Damiani Volatmeter - trend/flat determining algorithm.

There are five inputs:

  • Viscosity;
  • Sedimentation;
  • Threshold;
  • Lag suppressor - whether to limit lagging (Yes/No);
  • Applied price - price used for calculations.

Calculations:

  • If Lag suppressor:

    LineP = ATR_V / ATR_S + (LineP[1]-LineP[3]) / 2.0

  • Else:

    LineP = ATR_V / ATR_S

LineM = Threshold - StdDevV / StdDevS

where:

ATR_V - ATR(Viscosity)
ATR_S - ATR(Sedimentation)
StdDevV - StdDev(Viscosity)
StdDevS - StdDev(Sedimentation)

If the M line (red) is below the P line (green), there is a flat in the market. If above, there is a trend.

Fig. 1. Damiani_Volatmeter + Lag suppressor

Fig. 2. Damiani_Volatmeter without Lag suppressor