Negative Open Interest Index

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Negative Open Interest Index

Variable List Abbreviation: NegOpnIntIndex

 

Variable Mode(s): Standard and Futures1

[ Note: appears in indicator list only after open interest selected ]

 

Parameter(s): NegOpnIntIndex time periods

 

Description:

The sum of the fraction change in price during time periods of decreasing open interest.  The trend indicates whether prices are increasing of decreasing during time periods of decreasing open interest.  In theory the wise investors trade during time periods of declining activity, while the unwise investors trade during time periods of increasing activity.  Thus the trend should in theory indicate whether the wise investor is buying or selling.

 

Calculation:

                            Running total over n (time periods) time periods of

                                            (close - previous close) / previous close

                            for open interest down time periods.