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Relative Volume Indicator
Started:September 5th, 2010 (02:25 AM) by soulartist Views / Replies:22,609 / 69
Last Reply:October 28th, 2013 (10:48 AM) Attachments:8

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Relative Volume Indicator

Old September 6th, 2010, 05:22 PM   #11 (permalink)
Elite Member
California
 
Trading Experience: Intermediate
Platform: NinjaTrader
Broker/Data: IB
Favorite Instrument: ES
 
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Relative vol indicator

Fat Tails,
Wow! Not only are you exhaustive and quick to respond but you have indicator versions up already! That is amazing!
Please find my responses below:



Fat Tails View Post

Confusion

All these concepts are quite different. Some show moving averages, other bars, other cumulated volume or standard deviations, some work only on 3 min charts, other on 15 min charts, not easy to select any approach. None of the indicator uses the median, which was used by Dr.Brett Steenbarger.

I agree that I needed to be more clear. But I feel this indicator would need some tweaking/experimentation as we figure out the various ways it can add value. Dr Brett uses it straight up to volatility-adjust his targets; find interesting article here; TraderFeed: Defining Profit Targets and Formulating Targeted Trading Plans
I will start off using it the same way and am sure will find ancillary uses. Bottom line: I think it is ok to start off with any measure of relativity (MA/median and SD; mixed days or distinct days-of-week, 3 mins or 30m bars) but we will find along the way what works better.


Fat Tails View Post
Starting from Scratch

When coding an indicator, we would first need to make some decisions:

1) Do we want to make an analysis per day of week, or shall we mix Fridays and Mondays? Do we need a filter for Fed Days and Holidays (dates can be entered manually) ?

Comparing against day-of-week makes it a more accurate and sophisticated indicator, and I think you have already done it, thanks! If it not too much of a tweak, could we have both options; compare against last 'n' days, n can be last n day-of-week or last n trading days(mixing days). I think the last 'n' trading days will work in 6.5 too?


Fat Tails View Post
2) If we compare today's volume, do we want to compare it to the median (Brett Steenbarger) or to the arithmetic average as all the indicators did?
3) Do we really need a standard deviation? How do you use this standard deviation in your trading. Or would you be happy with a different colour if 1 standard deviation is exceeded.

As I said, any baseline measure should be ok for the purpose of a sentiment indicator. Dr Bret has a preference for median, maybe because he uses Standard dev, I do not know if that is superior to an arithmetic avg.
Std Dec plotted as lines could be another visual indicator. I found indicator warehouse has a similar indicator, where they plot std dev, you can take a look here: Volume Time Analysis


Fat Tails View Post
4) Do you want bars that show the relative volume of the current period in relation to the median or average volume of that same period of prior trading days?

Yes


Fat Tails View Post
5) Do you want a moving average for that relative volume per bar?

Not terribly important but a good to have


Fat Tails View Post
6) Do you need an information on cumulated volume?

Yes


Fat Tails View Post
Suggestion

NinjaTrader 7.0, separate analysis per week-day, arithmetic average (not median), no standard deviations (bars can be coloured if 10% below or 10% above average volume), with cumulated volume per session, no moving average of the relative volume (either cumulated volume or moving average), no limitation to a specific timeframe as Benzinga or eToke.

Would you agree? Can you switch to NT 7.0? Indicator would not work with NT 6.5. and I am not ready to code this for NT 6.5., because it would be at least (!) twice the effort due to lack of session manager.

What you have already put out looks good to me. Just one suggestion top of the mind:
The relativity color code settings (green/white/red bar) - would want to have more control over that. The coloring is good but would want to also see the trend. e.g. if it is red it might be 79% of avg volume and falling or 69% of avg volume and rising. Would you say the slope of the cumulative ratio line would indicate trend, or is there a better way possibly? Also maybe you could allow the user to set the threshold (15%-20%) at which the color change occurs so user can have more insight on where the volume exactly is and follow a move up or down.

As I said we would need to experiment with this as we go along if you are amenable to that. If you can make a non day-of-week version cater to 6.5 ok (I am quite settled on 6.5 at present), if not that is ok too. I run two computers and I am migrating 6.5 to 7 on one of them, have run into some issues. Let me get that up, run the indicator and get back to you.

BTW, your https://www.bigmiketrading.com/elite-circle/5242-intraday-seasonality-when-trade-when-not-trade.html thread is another kickass thread, invaluable information.
Muchas gracias
- soulartist

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Old September 6th, 2010, 05:59 PM   #12 (permalink)
Market Wizard
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NT 6.5. will not work properly

The main problem with NT 6.5. is that it is based on .NET 2.0 and therefore it cannot convert timezones properly. Actually there is no method in .NET 2.0 that allows me to convert a time from local time to exchange time and then back to local time.

As I am located in Europe this means that I always run into issues with the different start and end dates for daylight savings times. If I do not take that into account, the indicator will produce an analysis for ES based on my local time zone, and by doing so adding 10:00 AM bars to 11:00 AM bars.

This problem can only be solved by either ignoring it (produces false results for any instrument which is not traded in your local zone) or by including information regarding timezone of exchange for each instrument you want to analyze and coding DST conversion algorithms.

So with NT 6.5 either you will get improper results (which I refuse) or I will sit and code for weeks to add the missing TimeZoneInfo members (which I also refuse).

