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Relative Volume Index

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[2014-07-03 11:57:26] #1 [Go To First Post]
User96105 - Posts: 113
Hi, can anyone advise if an indicator is available which shows the relative volume activity in the market as below? (Average Cumulative Volume) minus (Cumulative Volume) Where Cumulative Volume = the cumulative volume for the day at each bar/time point (day start time would be an input) Average Cumulative Volume = the average, during the past x days (days back would be an input) of the cumulative volume at each bar/time point in the look-back days This could be displayed as a bar chart, mountain, line on close etc. The results would be negative as well as positive, and is a quick indicator if the day is likely to be slow or fast moving. Acknowledgements to Jigsaw trading for this method. Thanks Note I see there are two threads already which cover this to some extent, but I'm unsure what the current position is:- http://www.sierrachart.com/supportboard/showthread.php?t=41714&goto=nextoldest http://www.sierrachart.com/supportboard/showthread.php?t=41593 Date Time Of Last Edit: 2014-07-03 12:05:59

[2014-07-05 10:13:43] #2 [Go To First Post]
Shaharabin - Posts: 28
Hi buddy, This sounds quite simple indicator to build by yourself using a spreadsheet study. Do this: 1. Add a spreadsheet study to your chart edit the study's "K" sub graph to show the display type you want it to (bar, line, etc.) - Now we're going to edit the "k" column in the spread sheet so it will show the relative volume - Cumulative volume is simply the volume for a specific day (as i understand from you), so you've got that already on column "F" in the spreadsheet 2. - Right click on the chart and choose - "chart settings" - under "session times" make sure the times are the day's opening and day's closing times - now the volume will show the correct volume during those times. (most chances it's already set up correctly) 3. Let's add the Average volume data - add another study to the chart - "Moving average - simple" in the study settings choose the input data - "Volume" and "Length" to the number of days you wish to average. also - tick the "Hide Study" so it wont show on the chart. now you got another column in the spreadsheet representing your Average Cumulative Volume, great. 4. final step is to locate the column representing the Average Cumulative Volume on the spreadsheet, lets say it's column 'AA'. Go to cell 'K3' and write this: "=AA3-F3" . which means "K" is now showing the "Average Volume - Volume" That's it! P.S. To make it look better, go to the spreadsheet settings - subgraphs - choose the "k" - Auto coloring - Based on +/- .

[2014-07-07 13:33:04] #3 [Go To First Post]
User96105 - Posts: 113
Many thanks for this ~ I will try to add the spreadsheet study...

[2014-08-27 09:37:27] #4 [Go To First Post]
User96105 - Posts: 113
Hi Shaharabin, I’ve spend some time looking at this (first time looking at the spreadsheet study), and I can see that this is very powerful ~ many thanks for your help with this. I wonder if you would indulge me again with your help? I need to refine the spreadsheet a little more as I would like to be able to monitor the moving “relative volume” whilst I’m trading by comparing the current day’s volume so far with the average at that same specific time point during the day. So a 5 minutes chart would be about right I think, producing a recalculation every 5 minutes. So using a 5 minute chart, what I think I need to do is produce a column “Daily Cumulative Volume” (column K) which calculates the total volume at each 5 minute row. This column needs to reset at the beginning of each new trading day to commence a new cumulative calculation. I then need another column “Average Cumulative Volume” (column L) which calculates the average total volume over the past x days at each 5 minute row. Finally I need another column “Cumulative Index” (column M) which would be (Column K) – (Column L at the same time point in the preceding trading day). At least, I think this is what I need, but I have little idea how to achieve it. Sorry, I’m sure this is very amateurish, but this is new to me…! Thanks,

[2014-08-28 19:20:57] #5 [Go To First Post]
Marmany - Posts: 307
I trade futures and am interested in current day volume vs volume at same time on previous day (Cd) and total volume for previous day vs 2 days back (Pd). Then calculate Tvol = Cd X Pd / 100. General rule for non-rollover days is if Tvol > 150% market is accelerating and likely to yield profitable trending moves. If Tvol < 80% market is decelerating, unlikely to yield profitable trending moves but highly susceptible to erratic mean reversions. Very useful for comparing different commodities to select best candidate for day trading with trending strategies. I have put attached ACSIL together, using elements from various other published programs. I work with tick charts but program should display Tvol on any intra day chart (turn On in Study Settings). Set charts up to not load Weekend Data. Volume is taken from intraday charts and will differ from end of day data for reasons published in Sierra Documentation. From my analysis this does not significantly affect the effectiveness of Tvol as an indicator.


TotalRelativeVolume.cpp - Attached On 2014-08-28 18:37:26 UTC - Size: 5.36 KB - 714 views Attachment Deleted.

[2014-08-29 12:25:24] #6 [Go To First Post]
User96105 - Posts: 113
That sounds just right Marmany, I'll take a look. Many thanks

[2015-06-02 22:50:35] #7 [Go To First Post]
Al SC Developer - Posts: 434
In the next version there will be a new study: Relative Volume This study calculates the relative bar and cumulative volume per time period based on previous days time periods.

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