Constructing smoothed stochastics and an up/down volume oscillator

A two-stage construction

TradersWeek editorial reading: treat oscillator construction as two decisions in order. First decide what quantity is being located. Then decide how that quantity is smoothed, scaled, and placed on a shared numeric axis.

The archive presents two families under that sequence. A stochastic oscillator locates the close inside a lookback high-low span, then applies layered smoothing and a fixed scale so the series can be compared with a companion momentum form. An up/down volume oscillator locates session volume by close direction, then reports a fixed-lookback ratio.

Locate the quantity first

The double-smoothed stochastic locates the close against the lookback low. The remainder is the close minus that low, and the matching span is the lookback high minus the lookback low.

The stochastic momentum index locates the close against the midpoint of the lookback high and low. The remainder is that difference, and the matching width is half the lookback span.

The up/down volume oscillator uses a close-direction volume split. A session's volume enters the numerator when the close is higher than the prior close, and it enters the denominator when the close is lower.

Smooth, scale, and share an axis

After those remainders and spans are defined, a successive exponential average is applied twice to each series. The double-smoothed stochastic twice exponentially averages the close-versus-lookback-low remainder and twice exponentially averages the lookback high-low span, then scales their ratio by 100.

The stochastic momentum index twice exponentially averages the close-versus-midpoint remainder and half the lookback span, then scales that ratio by 100.

Both stochastic constructions share one range-window input and one smoothing-length input, stated as 14 and 20. The two series are described as occupying nearly the same numeric scale, which allows them to be drawn in one shared pane.

A volume ratio on a fixed lookback

An up/down volume oscillator is a ratio of summed volume on sessions that close higher than the prior session to summed volume on sessions that close lower. The stated lookback for that volume ratio is 50 sessions.

The same close-direction volume-ratio construction is presented as usable on both equities and commodities. TradersWeek editorial note: this is a different located quantity from the stochastic pair, not a third price-span oscillator.