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James Sibbet Demand Index Formula

Javed1972

Member
Dear Bonnie,

Hi!

Bonnie I really do not know how to start a new thread, but I am extremely desperate to know the step by step instructions to create Demand Index Indicator. No, I don't want the code for any software, but the original mathematical calculations as suggested by James Sibbet. Please, I have been knocking every door for this, and now you are my last hope...

See these:




which is available here





Besides Perry J Kaufman, in his classic book, Trading Systems and Methods, 5th Edition, on PP 542 and 548, lightly touches the topic.

Sincerely Yours,

Mohammed Javed Akhtar
 

bunty

New member
It's a very complex calculation using 21 columns of data , you can find closest written formula in esignal website they have one efs for demand index or you can google easily available .
Regards
 

Javed1972

Member
It's a very complex calculation using 21 columns of data , you can find closest written formula in esignal website they have one efs for demand index or you can google easily available .
Regards
Yeah I read that in A to Z of Technical Analysis by Steven Achilles. I don't mind 21 columns as the longest formula I calculated had 73. I have read the various codes available on the net, but they are modified formulae. Some of them employ Wilders' Smoothing, and Wilder came on the scene two decades later. You know what I mean. But thanks for your reply.

I hope Bonnie reads this and helps me out. Bonnie for God's Sake

BTW Tom Aspray knows the formula and had discussed in some Futures' Magazine. No further clue about that...

Late Manning Stoller taught it in all his seminars....

"People have even got it straight from James Sibbet", I don't know whether this statement is true or false...I don't have James' e-mail or number...or don't even know whether he is still alive...
 

Sixer

Forex Trader
Three posts without any detailed information about the subject. Here are two links which came up by a google search:




Sixer
 

tke1

Member
Dear Bonnie,

Hi!

Bonnie I really do not know how to start a new thread, but I am extremely desperate to know the step by step instructions to create Demand Index Indicator. No, I don't want the code for any software, but the original mathematical calculations as suggested by James Sibbet. Please, I have been knocking every door for this, and now you are my last hope...

Sincerely Yours,

Mohammed Javed Akhtar
This post says" its definative formula "!!!

 

Javed1972

Member
This post says" its definative formula "!!!

Thanks a trillion tke1. The formula actually looks very simple, if it is correct.

James Sibbett's Demand Index:

@sum(upside volume, 10)

Demand Index = --------------------------------------

@sum(downside volume, 10)

there is no scope of filling 21 columns (it would take 3 columns, if someone is not mathematically inclined) in it as it is notorious about the indicator.... and then actually that post proceeds to discuss the Tom Asprays version of Demand Oscillator!

I had actually read that post on a previous occasion, but do not consider it authentic.

But thanks again for your help.

Update: Gordo has this to say: This is an implementation of James Sibbet's 'Demand Index'. Original sources on this formula seem hard to come by, this is based on thinkorswim's implementation.
 

Javed1972

Member
Three posts without any detailed information about the subject. Here are two links which came up by a google search:




Sixer

Sorry Sixer

I have already mentioned that I am desperate, and tired of seeking

Sorry again.
 

tke1

Member
Hi - I assume you have read the full article in TASC by Thomas E Aspray. He does outline the formula also - as per below....

**********************************
Introduction
In analyzing the commodity markets, I use a series of approximately twelve technical studies which I
have selected after extensive historical research. If these studies are in agreement (uniformly bearish or
bullish), they determine how much emphasis to put on the daily studies.
For example, if the weekly studies are positive and the daily studies are negative, a short position would
be recommended only for scalpers, with close stops used. Conversely, if the daily studies were positive, a
larger position with wider stops could be taken. The studies I find most useful are those which combine
the price action with volume or open interest. One which I use extensively is the Demand Index,
developed by James Sibbet, which utilizes price and volume. I run this study in several different versions
over both the daily and weekly data.
The study calculates the Buying Pressure (BP) and Selling Pressure (SP) in the following manner for the
No Limit version.
If the prices rise: BP = V or Volume
SP = V/P where P is the percent change in price
If the price declines: BP = V/P where P is the percent change in price
If the price declines: SP = V
Because P is a decimal (i.e., less than 1), P is modified to make it greater than one by multiplying it by
the constant K.
For the No Limit version K=(3×C)/Va
where C is the closing price and Va is the Volatility average which is the ten-day average of a two-day
price range (highest high minus lowest low).
Also if SP> BP then DI = -BP/SP
In analyzing the Demand Index, I use several different levels of interpretation to help analyze the
underlying trend. They are:
1) Identify bullish and bearish divergences, i.e., determine whether the DI is moving with the prices or
opposite to the prices.
2) Extensively use trendlines and support/resistance levels on the DI, to determine important turning
points.
3) Separate the DI into BP and SP then determine whether the BP is above the SP (positive) or below it
(negative). I run an oscillator of the BP/SP which I call the Demand Oscillator
 

Javed1972

Member
Hi - I assume you have read the full article in TASC by Thomas E Aspray. He does outline the formula also - as per below....

