William's Variable Accum/Dist - Call Open Interest

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William's Variable Accum/Dist - Call Open Interest

Variable List Abbreviation: VarAcc/Dist-CallOpnInt

 

Variable Mode(s): Futures2

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

 

Parameter(s): VarAcc/Dist-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 opening and closing price relative to the total time period range.  The weighting effectively gives a large weight to time periods in which the open and close are dramatically different ( a possible upward or downward trend ).  A close above the open results in a positive weight, while a close below the open results in a negative weight.

 

Calculation:

Sum over n (time periods) time periods of

 

call open interest * (close - open)

                          ( high - low )

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