Miha Kralj
6f0a339c9b
- Sar.Quantower.Tests.cs: add missing opening quote on string literal (line 48) - Exports.cs: rename Correlation.Batch → Correl.Batch (CS0103) - Ad.Validation.Tests.cs: fix Ooples OutputValues key "Ad" → "Adl"
4.1 KiB
AD: Accumulation/Distribution Line
Volume precedes price.
| Property | Value |
|---|---|
| Category | Volume |
| Inputs | OHLCV bar (TBar) |
| Parameters | None |
| Outputs | Single series (AD) |
| Output range | Unbounded |
| Warmup | 1 bar |
| PineScript | ad.pine |
- The Accumulation/Distribution Line (AD) is the bedrock of volume analysis.
- No configurable parameters; computation is stateless per bar.
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
The Accumulation/Distribution Line (AD) is the bedrock of volume analysis. It attempts to answer a single, vital question: "Are the big players buying or selling?"
Unlike On-Balance Volume (OBV), which treats every up-day as 100% buying, AD is nuanced. It looks at where the price closed within the day's range. A close near the high on massive volume screams "Accumulation." A close near the low on massive volume screams "Distribution."
Historical Context
Developed by Marc Chaikin, the AD was originally designed to spot divergences. Chaikin noticed that if a stock made a new high but the AD failed to make a new high, a crash was imminent. He essentially quantified the "smart money" flow.
Architecture & Physics
AD is a cumulative indicator, meaning it has infinite memory. Today's value depends on the sum of all yesterdays.
The core mechanic is the Money Flow Multiplier (MFM), also known as the Close Location Value (CLV). This value ranges from -1 to +1:
- +1: Close = High (Maximum Accumulation)
- -1: Close = Low (Maximum Distribution)
- 0: Close is exactly in the middle
This multiplier is then applied to the volume to determine the "Money Flow Volume" for the period.
Mathematical Foundation
1. Money Flow Multiplier (MFM)
MFM = \frac{(Close - Low) - (High - Close)}{High - Low}
2. Money Flow Volume (MFV)
MFV = MFM \times Volume
3. Accumulation/Distribution Line (AD)
AD_t = AD_{t-1} + MFV_t
Performance Profile
Operation Count (Streaming Mode)
AD computes Money Flow Multiplier (MFM) from bar data, multiplies by volume, and accumulates cumulatively — O(1).
| Operation | Count | Cost (cycles) | Subtotal |
|---|---|---|---|
| MFM = ((C-L)-(H-C)) / (H-L) | 1 | 5 cy | ~5 cy |
| MFV = MFM * Volume | 1 | 3 cy | ~3 cy |
| AD += MFV (cumulative sum) | 1 | 1 cy | ~1 cy |
| Zero guard on H-L | 1 | 2 cy | ~2 cy |
| NaN guard + state update | 1 | 2 cy | ~2 cy |
| Total | O(1) | — | ~13 cy |
O(1) cumulative indicator — no window, no buffer. Throughput ~4 ns/bar. Division is the critical path (H-L guard prevents divide-by-zero on doji bars).
| Metric | Score | Notes |
|---|---|---|
| Throughput | 10 | High; O(1) calculation with simple arithmetic. |
| Allocations | 0 | Zero-allocation in hot paths. |
| Complexity | O(1) | Constant time per update. |
| Accuracy | 10 | Matches all standard libraries exactly. |
| Timeliness | 10 | No lag; updates immediately with each bar. |
| Overshoot | N/A | Cumulative indicator; concept doesn't apply. |
| Smoothness | 2 | Jagged; reflects raw volume and price location. |
Validation
| Library | Status | Notes |
|---|---|---|
| QuanTAlib | ✅ | Validated. |
| TA-Lib | ✅ | Matches TA_AD exactly. |
| Skender | ✅ | Matches GetAd exactly. |
| Tulip | ✅ | Matches ad exactly. |
| Ooples | ✅ | Matches CalculateAccumulationDistributionLine. |
Common Pitfalls
- Gaps: AD ignores gaps. If a stock gaps up but closes near its low, AD will register distribution, even if the price is higher than yesterday.
- Scale: The absolute value of AD is meaningless; it depends on the start date of the data. Only the trend and divergence matter.
- Volume Spikes: A single bad data point with erroneous volume can permanently skew the AD. Sanitize your data.