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Updated August 8, 2018
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April 26th, 2013, 01:50 AM
Manta, Ecuador
Site Administrator Developer Swing Trader
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,607 since Jun 2009
Thanks Given: 33,345
Thanks Received: 101,971
All good, except there are some odd values. Take a look:
Starting around September 2011 the values start to go extremely negative, even though the volume (panel above) does not drastically drop off.
This seems to happen only when I increase the lookback to 7 or higher.
Mike
April 26th, 2013, 02:50 AM
Tomsk, Russia
Experience: Beginner
Platform: custom
Trading: gold
Posts: 273 since Dec 2010
Thanks Given: 133
Thanks Received: 435
Big Mike
All good, except there are some odd values. Take a look:
Starting around September 2011 the values start to go extremely negative, even though the volume (panel above) does not drastically drop off.
This seems to happen only when I increase the lookback to 7 or higher.
Mike
I've done some math for lookback = 10 and didn't find any issue in the logic except one thing: looks like it's needed to add the lookback correction for the Holidays in terms for calculating an average value
I'll do it in the nearest future
so these negative values is the reality in terms what you have in DB. sorry if I'm wrong.
gd lck
Scientia Libertas Prosperitas
April 26th, 2013, 03:09 AM
Manta, Ecuador
Site Administrator Developer Swing Trader
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,607 since Jun 2009
Thanks Given: 33,345
Thanks Received: 101,971
slickiam
I've done some math for lookback = 10 and didn't find any issue in the logic except one thing: looks like it's needed to add the lookback correction for the Holidays in terms for calculating an average value
I'll do it in the nearest future
so these negative values is the reality in terms what you have in DB. sorry if I'm wrong.
gd lck
If I go back to your 0 based version (instead of - 1) there is a batch of dates that are below 0. That would be impossible, yes?
Out of 5 years of daily data it happens maybe 20-30 times but is concerning.
Mike
April 26th, 2013, 11:05 AM
Chicago, IL
Experience: Intermediate
Platform: SC
Trading: ES
Posts: 17 since Jan 2013
Thanks Given: 21
Thanks Received: 3
Hi Guys,
I was referred here from my post in Sierra's support board; I had a similar question of obtaining relative volume
The attached screen shot is from Market Delta displaying a 50 day look back of a 1 Min chart showing the percentage of volume.
Mike...... GREAT FORUM!
Scott
April 26th, 2013, 09:55 PM
Tomsk, Russia
Experience: Beginner
Platform: custom
Trading: gold
Posts: 273 since Dec 2010
Thanks Given: 133
Thanks Received: 435
hi all
rv_b1 and rv_b2 have a bug by my fault so pls don't use it to prevent the unstable situation w SC
sorry about that and I'll be back later w the proper code
gd lck
Scientia Libertas Prosperitas
April 27th, 2013, 01:44 PM
Tomsk, Russia
Experience: Beginner
Platform: custom
Trading: gold
Posts: 273 since Dec 2010
Thanks Given: 133
Thanks Received: 435
scottemp
Hi Guys,
I was referred here from my post in Sierra's support board; I had a similar question of obtaining
relative volume
The attached
screen shot is from
Market Delta displaying a 50 day look back of a 1 Min chart showing the percentage of volume.
Mike...... GREAT FORUM!
Scott
hi
could you post a screenshot w settings for this study, pls
gd lck
Scientia Libertas Prosperitas
April 28th, 2013, 11:14 AM
Chicago, IL
Experience: Intermediate
Platform: SC
Trading: ES
Posts: 17 since Jan 2013
Thanks Given: 21
Thanks Received: 3
It was from a webinar I was on, I will try to get the paramaters of the study. If I do get it I will post it ASAP.
The screenshot I attached was the study from the webinar. It was a 50 day average of each minute bar. So each min bar is an average of the last 50 days of that 1 min period.
Scott
April 29th, 2013, 07:27 AM
Tomsk, Russia
Experience: Beginner
Platform: custom
Trading: gold
Posts: 273 since Dec 2010
Thanks Given: 133
Thanks Received: 435
Big Mike
If I go back to your 0 based version (instead of - 1) there is a batch of dates that are below 0. That would be impossible, yes?
Out of 5 years of daily data it happens maybe 20-30 times but is concerning.
Mike
hi Mike
this is rv_beta3
The issue was the type of data. the int type has been changed to the long double.
Also this beta filters off the holidays and weekdays.
I hope it will work a much better.
gd lck
Scientia Libertas Prosperitas
Attached Files
Elite Membership required to download: rv_b3.cpp
April 29th, 2013, 11:24 AM
Tomsk, Russia
Experience: Beginner
Platform: custom
Trading: gold
Posts: 273 since Dec 2010
Thanks Given: 133
Thanks Received: 435
scottemp
It was from a webinar I was on, I will try to get the paramaters of the study. If I do get it I will post it ASAP.
The
screenshot I attached was the study from the webinar. It was a 50 day average of each minute bar. So each min bar is an average of the last 50 days of that 1 min period.
Scott
hi
it's not really clear for me
so this study calculates an average of every separate minute bar separately for an every day
beta1 in terms of intraday usage
gd lck
Scientia Libertas Prosperitas
Attached Files
Elite Membership required to download: rv_b4i.cpp
April 29th, 2013, 08:26 PM
Manta, Ecuador
Site Administrator Developer Swing Trader
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,607 since Jun 2009
Thanks Given: 33,345
Thanks Received: 101,971
slickiam
hi Mike
this is rv_beta3
The issue was the type of data. the int type has been changed to the long double.
Also this
beta filters off the holidays and weekdays.
I hope it will work a much better.
gd lck
It now appears to be all correct.
Thank you for this.
Mike
Last Updated on August 8, 2018