Yes, documentation on the indicators is lacking. However, the concepts behind the indicators are quite simple. In regards to velocity indicators, they are what you'd expect. Velocity is the rate of change of some quantity with respect to time. In the equations of motion, it's the first derivative of a position. In simple terms, it's the speed of change in some quantity. In JBT, such quantities are price, book balance, and volume. You can measure the how fast these quantities change in time. This measurement (in the absence of well- defined derivatives) is obtained by subtracting a slow exponential moving average from a fast exponential moving average. For example, applied to price, you may want to use EMA(60) - EMA(600) as your measure of velocity. In this example, it's the difference between the 60-second EMA of price and the 600-second EMA of price. If you are familiar with the MACD indicator, you'll recognize that that's exactly what it is doing. In the same fashion, you can apply this differencing process to price, limit book balance, and volume. Furthermore, you can also estimate the acceleration (the rate of change in velocity), and the jerk (the rate of change in acceleration).
In summary, the velocity indicators treat observed variables (such as price, balance, and volume) as a dynamical system in motion, and attempt to model that motion. On Nov 29, 7:21 am, aqc <[email protected]> wrote: > Hi Eugene, > > Thank you for sharing your code. I looked at your source codes for > indicators and didn't really understand what these indicators do. Is > there a reference notes on what these indicators do, particularly the > velocity indicators? > > Thanks in advance. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
