Function Prototype
/* Klinger Volume Oscillator */
/* Type: indicator */
/* Input arrays: 4 Options: 2 Output arrays: 1 */
/* Inputs: high, low, close, volume */
/* Options: short period, long period */
/* Outputs: kvo */
int ti_kvo_start(TI_REAL const *options);
int ti_kvo(int size,
TI_REAL const *const *inputs,
TI_REAL const *options,
TI_REAL *const *outputs);Description
This documentation is still a work in progress. It has omissions, and it probably has errors too. If you see any issues, or have any general feedback, please get in touch.
The Klinger Volume Oscillator is a volume based oscillator for measuring trends.
It takes two parameter: a short period n and a long period m.
It is calculated as follows:
$$hlc_{t} = high_{t} + low_{t} + close_{t}$$
$$dm_{t} = high_{t} - low_{t}$$
$$trend_{t} =
\begin{cases}
1 & \mathrm{if} \; hlc_{t} > hlc_{t-1} \\
-1 & \mathrm{if} \; hlc_{t} \lt hlc_{t-1} \\
trend_{t-1} & \mathrm{else}
\end{cases}
$$
$$cm_{t} =
\begin{cases}
dm_{t-1} + dm_{t} & \mathrm{if} \; trend_{t} \ne trend_{t-1} \\
cm_{t-1} + dm_{t} & \mathrm{else}
\end{cases}
$$
$$vf_{t} = 100 \cdot volume_{t} \cdot trend_{t} \cdot \left| 2\frac{dm_{t}}{cm_{t}}-1 \right|$$
$$shortvf_{t} = (1-\frac{2}{n+1})shortvf_{t-1} + (\frac{2}{n+1})vf_{t}$$
$$longvf_{t} = (1-\frac{2}{m+1})longvf_{t-1} + (\frac{2}{m+1})vf_{t}$$
$$kvo_{t} = shortvf_{t} - longvf_{t}$$
See Also
References
Example Usage
Calling From C
/* Example usage of Klinger Volume Oscillator */
/* Assuming that 'high', 'low', 'close', and 'volume' are pre-loaded arrays of size 'in_size'. */
TI_REAL *inputs[] = {high, low, close, volume};
TI_REAL options[] = {2, 5}; /* short period, long period */
TI_REAL *outputs[1]; /* kvo */
/* Determine how large the output size is for our options. */
const int out_size = in_size - ti_kvo_start(options);
/* Allocate memory for output. */
outputs[0] = malloc(sizeof(TI_REAL) * out_size); assert(outputs[0] != 0); /* kvo */
/* Run the actual calculation. */
const int ret = ti_kvo(in_size, inputs, options, outputs);
assert(ret == TI_OKAY);
Calling From Lua (with Tulip Chart bindings)
-- Example usage of Klinger Volume Oscillator
kvo = ti.kvo(high, low, close, volume, 2, 5)
Example Calculation
short period = 2, long period = 5
| date | high | low | close | volume | kvo |
|---|---|---|---|---|---|
| 2005-11-01 | 82.15 | 81.29 | 81.59 | 5,653,100.00 | |
| 2005-11-02 | 81.89 | 80.64 | 81.06 | 6,447,400.00 | 0.00 |
| 2005-11-03 | 83.03 | 81.31 | 82.87 | 7,690,900.00 | 80,292,599.24 |
| 2005-11-04 | 83.30 | 82.65 | 83.00 | 3,831,400.00 | 121,572,746.63 |
| 2005-11-07 | 83.85 | 83.07 | 83.61 | 4,455,100.00 | 117,732,669.22 |
| 2005-11-08 | 83.90 | 83.11 | 83.15 | 3,798,000.00 | -5,942,017.64 |
| 2005-11-09 | 83.33 | 82.49 | 82.84 | 3,936,200.00 | -71,041,561.80 |
| 2005-11-10 | 84.30 | 82.30 | 83.99 | 4,732,000.00 | 34,448,275.85 |
| 2005-11-11 | 84.84 | 84.15 | 84.55 | 4,841,300.00 | 84,097,903.13 |
| 2005-11-14 | 85.00 | 84.11 | 84.36 | 3,915,300.00 | -38,366,427.07 |
| 2005-11-15 | 85.90 | 84.03 | 85.53 | 6,830,800.00 | 40,313,036.02 |
| 2005-11-16 | 86.58 | 85.39 | 86.54 | 6,694,100.00 | 56,681,039.57 |
| 2005-11-17 | 86.98 | 85.76 | 86.89 | 5,293,600.00 | 52,208,374.66 |
| 2005-11-18 | 88.00 | 87.17 | 87.77 | 7,985,800.00 | 138,983,547.95 |
| 2005-11-21 | 87.87 | 87.01 | 87.29 | 4,807,900.00 | -68,009,735.44 |
Chart
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