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Updated August 8, 2018
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April 22nd, 2013, 11:28 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: 50,621 since Jun 2009
Thanks Given: 33,356
Thanks Received: 101,989
In my head this makes sense, but not sure once put into practice and studied... if there is anyone else who thinks it also makes sense, I would appreciate someone creating a Sierra Chart indicator.
Here is what I am thinking:
- Selectable lookback, let's use 20 as the example and a daily chart
- Will require 20 weeks of data
- Look at each day of the week's volume independently over the last 20 sessions, and average those 20 together to give us the nominal value (let's say 0 is 'normal' so it works with a zero line histogram)
- Plot today's session volume relative to the average relative volume for the prior 20 sessions, as a histogram it would be above/below zero based on a percentage increase over relative average
Example:
If the last 20 Monday's we saw an average volume of 100,000, and today on Monday we saw 150,000 then the relative volume would plot 1.50.
If the last 20 Friday's we saw an average volume of 100,000 and today on Friday we saw 75,000 then the relative volume would plot 0.75.
I am only interested in using this on daily charts.
Mike
Can you help answer these questions from other members on NexusFi?
Best Threads (Most Thanked) in the last 7 days on NexusFi
April 23rd, 2013, 09:41 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: 50,621 since Jun 2009
Thanks Given: 33,356
Thanks Received: 101,989
tomgilb
Thanks.
I applied it to a SPY chart, 1 day intraday with the minimum lookback value of 5 to test against.
Assuming it does not include today in the lookback, the past 5 volume values for SPY would be
Tuesday 4/16 1283
Tuesday 4/9 903
Tuesday 4/2 910
Tuesday 3/26 796
Tuesday 3/19 1534
The average of those is 1085.
Today's volume was 1509, so relative volume should show 139%. Instead, it shows 11%.
Can anyone else take a look and confirm? I am using the one from User Contributed Studies.
Mike
April 25th, 2013, 01:47 PM
Tomsk, Russia
Experience: Beginner
Platform: custom
Trading: gold
Posts: 273 since Dec 2010
Thanks Given: 133
Thanks Received: 435
Big Mike
In my head this makes sense, but not sure once put into practice and studied... if there is anyone else who thinks it also makes sense, I would appreciate someone creating a
Sierra Chart indicator.
Here is what I am thinking:
- Selectable lookback, let's use 20 as the example and a daily chart
- Will require 20 weeks of data
- Look at each day of the week's volume independently over the last 20 sessions, and average those 20 together to give us the nominal value (let's say 0 is 'normal' so it works with a zero line histogram)
- Plot today's session volume relative to the average
relative volume for the prior 20 sessions, as a histogram it would be above/below zero based on a percentage increase over relative average
Example:
If the last 20 Monday's we saw an average volume of 100,000, and today on Monday we saw 150,000 then the relative volume would plot 1.50.
If the last 20 Friday's we saw an average volume of 100,000 and today on Friday we saw 75,000 then the relative volume would plot 0.75.
I am only interested in using this on daily charts.
Mike
hi Mike
this is my attempt to code it but i'm unable to test it as it should at this moment
try this on a CLR/regular version /there is an issue w this on noCLR for me so i'm waiting for v968/
gd lck
Scientia Libertas Prosperitas
Attached Files
Elite Membership required to download: rv_b1.cpp
April 25th, 2013, 11:50 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: 50,621 since Jun 2009
Thanks Given: 33,356
Thanks Received: 101,989
slickiam
hi Mike
this is my attempt to code it but i'm unable to test it as it should at this moment
try this on a CLR/regular version /there is an issue w this on noCLR for me so i'm waiting for v968/
gd lck
Thanks, but it isn't working as expected.
There are no values less than 0.
If today's session has 50% of the volume of the lookback period, then the plot should be 0.5 or -50 depending on your preference.
The values are definitely different than the built-in User Study linked by @tomgilb , so if you can correct the plot it may work. Once that is done I'll do some math and see where we land.
