Time Segmented Volume Compared with On-Balance Volume

Summary

The document contrasts Time Segmented Volume (TSV) with On-Balance Volume (OBV), asking whether TSV offers a more useful or timely signal. The explanation describes TSV as comparing volume in a current intraday time slot with the historical average for that same slot. This comparison is intended to account for regular intraday volume patterns, such as recurring differences between early and later trading periods.

OBV, by contrast, accumulates volume according to whether price rises or falls. TSV is presented as a period-to-period comparison rather than a running total. The discussion does not provide testing, signal rules, or evidence that either indicator predicts returns more effectively. Its core caution is that usefulness depends on the application, so the description supports understanding the indicators’ construction but not a claim that one is generally superior.

Key ideas

• TSV compares current volume with historical volume from the corresponding time of day.
• OBV adds volume cumulatively based on the direction of price movement.
• TSV does not use the same running-total construction as OBV.
• The document provides no performance evidence establishing that one indicator is universally better.

Tags

# How does "time segmented volume" differ from on-balance volume?


# How does "time segmented volume" differ from on-balance volume?












Worden Brothers Inc. advertise a proprietary indicator called Time Segmented Volume.

This gizmo seems closely to resemble On Balance Volume.

Is there any reason to think that TSV might yield a more useful or timely signal than OBV?

## Answer by JonnyBoats (score 3, accepted)

https://quant.stackexchange.com/a/2803

It seems that this is the key difference between OBV and TSV:

"Time segmented volume is the way to get consistent volume data and eliminate all the volume distortions that we discussed above. Here's the key to why time segmented volume works: Let's start with volume on a 5 minute chart and for this example, look at the 10:15 bar. Now take the average of only the 10:15 bars over the prior month and compare that average to the current 10:15 bar. The difference will give a true reading on whether today's 10:15 bar volume is higher or lower in comparison to the exact same time bars over the past month."

from: http://www.squidoo.com/Time_Segmented_Volume

OBV is based on a cumulative total volume, while TSV compares the current time period to a previous one, no running total.

As to which is "better", well that depends on a lot of things and it would be unrealistic to assume that one was better than the other in all cases.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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