1991issue C041
Building a breadth composite from on-balance volume breakouts
On-balance volume is plotted as a running total, then each constituent is scored as a signed breakout vote. Those votes are added into a volume index and charted against the financial index.
- On-balance volume adds a session's volume after a higher close and subtracts that volume after a lower close, then plots the running total.
- A sequence of higher highs and higher lows on on-balance volume is treated as positive confirmation of the prevailing trend; lower lows and lower highs are treated as a negative reading.
- Each constituent can be scored +1 for a bullish breakout, -1 for a bearish breakdown, or counted as a neutral reading.
- Those signed votes sum into a volume index that ranges from +8 to -8 and is charted against the financial index.
Entries in this reading3 entries
Plotting a running volume total
On-balance volume updates a running total by adding a session's volume when the close is higher and subtracting that volume when the close is lower.
Each session's on-balance volume value is plotted so the series can be read as a leading or confirming cue for the market trend.
Confirmation and negative readings
Volume-price analysis judges that plotted path against the market's direction. A sequence of higher highs and higher lows on on-balance volume is treated as positive confirmation of the prevailing trend.
A sequence of lower lows and lower highs on on-balance volume is treated as a negative reading.
From constituent votes to a volume index
A volume index can be built by summing the current on-balance volume readings of the financial indices in the basket. Each constituent can be scored +1 for a bullish breakout, -1 for a bearish breakdown, or counted as a neutral reading in the same tally.
When those signed constituent votes are added, the composite volume index ranges from +8 to -8 and is charted against the financial index.
Educational research material, not investment advice. Historical source context does not establish present-day performance.
16 of 61 in the On-balance volume track
19921-8 pp.Next on On-balance volumeConstructing a rate-complex volume-breadth indexPrice is the default research input. Volume is a participation check: a move is treated as supported when volume is relatively adequate, and relatively thin volume is treated as a possible warning that the move may not continue.All readings on this track · 61 readings
- 1988Cumulative volume trend and 200-session polarity
- 1988Three clocks when cumulative volume led price
- 1988Payoff index checkpoints for open interest and divergence
- 1988Relative strength, stochastics, and on-balance volume as a turning-point stack
- 1988Signing volume by open interest change
- 1988Case study: weekly on-balance volume with trendlines and a 21-period average
- 1988Combining weekly and daily MACD divergences with on-balance volume
- 1988Restoring the original tests for market breadth, on-balance volume, and trendlines
- 1989Evaluating volume-weighted breadth extremes
- 1989Demand oscillator construction with a momentum overlay
- 1989Constructing a volume percentage ratio from advance-decline flow
- 1990Constructing net positive volume as On-balance volume
- 1990Buying-share scale with on-balance volume
- 1990Friday-filtered on-balance confirmation lines
- 1991Constructing rate-market volume breadth from on-balance volume
- 1991Building a breadth composite from on-balance volume breakouts
- 1992Constructing a rate-complex volume-breadth index
- 1992Constructing a breadth index from on-balance volume
- 1992Constructing signed market thrust from issue volume
- 1992Constructing indicator phase across averages, volume and bands
- 1993Force on-balance volume to agree with itself at slower horizons
- 1993Three transforms of market thrust from breadth and volume
- 1994Constructing a tick-line momentum oscillator
- 1994Constructing a smoothed on-balance tick momentum oscillator
- 1994Histogram confirmation and a second-series veto for MACD-family alerts
- 1994Constructing a 40-period envelope on on-balance volume
- 1996Constructing a matched percent-B volume disparity
- 1997Constructing calendar regime overlays and volume-weighted rules
- 1997Constructing market thrust from breadth and volume
- 1997Constructing on-balance volume as a signed running total
- 1997A three-layer construction for a signed volume-force oscillator
- 1997Constructing a range-sum volume-force oscillator
- 1999On-balance volume confirmation, price-indicator divergence, and bounded exits
- 2000A daily long-only confirmation stack on the tether line
- 2000A three-filter tether and volume trend system
- 2003Constructing finite volume elements as a finite-period money-flow filter
- 2003Constructing on-balance volume from signed session volume
- 2003On-balance volume as a market-breadth participation ledger
- 2003Construct a volatility-adjusted on-balance volume filter before confirming a breakout
- 2004Opening and midday ranges as an on-balance-volume breakout case
- 2004Constructing a volatility-gated volume-flow measure
- 2004Constructing a volume-flow series from on-balance volume
- 2004Volume-flow indicator construction from on-balance volume
- 2004Volume-flow slope divergence, then separate on-balance-volume and crossover rules
- 2004Volume flow and band construction as one inspectable problem
- 2004Auditing advance-decline confirmation for scale, horizon, and composition
- 2005Bounded market breadth from the Arms index to BRIN
- 2006Overnight-hold entry and exit construction
- 2007Evaluating Volume-price confirmation versus On-balance volume and MACD
- 2009Volume confirmation versus a price advance
- 2010Typeahead retrieval of a moving average, on-balance volume, and a stochastic oscillator
- 2010Modified volume-price trend and log-price scale alignment
- 2010Constructing liquidity accelerometers from advance-decline averages
- 2012Failed short cycles as breadth and volume tests
- 2016Earnings straddles, implied volatility, and money-flow filters
- 2017A volume residual filter and a price projection matrix
- 2019Volume-volatility parabola and signed-volume momentum
- 2019Separating on-balance volume into breadth and volume
- 2020Constructing the obvm signal line
- 2020Constructing smoothed on-balance volume with a signal line
- 2020Keep neutrality as a first-class input in three-state market data
Also on On-balance volume5 readings
2003Constructing finite volume elements as a finite-period money-flow filter2003Construct a volatility-adjusted on-balance volume filter before confirming a breakout2004Opening and midday ranges as an on-balance-volume breakout case1988Constructing volume-confirmation overlays on OHLC spreadsheet charts1988Cumulative volume trend and 200-session polarity