Accumulation2 - Put Open Interest

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Accumulation2 - Put Open Interest

Variable List Abbreviation: Accum2-PutOpnInt

 

Variable Mode(s): Futures2

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

 

Parameter(s): Accum2-PutOpnInt time periods

 

Description:

Sum of weighted put open interests where each time period the put 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

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