Positive Volume Index Signals Using Volume-Driven Price Changes
Summary
The Positive Volume Index (PVI) described here updates a cumulative price-change series only when current volume exceeds the previous bar’s volume. When volume does not rise, the index carries forward its prior value. The strategy compares this series with an exponential moving average, using the index above its average as a long state and below it as a short state. Crosses of the two lines mark changes in direction. The published settings specify an EMA length of 255 and a backtest on Binance BTC-USDT futures over a stated period.
The document presents PVI as a way to examine price behavior during rising-volume periods and notes that volume expansion can diverge from price. It also identifies lag, abnormal volume, and over-optimization as risks, and suggests stop losses or signal filters as possible additions. Although backtest settings are provided, no returns, trade statistics, or comparative results are included, so the settings alone do not establish performance or robustness.
Key ideas
- PVI adds the price rate of change to its cumulative value only when volume is higher than on the prior bar.
- The strategy compares PVI with an exponential moving average to determine long or short direction.
- Crosses between PVI and its average indicate changes in the trading signal.
- Volume increases can occur without corresponding price strength, creating divergence risk.
- The stated backtest configuration does not include performance results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.