Technical Indicators
Trade Volume Index
The Trade Volume Index (or TVI) is designed to study intraday prices. For a given price duration for example 5 minutes), it is calculated by adding each traded volume to a cumulative total if the price has increased by at least a certain value, or by subtracting the traded volume if the price has decreased by at least that value.
This indicator is based on the principle that transactions made at the highest demand ("ask") are of the "buyer" type and conversely that transactions made at the lowest supply ("bid") are of the "seller" type. The Trade Volume Index oscillates around zero. Values above zero signal clear buying pressure, while values below zero signal clear selling pressure.
The TVI is similar to the On Balance Volume indicator, except that the TVI continues to accumulate volumes if prices remain unchanged. Intraday prices often stay at their bid or ask prices for several consecutive durations. The TVI continues to accumulate volumes according to the direction of the last price variation. The On Balance Volume indicator only accumulates volumes if the price changes. This method is suitable for "end-of-day" prices but not for intraday.
Calculation Method
TVI = Cumulative K * V
where:
- V = volume traded during the intraday price duration
- S = minimum price variation threshold
- K = +1 or -1 depending on the following situations:
- If the price variation is positive and greater than S, K = +1
- If the price variation is negative and less than -S, K = -1
- If the price variation remains between +S and -S, K retains its previous value
Example
Interpretation
The Trade Volume Index helps to identify whether market pressure is bullish or bearish. When this indicator is growing, it signals that pressure is bullish. Conversely, when it decreases, the pressure is bearish.If the TVI is above zero, it means that over the considered accumulation period, a buying pressure has prevailed on average. Conversely, below zero, a selling pressure has prevailed on average.