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Technical Studies Reference


On Balance Open Interest

This study calculates and displays the On Balance Open Interest.

Let \(C_t\) be the value of the Close Price at Index \(t\). We denote the value of the On Balance Open Interest at Index \(t\) as \(OI^{(OB)}_t\), and we initialize it to zero internally (that is, \(OI^{(OB)}_0 = 0)\), though this initial value is not displayed as output. We compute \(OI^{(OB)}_t\) in terms of the Open Interest for \(t > 0\) as follows.

\(\displaystyle{OI^{(OB)}_t = \left\{ \begin{matrix} OI^{(OB)}_{t - 1} + OI_t & C_t > C_{t - 1} \\ OI^{(OB)}_{t - 1} & C_t = C_{t - 1} \\ OI^{(OB)}_{t - 1} - OI_t & C_t < C_{t - 1} \end{matrix}\right .}\)

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On_Balance_Open_Interest.36.scss


*Last modified Friday, 23rd February, 2018.