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2010issue C0467-78

Modified volume-price trend and log-price scale alignment

A reduced-volume cumulative line is assembled from average-price percentage change, then aligned to a logarithmic price chart so agreement and disagreement can be read as a construction choice.

  • The modified volume-price trend is a running sum of a reduced volume term times the percentage change in average price, not a signed full-volume total taken from close-to-close direction.
  • Average price is the mean of open, high, low, and close, and that average replaces the close when each bar's contribution is sized.
  • A logarithmic price scale, a linear indicator scale, and level and scale overlay inputs let the line be compared with the shape of price without changing the cumulative calculation.
  • Agreement between the two paths is the intended visual test of confirmation, and a split is the intended visual test of Price-indicator divergence.
Entries in this reading3 entries
Current trackOn-balance volume88 readingsPrice-indicator divergence167 readingsVolume-price analysis207 readings

What the line accumulates

The modified volume-price trend line is built as a running sum of a reduced volume term times the percentage change in average price. That design is presented as a modification of On-balance volume. The signed full-volume accumulator is replaced by a percentage-change-weighted reduced-volume accumulator, rather than adding or subtracting full bar volume from a close-to-close sign.

Average price as the sizing input

Average price is defined as the mean of open, high, low, and close. That average replaces the close as the price input used to size each bar's contribution.

A reduced volume term on a readable scale

The reduced volume term is constructed as volume, or tick count on tick bars, multiplied by a small constant so the cumulative line stays on a readable numeric scale.

Modified volume-price trend from the four-price average, 3–26 January 1995

The cumulative line falls with the mid-January slide in the four-price average, bottoms on 9 January, then turns up and peaks on 20 January as typical price and volume rise together. Figures are the MVPT column of the Excel worksheet: the first bar is set to that day's volume, and each later bar adds volume times the percentage change in (open+high+low+close)/4.
The cumulative line falls with the mid-January slide in the four-price average, bottoms on 9 January, then turns up and peaks on 20 January as typical price and volume rise together. Figures are the MVPT column of the Excel worksheet: the first bar is set to that day's volume, and each later bar adds volume times the percentage change in (open+high+low+close)/4.Daily · 1995-01-03T00:00:00.000Z to 1995-01-26T00:00:00.000Z

The worksheet primes MVPT at raw volume and does not divide by 50,000, unlike the TradeStation listing. Alignment to a log price scale is a later step: divide MVPT by its first value and raise 10 to that power (the ExpMVPT column).

Logarithmic price with a linear indicator overlay

Display construction pairs a logarithmic price scale with a linear indicator scale so the cumulative volume-price line can be compared with the shape of price rather than with raw price units. Level and scale inputs shift and stretch the plotted line so the indicator can be overlaid on price without changing the underlying cumulative calculation.

Confirmation and Price-indicator divergence

Agreement between the log-price path and the linear modified volume-price line is the intended visual test of confirmation. A split between those paths is the intended visual test of Price-indicator divergence.

A well-defined bar-by-bar recurrence

Spreadsheet and platform implementations keep a prior-bar state for the cumulative total and skip the increment when the previous average price is zero, so the recurrence is well-defined bar by bar.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
52 of 61 in the On-balance volume track
201056-62 pp.Next on On-balance volumeConstructing liquidity accelerometers from advance-decline averagesSubtracting a 39-day exponential average of advance-decline data from a 19-day exponential average measures acceleration in market breadth.
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 year2010169 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 volume1997Constructing a range-sum volume-force oscillator