Candle-Based Accelerated Buy and Sell Volume Indicator

Summary

This indicator estimates buy and sell volume from each candle’s range and open and close prices. It allocates volume across candle sections, assigning the resulting estimates to buying or selling according to whether the candle closes at or above its open. These estimates are then smoothed: a short exponential average is reduced by a longer simple average to produce separate accelerated buy and sell series.

A separate volume MACD, calculated as the difference between fast and slow exponential averages of total volume, is plotted as a reference. The document cautions that this MACD is not the sum of the estimated buy and sell series, and that the indicator is not full or directly observed volume. Its candle-based allocation is an estimate, and the acceleration calculation can produce values below zero. The document gives calculation logic and suggested averaging periods, but provides no empirical validation, trading rules, or performance results.

Key ideas

• The indicator estimates buying and selling volume by allocating candle volume across price-range sections.
• It classifies the allocation using the candle’s direction from open to close.
• Each estimated side is accelerated by subtracting a longer simple average from a shorter exponential average.
• A separate MACD of total volume is plotted and does not represent the sum of the two estimated sides.
• The resulting series can fall below zero and should not be interpreted as full observed volume.

Tags

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