Develop simple volume oscillator based on NYSE data. here are the inputs.
The Up Volume minus the Down Volume = the net volume for the day (in millions of shares)
Take this raw net volume and divide it by 10. So this Reduced Net Volume Change? figure is the value? we actually use in the calculation.
The Calculation of the next day's 18 Day Volume Oscillator? is simply a modification of the prior day's value of the 18 Day Volume Oscillator using the new day's Reduced? Net Volume number:
Today's 18 Day Volume Oscillator = 90% of Yesterdays 18 Day Volume Oscillator +1 times Today's Reduced Net Volume.
Today's 36 Day Volume Oscillator = 95% of Yesterday's 36 Day Volume Oscillator 0.5 times Today's Reduced Net Volume.
## Deliverables
more detail on indicator here.
Be sure you? find the number of millions of share traded on the advancing stocks (called the Up volume) and? the number of millions of share traded on the Declining stocks ( called the Down Volume) . These numbers will typically run in the range of 300 to 1200. The Up Volume minus the Down Volume = the net volume for the day (in millions of shares) is the only day's number needed to complete the calculation. The number should be positive on an up day, negative on a down day and tends to vary in the range of? plus? 900 to minus 900.
But to keep the? final number in a better range? for plotting by hand on graph paper, I take this raw net volume and divide it by 10. So this Reduced Net Volume Change? figure is the value? we actually use in the calculation. When charted the volume oscillator generally falls in the 100 plus or minus range which more convenient for plotting.
The Calculation of the next day's 18 Day Volume Oscillator? is simply a modification of the prior day's value of the 18 Day Volume Oscillator using the new day's Reduced? Net Volume number:
Today's 18 Day Volume Oscillator = 90% of Yesterdays 18 Day Volume Oscillator +1 times Today's Reduced Net Volume.
Today's 36 Day Volume Oscillator = 95% of Yesterday's 36 Day Volume Oscillator 0.5 times Today's Reduced Net Volume.
To Illustrate the calculation I will discuss how the next days Volume Oscillator value would be calculated from the? August 28 2009 data in the chart.
For August 28 2009 the chart notes the? 18 Day VO= 259.8 and the 36 Day VO= 227.9. The blue Volume Oscillator we really want is always? equal to 18 Day VO -36 Day VO,? that is (259.8-227.9)? = +31.8 according to the chart but should be 31.9 according to readings. The discrepancy is just a round off error in the chart's? print process.
Monday August 31 saw the Up Volume was 273 million shares, and the Down Volume was = 1094? million shares; the? Net Volume for Monday would be 273-1094= -821 and the Reduced Net Volume? therefore would be plus -82 (-82.1 more precisely but not necessary).
The August 31 18 Day Volume Oscillator is always = 90% of Yesterdays 18 Day Volume Oscillator (259.8) +1 time Todays Net Volume (-84).
So = 259.8 times 0.9 (which is 233.8) + (-82) times 1 (which is -82)= 233.8 + -82 which equals 137 for the 18 Day Volume Oscillator
The August 31 Day Volume Oscillator always? = 95% of Yesterdays 36 Day Volume Oscillator? +0.5 times Todays Net Volume .
So? 227.9 times .95 (which is 216.5) + -84 times 0.5 (which is 41) =216.5-41 which equals 175 for the 36 Day Volume Oscillator
So for August 31 this sample calculation, the final? Volume Oscillator calculation would be Today's 18 Day VO - Todays 36 Day VO, that is? 137-175= -37 .
For Sept 1 up volume=90 mill? Down vol =1533? ? Net =-1443; Net Reduced=-144
18 day vo=136(151 times 0.9)-144= -8;? 36 day vo= 166 (175 times 0.95)-72( -144 times 0.5)=94;? VO=? -8-94= -102