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On-balance volume (OBV) : Total volume for each day is assigned a positive or negative value depending on prices being higher or lower that day. A higher close results in the volume for that day to get a positive value, while a lower close results in negative value. The range of price is important to effect OBV, since the range could be large and small with the same amount of volume, so is there any approach to determine the adjusted volume with range consideration? Does anyone have any suggestions? Thanks in advance for any suggestions :> OBV formula  [edited by wabbit : fixed image tags]
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oem7110 wrote:The range of price is important to effect... Why do you think this? If you think volume traded on a price range is important then simply weight the volume on that bar by some factor which is determined by the importance you are placing on that range.
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Do you find any related materials talking about this issue?
There is a difference on following case for OBV:
1) price rises 0.2% with 1 millions transaction
2) price rises 10% with 1 millions transaction
Do you have any suggestions?
Thank you very much for any suggestions :>
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Rank: Advanced Member
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Location: Perth, Western Australia
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None of this matters to me (or probably anyone else for that matter) -- it should only matter to you. With regard to the OBV, it doesn't matter how much the price changes, only that price changes. If you want to include the magnitude of the change, then do so. Do some experimentation and see what you can come up with. Start with something like the code below and test it to see if there is any edge in it, then see if you can apply that to your trading. Code:
plot:=Input("Plot: [1]Standard [2]Weighted",1,2,1);
ch:=ROC(C,1,%);
standardOBV:=Cum(((ch>0)-(ch<0))*V);
weightedOBV:=Cum(ch*V);
{plot}
If(plot=1,standardOBV,weightedOBV);
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Rank: Advanced Member
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Thank you very much for suggestions :>2
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Give a man some basic tools, and with them he'll build castles in the air - and watch as Equis charges the rent. ;)
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