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If you add a stock's volume to a cumulative value when the stock's price goes up, subtract volume from the same cumulative value if the stock's price goes down and repeat this step for every trading bar then you will end up with the first and most popular technical analysis indicator that measures positive and negative volume flow.
The indicator name is OBV or on balance volume and it was introduced in 1963 in a Joe Granville's book "Granville's New Key to Stock Market Profits". The QuantShare Trading Software function for the on balance volume is "obv".
Now, let's calculate the OBV indicator for every stock in your list (group, sector, index or entire market), loop through every trading bar, assign a value of +1 to stocks with a 20-Bar rate of return of the OBV indicator that is higher than a specific threshold (let us say 10%) (up trend), a value of -1 to stocks with a 20-Bar rate of return of the OBV that is lower than -10% (down trend), a value of 0 to the remaining stocks and then sums the score of each stock and for each trading bar.
The result is an OBV-based market indicator - Volume Trend Index - that calculates the number of stocks with advancing OBV values minus the number of stocks with declining OBV values. An increase in the OBV is a sign that money is flowing into the stock and this is usually considered as a bullish sign. However, a high value of the Volume Trend Index could also be an indication that a top is near and that the market is about to reverse. On the opposite side, a very low value of the Volume Trend Index is a signal that the current bearish trend is near the end and that a new bullish cycle may begin.
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