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1990issue C121-2

Friday-filtered on-balance confirmation lines

A friday-filter admits only Friday observations into two session series and accumulates each as an on-balance-line against the weekly close. Editorial reading: that gate turns a weekly price high into a confirmation test on the intermediate-horizon rather than a standalone trend signal.

  • A client poll named Friday as the week's most important session, so the archive restricted two indicators to Friday observations and treated that friday-filter as the first construction rule.
  • Each Friday series, the New York Stock Exchange tick close and the last-hour-first-hour-residual, was accumulated into an on-balance-line and plotted against the weekly DJIA close over 22 weeks.
  • On an intermediate-horizon of four to six weeks, neither filtered line confirmed the weekly DJIA closing high of July 20, 1990: the tick line formed a triple top and the residual line formed declining tops.
  • Editorial reading: the weekday-restricted on-balance series is a trend-filter. A weekly high is accepted or rejected by confirmation-divergence, not read as a trend signal on its own.
Entries in this reading3 entries
Current trackOn-balance volume88 readingsPrice-indicator divergence167 readingsTrend filter184 readings

The friday-filter as the first construction rule

The archive workflow began with a client poll that named Friday most often as the week's most important session. Of 297 questionnaires sent, 218 were returned: 83 percent chose Friday, 14 percent Monday, 2 percent named no preferred day, and 1 percent chose Tuesday, Wednesday, or Thursday.

A friday-filter was then built by restricting two indicators to Friday observations. Under that rule the series represents a chosen session rather than every trading day.

Two Friday inputs become on-balance-lines

The first Friday-only input was the New York Stock Exchange tick close. The second was the last-hour-first-hour-residual: Friday's late-session DJIA change minus the same day's first 90-minute DJIA change.

Each Friday series was accumulated into an on-balance-line, a cumulative signed path built from the session statistic in an on-balance-volume style, and plotted against the weekly DJIA close over 22 weeks.

The intermediate-horizon check

The comparison horizon used for those lines was defined as an intermediate-horizon of four to six weeks. In that window the weekday-restricted on-balance series is the trend-filter: a check on whether a weekly high is accepted or rejected.

A weekly high the lines did not confirm

Neither filtered on-balance-line confirmed the weekly DJIA closing high of July 20, 1990. That pattern is confirmation-divergence: a weekly price high that the filtered on-balance-line does not confirm.

Into that weekly high, the Friday tick on-balance-line formed a triple top and the last-hour-first-hour-residual line formed declining tops. On Friday, July 20, 1990 the DJIA declined 36 points, then declined another 54 points by the following Monday's close.

Weekly DJIA and Friday tick on-balance line

Over the 22-week window the Friday tick on-balance line forms a triple top and fails to confirm the late-July weekly DJIA high, then both series roll over into the mid-year selloff. Values are read from the published Figure 1 plot, not from a table.
Over the 22-week window the Friday tick on-balance line forms a triple top and fails to confirm the late-July weekly DJIA high, then both series roll over into the mid-year selloff. Values are read from the published Figure 1 plot, not from a table.DJIA · 1W · 1990-03-01T00:00:00.000Z to 1990-08-31T00:00:00.000Z

Raster is a mirrored scan of a dual-axis plot. DJIA is the left scale in index points; the Friday tick on-balance line is the right scale in tick units. Dates are week-ending Fridays approximated from the month ticks. Point count is kept modest because the scan cannot support finer precision. Article states the July 20, 1990 weekly close was unconfirmed and that the cash DJIA then fell 36 points that Friday.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
14 of 61 in the On-balance volume track
19911-8 pp.Next on On-balance volumeConstructing rate-market volume breadth from on-balance volumeThis construction uses two recorded series, price and volume, and treats open interest as outstanding potential volume rather than a third independent input.
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 year1990142 readings
All 88 readings tagged On-balance volume
Also on On-balance volume5 readings
1988Combining weekly and daily MACD divergences with on-balance volume1988Payoff index checkpoints for open interest and divergence1988Three clocks when cumulative volume led price1989Constructing a volume percentage ratio from advance-decline flow1989Demand oscillator construction with a momentum overlay