OBVM
On-Balance Volume Modified - a smoothed version of OBV with an additional signal line.
Usage
Used to identify divergences between price and volume flow, and to generate signals via crossovers with its signal line. Values typically follow the trend of buying and selling pressure.
Background
While originally developed by Joe Granville, this modified version by Vitali Apirine applies exponential smoothing to the OBV values to filter out noise and adds a signal line for better trend identification and crossover signals. It provides a clearer picture of volume-price relationships by reducing high-frequency fluctuations. — TASC April 2020
Parameters
obvm_period(default: 7): EMA period for smoothing OBVsignal_period(default: 10): EMA period for the signal line
Formula
\[\begin{aligned}
TP &= \frac{High + Low + Close}{3} \\
OBV_t &= OBV_{t-1} + \begin{cases} Volume, & \text{if } TP_t > TP_{t-1} \\ -Volume, & \text{if } TP_t < TP_{t-1} \\ 0, & \text{otherwise} \end{cases} \\
OBVM &= EMA(OBV, Period_1) \\
Signal &= EMA(OBVM, Period_2)
\end{aligned}\]