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Relative Volume Indicator
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Relative Volume Indicator

  #61 (permalink)
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@Fat Tails,

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

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

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  #63 (permalink)
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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

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3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
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  #64 (permalink)
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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.

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  #65 (permalink)
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Futures Edge on FIO
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 04:34 PM.
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  #66 (permalink)
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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.

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  #67 (permalink)
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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.

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  #68 (permalink)
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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...

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  #69 (permalink)
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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.

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  #70 (permalink)
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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...

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