Intraday Intensity Index with a Moving-Average Signal

Summary

This indicator estimates intraday buying or selling pressure by weighting volume according to where the close falls within the high-low range. It then displays the resulting intensity value as a histogram and calculates a simple moving average of that value as a signal line. The intensity calculation uses a configurable averaging period, and the signal line has its own configurable period.

The document gives the calculation components but provides no trading rules, chart examples, performance evidence, or guidance for choosing the periods. The formula divides by the high-low range, so bars with no price range need special handling in an implementation. The measure can support analysis of volume and close location, but the description alone does not establish that it predicts returns or identify how it should be used in a trading system.

Key ideas

• The indicator weights volume according to the close’s position within the bar’s high-low range.
• A moving average of the intensity calculation serves as its signal line.
• The intensity and signal calculations use separate configurable periods.
• The document provides no performance evidence or explicit trading rules.

Tags

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