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1997issue C121-5

Constructing a range-sum volume-force oscillator

This archive article rebuilds a volume-price oscillator as three separable layers: a high-low-close trend label, a range-normalized volume force, and a 34-versus-55 exponential spread with a 13-period trigger that can mark exhaustion and divergence left unlabeled by close-only on-balance volume.

  • Trend assignment comes from the high-plus-low-plus-close sum, so a down close can still be accumulation and an up close can still be distribution.
  • Volume force scales daily volume by how much of the current trend’s accumulated range sits in today’s bar, then signs the result by that trend.
  • The oscillator is the 34-period exponential average of volume force minus the 55-period average, with a 13-period trigger used to mark turns before a centerline cross.
  • Alerts that agree with the prevailing price trend rank above countertrend alerts, which are described as needing further basing and a later trend change.
Entries in this reading3 entries
Current trackOn-balance volume88 readingsPrice-indicator divergence167 readingsVolume-price analysis207 readings

The gap close-only volume totals leave unmarked

Close-based on-balance volume models are treated as useful converters of raw volume that still leave many short-term highs and lows unmarked. That unlabeled stretch of short-term extremes is the gap this construction targets.

Volume-price analysis here means reading accumulation and distribution from the high-low-close sum and the high-low range, then converting signed volume into a series that can confirm or challenge the price move.

Label trend from the high-low-close sum

Trend assignment is a plus-one accumulation or minus-one distribution label from comparing today’s high-plus-low-plus-close total with yesterday’s. A rise versus the prior sum marks accumulation. A fall marks distribution. A tie keeps the prior label.

A security can be in accumulation on a down close or in distribution on an up close. This volume-price construction therefore refuses to define flow from the close alone.

Turn the sign into range-normalized volume force

Daily measurement is the session high minus the session low, used as the raw range input to the force calculation. Cumulative measurement is the running total of those daily ranges while the trend sign is unchanged. The total restarts when the sign flips.

Volume force multiplies daily volume by the absolute value of twice the daily-to-cumulative range ratio minus one, then by the trend sign and by 100. Daily volume is thereby scaled by how much of the current trend’s accumulated range is concentrated in today’s bar, then signed by the trend.

The 34-versus-55 spread and the trigger line

The oscillator is the 34-period exponential average of volume force minus the 55-period exponential average. A 13-period exponential average of that difference is the trigger line, used to mark turns before a centerline cross.

Exhaustion, divergence, and alert rank

A centerline extreme is an oscillator reading far above or below zero that then reverses. That turn is treated as exhaustion of the current volume-supported move.

Divergence is a new cycle high or low in price that the volume-force oscillator does not confirm, or any extreme where price and the oscillator move out of step.

The stated ranking places oscillator alerts that agree with the prevailing price trend above countertrend alerts. Countertrend alerts are described as requiring further basing and a later trend change.

Klinger volume oscillator on IOMEGA, 1996–1997

The oscillator tops in May 1996 while IOMEGA is still running to its blow-off high, then spikes near the printed 50,000 tick in early October after the summer washout. A trader should treat that May crest against a higher price high as unmarked distribution. Numbers were read from the published lower pane using the zero line and the 50,000 scale, so they are approximate.
The oscillator tops in May 1996 while IOMEGA is still running to its blow-off high, then spikes near the printed 50,000 tick in early October after the summer washout. A trader should treat that May crest against a higher price high as unmarked distribution. Numbers were read from the published lower pane using the zero line and the 50,000 scale, so they are approximate.IOMEGA · daily · 1996-04-01T00:00:00.000Z to 1997-05-01T00:00:00.000Z

Digitized from the printed IOMEGA daily chart. The source builds this series as a 34-versus-55 exponential spread of range-normalized volume force, with a 13-period trigger drawn but not separately recovered here. Arrow marks on this figure sit on the May 1996 peaks.

