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This is certainly feasible, but I do not think that it helps with trading. The most important information of the relative volume is not the volume for a specific bar (unless you look at the opening bar or news events), but the cumulated relative volume which is a measure of participation. If participation is much higher than usual, this means that something is in the offing.
Hi,
I am looking for a relative performance indicator to compare performance of indices/sectors/equities/commodities... any market(s) that one may want to track, across different periodicities and time periods. Two usage scenarios come to mind straightaway: …
Relative performance can be coded, but I am afraid that NinjaTrader is not the best platform to code that. The problem is speed when adding secondary DataSeries. If you just have a few symbols, let us say 3 or 4, NinjaTrader can cope with this, but if you want to calculate a composite index for evaluating performance, it will certainly freeze.
Hi Fat Tails,
yes I am looking to compare the indices and key S&P sectors (using the sector ETFs), so at least 10 instruments...
Any ideas/suggestions as how best this can be done, with or without Ninjatrader?
Thanks.
You can try Amibroker. Apparently its portfolio analysis capability is the best in industry. I found this info while researching what tools to learn since I need to "up my game" to start making money again. You'll have to learn AFL coding. ( I don't know AFL. I've decided to spend my efforts learning C# to use with NT for charting, and with Openquant for Autotrading )
As you know, the time it takes for bars on a tick chart to complete is highly correlated to volume. I.e. the more volume the faster the bars.
I wonder if you would consider creating an analogous indicator that would track the time that bars are taking to complete with the speed expressed as a multiple of the historical speed for that time of day. In other words, faster bars would created a larger indicator value.
This would be a help to me as I notice that counter trending the market is lower probability during higher volume periods, however when focused on tick charts, it seems possible to get 'hypnotized' and not have a sense of how quickly bars are forming.
It would be more difficult compared to the current Relative Volume Indicator.
To understand the reason, this is what the relative volume indicator does:
If you look at the bar that plots for Friday 2:15 PM to 2:30 PM, the indicator will go backwards in time and collect the volume of the prior N bars for that period on Friday. So if N is 40, the indicator will look back for 40 weeks to collect that information. To take into account daylight savings time, this is done in exchange time, as local time may deviate from exchange time and create false results. Then the indicator takes the average volume of those 40 days and compares it to the current day's volume.
When the same logic is applied to tick bars, it is a little bit more difficult to identify the preceding reference bars, to which the current bar will be compared. Each of those bars will have different start and end times. Let us assume that our tick bar today lasts from 2:17:53 to 2:24:11. When going back a couple of weeks, I actually may find 3 bars, one covering the time from 2:12:05 to 2:18:34, another one the time from 2:18:35 to 2:22:37 and a third one the time from 2:22:37 to 2:29:44. So I would need to take the volume of those three bars pro rata to cover the overlap with the current bar. That would needed to be done for each of the 40 weeks.
Although all this is feasible, it is not really simple to do.
Also there is a higher correlation between ticks and volume than between time and volume, so the results will be less interesting compared to the results for time based bars. That specific smile over the regular session indicating higher per-bar-volume in the beginning and the end of the session, will be less pronounced on tick charts.