Vyreon LabsMarket Measurements

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On-Balance Volume (OBV), Volume-Price Trend, VWMA and Volume Oscillator

How on-balance volume and volume-price trend are calculated, plus the 5/20 volume oscillator and the 20-day volume-weighted moving average.

Reviewed · Sources at the end · How Vyreon measures
Vyreon's per-security reports are not live yet; this page describes what they will measure. Examples are illustrative.

On-balance volume (OBV) is a running total of volume that adds a session's volume when the price closes up and subtracts it when the price closes down. It is a way of tracking whether volume has been heavier on up days or down days. Vyreon reports how much OBV changed over the last 20 sessions, along with three related volume measures.

OBV Formula

  • If today's close is above yesterday's: OBV = previous OBV + today's volume
  • If today's close is below yesterday's: OBV = previous OBV − today's volume
  • If the close is unchanged: OBV stays the same

Illustrative example: a stock closes up on 1.0 million shares (+1.0M), down on 0.4 million (+0.6M), then unchanged (+0.6M). OBV over those three days changed by +0.6 million.

The absolute OBV level depends on where the running total started, so it has no meaning on its own. That is why Vyreon reports the 20-session change instead.

Volume-Price Trend (VPT)

VPT is similar, but adds only the fraction of volume matching the size of the move:

VPT = previous VPT + volume × (close ÷ previous close − 1)

A 2% rise on 1 million shares adds 20,000; OBV would add the full 1 million. Vyreon reports VPT's 20-session change.

Volume Oscillator (5/20)

Volume oscillator = EMA(5) of volume ÷ EMA(20) of volume − 1

Illustrative example: if the 5-session volume average is 1.5 million and the 20-session average is 1.0 million, the oscillator is +50%: recent volume is running above its longer average.

VWMA (20)

The volume-weighted moving average weights each of the last 20 closes by that session's volume:

VWMA = Σ (close × volume) ÷ Σ volume

Vyreon also shows the distance from the close to the VWMA. Compared with a simple 20-day average, the VWMA leans toward the prices of heavier-volume days.

How Vyreon Calculates Them

All four use daily bars adjusted for splits and dividends; volume is split-adjusted, so a 2-for-1 split does not look like doubled trading. Volume is the provider's daily share volume.

What Volume Indicators Do Not Tell You

  • A rising OBV is read by some chartists as "accumulation", but volume on an up day is not proof of net buying: every share bought is also sold.
  • They do not predict the next move; divergences between OBV and price are a convention, not a rule.

Related: money flow index · relative volume · VWAP · moving averages

Sources

  • Joseph E. Granville, Granville's New Key to Stock Market Profits (1963): introduced on-balance volume.
  • John J. Murphy, Technical Analysis of the Financial Markets (New York Institute of Finance, 1999): volume indicators, including OBV.

Volume-price trend, the volume oscillator and the volume-weighted moving average are charting conventions with no single originator we can cite.