Accumulation1 - Put Open Interest

Accumulation1 - Put Open Interest

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Accumulation1 - Put Open Interest

Variable List Abbreviation: Accum1-PutOpnInt

 

Variable Mode(s): Futures2

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

 

Parameter(s): Accum1-PutOpnInt time periods

 

Description:              

Sum of weighted put open interests where each time period the put 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 open interest * (close - low) - (high - close)

                                  ( high - low )

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