Volume Zone Oscillator (VZO)

Walid Khalil's normalised version of OBV-style volume flow that swings within [-100, +100]. Each bar contributes a signed volume (+volume on up day, -volume on down day, 0 on unchanged close); the VZO ratios the EMA of that signed volume against the EMA of absolute volume.

Quick reference

Item	Value
Family	Volume
Input type	Candle (uses close, volume)
Output type	f64
Output range	[-100, +100]
Default parameters	period required (Khalil's typical 14)
Warmup period	period + 1
Interpretation	>+60 strong bull, <-60 strong bear, near 0 neutral

Formula

R_t   = sign(close_t - close_{t-1}) · volume_t      (signed volume)
VP_t  = EMA(R, period)_t                             (smoothed signed)
TV_t  = EMA(volume, period)_t                        (smoothed absolute)
VZO_t = 100 · VP_t / TV_t

VZO is bounded in [-100, +100] by construction (|VP| ≤ TV). See crates/wickra-core/src/indicators/vzo.rs.

Parameters

Name	Type	Default	Constraint	Description
period	usize	none	> 0	EMA period for both numerator and denominator.

Inputs / Outputs

Indicator<Input = Candle, Output = f64>. Python / Node: standard binding shapes.

Warmup

warmup_period() == period + 1. Needs one bar to establish prior close, then period bars for the EMAs to seed.

Edge cases

• Flat close. Zero signed volume contribution.
• TV_t == 0. Indicator returns 0.0 rather than NaN (occurs only if every volume in window is zero).
• Reset. Clears both EMAs and the prior close.

Examples

Rust

use wickra::{BatchExt, Candle, Indicator, Vzo};

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let candles: Vec<Candle> = (0..40).map(|i| {
        let b = 100.0 + (f64::from(i) * 0.3).sin() * 5.0;
        Candle::new(b, b + 0.5, b - 0.5, b, 1000.0, i as i64).unwrap()
    }).collect();
    let mut v = Vzo::new(14)?;
    println!("row 30 = {:?}", v.batch(&candles)[30]);
    Ok(())
}

Python

import numpy as np
import wickra as ta

n = 40
close = 100 + np.sin(np.linspace(0, 12, n)) * 5
vol = np.full(n, 1000.0)
v = ta.Vzo(14)
print(v.batch(close, vol)[30])

Node

const wickra = require('wickra');
const v = new wickra.Vzo(14);

Streaming

use wickra::{Candle, Indicator, Vzo};

let mut v = Vzo::new(14).unwrap();
let candle_stream: Vec<wickra::Candle> = Vec::new(); // your live OHLCV candle feed
for bar in candle_stream {
    if let Some(o) = v.update(bar) {
        if o > 60.0 { /* strong bull volume regime */ }
        if o < -60.0 { /* strong bear volume regime */ }
    }
}

Interpretation

VZO classifies the volume regime:

• VZO > +60. Strong bullish — buy volume dominates.
• VZO between +40 and +60. Bullish bias.
• VZO between -40 and +40. Neutral / consolidation.
• VZO between -60 and -40. Bearish bias.
• VZO < -60. Strong bearish.

Khalil published it as a 4-quadrant trend / momentum filter to pair with price-action signals.

Common pitfalls

• Treating zero crossings as instant signals. VZO is EMA-smoothed — its zero crossings lag price; pair with a faster trend signal.
• Vs Obv. OBV is cumulative and unbounded; VZO is bounded and smoothed. Different shapes, complementary uses.

References

• Walid Khalil & David Steckler, Fine-Tuning Trades with the Volume Zone Oscillator, Technical Analysis of Stocks & Commodities, June 2011.

See also

• Obv — cumulative signed volume.
• VolumeOscillator — non-direction volume oscillator.
• Kvo — Klinger volume MACD.
• Indicators-Overview — full taxonomy.