Klinger Volume Oscillator
factor.formula
TR (Trend Direction):
DM (Daily Price Movement):
CM (Cumulative Momentum):
VF (Volume Fluctuation Strength):
KVO(N1, N2) (Volume Rate of Change Indicator):
The meanings of the parameters in the formula are as follows:
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Trend direction: if the median price of the day (the sum of the highest price, lowest price and closing price) is higher than the median price of the previous day, it is 1, indicating an upward trend; otherwise, it is -1, indicating a downward trend. It is used to determine the direction of price changes.
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The price fluctuation range of the day, that is, the difference between the highest price and the lowest price of the day, indicates the fluctuation range of the price on that day.
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Cumulative momentum is used to measure the cumulative effect of price fluctuations. If the trend direction of the day is the same as the previous day, the price fluctuation range of the day is accumulated; otherwise, the cumulative momentum of the previous day plus the price fluctuation range of the day are used to recalculate. It is used to reflect the cumulative strength of price fluctuations.
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Volume fluctuation intensity refers to the intensity of volume combined with price fluctuation. It is calculated by multiplying the volume by the price fluctuation ratio, weighting it with the trend direction, and then multiplying it by 100 to amplify it. It is used to measure the contribution of volume in different price fluctuation directions.
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The daily trading volume indicates the total amount of market transactions on that day, reflecting the level of market participation and capital flow.
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A shorter exponential moving average (EMA) period used to calculate the fast line of KVO. The default value is 34, which is generally used to capture short-term market momentum.
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A longer exponential moving average (EMA) period, used to calculate the slow line of KVO. The default value is 55, which is generally used to smooth short-term fluctuations and capture long-term market momentum.
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Exponential moving average, a moving average method that gives more weight to recent data, responding more quickly to price changes. Used to calculate the smoothed average of volume fluctuation intensity.
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Conditional function, returns different values depending on whether the condition is true or false. Used to determine trend direction and momentum accumulation.
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Absolute value function, returns the absolute value of the argument. Used to ensure it is positive when calculating volume fluctuation strength.
factor.explanation
The Klinger Volume Rate of Change (KVO) indicator identifies the trend of capital inflows and outflows by calculating the volume-weighted price fluctuation momentum. The indicator determines the short-term and long-term capital movements by the intersection of the fast and slow EMA lines, and can assist in determining the possibility of a trend reversal when the price trend and the KVO indicator diverge. When the KVO indicator is above the zero axis, it indicates that the market has a strong inflow of funds and the price may rise; conversely, when it is below the zero axis, it indicates that the capital outflow is strong and the price may fall. In addition, the value of the KVO indicator can reflect the strength of the market's capital inflows and outflows. The larger the absolute value, the stronger the capital momentum.