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Price Open Interest Volume
This study calculates and displays a Price, Open Interest, Volume (POIV) Indicator for the Price Data.
Let \(H_t\), \(L_t\), \(C_t\), \(V_t\), \(OI_t\) and \(V^{(OB)}_t\) be the respective values of the High Price, Low Price, Close Price, Volume, Open Interest, and On Balance Volume at Index \(t\).
We define two functions, the True High and True Low, and we denote their values at Index \(t\) as \(TH_t\) and \(TL_t\), respectively. We compute these as follows.
For \(t = 0\):
\(TH_0 = H_0\)\(TL_0 = L_0\)
For \(t > 0\):
\(\displaystyle{TH_t = \left\{ \begin{matrix} H_t & H_t > C_{t - 1} \\ C_{t - 1} & H_t \leq C_{t - 1} \end{matrix}\right .}\)\(\displaystyle{TL_t = \left\{ \begin{matrix} L_t & L_t < C_{t - 1} \\ C_{t - 1} & L_t \geq C_{t - 1} \end{matrix}\right .}\)
The POIV Indicator is computed as a cumulative sum, and we denote its summand at Index \(t\) as \(S_t\). We compute this summand for \(t > 0\) as follows.
\(\displaystyle{S_t = \left\{ \begin{matrix} \frac{{OI}_t \cdot (C_t - C_{t - 1})}{{TH}_t - {TL}_t} + V^{(OB)}_t & {TH}_t - {TI}_t \neq 0 \\ 0 & {TH}_t - {TI}_t = 0 \end{matrix}\right .}\)Finally, we denote the Price, Open Interest, Volume Indicator at Index \(t\) as \(POIV_t\), and we compute it for \(t > 0\) as follows.
\(\displaystyle{{POIV}_t = \left\{ \begin{matrix} \sum_{i = 1}^t S_i & {TH}_t - {TL}_t \neq 0 \\ {POIV}_{t - 1} & {TH}_t - {TL}_t = 0 \end{matrix}\right .}\)For an explanation of the Sigma (\(\Sigma\)) notation for summation, refer to our description here.
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*Last modified Monday, 03rd October, 2022.