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The next issue relates to what should be the actual value to accumulate within the positive and negative camps. As we have seen the value which is used in the Money Flow Index, is determined by multiplying the session’s volume by the typical price for the session. In our own calculations we have found that the following value has proven to be most useful in indicating turning points: Closing Price x Signed Volume (which can be zero) * True Range for the session (in dollar terms). By including the true range value the signed volume that is used in the CQA methodology takes on a weighting that is commensurate with the degree of intraday price movement.

Accumulation Window
This term is used frequently in the CQA methodology and specifically in regard to the money flow analysis it represents the period during which the signed transaction volume is to be accumulated. In the case of the co-occurrences between events in different quantiles it is similar to the above but enables us to count the number of occasions on which events
registered in the designated quantile for one variable overlap with those for a second variable’s quantile.

 Case Study - Newmont Mining (NEM)
To demonstrate the features of the quantile based approach to volume analysis and highlight the manner in which it allows us to anticipate price turning points, both positive and negative, we will examine the gold mining stock Newmont Mining (NEM).

(click to enlarge)

Figure 3 covers the weekly closes for Newmont Mining from January 2005 to June 2006 and shows the more obvious turning points in price development for the stock. From its low in May 2005 at around $35, NEM moved up to the $60 level in late January 2006. There was a corrective period in October 2005 but the price action following that, at the end of 2005 and throughout January of 2006, was very positive. The price topped out at the end of January when a more severe corrective episode began.

(click to enlarge)

Figure 4 is the first of our quantile based diagrams and it maps the same period as the price chart covered in Figure 3. The four corrective episodes have been indicated in Figure 4 by A, B, C and D. What can be seen in Figure 4 is that where the red and blue columns are most closely aligned corresponds with the more bullish price phases for NEM, and as the red and blue columns are diverging from each other, often associated with the red columns descending below the zero line, NEM is correcting. There is a very close match between all of these points that have been arrowed in Figure 4 with the observed weakness in NEM. The May 2005 weakness at point A is clear as is the temporary setback in November 2005 marked at point B. Most critically the more serious correction that appears at the end of January (point C) is anticipated by the red columns moving below the zero line at the end of January 2006 prior to the price high which actually occurred at $61.83 on February 1st. If one had adopted the crossover below zero as a trading trigger point for a short trade one could have entered a short trade on February 1st when the closing price was $61.60 which would then have yielded a ten percent profit within the next ten trading sessions. The final corrective phase is marked at point D on Figure 4 and corresponds to the late April/early May slump and it also coincides with a substantial non-alignment of the red and blue columns.

Newmont Mining (NEM) : Upper Quantile Based Signed Volume AnalysisBased on period from March 2005 to August 2006- 50000000500000000 1/03/2005 01/05/2005 01/07/2005 01/09/2005 01/11/2005 01/01/2006 01/03/2006 01/05/2006 01/07/2006 Cumulative Volume [20 day window]Signed Volume registered only when price is in upper quantile Signed Volume registered only when true range is in upper quantileThese periods are where the blue and red columns areleast aligned and coincide with corrective episodes. These periods show the most coherently bullish periods for the stock as the blue and red columns are most closely aligned ABCD.