A smoother longer-horizon recast

A cumulative recast of the same oscillator is a running total of that oscillator. It is described as smoother, with fewer crosses, and aimed at a longer money-flow horizon.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
32 of 61 in the On-balance volume track
19991-7 pp.Next on On-balance volumeOn-balance volume confirmation, price-indicator divergence, and bounded exitsOn-balance volume is a running sum that adds a period's volume when the close is higher than the prior close and subtracts that volume when the close is lower.
All readings on this track · 61 readings
  1. 1988Cumulative volume trend and 200-session polarity
  2. 1988Three clocks when cumulative volume led price
  3. 1988Payoff index checkpoints for open interest and divergence
  4. 1988Relative strength, stochastics, and on-balance volume as a turning-point stack
  5. 1988Signing volume by open interest change
  6. 1988Case study: weekly on-balance volume with trendlines and a 21-period average
  7. 1988Combining weekly and daily MACD divergences with on-balance volume
  8. 1988Restoring the original tests for market breadth, on-balance volume, and trendlines
  9. 1989Evaluating volume-weighted breadth extremes
  10. 1989Demand oscillator construction with a momentum overlay
  11. 1989Constructing a volume percentage ratio from advance-decline flow
  12. 1990Constructing net positive volume as On-balance volume
  13. 1990Buying-share scale with on-balance volume
  14. 1990Friday-filtered on-balance confirmation lines
  15. 1991Constructing rate-market volume breadth from on-balance volume
  16. 1991Building a breadth composite from on-balance volume breakouts
  17. 1992Constructing a rate-complex volume-breadth index
  18. 1992Constructing a breadth index from on-balance volume
  19. 1992Constructing signed market thrust from issue volume
  20. 1992Constructing indicator phase across averages, volume and bands
  21. 1993Force on-balance volume to agree with itself at slower horizons
  22. 1993Three transforms of market thrust from breadth and volume
  23. 1994Constructing a tick-line momentum oscillator
  24. 1994Constructing a smoothed on-balance tick momentum oscillator
  25. 1994Histogram confirmation and a second-series veto for MACD-family alerts
  26. 1994Constructing a 40-period envelope on on-balance volume
  27. 1996Constructing a matched percent-B volume disparity
  28. 1997Constructing calendar regime overlays and volume-weighted rules
  29. 1997Constructing market thrust from breadth and volume
  30. 1997Constructing on-balance volume as a signed running total
  31. 1997A three-layer construction for a signed volume-force oscillator
  32. 1997Constructing a range-sum volume-force oscillator
  33. 1999On-balance volume confirmation, price-indicator divergence, and bounded exits
  34. 2000A daily long-only confirmation stack on the tether line
  35. 2000A three-filter tether and volume trend system
  36. 2003Constructing finite volume elements as a finite-period money-flow filter
  37. 2003Constructing on-balance volume from signed session volume
  38. 2003On-balance volume as a market-breadth participation ledger
  39. 2003Construct a volatility-adjusted on-balance volume filter before confirming a breakout
  40. 2004Opening and midday ranges as an on-balance-volume breakout case
  41. 2004Constructing a volatility-gated volume-flow measure
  42. 2004Constructing a volume-flow series from on-balance volume
  43. 2004Volume-flow indicator construction from on-balance volume
  44. 2004Volume-flow slope divergence, then separate on-balance-volume and crossover rules
  45. 2004Volume flow and band construction as one inspectable problem
  46. 2004Auditing advance-decline confirmation for scale, horizon, and composition
  47. 2005Bounded market breadth from the Arms index to BRIN
  48. 2006Overnight-hold entry and exit construction
  49. 2007Evaluating Volume-price confirmation versus On-balance volume and MACD
  50. 2009Volume confirmation versus a price advance
  51. 2010Typeahead retrieval of a moving average, on-balance volume, and a stochastic oscillator
  52. 2010Modified volume-price trend and log-price scale alignment
  53. 2010Constructing liquidity accelerometers from advance-decline averages
  54. 2012Failed short cycles as breadth and volume tests
  55. 2016Earnings straddles, implied volatility, and money-flow filters
  56. 2017A volume residual filter and a price projection matrix
  57. 2019Volume-volatility parabola and signed-volume momentum
  58. 2019Separating on-balance volume into breadth and volume
  59. 2020Constructing the obvm signal line
  60. 2020Constructing smoothed on-balance volume with a signal line
  61. 2020Keep neutrality as a first-class input in three-state market data
By fieldIndicators and filters874 readingsBy year199791 readings
All 88 readings tagged On-balance volume
Also on On-balance volume5 readings
1988Three clocks when cumulative volume led price1989Constructing a volume percentage ratio from advance-decline flow1990Constructing net positive volume as On-balance volume1991Constructing rate-market volume breadth from on-balance volume2010Modified volume-price trend and log-price scale alignment