William's Variable Accum/Dist - Put+Call Open Interest

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William's Variable Accum/Dist - Put+Call Open Interest

Variable List Abbreviation: VarAcc/Dist-Pt+ClOpnInt

 

Variable Mode(s): Futures2

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

 

Parameter(s): VarAcc/Dist-Pt+ClOpnInt time periods

 

Description:

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

 

put & call open interest sum * (close - open)

                                          ( high - low )

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