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Technical Studies Reference

Up/Down Volume Difference Bars

The study calculates and displays OHLC-style bars for Up/Down Volume data.

The following variables are used in this study. The subscript \(t\) indicates that we are specifying the values of these variables at Index \(t\). 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]
  • \(\Delta V^{(UDH)}_t\) = sc.BaseData[SC_UPDOWN_VOL_DIFF_HIGH][sc.Index]
  • \(\Delta V^{(UDL)}_t\) = sc.BaseData[SC_UPDOWN_VOL_DIFF_LOW][sc.Index]

The Open, High, Low, and Close at Index \(t\) of the Up/Down Volume Difference Bars are denoted as \(O^{(UDV)}_t\), \(H^{(UDV)}_t\), \(L^{(UDV)}_t\), and \(C^{(UDV)}_t\), respectively. We compute them as follows.

\(\displaystyle{H^{(UDV)}_t = \Delta V^{(UDH)}_t}\)
\(\displaystyle{L^{(UDV)}_t = \Delta V^{(UDL)}_t}\)
\(\displaystyle{C^{(UDV)}_t = V^{(U)}_t - V^{(D)}_t}\)

Let \(N_t\) denote the Number of Trades at Index \(t\). To calculate \(O^{(UDV)}_t\), we begin by calculating a raw value of the Open, denoted as \(O^{(UDV,raw)}_t\)

\(O^{(UDV,raw)}_t = \left\{ \begin{matrix} V^{(U)}_t - V^{(D)}_t & N_t = 1 \\ 0 & N_t \neq 1 \end{matrix}\right .\)

We then use this value to compute \(O^{(UDV)}_t\) as follows.

\(O^{(UDV)}_t = \left\{ \begin{matrix} H^{(UDV)}_t & O^{(UDV,raw)}_t > H^{(UDV)}_t \\ O^{(UDV,raw)}_t & L^{(UDV)}_t \leq O^{(UDV,raw)}_t \geq H^{(UDV)}_t \\ L^{(UDV)}_t & O^{(UDV,raw)}_t < L^{(UDV)}_t \end{matrix}\right .\)


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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.