Relative Volume Indicator - NinjaTrader | futures io social day trading
futures io futures trading


Relative Volume Indicator
Updated: Views / Replies:46,056 / 98
Created: by soulartist Attachments:15

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 15  
 
Thread Tools Search this Thread
 

Relative Volume Indicator

  #61 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,010 since Jun 2009
Thanks: 29,168 given, 82,188 received

@Fat Tails,

What about updating:
https://futures.io/download/ninjatrader-7/indicators/632-download.html?view

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #62 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,598 since Mar 2010
Thanks: 4,222 given, 25,354 received
Forum Reputation: Legendary



@Big Mike: Will do. I am just waiting a few days, just in case that somebody finds a new bug.

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
  #63 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,010 since Jun 2009
Thanks: 29,168 given, 82,188 received



Fat Tails View Post
@Big Mike: Will do. I am just waiting a few days, just in case that somebody finds a new bug.

@Fat Tails, any update?

I just found this thread after creating a similar request for Sierra Chart here:
https://futures.io/sierra-chart/27104-relative-volume-sierra-chart.html

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #64 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,598 since Mar 2010
Thanks: 4,222 given, 25,354 received
Forum Reputation: Legendary


Big Mike View Post
@Fat Tails, any update?

I just found this thread after creating a similar request for Sierra Chart here:
https://futures.io/sierra-chart/27104-relative-volume-sierra-chart.html

Mike

I need to recode the Relative Volume Indicator, but it is not on the top of my priority list.

Reply With Quote
 
  #65 (permalink)
Trading Apprentice
Oxford, UK
 
Futures Experience: Beginner
Platform: Proprietary
Favorite Futures: Stocks
 
Posts: 1 since Aug 2013
Thanks: 0 given, 1 received

Hi,

I use relative volume to trade UK equities intraday over a 15 minute to 1 hour timeframe and I gather and process volume data myself via a data feed into a spreadsheet.

I think it can be an excellent leading indicator in the sense that it gives a confirmation signal that momentum is likely to continue, but I don't have enough trades behind me to be sure.

Personally, in the UK main market, I find that any value above 200% of the average (I use a 30 day average) is usually significant, and trades that haven't gone well are ones where I've compromised and traded on perhaps only a 70% or 80% increase in relative volume. I only trade on highly traded equities because I think (but can't be sure) that thinly traded stocks are more vulnerable to random surges or large orders that don't mean much.

Another important point is that a very early big order in the first few minutes of trading can skew relative volume values for some time to come (e.g., vol at 5 mins becomes 400% after a big trade at the open, and by 15 mins is still 200%, even though trading was thin from 5 - 15 minutes) , so it's important to have the facility to monitor the relative volume for particular five minute bars as well as the relative volume from the open to a particular point in time.

It's also not the holy grail in the sense that you still need other confirming factors in your favour. However, I do think it increases the probability of momentum trades, and I'm working to confirm this.

Anyway, I wanted to share my experiences with this little-used indicator so far.

What setups have users here been using? Do you find that it confirms trends, or do you use it purely for spotting divergences? And what have been its limitations?

Regards,
Templar42


Last edited by Templar42; August 2nd, 2013 at 03:34 PM.
Reply With Quote
The following 2 users say Thank You to Templar42 for this post:
 
  #66 (permalink)
Elite Member
Mandeville, LA
 
Futures Experience: Intermediate
Platform: Ninja Trader, Tradestation
Favorite Futures: CL, GC, ES
 
buddy858's Avatar
 
Posts: 101 since Dec 2011
Thanks: 495 given, 145 received

DataSeries


Fat Tails View Post
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.

@Fat Tails

So is that why I can't overlay a Std. Dev. band on it? So I just need to figure out how to add a DataSeries for the Relative Volume and the Cumulated Ratio, right? I don't really need separate dataseries for the High, Low, and medium events.

Reply With Quote
 
  #67 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,598 since Mar 2010
Thanks: 4,222 given, 25,354 received
Forum Reputation: Legendary


buddy858 View Post
@Fat Tails

So is that why I can't overlay a Std. Dev. band on it? So I just need to figure out how to add a DataSeries for the Relative Volume and the Cumulated Ratio, right? I don't really need separate dataseries for the High, Low, and medium events.

The indicator does not plot any values within the first section of the bar series, as this is only used to collect the volume values against which today's and yesterday's volume is measured. Therefore you cannot easily use the relative volume as input series for a second indicator.

It would be possible to add a Bollinger Band as an additional option to the indicator.

There are no separate DataSeries objects for high, low and medium relative volume. It is just one DataSeries with different plot colors.

