Price Volume Rank (PVR)

Category: volume, momentum

Classifies market state into four quadrants based on the relationship between price direction and volume changes compared to the previous bar.

Formula

\text{PVR} = \begin{cases} 1 & \text{if } P > P_{prev} \text{ and } V > V_{prev} \\ 2 & \text{if } P > P_{prev} \text{ and } V \le V_{prev} \\ 3 & \text{if } P < P_{prev} \text{ and } V < V_{prev} \\ 4 & \text{if } P < P_{prev} \text{ and } V \ge V_{prev} \\ 0 & \text{otherwise} \end{cases}

Inputs

• i_price_source (default: close)

See signal primitives, usage in published strategies and more on WOBR StrategyVerse.