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Volume Trailing Integral
About
This indicator is an attempt to quantify the volume of buying vs. selling in the last N bars. The hypothesis is that on upticks, there was more bull volume than bull volume, and vice versa. "Trailing Integral" refers to the fact that this indicator shows the sum of bear and bull volume in the last N bars, which is akin to an integral of money flow.
Method
To compute the bear vs. bull volume on a given day, the Z score of a price change is mapped to the volume. For example, for upticks, a highly negative Z score results in a ~50/50 bull/bear volume, while a highly positive Z score results in a ~(Max weighting)/(1-Max weighting) bull/bear volume (if max weighting is 0.8, then a large uptick results in 0.8V bull and 0.2V bear volume). Volume is then summed over the last N bars, where N is the length. EMAs are applied at various points to smooth things. Stdevs are calculated for upticks and downticks independently.
Usage
I like to use this like an enhanced OBV, with a smarter bias towards bull/bear ticks. Look first at the total volume and then look for follow through by bear/bull volume. For example, a rally on low volume, with bias towards bear volume is sellable; a bottom with more bull volume on consolidation is buyable, etc.
This indicator is an attempt to quantify the volume of buying vs. selling in the last N bars. The hypothesis is that on upticks, there was more bull volume than bull volume, and vice versa. "Trailing Integral" refers to the fact that this indicator shows the sum of bear and bull volume in the last N bars, which is akin to an integral of money flow.
Method
To compute the bear vs. bull volume on a given day, the Z score of a price change is mapped to the volume. For example, for upticks, a highly negative Z score results in a ~50/50 bull/bear volume, while a highly positive Z score results in a ~(Max weighting)/(1-Max weighting) bull/bear volume (if max weighting is 0.8, then a large uptick results in 0.8V bull and 0.2V bear volume). Volume is then summed over the last N bars, where N is the length. EMAs are applied at various points to smooth things. Stdevs are calculated for upticks and downticks independently.
Usage
I like to use this like an enhanced OBV, with a smarter bias towards bull/bear ticks. Look first at the total volume and then look for follow through by bear/bull volume. For example, a rally on low volume, with bias towards bear volume is sellable; a bottom with more bull volume on consolidation is buyable, etc.
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