Volume Indicators

Volume indicators analyze buying and selling pressure by incorporating trading volume data. Volume confirms price movements and can signal trend reversals.

OBV - On Balance Volume

The On Balance Volume is a cumulative volume indicator that adds volume on up days and subtracts volume on down days. It measures buying and selling pressure.

Formula

\[\begin{split}OBV_t = \begin{cases} OBV_{t-1} + volume_t & \text{if } close_t > close_{t-1} \\ OBV_{t-1} - volume_t & \text{if } close_t < close_{t-1} \\ OBV_{t-1} & \text{if } close_t = close_{t-1} \end{cases}\end{split}\]

Characteristics

Property

Value

Input

OHLCV (close, volume)

Output

Single value (cumulative OBV)

Lookback

0 (valid from first bar)

Memory

O(1)

API Usage

from techkit import OBV

# Object-oriented
obv = OBV()
result = obv.update_ohlcv(open, high, low, close, volume)
if result.valid:
    print(f"OBV: {result.value:.0f}")

# Batch
from techkit import talib_compat as ta
obv_values = ta.OBV(close, volume)

const tk = require('techkit');

// Streaming
const obv = tk.obv();
const result = obv.updateOHLCV({open, high, low, close, volume});

// Batch
const values = tk.OBV(close, volume);

#include <techkit/techkit.hpp>

techkit::OBV obv;
techkit::OHLCV bar{open, high, low, close, volume};
auto result = obv.update(bar);

tk_indicator obv = tk_obv_new();
tk_ohlcv bar = {open, high, low, close, volume};
tk_result r = tk_update_ohlcv(obv, &bar);
tk_free(obv);

Trading Usage

  • Trend Confirmation: OBV rising with price = uptrend confirmed

  • Divergence: Price makes new high but OBV doesn’t = bearish divergence

  • Breakouts: OBV breakout often precedes price breakout

  • Volume Analysis:

    • Rising OBV + Rising Price = Strong uptrend

    • Falling OBV + Falling Price = Strong downtrend

    • Rising OBV + Falling Price = Potential reversal up

    • Falling OBV + Rising Price = Potential reversal down

Limitations

  • OBV can accumulate errors over long periods

  • Doesn’t account for volume intensity (only direction)

  • Use in conjunction with price action

AD - Accumulation/Distribution Line

The Accumulation/Distribution Line measures money flow by considering where price closes within the period’s range. It’s more sophisticated than OBV.

Formula

\[CLV = \frac{(close - low) - (high - close)}{high - low}\]
\[AD_t = AD_{t-1} + CLV_t \times volume_t\]

If \(high = low\), then \(CLV = 0\).

Characteristics

Property

Value

Input

OHLCV (open, high, low, close, volume)

Output

Single value (cumulative AD)

Lookback

0 (valid from first bar)

Memory

O(1)

API Usage

from techkit import AD

ad = AD()
result = ad.update_ohlcv(open, high, low, close, volume)
if result.valid:
    print(f"A/D: {result.value:.0f}")

const ad = tk.ad();
const result = ad.updateOHLCV({open, high, low, close, volume});

techkit::AD ad;
auto result = ad.update(bar);

tk_indicator ad = tk_ad_new();
tk_result r = tk_update_ohlcv(ad, &bar);

Trading Usage

  • Money Flow: Rising AD = accumulation (buying pressure)

  • Divergence: Price down but AD up = potential reversal

  • Trend Confirmation: AD should follow price trend

  • CLV Interpretation:

    • CLV > 0: Price closes in upper half (accumulation)

    • CLV < 0: Price closes in lower half (distribution)

    • CLV = 0: Price closes at midpoint

Comparison: OBV vs AD

Aspect

OBV

AD

Calculation

Simple (up/down)

Weighted by position in range

Sensitivity

Less sensitive

More sensitive

Use Case

Basic volume trend

Detailed money flow

ADOSC - Chaikin A/D Oscillator

The Chaikin A/D Oscillator is the difference between fast and slow EMAs of the Accumulation/Distribution Line. It provides momentum signals for the A/D line.

