TASC 2023.11 VAcc

16 de out. de 2023

█ OVERVIEW

The November 2023 edition of TASC's Traders' Tips features an article titled "VAcc: A Momentum Indicator Based On Velocity And Acceleration" by Scott Cong. This script implements the author's momentum indicator based on simple physics concepts.

█ CONCEPTS

The indicator is named VAcc as it is derived from the average velocity (V) and acceleration (Acc) over a specified lookback period. Consequently, its readings reflect two valuable characteristics of price data: rate (indicating the speed at which the price is moving) and rate of change (indicating whether the price is speeding up or slowing down).

In the article, the author reports that for longer periods, VAcc behaves similarly to the MACD, albeit with a more responsive nature. For shorter periods, VAcc exhibits characteristics reminiscent of the stochastic oscillator, but it trends more prominently and is less prone to overbought/oversold saturation.

To incorporate VAcc into trading strategies, the author suggests considering the following two permutations for the velocity and acceleration data series:

• Strong upward condition: Velocity is rising, and acceleration is rising above zero.
  
• Strong downward condition: Velocity is falling, and acceleration is falling.
  

In the current implementation, the chart displays the average velocity as a line, while the average acceleration is presented as a histogram.

█ CALCULATIONS

The calculation of VAcc involves the following steps:

• For the current closing price, C, and for each bar C(i) within a specified lookback period from the current bar, the script calculates velocities, V(i) = (C - C(i))/i. These velocities are then subjected to an exponential moving average to obtain the smoothed average velocity.
  
• Similarly, for each bar within the lookback period, accelerations are calculated as Acc(i) = (V - V(i))/i and then averaged without smoothing.