Volume Flow Indicator: Thresholded Volume Flow and Zero-Line Signals

Summary

The document explains the Volume Flow Indicator (VFI), a volume-based measure described as a modified form of On Balance Volume. It uses typical price rather than the close, applies a volatility threshold so small price changes do not count as directional flow, and caps volume to reduce the effect of unusually large readings. The provided calculation aggregates signed, capped volume over a lookback period and smooths the resulting series with a short exponential average.

The suggested reading is that positive values indicate a bullish state, with a move above zero treated as a possible buy trigger; divergence is presented as another potentially useful signal. The document lists example parameter guidance for daily and intraday charts and includes an implementation, but it provides no test results or evidence that the signals predict returns. Interpretation and usefulness may depend on instrument, timeframe, parameter choices, and testing. The included personal-data notice is unrelated to the indicator.

Key ideas

• VFI adapts On Balance Volume by using typical price and filtering price changes below a volatility threshold.
• It caps volume to limit the influence of unusually high volume observations.
• The document interprets positive readings and upward zero-line crosses as bullish signals.
• Divergence is identified as a potentially strong money-flow signal.
• The material supplies a calculation example but no empirical performance evidence.

Tags

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