hi/low volume days

[gary@xxxxxxxxxxxx (Gary Funck)]

As a follow-up to the "volume-weighted averge" post, the attached
chart at:
http://www.intrepid.com/~gary/trading/spvolu.gif
is a simple "paintbar" study, showing:

    yellow: volume = lowest(volume, 5)
    blue:   volume = highest(volume, 5)

Thus, the yellow bars would participate least in
a 5 day volume weighted average, and the blue
bars would count the most.  Note that this a
tendency for the yellow bars to appear at the top
of a rally, and blue bars to appear at the bottom
of a sell-off.

Something to consider might be a volume-based
momentum oscilator that negatively weights +/-
changes when volume is well below/above the
norm.    Something like the following:

Inputs: Price(Close), Length(5);
vars: chg(0), j(0), sx(0);
if length >= 1 then begin
    sx = 0;
    for j = 0 to (length-1) begin
        chg = iff(price[j+1] > 0,
                  100 * (Price[j]/Price[j+1] - 1), 0);
        if volume = lowest(volume, length) then begin
            chg = -chg;
        end else if volume = highest(volume, lengh) then begin
            chg = -chg;
        end;
        sx = sx + chg;
    end;
    plot1(sx, "swingmomentum");
end;

I haven't tried this, but the idea is the
indicator would anticipate the reversal that
sometimes occurs when volume is either very low
or very high. There are probably better ways to
determine very high or low volume - the code
above illustrates the idea.