As you may know I offer a bunch of indicators that provide you with surrogate values of real volumes on Forex market. For example, TrueVolumeSurrogate, OnBalanceVolumeSurrogate, EvoLevels. Lately the indicator OnBalanceVolumeSurrogate has been updated to version 1.2.
One important improvement is the new parameter AccumulationDistribution, which allows you to enable A/D mode. In this mode the indicator calculates A/D formula instead of OBV. A/D is considered as more precise volume meter over OBV. Indeed, OBV formula is:
OBV[i] = OBV[i+1] + Volume[i] * Sign(Close[i] - Close[i+1]),
where Sign is the signum function (its value is +1 when its argument is positive, -1 when it's negative, and 0 if the argument is zero).
In other words OBV accumulates volumes with plus or minus sign on a rigid principle: only bar direction (up or down) is taken into account, and entire bar volume is added/subtracted according to this direction.
A/D formula is:
AD[i] = AD[i+1] + Volume[i] * [ (Close[i] - Low[i]) - (High[i] - Close[i]) ] / (High[i] - Low[i])
This time volumes are accumulated as a fraction of "bullishness" or "bearishness" of the bar. It takes into account if the bar was closed near its high or low, and evaluates the skew as a percent of the bar's full size, then updates volumes proportionally.
Obviously this is more intelligent and accurate method of volume analysis. And now everyone can utilize it in his/her trading strategy by just enabling AccumulationDistribution in OnBalanceVolumeSurrogate.
