Accumulation1 - Put+Call Open Interest

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Accumulation1 - Put+Call Open Interest

Variable List Abbreviation: Accum1-Pt+ClOpnInt

 

Variable Mode(s): Futures2

[ Note: appears in indicator list only after high, low, put open interest, and call open interest selected ]

 

Parameter(s): Accum1-Pt+ClOpnInt time periods

 

Description:

Sum of weighted put & call open interests where each time period the put & call open interest is weighted by the difference, relative to the total range, between the high & closing price and low & closing price.  The weighting effectively gives a large weight to time periods in which the close is very close to either the high or low ( a possible upward or downward trend).  A close near the high results in a positive weight, while a close near the low results in a negative weight.

 

Calculation:

Sum over n time periods of

 

(put & call open interest sum) * (close - low) - (high - close)

                                                    ( high - low )

Notes:  - if (high-low = 0) for any time period then zero is used in above summation