OnBalanceVolumeSurrogate

This is a special edition of the On-Balance Volume indicator based on pseudo-real volumes emulated from tick volumes. It calculates a near to real estimation of trade volumes distribution for Forex instruments (where only tick volumes are available) and then applies conventional OBV formula to them.

Parameters

• MAfast - fast moving average period (EMA), by default - 3; if set to 0, the average is not calculated;
• Maslow - slow moving average period (EMA), by default - 7; if set to 0, the average is not calculated;
• AlertOnMAcross - alert switch for moving averages crossing, by default - false (alert is disabled); alert is signalled only once per bar; alert message format: "OBVSurrogate [Symbol] [TimeFrame] UP/DOWN cross @ [Time]";
• CompletedBars - an option that controls how moving averages crossing is checked: on the last bar or on the previous bar (CompletedBars is true); by default - true, so alerts can be generated on bar opening only; if it's false, alerts may appear at arbitrary time; please note, that a signal about down crossing is not necessarily followed by a signal about up crossing (or vice versa) - in some cases when moving averages fluctuate near each other, you may get several successive signals (on different bars) in the same direction - you should consider this as a signal confirmation.

Visualization

The indicator displays 3 lines:

• green thick - cumulative volumes according to OBV formula;
• red thin - fast moving average;
• yellow thin - slow moving average;

The screenshot demonstrates OnBalanceVolumeSurrogate side by side with TrueVolumeSurrogate.

Trading

The indicator should be used for trading in the similar way as conventional OBV is used:

• by signals of moving averages crossing;
• by divergence/convergence between OBV and price; if their directions contradict - a reversal is awaited (current trend is about to change);
• by consistent movement of OBV and price; this is a confirmation of current trend;