Klinger Volume Oscillator (KVO)
factor.formula
Trend Directional Indicator (TR):
Price Change (DM):
Cumulative Momentum (CM):
Volume Fluctuation (VF):
Klinger Volume Oscillator (KVO):
in:
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Trend Direction: If today (HIGH+LOW+CLOSE) is greater than yesterday (HIGH+LOW+CLOSE), TR takes a value of 1, indicating an upward trend; otherwise, it takes a value of -1, indicating a downward trend. This indicator captures the short-term direction of price changes.
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Daily Movement: Calculate the difference between the highest price and the lowest price of the day, which represents the amplitude of the price fluctuation on that day.
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Cumulative Momentum: When TR is in the same direction as the previous day's TR, the CM of the current day is the previous day's CM plus the current day's DM; when TR is in a different direction from the previous day's TR, the CM of the current day is the previous day's DM plus the current day's DM. This indicator accumulates price fluctuations and takes into account the impact of trend changes.
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Volume Force: It measures the strength of volume fluctuations, calculated by multiplying volume by the weighted value of price fluctuations and trend direction, and amplifying it by 100 times. Among them, |(2*(DM/CM)-1)| is the weight of price fluctuations; TR represents the price trend direction; VOL is the volume of the day.
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The time window of the short-term Exponential Moving Average (EMA), usually set to a smaller value, the default value is 34. Used to smooth volume fluctuations and capture short-term momentum.
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The time window of the long-term exponential moving average (EMA), usually set to a larger value, the default value is 55. Used to smooth volume fluctuations and capture long-term momentum.
factor.explanation
The Klinger Volume Oscillator (KVO) measures the inflow and outflow of funds by analyzing the relationship between volume and price changes. When KVO is positive, it means that the momentum of short-term capital inflow is stronger than the long-term, which may indicate a price increase; conversely, when KVO is negative, it means that the momentum of short-term capital outflow is stronger than the long-term, which may indicate a price drop. The main function of KVO is to assist in determining the direction and strength of stock price trends, and can be used to identify divergence signals. For example, when the price hits a new high but KVO does not hit a new high at the same time, it may indicate the risk of price reversal. The indicator smoothes volume fluctuations through exponential moving averages of different periods, filters out noise, and captures momentum changes on different time scales.