**********************************
Introduction
In analyzing the commodity markets, I use a series of approximately twelve technical studies which I
have selected after extensive historical research. If these studies are in agreement (uniformly bearish or
bullish), they determine how much emphasis to put on the daily studies.
For example, if the weekly studies are positive and the daily studies are negative, a short position would
be recommended only for scalpers, with close stops used. Conversely, if the daily studies were positive, a
larger position with wider stops could be taken. The studies I find most useful are those which combine
the price action with volume or open interest. One which I use extensively is the Demand Index,
developed by James Sibbet, which utilizes price and volume. I run this study in several different versions
over both the daily and weekly data.
The study calculates the Buying Pressure (BP) and Selling Pressure (SP) in the following manner for the
No Limit version.
If the prices rise: BP = V or Volume
SP = V/P where P is the percent change in price
If the price declines: BP = V/P where P is the percent change in price
If the price declines: SP = V
Because P is a decimal (i.e., less than 1), P is modified to make it greater than one by multiplying it by
the constant K.
For the No Limit version K=(3×C)/Va
where C is the closing price and Va is the Volatility average which is the ten-day average of a two-day
price range (highest high minus lowest low).
Also if SP> BP then DI = -BP/SP
In analyzing the Demand Index, I use several different levels of interpretation to help analyze the
underlying trend. They are:
1) Identify bullish and bearish divergences, i.e., determine whether the DI is moving with the prices or
opposite to the prices.
2) Extensively use trendlines and support/resistance levels on the DI, to determine important turning
points.
3) Separate the DI into BP and SP then determine whether the BP is above the SP (positive) or below it
(negative). I run an oscillator of the BP/SP which I call the Demand Oscillator
Oh tke1, By God, I was praying fervently for the formula, and God made you write it. No I didn't get this far, this is surely Tom's formula, but I wasn't even able to get to it, and I searched and searched. And Searched. Half of my problem is solved! I hope you or Bonnie or someone else comes up with Jamie's formula as well. Amen.

I do not know whether you are a human or angel, but whoever you are, know that my heart is overflowing with gratitude. Thanks a zillion times.

We in India, are celebrating Eid today, after fasting for a month, and this is surely a Gift from Almighty, God my Lord


P.S. check this link:




is available here:






Update: After reading the second article, I think I am good. Thanks tke1, thank you so much friend. I would show you how I implement it. :)
 
Demand Index is a good indicator.

I have a copy of a good attempt to replicate Sibbett's methodology. It is attached; also an indicator I made using the DI and added Moving Averages of the +DI and -DI. I also did a version with Bollinger Bands but can't find it right now. It's quite a good indicator.

I hope these are useful to you.
 

Attachments

Javed1972

Member
The one AFL, for Amibroker, I am attaching it here.
Friend, Could you also post the bare code of this Formula?

Thank You SO Much

Demand Index is a good indicator.

I have a copy of a good attempt to replicate Sibbett's methodology. It is attached; also an indicator I made using the DI and added Moving Averages of the +DI and -DI. I also did a version with Bollinger Bands but can't find it right now. It's quite a good indicator.

I hope these are useful to you.
ForexNewbie51 friend could you also post the code for your indicator?


Thank You so Much...May God Bless You ALL
 
The MA of SDI I found later was actually MA of ADX but file name was wrong. Apologies for that :-( . I never had MQ4 for SDI per se but tested which buffer to address in the MA of SDI but the MQ4 for that is somewhere but I know not where. I moved house and the PC with the info on it is not re-set up and likely won't be for some time yet. The SDI indicator is a good one though.
 
I came across this version in MQ4 but there is a problem with it. It does not update each new bar. I have no idea why. The ex4 from another source works fine.

If someone can make the correction/fix to the MQ4 it would be great for all.


Update: I posted the ex4 for decompile here: . The MQ4 file is attached as version4 but it too does not work.

It seems there is a CSV file required but the ex4 works just great with no csv. Too hard for me to resolve but if any programmer here would be kind enough to resolvve this, there is a great indicator potential.
 

Attachments

Can some kind programmer examine the MQ4 file in Post #15 to get it working? The ex4 version works fine and has no csv file. I'm sure this can be remedied by a competent programmer and we would all benefit from having a working version of this indicator.
 

dd123

Member
If anyone can get this presentation by Manning and the workbook, it would be great:

 
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