Formula

\[ADOSC = EMA(AD, fast) - EMA(AD, slow)\]

where:

  • \(fast\) = fast EMA period (default: 3)

  • \(slow\) = slow EMA period (default: 10)

Parameters

Parameter

Type

Default

Range

Description

fast_period

int

3

1-100000

Fast EMA period

slow_period

int

10

1-100000

Slow EMA period (must be > fast)

Characteristics

Property

Value

Input

OHLCV (open, high, low, close, volume)

Output

Single value (oscillator)

Lookback

slow_period - 1

Memory

O(1)

API Usage

from techkit import ADOSC

adosc = ADOSC(fast_period=3, slow_period=10)
result = adosc.update_ohlcv(open, high, low, close, volume)
if result.valid:
    print(f"A/D Oscillator: {result.value:.0f}")

const adosc = tk.adosc(3, 10);
const result = adosc.updateOHLCV({open, high, low, close, volume});

techkit::ADOSC adosc(3, 10);
auto result = adosc.update(bar);

tk_indicator adosc = tk_adosc_new(3, 10);
tk_result r = tk_update_ohlcv(adosc, &bar);

Trading Usage

  • Momentum: Positive ADOSC = increasing accumulation

  • Crossovers: ADOSC crossing zero = momentum shift

  • Divergence: ADOSC divergence from price = reversal signal

  • Signal Interpretation:

    • ADOSC > 0: Accumulation momentum

    • ADOSC < 0: Distribution momentum

    • ADOSC rising: Increasing buying pressure

    • ADOSC falling: Increasing selling pressure

Common Periods

Fast

Slow

Use Case

3

10

Standard (most common)

5

15

Slower, less sensitive

2

8

Faster, more sensitive

MFI - Money Flow Index

The Money Flow Index is a volume-weighted RSI that measures buying and selling pressure. It ranges from 0 to 100.

Formula

\[TP = \frac{high + low + close}{3}\]
\[MF = TP \times volume\]
\[+MF = \sum MF \text{ where } TP > TP_{prev}\]
\[-MF = \sum MF \text{ where } TP < TP_{prev}\]
\[MFI = 100 - \frac{100}{1 + \frac{+MF}{-MF}}\]

Parameters

Parameter

Type

Default

Range

Description

period

int

14

1-100000

Number of periods for averaging

Characteristics

Property

Value

Input

OHLCV (open, high, low, close, volume)

Output

Single value (0-100)

Lookback

period

Memory

O(period)

API Usage

from techkit import MFI

mfi = MFI(period=14)
result = mfi.update_ohlcv(open, high, low, close, volume)
if result.valid:
    if result.value > 80:
        print("Overbought")
    elif result.value < 20:
        print("Oversold")

const mfi = tk.mfi(14);
const result = mfi.updateOHLCV({open, high, low, close, volume});

techkit::MFI mfi(14);
auto result = mfi.update(bar);

tk_indicator mfi = tk_mfi_new(14);
tk_result r = tk_update_ohlcv(mfi, &bar);

Trading Usage

  • Overbought/Oversold:

    • MFI > 80: Overbought (potential sell)

    • MFI < 20: Oversold (potential buy)

  • Divergence: MFI divergence from price = reversal signal

  • Volume Confirmation: MFI confirms RSI with volume weighting

  • Comparison with RSI:

    • RSI: Price-based momentum

    • MFI: Volume-weighted momentum

    • Use together for stronger signals

Common Periods

Period

Use Case

14

Standard (most common)

21

Longer-term

9

Shorter-term, more sensitive

Volume Indicator Comparison

Indicator

Calculation

Range

Best For

OBV

Cumulative volume

Unbounded

Basic volume trend

AD

Weighted cumulative

Unbounded

Money flow analysis

ADOSC

A/D momentum

Unbounded

Momentum signals

MFI

Volume-weighted RSI

0-100

Overbought/oversold