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Relative Volume Indicator
Started:September 5th, 2010 (02:25 AM) by soulartist Views / Replies:22,640 / 69
Last Reply:October 28th, 2013 (10:48 AM) Attachments:8

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Relative Volume Indicator

Old August 7th, 2011, 08:37 AM   #51 (permalink)
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Fat Tails View Post
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.

Thanks for the reply. To clarify, I was suggesting a relative time histogram, analogous to the relative volume histogram. The concept would be to look back in history and determine the average amount of time that a tick bar takes to form at its specific time of day and then compare the current day to that reference. In this way, time is used as a proxy for volume and volume need not be referenced at all. As you point out, tick volume is not the same as total volume, but my sense is the correlation is strong enough to yield meaningful information.

However the time stamp issue you raised remains and would need to be dealt with differently than in the Relative Volume indicator. One way to approach it might be for each bar on the current day, determine its time stamp, then loop back through preceding days and average the duration of the one bar from each day that contains that time stamp.

Maybe this is more substantially different from the Relative Volume indicator that I first thought

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Old August 7th, 2011, 10:17 AM   #52 (permalink)
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drmartell View Post
Thanks for the reply. To clarify, I was suggesting a relative time histogram, analogous to the relative volume histogram. The concept would be to look back in history and determine the average amount of time that a tick bar takes to form at its specific time of day and then compare the current day to that reference. In this way, time is used as a proxy for volume and volume need not be referenced at all. As you point out, tick volume is not the same as total volume, but my sense is the correlation is strong enough to yield meaningful information.

However the time stamp issue you raised remains and would need to be dealt with differently than in the Relative Volume indicator. One way to approach it might be for each bar on the current day, determine its time stamp, then loop back through preceding days and average the duration of the one bar from each day that contains that time stamp.

Maybe this is more substantially different from the Relative Volume indicator that I first thought

Yes, it is a bit different. I do not think that you can use time as a proxy for volume, the correlation between time and volume is not very good. But as you said whether you print the expected duration of a tick bar or the expected volume, both based on prior weeks volume for that day of the week and that specific time, the issues remain the same.

It can be done, but it is simply a bit more complex than the original Relative Volume indicator. I currently have too many projects, so I cannot guarantee that I will be able to do it soon.

Anyhow, the idea makes sense.

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Old January 2nd, 2012, 09:37 PM   #53 (permalink)
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Yes, it is a bit different. I do not think that you can use time as a proxy for volume, the correlation between time and volume is not very good. But as you said whether you print the expected duration of a tick bar or the expected volume, both based on prior weeks volume for that day of the week and that specific time, the issues remain the same.

It can be done, but it is simply a bit more complex than the original Relative Volume indicator. I currently have too many projects, so I cannot guarantee that I will be able to do it soon.

Anyhow, the idea makes sense.

Hello, this is my first post, I have been a BMT stalker for a while. Fat Tails, I see you all over the forum thank you so much for your insight and help, much apreciated. I posted on the ninja trader forum about help for a relative volume indicator and was directed to your thread. Does your indicator have the ability to take the last six days and average the highest five days for that time period? I am attempting to continue to utilize a methodology I learned from a course I bought but can no longer pay the monthly fee to have access to their indicators. I need to just have the indicator display the RV at the top of the chart for the cumulative volume average for the highest five days out of six for each time period. Is the logic or formula for this difficult so that I can create it? Always, thank you for you insight and help.

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Old January 3rd, 2012, 05:46 AM   #54 (permalink)
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loujen213 View Post
Hello, this is my first post, I have been a BMT stalker for a while. Fat Tails, I see you all over the forum thank you so much for your insight and help, much apreciated. I posted on the ninja trader forum about help for a relative volume indicator and was directed to your thread. Does your indicator have the ability to take the last six days and average the highest five days for that time period? I am attempting to continue to utilize a methodology I learned from a course I bought but can no longer pay the monthly fee to have access to their indicators. I need to just have the indicator display the RV at the top of the chart for the cumulative volume average for the highest five days out of six for each time period. Is the logic or formula for this difficult so that I can create it? Always, thank you for you insight and help.

