VFI

Volume Indicators volume vfi money-flow katsanos oscillator

Volume Flow Indicator - a volume-based indicator that uses price and volume relative to a cutoff to measure money flow.

Usage

Used to identify trend direction and potential reversals. Values above 0 are bullish, below 0 are bearish. Extreme readings and divergences are also significant.

Background

Katsanos' Volume Flow Indicator (VFI) is based on the popular On Balance Volume (OBV) but with three main modifications: it is bounded, it filters out small price changes, and it caps volume extremes. It provides a more balanced view of buying and selling pressure by accounting for price volatility and volume outliers. — TASC June 2004

Parameters

• period (default: 130): Lookback period for Vave and Summation
• coef (default: 0.2): Coefficient for minimal price cut-off
• vcoef (default: 2.5): Coefficient for volume cut-off
• smoothing_period (default: 3): EMA period for final smoothing

Formula

\[\begin{aligned} TP &= \frac{H+L+C}{3} \\ Inter &= \ln(TP) - \ln(TP_{t-1}) \\ VInter &= StdDev(Inter, 30) \\ Cutoff &= Coef \cdot VInter \cdot Close \\ Vave &= SMA(Volume, Period)_{t-1} \\ Vmax &= Vave \cdot Vcoef \\ VC &= \min(Volume, Vmax) \\ MF &= TP - TP_{t-1} \\ VCP &= \begin{cases} VC, & \text{if } MF > Cutoff \\ -VC, & \text{if } MF < -Cutoff \\ 0, & \text{otherwise} \end{cases} \\ VFI_{raw} &= \frac{\sum_{i=0}^{Period-1} VCP_{t-i}}{Vave} \\ VFI &= EMA(VFI_{raw}, 3) \end{aligned}\]

Source