Accumulation2 - Call Open Interest

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Accumulation2 - Call Open Interest

Variable List Abbreviation: Accum2-CallOpnInt

 

Variable Mode(s): Futures2

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

 

Parameter(s): Accum2-CallOpnInt time periods

 

Description:

Sum of weighted call open interests where each time period the call open interest is weighted by the distance between the closing price and the range midpoint.  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 above the midpoint results in a positive weight, while a close below the midpoint results in a negative weight.

 

Calculation:

Sum over n time periods of

call open interest * (close - (high + low)/2)