# Factor formula Volume-price divergence calculation: CORR(VWAPt−d:t,VOLUMEt−d:t)** In the formula: ## CORR: Represents the Pearson Correlation Coefficient, which is used to measure the strength of the linear correlation between two variables. Its value is between -1 and 1, -1 represents a complete negative correlation, 1 represents a complete positive correlation, and 0 represents no linear correlation. ## VWAPt−d:t: Represents the volume weighted average price (VWAP) time series from time t-d to time t. VWAP can reflect the average transaction cost during this period and can effectively smooth short-term price fluctuations. Among them, t represents the current time point, and d represents the length of the lookback time window (such as 10 days, 20 days). ## VOLUMEt−d:t: Represents the volume time series from time t-d to time t, reflecting the market activity during this period. Volume is an important indicator of market sentiment and participation, and its changes often lead prices. # Factor explanation The volume-price divergence quantifies the degree of price-volume divergence by calculating the Pearson correlation coefficient between the volume-weighted average price (VWAP) time series and the volume (VOLUME) time series within a specified time window. When the correlation coefficient is positive, it means that the price and volume change in the same direction and the market momentum is strong; while a negative value indicates that the price and volume change in the opposite direction and a divergence occurs. For example, when the price continues to rise but the volume decreases, the correlation coefficient is negative, indicating that the price increase may lack the support of the volume, and there is a "cold field" phenomenon, indicating that the price increase momentum may weaken or there is a potential risk of a callback. Investors can use this indicator in combination with other technical analysis tools, such as trend lines, support and resistance levels, etc., to assist in judging the reliability and potential risks of market trends, especially in the identification of market reversal signals. It has a certain reference significance. It should be noted that this indicator should not be used alone, but should be combined with the overall market environment and the specific situation of individual stocks for comprehensive analysis. Source: [Volume-price divergence](https://factors.directory/en/factors/tech/price-volume-divergence)
a lot of work went into that web site to just have known "factors" in the number of 500. what is your end game with that site? try and publish the unknown, something original, new? here is a screen shot of my studies in multicharts, and i am just some random wanna be trader. i have thousands of studies, know why? cause multicharts is not capable of managing 10's of thousands of studies. so i have to keep the number of studies down to around 5k to be able to open the power editor. you can do better, nice start hope you succeed whatever the end game is.
Just an example how you can use tick data with a simple Bollinger Band approach to get an annualized Sharpe over 15. I have attached the latest saved Excel file I had created from the portfolio.You do not need to make it complicated to get a smooth curve. See yourself. You cannot do it better in backtesting anyway. That is already the endgame of being systematic high-end stupid (cause it does not work by far any that good in realtime tracking, so it is not worth your time).
Anyone can do it better than me with Sharpe >15 per year in backtesting ? I do not think so. As I have over 12 years experience in systematic strategies. This should be the endgame. But let me know if I am missing something. Always eager to learn something new. With a VWAP approach you can get Sharpe 2 to 3.
Thank you for sharing. Can we assume that these parameters define your signals: -> BBandSE -> BBandLE
Yeah, I have different setups for slippage handling with higher average trade. Here the most liquid Spot FX symbols are focused so with above 3 pips average trade you should have around less than 1 pip trading cost. This was just an example, everyone can play around on his own. The main issue is, that the past data is much different from future which makes backtesting and optimizing meaningless anyway.
Don't you think that OTC markets are unfair when using technical analysis? I wonder if you could get the same results in live markets if you were using futures instead of Forex.