Intraday Intensity Index [SyntaxGeek]

2023년 9월 27일

Intraday Intensity Index

This is a volume-based technical indicator that integrates volume with a security’s price. Use this to follow how intraday highs and lows are moving with volume.

The Intraday Intensity Index was developed by Dave Bostian.
It is one of several indicators that can be used to follow how volume is influencing a security’s price. It provides a continuous volume-focused indicator by using a security’s most recent close, high and low in its calculation while also factoring in volume.

I've searched high and low for the correct implementation of this measure and I can only find it buried within old books or in PineScript's own ta.iii, but no one has provided it as a histogram indicator correctly.

The main difference I can find is that most are not restricting volumes influence to the denominator solely, which is how Dave designed it.

For illustration the correct implementation is:
(2 * close - high - low) / ((high - low) * volume)

Such a simple change but compare to many other indicators that claim to implement the measure and it's easy to see the difference.

I also provided a high/low mode that aims to ease comparison to Bollinger Bands which is something that John Bollinger references when utilizing III.

Setting III to 20 trend and high/low mode can present similar areas of extreme breaks to the high or low and may be great entries for trades but you must complete your own analysis.