A three-layer construction for a signed volume-force oscillator

What this construction does

This archive workflow builds a signed volume oscillator from bar structure and volume. It sits with on-balance volume: a signed-volume construction in which volume is added or subtracted according to a price-direction rule rather than treated as unsigned turnover.

The same workflow uses volume-price analysis: joint use of bar structure and volume so that range size and trend persistence change how much volume is allowed to enter the signal. Exponential smoothing is applied only after that signed, range-scaled series exists.

Assign a trend sign from the price sum

A trend-sign is a plus-one or minus-one label taken from whether the current high-plus-low-plus-close sum has risen versus the prior bar. A rise is mapped to a positive sign. This layer does not yet use volume or range.

Decide how much volume counts

The daily-measurement is the current bar high minus low, used as the one-bar range input. The cumulative-measurement is a running range total that adds the current daily measurement when the trend-sign is unchanged. If the sign changes, that running total restarts from the sum of the current and prior daily measurements.

Volume-force is an intermediate series that scales volume by how far twice the daily-to-cumulative range ratio sits from one, then applies the trend-sign and a factor of 100. The archive forms volume-force only when the cumulative-measurement is not zero, as volume times the absolute value of twice the daily-to-cumulative range ratio minus one, times the trend-sign, times 100.

Compare two exponential averages, then add a trigger

The volume-oscillator is the difference between a shorter and a longer exponential average of the volume-force series. Exponential smoothing is a recursive average that weights recent observations more heavily and is used both to compare two lookbacks of volume force and to form a trigger. Documented default lengths are 34 for the shorter average and 55 for the longer average.

A trigger-line is an exponential average of the volume oscillator used as a comparison series, with an optional extra summation smoother. The documented default length of that trigger is 13. An optional summation length can further smooth both the oscillator and the trigger. A length of 1 or below leaves those series unsmoothed.

When alerts are defined

Alert conditions are defined when the oscillator crosses its trigger or when the trigger crosses a zero reference.