Kinetic Slippage Index: Range Relative to Volume

Summary

The Kinetic Slippage Index (KSI) is a volume and price-range oscillator intended to describe how much price moves relative to trading activity. It squares true range and divides by current volume multiplied by its volume EMA, then scales the result. An EMA of KSI provides a signal line, while histogram colors show whether KSI is above or below that line. An alert can trigger when KSI crosses a configurable threshold.

The author interprets sharp KSI increases as large price movement on comparatively light volume, which may indicate thin liquidity or an unstable move. Values near zero are framed as heavy volume with little price displacement, consistent with absorption. These readings are presented as possible clues to exhaustion or false breakouts, not established outcomes. The document provides indicator logic and use-case claims but no performance data or empirical validation. Its ATR-period input is not used in the shown calculation, and volume availability and scaling may affect interpretation across instruments and markets.

Key ideas

• KSI divides squared true range by current volume multiplied by its volume EMA, then scales the result.
• A separate EMA smooths KSI and serves as a reference for histogram coloring.
• The author associates upward spikes with thin liquidity and possible exhaustion, and near-zero readings with volume absorption.
• The configurable spike threshold can be used to generate a crossover alert.
• The document supplies no backtest or empirical evidence that these readings predict reversals.

Tags

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