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Relative Volume aka CSI (Cumulative Sheep Index)
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Created: by Gianni78bari Attachments:4

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Relative Volume aka CSI (Cumulative Sheep Index)

  #1 (permalink)
Elite Member
Bari, Italy
Trading Experience: None
Platform: NinjaTrader
Favorite Futures: Emini ES
Posts: 33 since May 2018
Thanks: 58 given, 8 received

Relative Volume aka CSI (Cumulative Sheep Index)

Relative Volume aka CSI (Cumulative Sheep Index) is calculated as follows:
Cumulative Volume = total volume so far at any point in the day
Average Cumulative Volume = the average cumulative volume so far at any point in the day for the past N days.
CSI = Average Cumulative Volume - Cumulative Volume so far.
I can't see (neither in the properties nor in the script) how to change the relative N days in order to calculate the Avarage Cumulative Volume. I can't even see how many days are used by default

Attached Thumbnails
Relative Volume aka CSI (Cumulative Sheep Index)-es-03-19-15-minute-2019_01_01-18.29.50-.png   Relative Volume aka CSI (Cumulative Sheep Index)-screenshot-2019-01-01-18.31.32.png   Relative Volume aka CSI (Cumulative Sheep Index)-screenshot-2019-01-01-18.40.34.png   Relative Volume aka CSI (Cumulative Sheep Index)-screenshot-2019-01-01-18.40.44.png  

Last edited by Gianni78bari; January 2nd, 2019 at 09:56 AM.
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  #2 (permalink)
Trading Apprentice
St. Peter Port, Guernsey, UK
Trading Experience: Intermediate
Platform: tws, ninjatrader
Favorite Futures: ES, NQ
Posts: 8 since Jan 2015
Thanks: 28 given, 13 received

This post has been selected as an answer to the original posters question Answer

I believe it simply uses whatever time frame you have set on your chat - 30 days seems appropriate (IMO). So, a 30 day 5 minute chart gives you the volume on the current day relative to the last 30 days...

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