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Up/Down Volume Ratio
The study calculates and displays a moving average of the Up/Down Ratio. The method of calculation for this Ratio depends on the setting of the Calculation Based On Input.
The Up/Down Ratio at Index \(t\) is denoted as \(UDR_t\). For all of the variables in the following formulas, the subscript \(t\) indicates that we are specifying the values of these variables at Index \(t\).
If Calculation Based On is set to Up/Down Volume, then the following variables are used in this study.
Complete descriptions of these variables can be found in the documentation on sc.BaseDataIn[][] / sc.BaseData[][].- \(V^{(U)}_t\) = sc.BaseData[SC_UPVOL][sc.Index] = sc.UpTickVolume[sc.Index]
- \(V^{(D)}_t\) = sc.BaseData[SC_DOWNVOL][sc.Index] = sc.DownTickVolume[sc.Index]
The Up/Down Ratio is denoted as \(UDR_t\), and it is computed as follows.
\(\displaystyle{UDR_t = \left\{ \begin{matrix} 100\cdot\frac{V^{(U)}_t - V^{(D)}_t}{V^{(U)}_t + V^{(D)}_t} & V^{(U)}_t + V^{(D)}_t \neq 0 \\ 0 & V^{(U)}_t + V^{(D)}_t = 0 \end{matrix}\right .}\)If Calculation Based On is set to Ask/Bid Volume, then the Ask Volume and Bid Volume are used in the calculation, as follows.
\(\displaystyle{UDR_t = \left\{ \begin{matrix} 100\cdot\frac{V^{(ask)}_t - V^{(bid)}_t}{V^{(ask)}_t + V^{(bid)}_t} & V^{(ask)}_t + V^{(bid)}_t \neq 0 \\ 0 & V^{(ask)}_t + V^{(bid)}_t = 0 \end{matrix}\right .}\)If Calculation Based On is set to Up/Down Trades, then the Number of Trades - Ask and Number of Trades - Bid are used in the calculation, as follows.
\(\displaystyle{UDR_t = \left\{ \begin{matrix} 100\cdot\frac{N^{(ask)}_t - N^{(bid)}_t}{N^{(ask)}_t + N^{(bid)}_t} & N^{(ask)}_t + N^{(bid)}_t \neq 0 \\ 0 & N^{(ask)}_t + N^{(bid)}_t = 0 \end{matrix}\right .}\)Let \(n\) denote the Moving Average Length Input. The Subgraph that is displayed is the Exponential Moving Average of the Up/Down Ratio: \(EMA_t(UDR,n)\).
Note: Depending on the setting of the Input Moving Average Type, the Exponential Moving Average in the above formula could be replaced with a Linear Regression Moving Average, a Simple Moving Average, a Weighted Moving Average, a Wilders Moving Average, a Simple Moving Average - Skip Zeros, or a Smoothed Moving Average.
Inputs
- Moving Average Length
- Calculation Based On:
- Up/Down Volume: When this is selected, Volume-Up and Volume-Down is used.
- Ask/Bid Volume: When this is selected, Ask Volume and Bid Volume is used.
- Up/Down Trades: When this is selected, the Number of Trades-Ask and Number of Trades-Bid is used.
- Moving Average Type
Spreadsheet
The spreadsheet below contains the formulas for this study in Spreadsheet format. Save this Spreadsheet to the Data Files Folder.
Open it through File >> Open Spreadsheet.
*Last modified Friday, 01st May, 2020.