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2009issue C111-78

Volume confirmation versus a price advance

A weekly S&P 500 chart dated 3 July 2009 showed a 10-period time-volume accumulation series below an 8-period moving average and described that setup as not bullish. Tests were reported as supporting the idea that markets need volume to move higher, not as giving a shorting advantage.

  • On the 3 July 2009 weekly S&P 500 chart, the index was at 896.42, down 22.48 on the bar, with a 10-period time-volume accumulation series below its 8-period moving average and described as not bullish.
  • The same daily construction was described as whipsawing around its moving average in early July and offering no useful directional read, while the weekly construction was credited with a timely signal near the March low.
  • Tests were reported as supporting the idea that markets need volume to move higher, and volume-indicator tests were reported as giving no identifiable advantage to shorting.
  • A lack of volume was described as not bullish and also not necessarily bearish, with about 10,000 optimization tests citing parameter stability around the plotted settings.
Entries in this reading3 entries
Current trackOn-balance volume88 readingsVolume-price analysis207 readingsMoving average597 readings

The July weekly chart

A weekly S&P 500 chart dated 3 July 2009 showed the index at 896.42, down 22.48 on the bar.

On that weekly chart, an 8-period moving average was plotted with a 10-period time-volume accumulation series. The weekly time-volume accumulation series sat below its moving average and was described as not bullish.

Daily construction versus weekly construction

The same daily construction was described as whipsawing around its moving average in early July and offering no useful directional read.

The weekly construction was credited with a timely signal near the March low.

What the reported tests supported

Tests were reported as supporting the idea that markets need volume to move higher. Volume-indicator tests were reported as giving no identifiable advantage to shorting.

A lack of volume was described as not bullish and also not necessarily bearish. About 10,000 optimization tests were completed, with parameter stability cited around the plotted settings.

Editorial comparison

An editorial reading is that the Moving average filter on the time-volume series is the quantitative baseline, while On-balance volume and Volume-price analysis are other ways to ask the same confirmation question.

The archive facts support a one-direction claim only: volume was treated as needed for a move higher, the weekly filter was credited near the March low, and a lack of volume was still not treated as a short. The daily filter was described as offering no useful directional read.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
50 of 61 in the On-balance volume track
201069-71 pp.Next on On-balance volumeTypeahead retrieval of a moving average, on-balance volume, and a stochastic oscillatorIndicator typeahead shrinks a catalog of more than fifty studies until a moving average, on-balance volume, or a stochastic oscillator can be selected.
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 fieldMarket breadth135 readingsBy year20099 readings
All 88 readings tagged On-balance volume
Also on On-balance volume5 readings
1988Cumulative volume trend and 200-session polarity2004Constructing a volatility-gated volume-flow measure1988Constructing volume-confirmation overlays on OHLC spreadsheet charts1988Signing volume by open interest change1988Three clocks when cumulative volume led price