Williams’ Variable Accumulation Distribution Indicator

Summary

The document explains Williams’ Variable Accumulation Distribution (WVAD), an indicator that combines a bar’s price movement with its volume. It describes the close-to-open change as a directional signal and scales that change by the high-to-low range, then multiplies by volume. This is intended to represent how much trading volume accompanies the price movement.

The note says the calculation can fall back to the open-close move divided by the high-low range when volume is unavailable, and mentions using ask-versus-bid information in some markets where pre-market limit orders may affect those quotes. It presents a current-bar calculation and gives no empirical performance evidence. The explanation is brief and does not specify handling for a zero high-low range, define how to aggregate values across bars, or establish that the indicator predicts future returns. Its comment that the measure was dropped in the late 1970s because it was difficult to implement is not supported with further historical detail.

Key ideas

• WVAD combines the bar’s open-to-close price movement with its trading volume.
• The open-close move provides direction, while the high-low range scales the move’s size.
• When volume is unavailable, the note describes using the normalized price move alone.
• The document provides no testing evidence that WVAD forecasts returns.

Tags

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