Klinger Volume Oscillator
factor.formula
TR:
True Range (Trend Reversal): Used to determine the price movement of the current day relative to the previous day. If the median price of the current day (the sum of the highest price, the lowest price and the closing price) is higher than the previous day, it is assigned a value of 1, otherwise it is assigned a value of -1. This variable represents the directional change of the price trend.
DM:
Daily Momentum: It indicates the difference between the highest price and the lowest price of the day, reflecting the fluctuation of the price on that day. The value directly reflects the activity of the price on that day.
CM:
Cumulative Momentum: Cumulative daily momentum (DM) based on the change in the True Range (TR) between the current day and the previous day. If today's and yesterday's TR values are the same, yesterday's CM value is added to today's DM value; otherwise, previous day's DM value is added to today's DM value. This variable is designed to capture the persistence of price momentum.
VF:
Volume Force: A quantitative value calculated based on volume, price momentum, and trend direction. The final volume force value is obtained by multiplying the day's volume (VOL) by a coefficient calculated based on the DM to CM ratio and combining it with the trend direction (TR). This step effectively amplifies the relationship between price momentum and volume.
KVO(N1,N2):
Klinger Volume Oscillator: Calculates the difference between the short-term (N1) and long-term (N2) exponential moving averages (EMA) of volume fluctuations (VF). By comparing short-term and long-term volume momentum, it reflects the acceleration or deceleration of capital inflows and outflows, thereby identifying potential trend reversals.
The meaning of each parameter in the formula:
- :
True Range (Trend Reversal): A binary indicator that is 1 if today's median price is greater than yesterday's, otherwise -1. Used to indicate the direction of price trend changes.
- :
Daily Momentum: The difference between the highest and lowest prices of the day, reflecting the price fluctuations of the day.
- :
Cumulative Momentum: Accumulates the momentum of the day according to the change of TR. If the TR value remains unchanged, it will continue to accumulate, otherwise it will accumulate the momentum of the previous day. It is used to measure the continuity of price momentum.
- :
Volume Force: Volume is multiplied by a factor based on the momentum ratio and combined with trend direction to quantify the strength of volume fluctuations.
- :
Volume: refers to the number of shares or contracts traded for a particular security or asset during a specified period of time.
- :
Short EMA Period: A short-term EMA used to calculate VF. The default value is usually 34, which is used to capture changes in volume momentum over a short period of time.
- :
Long EMA Period: The long-term EMA used to calculate VF. The default value is usually 55, which is used to smooth the fluctuations of VF and reveal the long-term trend momentum.
- :
Exponential Moving Average: A weighted averaging method that gives more weight to recent data points and is more responsive to new data. Used to smooth time series data and identify trends.
- :
Conditional Function: Returns different values based on conditional judgment. Used to perform different calculations based on specific logical rules.
- :
Absolute Value Function: Returns the absolute value of a value. Ensures that all related values in the calculation are positive, which is convenient for measuring fluctuations.
factor.explanation
The Volume Momentum Oscillator (KVO) measures the momentum of market flows by calculating the difference between the short-term and long-term exponential moving averages of volume fluctuations (VF). A positive KVO value indicates that short-term capital inflows are stronger than long-term, which may indicate an upward price trend; a negative KVO value indicates that short-term capital outflows are stronger than long-term, which may indicate a downward price trend. Zero-axis crossings of the KVO indicator are often considered potential buy and sell signals. The indicator combines price momentum and volume information, so it can provide a more comprehensive market perspective than analyzing price or volume alone. High volatility KVO values indicate a strong trend, while low volatility may indicate a weakening trend or a potential reversal.