Skip to main content
Track On-balance volume
27 / 61
Search the archiveLibrary
Library

1996issue C061

Constructing a matched percent-B volume disparity

The close and on-balance volume are passed through the same 33-period moving average, the same two-standard-deviation envelope, and the same percent-B map before a one-shifted ratio is formed. Parameters from a weekly index application are flagged for review before reuse on daily individual-stock series.

  • The close and on-balance volume each receive a 33-period moving average and a two-standard-deviation envelope before percent-B is computed.
  • Volume disparity is one plus price percent-B, divided by one plus on-balance volume percent-B, so the two series share one scale and the denominator is not zero.
  • Parameters from a weekly index application are flagged for review before reuse on daily individual-stock series, with a relative-strength line treated as an initial upward-trend filter.
  • A negative-volume companion updates only when volume falls, and each finished indicator may be smoothed with a moving average and read alongside other technical indicators.
Entries in this reading3 entries
Current trackOn-balance volume88 readingsBollinger Bands102 readingsMoving average597 readings

A shared-scale construction

Volume disparity compares the close with on-balance volume after both series have been mapped onto one scale. The construction applies the same lookback, the same two-deviation envelope, and the same percent-B map to each series, then forms a one-shifted ratio.

On-balance volume is the running volume total used as the second series. Bollinger Bands supply the envelope around a moving average. The moving average is an equal-weight average of the most recent lookback observations of a chosen series, used here as both a price centerline and an on-balance volume centerline.

Price centerline and bands

The price centerline is a 33-period moving average of the close. Upper and lower price bands sit two population standard deviations above and below that 33-period average.

Those bands are an envelope around the moving average, placed a stated number of standard deviations above and below that average.

On-balance volume and the matched envelope

On-balance volume begins at the first session volume, then adds volume on an up close, subtracts volume on a down close, and holds when the close is unchanged. It is a running volume total that adds the session volume on an up close, subtracts it on a down close, and holds the prior total when the close is unchanged.

The same 33-period average and two-standard-deviation envelope are then applied to the on-balance volume series.

Percent-B and the disparity ratio

Percent-B is the location of a value between its lower and upper bands, computed as the distance from the lower band divided by the full band width. For a series, percent-B equals that series minus its lower band, divided by the distance between its upper and lower bands.

The on-balance volume disparity reading is one plus price percent-B, divided by one plus on-balance volume percent-B, with the added one used to keep the denominator from being zero. Volume disparity is a ratio that compares shifted price percent-B with shifted on-balance volume percent-B so the two series are read on one scale.

JPM on-balance volume, January–February 1996

Daily on-balance volume for J.P. Morgan rises from the first session’s 3.51 million shares to 20.61 million by 20 February 1996, tracking the same close-up, close-down add-or-subtract rule the sidebar later maps through a 33-period envelope. Traders should see the raw volume accumulator that is then put on the same percent-B scale as price. Numbers are the H-column values printed in sidebar Figure 1.
Daily on-balance volume for J.P. Morgan rises from the first session’s 3.51 million shares to 20.61 million by 20 February 1996, tracking the same close-up, close-down add-or-subtract rule the sidebar later maps through a 33-period envelope. Traders should see the raw volume accumulator that is then put on the same percent-B scale as price. Numbers are the H-column values printed in sidebar Figure 1.JPM · 1D · 1996-01-03T00:00:00.000Z to 1996-02-20T00:00:00.000Z

Column H is the raw on-balance volume: first cell equals that day’s volume; later cells add volume on an up close, subtract it on a down close, and hold on an unchanged close. The 33-period average, two-standard-deviation bands, percent-B, and disparity ratio only appear after the lookback fills, so those later columns are not plotted here.

Negative-volume companion

The negative-volume variant is initialized at 100 and, only when volume falls, adds 100 times the close-to-close percent change. Otherwise the running total is left unchanged.

Negative volume is a companion running series that updates only when volume declines, adding a scaled close-to-close percent change and otherwise leaving the prior value unchanged.

Review before reuse

Parameters taken from a weekly index application are flagged for review before reuse on daily individual-stock series, with a relative-strength line treated as an initial upward-trend filter.

After construction, each indicator may be smoothed with a moving average of the user's choosing and read alongside other technical indicators.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
27 of 61 in the On-balance volume track
19971-3 pp.Next on On-balance volumeConstructing calendar regime overlays and volume-weighted rulesA regime overlay marks recurring lunar-phase windows on a broad equity average so a single position can be judged against calendar state rather than in isolation.
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 year1996121 readings
All 88 readings tagged On-balance volume
Also on On-balance volume5 readings
1992Constructing indicator phase across averages, volume and bands1994Constructing a 40-period envelope on on-balance volume1994Histogram confirmation and a second-series veto for MACD-family alerts1996Constructing a price-volume percent-B disparity1996Constructing volume disparity from percent-b