Directional Volume Accumulation as an OBV Adjustment

Summary

The document presents a cumulative volume indicator intended to refine On-Balance Volume (OBV). Rather than assigning all of a session’s volume to the direction implied by the close, it estimates the portion associated with the close-to-close price move. That estimated contribution is scaled by a price-distance measure using the day’s high-low range, the open-close move, and the gap from the prior close to the open. The contributions are then accumulated over time.

The formula sets the increment to zero when its distance denominator is zero. The document offers no empirical comparison with standard OBV, trading rules based on the indicator, or performance evidence. Its usefulness therefore lies in the proposed volume-accounting idea; the estimated directional share and its effectiveness remain unvalidated in the text.

Key ideas

• The indicator accumulates volume contributions scaled by the close-to-close price change.
• It aims to avoid assigning the full session volume to one direction as standard OBV does.
• Its price-distance denominator combines the intraday range and movements involving the open and prior close.
• The contribution is set to zero when the denominator is zero.
• The document provides no backtest or evidence that the adjustment improves trading decisions.

Tags

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