Williams Accumulation/Distribution (WAD)

Category: volume, momentum

Williams Accumulation/Distribution (WAD) measures the cumulative sum of price movement weighted by volume, identifying if the market is being accumulated (bought) or distributed (sold) based on price location within the true range.

Formula

TRH = max(High, Close_{t-1}) \\
TRL = min(Low, Close_{t-1}) \\
PM = \begin{cases} Close - TRL & \text{if } Close > Close_{t-1} \\ Close - TRH & \text{if } Close < Close_{t-1} \\ 0 & \text{otherwise} \end{cases} \\
WAD = \sum (PM \times Volume)

Inputs

• src_open (default: open)
• src_high (default: high)
• src_low (default: low)
• src_close (default: close)
• src_vol (default: volume)

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