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Number of successive increases in the volume

by Tom Huggens, 3624 days ago
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The 'BarsUpVolume' function calculates the number of successive increases in the volume (bars).

For example, if the bar n: 100, has a value of 2, this means that the volume were increasing for the last 2 bars. Volume of yesterday is higher than the Volume of the day before yesterday, and today volume is higher than yesterday's volume.

The function also has a sensitivity parameter, which is used to specify whether to count a bar volume as higher than the previous bar volume or not. A sensitivity value of 0.9 means that in order to increase the value of the function time-series by one (for a specific bar); the volume must be higher than 0.9 multiplied by yesterday's volume.

The idea behind the indicator is that if the security price rises while the volume is increasing and then the volume stops increasing, an imbalance in the supply and demand may cause the security's price to fall. The volume is no longer supporting the increase in the security's price.
If the security price drops while the volume is increasing and then the volume stops increasing, an imbalance in the supply and demand may cause the security's price to rise.

I have done some backtesting (using the rule analyzer) and found some interesting results (Using a holding period of 2 bars). Here is the rule I have used:
BarsUpVolume (0.9) == 0 && ref(BarsUpVolume (0.9), 1) > 5 && perf(close, a) < -10


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