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Technical Studies Reference

Trade Volume Index

The Trade Volume Index (TVI) shows whether a symbol is being accumulated (purchased) or distributed (sold). It should be used on Intraday charts with a very short time period per bar. The TVI is based on the premise that trades taking place at higher "asking" prices are buy transactions and trades at lower "bid" prices are sell transactions.

Let the Input Data Input be denoted as \(X\), and let its value at Index \(t\) be denoted as \(X_t\). Let the Tick Size be denoted as \(s\). The we denote the Trade Volume Index at Index \(t\) as \(TVI_t(X,s)\), and we compute it for \(t > 0\) as follows.

\(TVI_t(X,s) =\left\{ \begin{matrix} TVI_{t - 1}(X,s) + V_t & X_t - X_{t - 1} > s \\ TVI_{t - 1}(X,s) & X_t - X_{t - 1} = s \\ TVI_{t - 1}(X,s) - V_t & X_t - X_{t - 1} < s \end{matrix}\right .\)



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*Last modified Friday, 03rd April, 2020.