The Relative Volume Indicator compares the volume of the current bar with the average volume of the preceding N bars that occured at the same time of the day and week.

For example, if the current bar is the 2:15 PM bar on today is Thursday, it will then collect the volume for the last N Thursday 2:15 PM bars and calculate the average volume for those bars. The relative volume is the ratio of the current bar's volume divided by that average. This means that you require about N+1 weeks of data to calculate the relative volume.

This definition is not the only possible definition. For example you could scrap the day-of-week criterion and compare today's volume to the average volume of the preceding N days, irrespectively whether they were Thursdays or not.

Your idea is different, as you want to use a 5-out-of-6 approach. This would require some custom coding.

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Old January 20th, 2012, 07:42 AM   #55 (permalink)
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vol

thz alot for all this information.
learned alot.

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Old October 18th, 2012, 11:31 PM   #56 (permalink)
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Hey,
Might be a dumb question but is the "Cumulated Ratio" the ratio between the average and the actual volume for that period or is it the accumulated volume up until that point in the day? I've been scouring for the latter type of indi but have come up empty handed. I think it'd be beneficial to know what the average accumulated volume vs today's accumulated volume is in a streaming type format. Maybe you'd be able to add that statistic in as well?

Amazing work Fat Tails!

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Old October 19th, 2012, 02:58 PM   #57 (permalink)
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stefan416 View Post
Hey,
Might be a dumb question but is the "Cumulated Ratio" the ratio between the average and the actual volume for that period or is it the accumulated volume up until that point in the day? I've been scouring for the latter type of indi but have come up empty handed. I think it'd be beneficial to know what the average accumulated volume vs today's accumulated volume is in a streaming type format. Maybe you'd be able to add that statistic in as well?

Amazing work Fat Tails!

The relative volume is measured against the volume of the same period of the day and the same day of the week.

Example: You display the Relative Volume on a 15 min chart with default settings - 20 weeks referenced. The current bar has the time stamp of Tuesday, 2:00 PM.

In that case the indicator will calculate the average volume of the last 20 bars on Tuesday 1:45 - 2:00 PM, and compare the volume of the current bar to that average. The cumulated ratio compares the cumulated trading volume of the current day to the average of the cumulated trading volume of the prior 20 Tuesdays up to 2:00 PM.

To answer your question, the cumulated ratio is based on the trading volume up to that point in the day for both the current day and the 20 Tuesdays that are referenced. If you want that information exposed, this is possible via adding a DataSeries to the indicator.

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Old October 24th, 2012, 09:12 PM   #58 (permalink)
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Is version 14 still holding up to expectations? Any changes to come? When do you use this indicator the most? The open?

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Old October 25th, 2012, 05:52 AM   #59 (permalink)
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Is version 14 still holding up to expectations? Any changes to come? When do you use this indicator the most? The open?

I am mostly interested in the cumulated value of the relative volume, as it shows participation over the current session.

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Old December 5th, 2012, 12:33 PM   #60 (permalink)
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Relative Volume Indicator Update


The Relative Volume Indicator stopped working on CME index futures after the contract specifications had changed in November. The reason for the problem was the extension of the trading hours on Friday. Until November 18, index futures closed at 3:15 PM Central. Since the trading hours have been extended and the market closes on Friday at 4:15 PM Central.

For the additional hour, the indicator cannot find reference data, to which the current volume can be compared and therefore displays nothing.

I have now modified the indicator in a way that it will compare the volume of the night session and the regular session to the volume of the same days and the same time span during the prior weeks, but display nothing on November 30, when the first extended session occurred.

Please find the modified indicator and a chart below. Don't hesitate to report any problems, if they persist.


Please register to view the post attachment(s), image(s), or screenshot(s) - it's simple and free.

Attached Files
Register to download File Type: zip RelativeVolumeV15.zip (5.1 KB, 94 views)
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