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Relative Volume for Sierra Chart
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Relative Volume for Sierra Chart

  #1 (permalink)
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Relative Volume for Sierra Chart

In my head this makes sense, but not sure once put into practice and studied... if there is anyone else who thinks it also makes sense, I would appreciate someone creating a Sierra Chart indicator.

Here is what I am thinking:

- Selectable lookback, let's use 20 as the example and a daily chart
- Will require 20 weeks of data
- Look at each day of the week's volume independently over the last 20 sessions, and average those 20 together to give us the nominal value (let's say 0 is 'normal' so it works with a zero line histogram)
- Plot today's session volume relative to the average relative volume for the prior 20 sessions, as a histogram it would be above/below zero based on a percentage increase over relative average

Example:

If the last 20 Monday's we saw an average volume of 100,000, and today on Monday we saw 150,000 then the relative volume would plot 1.50.

If the last 20 Friday's we saw an average volume of 100,000 and today on Friday we saw 75,000 then the relative volume would plot 0.75.

I am only interested in using this on daily charts.

Mike

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  #2 (permalink)
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I think this has been done:

WishList - Relative Volume Indicator / table - Sierra Chart

There is also a Relative Volume study in the Add Custom Studies... >> User Contributed Studies.

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  #3 (permalink)
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tomgilb View Post
I think this has been done:

WishList - Relative Volume Indicator / table - Sierra Chart

There is also a Relative Volume study in the Add Custom Studies... >> User Contributed Studies.

Thanks.

I applied it to a SPY chart, 1 day intraday with the minimum lookback value of 5 to test against.

Assuming it does not include today in the lookback, the past 5 volume values for SPY would be

Tuesday 4/16 1283
Tuesday 4/9 903
Tuesday 4/2 910
Tuesday 3/26 796
Tuesday 3/19 1534

The average of those is 1085.

Today's volume was 1509, so relative volume should show 139%. Instead, it shows 11%.

Can anyone else take a look and confirm? I am using the one from User Contributed Studies.

Mike

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  #4 (permalink)
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Big Mike View Post
In my head this makes sense, but not sure once put into practice and studied... if there is anyone else who thinks it also makes sense, I would appreciate someone creating a Sierra Chart indicator.

Here is what I am thinking:

- Selectable lookback, let's use 20 as the example and a daily chart
- Will require 20 weeks of data
- Look at each day of the week's volume independently over the last 20 sessions, and average those 20 together to give us the nominal value (let's say 0 is 'normal' so it works with a zero line histogram)
- Plot today's session volume relative to the average relative volume for the prior 20 sessions, as a histogram it would be above/below zero based on a percentage increase over relative average

Example:

If the last 20 Monday's we saw an average volume of 100,000, and today on Monday we saw 150,000 then the relative volume would plot 1.50.

If the last 20 Friday's we saw an average volume of 100,000 and today on Friday we saw 75,000 then the relative volume would plot 0.75.

I am only interested in using this on daily charts.

Mike

hi Mike

this is my attempt to code it but i'm unable to test it as it should at this moment

try this on a CLR/regular version /there is an issue w this on noCLR for me so i'm waiting for v968/

gd lck

Scientia Libertas Prosperitas
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  #5 (permalink)
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slickiam View Post
hi Mike

this is my attempt to code it but i'm unable to test it as it should at this moment

try this on a CLR/regular version /there is an issue w this on noCLR for me so i'm waiting for v968/

gd lck

Thanks, but it isn't working as expected.

There are no values less than 0.

If today's session has 50% of the volume of the lookback period, then the plot should be 0.5 or -50 depending on your preference.

The values are definitely different than the built-in User Study linked by @tomgilb, so if you can correct the plot it may work. Once that is done I'll do some math and see where we land.

Thx again for efforts.

Mike

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Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
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  #6 (permalink)
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Big Mike View Post
Thanks, but it isn't working as expected.

There are no values less than 0.

If today's session has 50% of the volume of the lookback period, then the plot should be 0.5 or -50 depending on your preference.

The values are definitely different than the built-in User Study linked by @tomgilb, so if you can correct the plot it may work. Once that is done I'll do some math and see where we land.

Thx again for efforts.

Mike

Hmm, I just looked again at a longer lookback, and I do see values less than 1 now (I meant to say less than 1 not 0).

I would prefer it if it had a zero line and used negative values to represent lower volume, and positive values to represent higher volume.

0 would be equal, -50 would be 50% under volume, +50 would be 50% over volume.

Thx again.

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.
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  #7 (permalink)
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Big Mike View Post
Hmm, I just looked again at a longer lookback, and I do see values less than 1 now (I meant to say less than 1 not 0).

I would prefer it if it had a zero line and used negative values to represent lower volume, and positive values to represent higher volume.

0 would be equal, -50 would be 50% under volume, +50 would be 50% over volume.

Thx again.

Mike

hi Mike

I've set 1 as the base - not 0

I thought you will take a look inside this simple code to correct it as you need

My hope was you have started to study ACSIL

So this is beta2 and you could change the histogram as you need it w the info:

rv = SUM(Volumes);

av= rv / lookback;

the histogram is : rvs[sc.Index] = ( sc.BaseDataIn[SC_VOLUME][sc.Index] / av ) - 1 ;

Pls., let me know if you need to improve the study.

gd lck

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Last edited by slickiam; April 26th, 2013 at 10:51 PM.
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  #8 (permalink)
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slickiam View Post
hi Mike

I've set 1 as the base - not 0

I thought you will take a look inside this simple code to correct it as you need

My hope was you have started to study ACSIL

So this is beta2 and you could change the histogram as you need it w the info:

rv = SUM(Volumes);

av= rv / lookback;

the histogram is : rvs[sc.Index] = ( sc.BaseDataIn[SC_VOLUME][sc.Index] / av ) - 1 ;

Pls., let me know if you need to improve the study.

gd lck

Thx, will take another look. Unfortunately, I've not written a single line of ACSIL. I've simply had so little time for what seems like years now due to the forum. I am still struggling to get a hold on that so I can make necessary time for myself.

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
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  #9 (permalink)
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@slickiam on first glance, it looks correct. It passed the test from my April 23rd figures above.

My only request is I think I prefer the scale of 100 instead of 1.0 after all. So instead of +0.39 it would be +39.

Can you tell me how to make this change?

Thanks again.

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
 
  #10 (permalink)
Elite Member
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Big Mike View Post
Thx, will take another look. Unfortunately, I've not written a single line of ACSIL. I've simply had so little time for what seems like years now due to the forum. I am still struggling to get a hold on that so I can make necessary time for myself.

Mike

And this forum is the best. Thank you for the forum, Mike.


Quoting 
My only request is I think I prefer the scale of 100 instead of 1.0 after all. So instead of +0.39 it would be +39.

Sure.

Just multiply the histogram by 100

rvs[sc.Index] = ( ( sc.BaseDataIn[SC_VOLUME][sc.Index] / av ) - 1 ) * 100;

gd lck

Scientia Libertas Prosperitas
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