Thx again for efforts.
Mike
April 25th, 2013, 11:53 PM
Manta, Ecuador
Site Administrator Developer Swing Trader
Experience: Advanced
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Big Mike
Thanks, but it isn't working as expected.
There are no values less than 0.
If today's session has 50% of the volume of the lookback period, then the plot should be 0.5 or -50 depending on your preference.
The values are definitely different than the built-in User Study linked by @
tomgilb , so if you can correct the plot it may work. Once that is done I'll do some math and see where we land.
Thx again for efforts.
Mike
Hmm, I just looked again at a longer lookback, and I do see values less than 1 now (I meant to say less than 1 not 0).
I would prefer it if it had a zero line and used negative values to represent lower volume, and positive values to represent higher volume.
0 would be equal, -50 would be 50% under volume, +50 would be 50% over volume.
Thx again.
Mike
April 26th, 2013, 12:55 AM
Tomsk, Russia
Experience: Beginner
Platform: custom
Trading: gold
Posts: 273 since Dec 2010
Thanks Given: 133
Thanks Received: 435
Big Mike
Hmm, I just looked again at a longer lookback, and I do see values less than 1 now (I meant to say less than 1 not 0).
I would prefer it if it had a zero line and used negative values to represent lower volume, and positive values to represent higher volume.
0 would be equal, -50 would be 50% under volume, +50 would be 50% over volume.
Thx again.
Mike
hi Mike
I've set 1 as the base - not 0
I thought you will take a look inside this simple code to correct it as you need
My hope was you have started to study ACSIL
So this is beta2 and you could change the histogram as you need it w the info:
rv = SUM(Volumes);
av= rv / lookback;
the histogram is : rvs[sc.Index] = ( sc.BaseDataIn[SC_VOLUME][sc.Index] / av ) - 1 ;
Pls., let me know if you need to improve the study.
gd lck
Scientia Libertas Prosperitas
April 26th, 2013, 01:24 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: 50,621 since Jun 2009
Thanks Given: 33,356
Thanks Received: 101,989
slickiam
hi Mike
I've set 1 as the base - not 0
I thought you will take a look inside this simple code to correct it as you need
My hope was you have started to study ACSIL
So this is beta2 and you could change the histogram as you need it w the info:
rv = SUM(Volumes);
av= rv / lookback;
the histogram is : rvs[sc.Index] = ( sc.BaseDataIn[SC_VOLUME][sc.Index] / av ) - 1 ;
Pls., let me know if you need to improve the study.
gd lck
Thx, will take another look. Unfortunately, I've not written a single line of ACSIL. I've simply had so little time for what seems like years now due to the forum. I am still struggling to get a hold on that so I can make necessary time for myself.
Mike
April 26th, 2013, 01:32 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: 50,621 since Jun 2009
Thanks Given: 33,356
Thanks Received: 101,989
@slickiam on first glance, it looks correct. It passed the test from my April 23rd figures above.
My only request is I think I prefer the scale of 100 instead of 1.0 after all. So instead of +0.39 it would be +39.
Can you tell me how to make this change?
Thanks again.
Mike
April 26th, 2013, 01:40 AM
Tomsk, Russia
Experience: Beginner
Platform: custom
Trading: gold
Posts: 273 since Dec 2010
Thanks Given: 133
Thanks Received: 435
Big Mike
Thx, will take another look. Unfortunately, I've not written a single line of ACSIL. I've simply had so little time for what seems like years now due to the forum. I am still struggling to get a hold on that so I can make necessary time for myself.
Mike
And this forum is the best. Thank you for the forum, Mike.
Quoting
My only request is I think I prefer the
scale of 100 instead of 1.0 after all. So instead of +0.39 it would be +39.
Sure.
Just multiply the histogram by 100
rvs[sc.Index] = ( ( sc.BaseDataIn[SC_VOLUME][sc.Index] / av ) - 1 ) * 100 ;
gd lck
Scientia Libertas Prosperitas
Last Updated on August 8, 2018