Reply With Quote
 
  #68 (permalink)
Elite Member
Mandeville, LA
 
Futures Experience: Intermediate
Platform: Ninja Trader, Tradestation
Favorite Futures: CL, GC, ES
 
buddy858's Avatar
 
Posts: 101 since Dec 2011
Thanks: 495 given, 145 received


Fat Tails View Post
The indicator does not plot any values within the first section of the bar series, as this is only used to collect the volume values against which today's and yesterday's volume is measured. Therefore you cannot easily use the relative volume as input series for a second indicator.

@Fat Tails

The first section of the bar series? I think I'm not following you here. I do understand that it's averaging the past values for the past 20 weeks and measuring the current volume value against the average value, and that it will only begin to plot after enough data has passed thru (and according to the Display value selected), but I take it this is not what you're referring to because if I've selected for it to display 3 weeks, I should at least have an accurate Bollinger Band value (100 period on a 3 minute chart of ES RTH session) after the first day it begins plotting, right? So the past 14 market days should show accurate Bollinger Band values, no? But I get no bollinger value at all. It plots 0, and only on the current bar and the first bar ago.

And when I try to use the plot in BloodHound, for instance to show when Relative Volume is > 200, nothing happens. It's as if the plot yields no value at all. I'm obviously missing something obvious and I'm starting to feel dumb...

Reply With Quote
 
  #69 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,598 since Mar 2010
Thanks: 4,222 given, 25,354 received
Forum Reputation: Legendary


buddy858 View Post
@Fat Tails

The first section of the bar series? I think I'm not following you here. I do understand that it's averaging the past values for the past 20 weeks and measuring the current volume value against the average value, and that it will only begin to plot after enough data has passed thru (and according to the Display value selected), but I take it this is not what you're referring to because if I've selected for it to display 3 weeks, I should at least have an accurate Bollinger Band value (100 period on a 3 minute chart of ES RTH session) after the first day it begins plotting, right? So the past 14 market days should show accurate Bollinger Band values, no? But I get no bollinger value at all. It plots 0, and only on the current bar and the first bar ago.

And when I try to use the plot in BloodHound, for instance to show when Relative Volume is > 200, nothing happens. It's as if the plot yields no value at all. I'm obviously missing something obvious and I'm starting to feel dumb...

@buddy858: I have coded this indicator about three years ago. It was not meant to be used as an input series for anything.

The reason that it could not be called was pretty simple. The indicator called ChartControl from OnBarUpdate without a null check. In case that such an indicator is used as an input series, it simply throws an exception.

I have fixed the issue and made a quick update. Please download again.

Let me point out once more that this indicator is old and is a resource hog. I will release a new indicator, as soon as I find the time to do it.

Reply With Quote
The following 3 users say Thank You to Fat Tails for this post:
 
  #70 (permalink)
Elite Member
Mandeville, LA
 
Futures Experience: Intermediate
Platform: Ninja Trader, Tradestation
Favorite Futures: CL, GC, ES
 
buddy858's Avatar
 
Posts: 101 since Dec 2011
Thanks: 495 given, 145 received



Fat Tails View Post
@buddy858: I have coded this indicator about three years ago. It was not meant to be used as an input series for anything.

The reason that it could not be called was pretty simple. The indicator called ChartControl from OnBarUpdate without a null check. In case that such an indicator is used as an input series, it simply throws an exception.

I have fixed the issue and made a quick update. Please download again.

Let me point out once more that this indicator is old and is a resource hog. I will release a new indicator, as soon as I find the time to do it.

Thanks Harry! You're the best! I'll have to get in there and figure out what you're talking about Will be a good exercise...

Reply With Quote

Reply



futures io > > > > Relative Volume Indicator

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

July Journal Challenge w/$1100 in prizes from TopstepTrader

July
 

An Afternoon with FIO member Softsoap

Elite only

Battlestations: Show us your trading desks and win $750 in prizes

August
 

Extended Ask Me Anything w/Brett Steenbarger

Elite only

Prototyping Python Strategies (part 3) w/Ran Aroussi

Elite only

Brannigan Barrett w/Axia Futures

Elite only

Introduction to Phillip Capital futures brokerage services

Aug TBD

How Monte Carlo Analysis Can Help Your Trading w/Kevin Davey

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Precious Metal? Why Silver Is Undervalued Relative to Gold Quick Summary News and Current Events 1 February 20th, 2014 07:19 PM
Outside Volume indicator Big Mike EasyLanguage Programming 19 July 15th, 2011 04:49 AM
Donald Sliter's strategy - relative strength between indexes ptcm The Elite Circle 7 January 1st, 2011 02:52 PM
Relative Performance Indicator soulartist NinjaTrader 4 November 22nd, 2010 09:21 PM
RSI goes RMI -> Relative Momentum Index max-td NinjaTrader Programming 15 May 12th, 2010 06:42 AM


All times are GMT -4. The time now is 06:41 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-07-25 in 0.14 seconds with 20 queries on phoenix via your IP 54.92.128.223