Calculating John Bollinger’s Normalized Intraday Intensity Oscillator

Summary

This brief note defines a normalized intraday intensity oscillator attributed to John Bollinger. It uses one input, a calculation period, and describes the output as the period’s simple moving average of summed intraday intensity divided by average tick volume, multiplied by 100. The summed term weights tick volume by the close’s position relative to the high-low range, so the calculation combines price location within each bar with trading activity.

The document provides a formula and names the inputs, but gives no worked example, signal thresholds, interpretation guide, or evidence of trading performance. It also does not discuss data quality or the behavior of the calculation when the high equals the low. As presented, this is a definition of an indicator rather than a complete strategy; traders would need to choose a period and determine how to use the readings in a tested framework.

Key ideas

• The oscillator has a single input: its calculation period.
• It divides average summed intraday intensity by average tick volume and scales the result by 100.
• Intraday intensity weights tick volume according to the close’s position within the high-low range.
• The note provides no trading thresholds or performance analysis.
• The formula does not explain how to handle bars with no high-low range.

Tags

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