Constructing ease of movement from volume-scaled boxes

Read volume against the session range

An easy advance is expanding upside range with rising volume. The pullbacks that interrupt that advance show the opposite pairing: lighter volume and tighter ranges.

Volume is not read as a standalone total. It is compared with the same session trading range, so the same volume print is not treated the same on a wide range as on a narrow one.

Each session as a volume-scaled box

When volume is placed on the horizontal axis, each session becomes a rectangle. Height is the price range and width is volume, so the shape itself encodes travel relative to activity. That rectangle is the volume-scaled box.

A tall thin volume-scaled box marks large price travel on comparatively light volume. A short wide volume-scaled box marks small travel relative to the volume expended.

Box ratio, midpoint move, and the ease-of-movement value

Box ratio is the volume number divided by the range number. A lower box ratio corresponds to easier travel, meaning price traveled more freely for the activity expended. A square session, where those two numbers match, yields a box ratio of 1.

Midpoint move is today’s median price minus yesterday’s median price. Each median is the session high plus the session low, divided by two.

The ease-of-movement value is the midpoint move divided by the box ratio. A given displacement on lighter volume therefore produces a larger reading than the same displacement on heavier volume. Light, easy travel is enlarged. Heavy, hard travel is shrunk.

Smooth the raw series and normalize the scale

Raw ease-of-movement values are described as too erratic for use. They are smoothed with a 13-session moving average selected by trial and error. Other lookbacks may be substituted.

Because the unnormalized calculation depends on each instrument’s price level and volatility, readings cannot be compared numerically across instruments until they are normalized. The series used after that step is the normalized ease average: a scale-adjusted, smoothed ease-of-movement series against which a center line can be judged and across which instruments can be compared.

What the center line is allowed to claim

On the 13-session normalized ease average, readings above the center line are treated as easier upside travel and readings below it as easier downside travel. The series can also lag or hover near the center line without a decisive reading.

That center-line contrast is available only after the volume-scaled box, the box ratio, and the midpoint move have already been built. The construction comes first. The reading is a later claim about the finished series.