Klinger Volume Oscillator (KVO)
factor.formula
True Range Direction (TR):
Daily Price Change (DM):
Cumulative Momentum (CM):
Volume Fluctuation (VF):
Klinger Volume Oscillator (KVO):
In the formula:
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The true range direction at time t, if the sum of the current price is greater than the previous period, it is 1, otherwise it is -1. It is used to measure the price trend direction.
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The daily price change at time t, that is, the difference between the highest price and the lowest price of the day. It reflects the price fluctuation range of the day.
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The cumulative momentum at time t is the cumulative momentum of the previous period plus the current price change when the current true range direction is the same as that of the previous period. Otherwise, it is the sum of the previous and current price changes, reflecting the accumulation of price momentum.
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Volume fluctuations at time t, and volume-weighted price momentum changes. Amplify the impact of volume on price trends.
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The trading volume at time t.
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Exponential Moving Average (EMA) calculation is performed on the volume fluctuation (VF), where N represents the time window.
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Short-term time window, used to calculate short-term EMA, default value is 34. Smaller value can capture short-term fluctuations faster.
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Long term time window used to calculate the long term EMA, default value is 55. Larger values can provide smoother long term trends.
factor.explanation
The Klinger Volume Oscillator (KVO) measures the strength and direction of capital inflows and outflows by comparing the exponential moving averages (EMAs) of short-term and long-term volume momentum. A positive KVO value indicates that capital inflows dominate, which may indicate an upward price trend; a negative KVO value indicates that capital outflows dominate, which may indicate a downward price trend. The size of the KVO value reflects the strength of the trend. This indicator is mainly used for trend confirmation and identifying potential trend reversal points rather than providing direct trading signals. In addition, KVO can be used in conjunction with price charts to observe divergences to capture potential price reversals.