NT 7.0 relies on .NET 3.5., which allows for time conversion, so the problem is solved. The timezone of the instrument can be accessed, because it is part of the master data of the instrument, which is not the case for NT 6.5.

No way, that l will do something quick and dirty for NT 6.5. ! You need to ask somebody else.

The solution for NT 7.0 is proper. No false results. I can easily make some of the thresholds or colors user selectable. That is a couple of minutes of work.

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Old September 7th, 2010, 02:26 AM   #13 (permalink)
Elite Member
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Trading Experience: Intermediate
Platform: NinjaTrader
Broker/Data: IB
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Posts: 20 since Aug 2010
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Relative vol indicator



Fat Tails View Post
No way, that l will do something quick and dirty for NT 6.5. ! You need to ask somebody else.

The solution for NT 7.0 is proper. No false results. I can easily make some of the thresholds or colors user selectable. That is a couple of minutes of work.

Hi Fat Tails,
never mind about v 6.5, I understand. And agree that there is no point moving backwards.

I have set up Nt7 on one machine and will run this indicator from tomorrow and see how it behaves.

Meanwhile could you kindly look at following enhancements:
(1) the thresholds and colors user as selectable, as you have mentioned above
(2) Is it possible to have a running percentage or ratio displaying against the candle or right pane. e.g. if the current bar has .95 relative volume at this point this displays till it changes (within this bar or in the next bar). This supplements the color coding and tells us exactly where volume is relatively; allowing us to adjust threshold settings as/if required

Thanks
- soulartist

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Old September 7th, 2010, 02:36 AM   #14 (permalink)
Market Wizard
Berlin, Europe
 
Trading Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
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Posts: 8,376 since Mar 2010
Thanks: 3,940 given, 19,571 received
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soulartist View Post
Hi Fat Tails,
never mind about v 6.5, I understand. And agree that there is no point moving backwards.

I have set up Nt7 on one machine and will run this indicator from tomorrow and see how it behaves.

Meanwhile could you kindly look at following enhancements:
(1) the thresholds and colors user as selectable, as you have mentioned above
(2) Is it possible to have a running percentage or ratio displaying against the candle or right pane. e.g. if the current bar has .95 relative volume at this point this displays till it changes (within this bar or in the next bar). This supplements the color coding and tells us exactly where volume is relatively; allowing us to adjust threshold settings as/if required

Thanks
- soulartist

(1) Added.

(2) I have put a speed-optimized version of the indicator in the download section, which can be used in CalcOnBarClose = false mode without any problems. You can now watch "Relative Volume TV". The current value of the relative volume is displayed next to the last developping bar.

Download here:

https://www.bigmiketrading.com/free_downloads/ninjatrader-7/indicators/632-download.html?view

Attached Thumbnails
Relative Volume Indicator-es-09-10-15-min-07_09_2010.jpg  

Last edited by Fat Tails; September 7th, 2010 at 09:07 AM. Reason: link added
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Old September 8th, 2010, 02:18 AM   #15 (permalink)
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Relative vol indicator

Super Fat Tails.

All eager to use it.... still struggling with setting up NT7 (rebuilding all charts), but will revert in a couple of days

Thanks
- soulartist

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Old September 8th, 2010, 12:42 PM   #16 (permalink)
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What differences are there between this version of better volume which is not free;
Volume Indicator – Better Volume Indicator for NinjaTrader

and this version which is free ?
Links and Downloads Manager - NinjaTrader Support Forum

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Old September 8th, 2010, 12:58 PM   #17 (permalink)
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trendisyourfriend View Post
What differences are there between this version of better volume which is not free;
Volume Indicator Better Volume Indicator for NinjaTrader

and this version which is free ?
Links and Downloads Manager - NinjaTrader Support Forum


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Old September 8th, 2010, 01:28 PM   #18 (permalink)
Market Wizard
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trendisyourfriend View Post
What differences are there between this version of better volume which is not free;
Volume Indicator – Better Volume Indicator for NinjaTrader

and this version which is free ?
Links and Downloads Manager - NinjaTrader Support Forum


You do not need to pay. The free version is as good as the other one. I have my own customized version. If you like I can post it in the download section.

E-mini Watch has also developped a volume pattern indicator. I do not know whether the free version here is identical. Any comments?

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Old September 8th, 2010, 03:20 PM   #19 (permalink)
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Fat Tails View Post
You do not need to pay. The free version is as good as the other one. I have my own customized version. If you like I can post it in the download section.

E-mini Watch has also developped a volume pattern indicator. I do not know whether the free version here is identical. Any comments?

Customized in what way ?

Regarding their volume pattern, it's named "The Better Pro Am". What other indicator is similar to this here ?

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Old September 8th, 2010, 03:32 PM   #20 (permalink)
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Trading Experience: Advanced
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trendisyourfriend View Post
Customized in what way ?

Regarding their volume pattern, it's named "The Better Pro Am". What other indicator is similar to this here ?

Do not remember the differences between the Better Volume Indicators, maybe settings and soundfiles.

Have not tested the Better Pro Am approach. You can have a look here:

Downloads - NinjaTrader 6.5 Indicators - Volume Patterns - Big Mike's Day Trading Forum

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