Accumulation2 - Put+Call Volume

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Accumulation2 - Put+Call Volume

Variable List Abbreviation: Accum2-Pt+ClVol

 

Variable Mode(s): Futures2

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

 

Parameter(s): Accum2-Pt+ClVol time periods

 

Description:

Sum of weighted put & call volumes where each time period the put & call volume 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

(put volume + call volume) * (close - (high + low)/2)