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How !UVOLSPX and !DVOLSPX are calculated?

I would like to know how these indexes are calculated. I tried to search on StockCharts website but there is no search result.
Thanks.

Best Answer

  • KevoKevo
    Accepted Answer
    Here is a stab at it:

    !UPVOLSPX and !DVOLSPX are two components of this index: $SPXUDP. Here is the formula:

    (!UPVOLSPX - !DVOLSPX)/(abs(!UPVOLSPX) + abs(!DVOLSPX))

    The denominator is the total volume. abs() is Absolute Value.
    I could not find a SPX total volume index, so hopefully the denominator above should work.

    !UPVOLSPX, I think, is calculated like this: At the EOD, for each of the 500 components of the SPX, the volume of each of the issues that closed higher than the previous day's close are added together to determine this value. I do not think that this index is cumulative. Each value of the index is simply the sum of the volume for each of the 500 components that closed higher than the previous day. You can plot this as a cumulative type chart, however. Since this is EOD, it is only done once per day.

    Same goes for the down volume index.

    This index begins with a "!" as opposed to a "$". My hunch is that "$" indexes are SCC indexes that are calculated internally. "!" indexes maybe externally available indexes that SCC gets the data for the index from their data provider.

    I will start a new thread/question asking if anyone can elaborate on the difference between "!" and "$" indexes.

    These two indexes are End Of Day (EOD) indexes. This means they are calculated/updated once per day, at the end of the day. There are likely many reasons why some breadth indexes are EOD. One reason may be that the calculation is too intensive to be provided intraday, and the programming/infrastructure is not in place for this intensive calculation.

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