Volatility adjusted momentum
Recent price change, scaled up on heavy-volume bars; it measures volume, not volatility, despite the name.
Takes the close-to-close change over roc_period bars and multiplies it by the current bar's volume divided by the average volume over the last vol_window bars, current bar included. The result is a signed fraction: 0.001 is a 0.1% move, larger on volume spikes and smaller on quiet bars. Despite the name, nothing measures volatility; the only adjustment is the volume ratio.
How to read it
- The line sits in its own pane below the price, centred on zero: above zero the close rose over the lookback, below zero it fell.
- Values are fractions, so a reading of 0.0003 is a 0.03% move. The median reading is exactly 0, meaning no close change over the lookback.
- A move that comes with a volume spike reads larger than the same move on thin volume.
- Readings beyond the two zones are the top and bottom 5% of minutes in the sample.
What it outputs
- Volume-scaled momentum
- Close change over roc_period bars, times the current volume over its vol_window average. A signed fraction: 0.001 is a 0.1% move, scaled by volume.
Settings
- roc_period
- Bars back the price change is measured over. At 1 it is the last bar's change, so the line is noisy; at 15 or 30 it shows the move over that span, with larger moves and fewer exact zeros. At or above vol_window the line goes blank.
- vol_window
- Bars of average volume the bar is compared with. A short window (5) reacts to every spike; a long one (120) only scales up unusually heavy bars. Keep it above roc_period or the line goes blank.
Pitfalls
- Blank line when roc_period is at or above vol_window. The history is trimmed to the larger of the two, which leaves too few closes for the lookback. This is a bug in the indicator, not a setting to tune.
- The name promises volatility but the code uses volume: a small move on a volume spike can read larger than a big move on thin volume.
- With defaults 90% of readings fall between about -0.035% and +0.036%, so a reading near zero is normal and says little alone.