Volume Weighted Sign Change

The VWSCI measures the relationship between price reversals and volume. Specifically, it calculates the proportion of total volume in a given window that occurs at bars where the price changes direction—i.e., where the price difference switches from positive to negative or vice versa, indicating a local maximum or minimum.

• Low VWSCI values (close to 0) suggest that little volume is associated with price reversals, which typically occurs in strong trending markets where price moves consistently in one direction with high volume, and pullbacks (if any) occur on low volume.

• High VWSCI values (closer to 100) indicate that a significant portion of the volume is tied to price turning points, which is characteristic of a ranging or choppy market with frequent reversals.

This approach combines price action (via sign changes in price differences) and volume, offering a novel twist on traditional momentum or volume-based indicators like RSI, OBV, or the Volume-Price Trend.