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Short Indicator

by Patrick Fonce, 2605 days ago
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This function uses short selling data to create a short indicator that determines whether short traders are stronger or weaker. This is done by calculating for each trading bar, the difference between short sell volume that occurred above and below a specific stock price.

Here is how the calculation process occurs. For each trading bar:
- Calculate the sum of short volumes for N-bars period and only for bars where the bar mi-price is higher than the current bar mid-price. (A)
- Calculate the sum of short volumes for N-bars period and only for bars where the bar mi-price is lower than the current bar mid-price. (B)
- Calculate the difference between A and B for each trading bar.
(The bar mid-price is the calculated as follows: Average of the high and low prices plus the low price)

The result is a line that increases and decreases in the opposite direction of the stock price.
This short indicator can be interpreted as follows: In any trading bar, the indicator value is the difference between the short volume that occurred at a higher price and the short volume that occurred at a lower price. This means that the higher the short indicator value is, the more short sale transactions occurred at a higher level than the current price, and thus the more traders are making money.
This short indicator is better used in a non-trending market. For example, in a trending bear market and in case you are using a low period; the short indicator value will be very high because during the lookback period, no closing prices were above the current price level.

The function name is 'short_selling_ind', it accepts two parameters, the period used to calculate the difference of the short selling volume and the short selling data time-series.
The short selling data can be retrieved using one of the following short sale data downloaders:
NYSE Arca - Daily short sale data
NASDAQ and Boston stock exchanges - Daily short sale data
Short Selling historical data
NSX - Daily short selling data
Short Selling Data

Using the New York Stock Exchange short sale data, here is how the short indicator looks like:
sdata = GetData('nyse_short_volume','short',LastData);
ssi = short_selling_ind(100, sdata);


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Type: Trading Indicator

Object ID: 325


Country:
United States

Market: Stock Market

Style:
Fundamental Analysis

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