Volume Relative Strength Index
factor.formula
U (upward volume for the day):
Upward volume of the day. If the closing price of the day is higher than the previous day, the volume of the day is counted as upward volume; if they are equal, it is counted as half; if it is lower than the previous day, it is counted as 0. Among them, $V_t$ represents the volume of the day, $P_t$ represents the closing price of the day, and $P_{t-1}$ represents the closing price of the previous day.
D (Daily Downward Volume):
Downward volume of the day. If the closing price of the day is lower than that of the previous day, the volume of the day is counted as downward volume; if they are equal, it is counted as half; if they are higher than that of the previous day, it is counted as 0. Among them, $V_t$ represents the volume of the day, $P_t$ represents the closing price of the day, and $P_{t-1}$ represents the closing price of the previous day.
UU (Upper Volume Average):
Exponential moving average (EMA) of upward volume. N is the calculation period, usually set to 20. $UU_{t-1}$ represents the average upward volume of the previous day, and $U_t$ represents the upward volume of the current day.
DD (Daily Volume Downward):
Exponential moving average (EMA) of downward volume. N is the calculation period, usually set to 20. $DD_{t-1}$ represents the average downward volume of the previous day, and $D_t$ represents the downward volume of the current day.
VRSI (Volume Relative Strength Index):
Volume relative strength index, which represents the proportion of the average upward volume to the average total volume, expressed as a percentage. $UU_t$ represents the average upward volume for the day, and $DD_t$ represents the average downward volume for the day.
Parameter Description:
- :
The length of the period for calculating VRSI is usually set to 20. This parameter determines the sensitivity of the indicator. A smaller N value will make the indicator more sensitive, while a larger N value will make the indicator smoother.
- :
The trading volume on day t.
- :
Closing price on day t.
- :
Closing price on day t-1.
factor.explanation
The Volume Relative Strength Index (VRSI) is a technical indicator used to measure the volume momentum of the market. It reflects the relative strength of the market's buying and selling forces by calculating the ratio of the average upward volume to the average total volume over a period of time. The level of VRSI can help investors determine market trends and identify potential overbought or oversold areas. Generally speaking, when the VRSI is high, it indicates that the market has strong upward volume, which may indicate the momentum of price increases; when the VRSI is low, it indicates that the market has strong downward volume, which may indicate the momentum of price decreases. The advantage of this indicator is that it can combine volume information with price changes, thereby more accurately reflecting the trading behavior of market participants and avoiding misjudgments caused by relying solely on price changes. It should be noted that VRSI is not a universal indicator and should be combined with other technical indicators and fundamental analysis for comprehensive judgment to improve the accuracy of trading decisions. In particular, it is necessary to avoid using the VRSI indicator alone and combine it with other indicators and market background for comprehensive analysis.