Relative Volume for Sierra Chart

April 26th, 2013, 01:50 AM

All good, except there are some odd values. Take a look:

Starting around September 2011 the values start to go extremely negative, even though the volume (panel above) does not drastically drop off.

This seems to happen only when I increase the lookback to 7 or higher.

Mike

April 26th, 2013, 02:50 AM

Big Mike

All good, except there are some odd values. Take a look:

Starting around September 2011 the values start to go extremely negative, even though the volume (panel above) does not drastically drop off.

This seems to happen only when I increase the lookback to 7 or higher.

Mike

I've done some math for lookback = 10 and didn't find any issue in the logic except one thing: looks like it's needed to add the lookback correction for the Holidays in terms for calculating an average value

I'll do it in the nearest future

so these negative values is the reality in terms what you have in DB. sorry if I'm wrong.

gd lck

April 26th, 2013, 03:09 AM

slickiam

I've done some math for lookback = 10 and didn't find any issue in the logic except one thing: looks like it's needed to add the lookback correction for the Holidays in terms for calculating an average value

I'll do it in the nearest future

so these negative values is the reality in terms what you have in DB. sorry if I'm wrong.

gd lck

If I go back to your 0 based version (instead of - 1) there is a batch of dates that are below 0. That would be impossible, yes?

Out of 5 years of daily data it happens maybe 20-30 times but is concerning.

Mike

April 26th, 2013, 11:05 AM

Hi Guys,

I was referred here from my post in Sierra's support board; I had a similar question of obtaining relative volume

The attached screen shot is from Market Delta displaying a 50 day look back of a 1 Min chart showing the percentage of volume.

Mike...... GREAT FORUM!

Scott

April 26th, 2013, 09:55 PM

hi all

rv_b1 and rv_b2 have a bug by my fault so pls don't use it to prevent the unstable situation w SC

sorry about that and I'll be back later w the proper code

gd lck

April 27th, 2013, 01:44 PM

scottemp

Hi Guys,

I was referred here from my post in Sierra's support board; I had a similar question of obtaining relative volume

The attached screen shot is from Market Delta displaying a 50 day look back of a 1 Min chart showing the percentage of volume.

Mike...... GREAT FORUM!

Scott

hi

could you post a screenshot w settings for this study, pls

gd lck

April 28th, 2013, 11:14 AM

It was from a webinar I was on, I will try to get the paramaters of the study. If I do get it I will post it ASAP.

The screenshot I attached was the study from the webinar. It was a 50 day average of each minute bar. So each min bar is an average of the last 50 days of that 1 min period.

Scott

April 29th, 2013, 07:27 AM

Big Mike

If I go back to your 0 based version (instead of - 1) there is a batch of dates that are below 0. That would be impossible, yes?

Out of 5 years of daily data it happens maybe 20-30 times but is concerning.

Mike

hi Mike

this is rv_beta3

The issue was the type of data. the int type has been changed to the long double.

Also this beta filters off the holidays and weekdays.

I hope it will work a much better.

gd lck

April 29th, 2013, 11:24 AM

scottemp

It was from a webinar I was on, I will try to get the paramaters of the study. If I do get it I will post it ASAP.

The screenshot I attached was the study from the webinar. It was a 50 day average of each minute bar. So each min bar is an average of the last 50 days of that 1 min period.

Scott

hi

it's not really clear for me

so this study calculates an average of every separate minute bar separately for an every day

beta1 in terms of intraday usage

gd lck

April 29th, 2013, 08:26 PM

slickiam

hi Mike

this is rv_beta3

The issue was the type of data. the int type has been changed to the long double.

Also this beta filters off the holidays and weekdays.

I hope it will work a much better.

gd lck

It now appears to be all correct.

Thank you for this.

Mike

Relative Volume for Sierra Chart

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Relative Volume for Sierra Chart