = input(2, "Band")
//Price Change
priceChange = abs(close - close[fastLength])
//Price Change Standard Deviation
priceStd = stdev(close - close[1], slowLength)
pR = priceStd != 0? priceChange/priceStd : na
pRS = sign(close - close[fastLength]) * pR
plot(pRS, "Price Ratio", color = pRS >= 0 ? red : green, style = columns)
plot(band, "High Band", color = orange, linewidth = 2)
plot(-band, "Low Band", color = orange, linewidth = 2)
//Volume Ratio
length = input(5, "Length")
ratio = input(75, "Ratio")
Period = input(2)
vol1 = sma(volume, length)[1]
vol2 = sma(volume, length)[length * Period + 1]
volRatio = not vol2 != 0 ? na : vol1/vol2
plot(volRatio, "Volume Ratio", color = purple, linewidth = 3)
plot(ratio/100, "Buy/Sell Level", color = blue, linewidth = 2)