@Jako64 Previously I mentioned I would program & backtest...

@Jako64
Previously I mentioned I would program & backtest WYCKOFF. Well I've programmed it. Away from the quant machine for a week or so however should be able to report results in a fortnight.

What I have developed is a hybrid model based off the Weis wave.
I have enhanced the daily volumetric measures (described below) to facilitate the rise in modern computer (BOT) trading which fr mine, results in falsely inflated volumes brought about by computerized scalping.

Calculating Directional Flow Using Daily Data
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To determine the direction of the money flows accurately you need tick by tick raw data.
With tick data money flow direction can simply be calculated as the sum of volumes in the direction of the move (i.e. if the bull pays the touch, it’s a demand move & vice versa)
In the absence of access to tick data, assumptions must be made to determine on which side of the ledger the bulls & bears are (Nearly all indicators I have come across assume the direction based on the daily move. This will return a high degree of error as the high volumes will typically be hit when price moves into a new range and low volumes are required to retrace through the vacuum created by an intraday price move).

This calculation is basic in that it does not incorporate momentum and does not differentiate moves into new daily ranges from intraday moves however could easily be extended to do so.


Inputs:
O (Open)
H (High)
L (Low)
C (Close)
V (Volume)
PC (Previous days Close)
SFR (Static assumed spread fill rate – The % of volume on the bid/offer that moves in to fill the spread as price moves away on an intraday basis)

Extrapolated local variables:

Extend PC with ‘H’ (High – Above current days open) or ‘L’ (Low – Below current days open).
PCH,PCL

Adding (Low Close ‘LC’ & High Close ‘HC’) identifier to O,H,L,C
LCO,LCH,LCL,LCC
HCO,HCH,HCL,HCC

Breaking Down Volumes by Direction
Previous Close to current days open (The volume that was taken up in the opening match)
HPC_SupplyMove = (HPC – O) x SFR
LPC_DemandMove = (O – LPC) X SFR

Components of the High Close scenario
HC_O_L_SupplyMove = HCO – HCL
HC_H_O_DemandMove = HCH – HCO
HC_H_C_SupplyMove = (HCH – HCC) x SFR
HC_O_L_DemandMove = (HCO – HCL) x SFR

Components of the Low Close scenario
LC_H_O_DemandMove = LCH – LCO
LC_H_O_SupplyMove = (LCH – LCO) x SFR
LC_O_L_SupplyMove = LCO – LCL
LC_L_C_DemandMove = (LCC – LCL) x SFR

Application to calculate price & money flow
Price Move
AM ‘Advance Move’ = The sum of all components containing the word ‘Demand’
RM ‘Retreat Move’ = The sum of all components containing the word ‘Supply’
TDM ‘Total Days Move’ = AM + RM

Volume Moves
AV ‘Advance Volume’ = V * (AM / TDM)
RV ‘Retreat Volume’ = V * (RM / TDM)

Subsequent Applications:
MF ‘Money Flow’ = AV Mav - RV Mav (Note: the sign shows money flow direction)

AFS ‘Advance Flow Strength’ = AV Mav / AM Mav
RFS ‘Retreat Flow Strength’ = RV Mav / RM Mav
Low AFS indicates price is being ticked up on low volume – Bearish
High AFS indicates price is moving up and making ground on increasing volume - Bullish
(The inverse is applicable to RFS)

MFS ‘Money Flow Strength’ = AFS / RFS

Advanced Application:
Algorithmic application of the WYCKOFF/Weis Wave
Programmatically add MT waves to the chart and classify the waves as Bull/Bear
When calculating Move & Volume Mavs, on switch of wave, carry the results forward to the next wave of the same direction.

The reason I share my proprietaries is to test them against the collective intelligence so I'm open to any educated feedback.