Allocating Bar Volume Between Upward and Downward Streams

Summary

The OHLC Volume indicator splits a bar's tick volume into upward and downward streams using proportions derived from the bar's open, high, low, and close. It has no user-set input parameters. The described calculation weights the upward stream by the distance from the open to the high and the downward stream by the distance from the low to the close, then allocates the total volume across those components.

The document supplies the formulas and definitions but does not explain how to interpret the resulting streams, give trading rules, or provide tests of their usefulness. It also does not specify handling for bars where the combined coefficients are zero. The indicator is therefore a simple OHLC-based volume allocation method; the text does not establish that its streams represent actual buyer-initiated or seller-initiated trading volume.

Key ideas

• The indicator divides each bar's tick volume into upward and downward streams.
• The upward coefficient is based on the high relative to the open.
• The downward coefficient is based on the close relative to the low.
• The document provides no trading rules or evidence that the allocation identifies actual trade direction.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.