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traderlady
Posted : Sunday, April 07, 2019 1:12:25 PM
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Joined: 10/7/2004
Posts: 1,178

Bruce, I recently discovered a chart which showed a list of Relative Volume Ratios useful in daytrading.

 

One example on this chart showed a high Relative Volume Ratio:

Volume 5-minute %: 92,335.7

Volume 30-minute %:16,992.1

Relative Volume Ratio: 26.19

 

Another example on this chart showed a low Relative Volume Ratio:

Volume 5-minute %: 10,663.3

Volume 30-minute %: 2,111.7

Relative Volume Ratio: 2.48

 

First, can you explain how the Relative Volume Ratio was arrived at mathematically?

 

Second, can you provide a formula for a Relative Volume Ratio based on the same math as used in the above examples?

 

Thanks, again.

traderlady

 

bcochrane
Posted : Sunday, April 07, 2019 4:03:54 PM
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Joined: 9/17/2010
Posts: 484

Would appear to be similar to Volume Buzz

Relative Volume.  This compares current volume to normal volume for the same time of day, and it’s displayed as a ratio.  So for example, a stock trading 5 1/2 times its normal volume would have a Relative Volume display of 5.5.

traderlady
Posted : Monday, April 08, 2019 9:28:33 AM
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Joined: 10/7/2004
Posts: 1,178

My understanding from Worden search is this:

"Volume Buzz is based on the 100-Period Simple Moving Average of Volume over the previous 100 days (so not including today).

"The current Volume is compared to a percentage of the average volume which is directly proportional to the percentage of the trading day which has already passed. So at 10:15 AM ET, the current volume would be compared to about 11.54% of the 100-Day Simple Moving Average of Volume ending yesterday. If the result is +25%, it would mean that current Volume is about 14.42% of the average volume instead of 11.54% of the average volume."

From this, I see that "Relative Volume Ratio" referred to above, is based on much smaller bytes of volume, being based on 5-minutes versus 30-minutes. 

Is there any way to come up with a formula for these smaller bytes?

Bruce_L
Posted : Monday, April 08, 2019 9:59:57 AM


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Joined: 10/7/2004
Posts: 65,138

As far as I have been able to tell, the Relative Volume Ratio does in fact compare the volume in the trading day so far to the average volume in the trading day so far and would be directly comparable in function but not value to Volume Buzz.

There isn't really any sort of way to reproduce something like Volume Buzz using a formula in TC2000, so I can't write a Relative Volume Ratio formula.

The Volume 5-minute % and Volume 30-minute % seem to compare volume of the last 5 and 30 minutes to the average volumes, but I don't know if that is relative to just average volume in general or versus the same time of day on previous days.

To get something that doesn't have really low values at the beginning of each bar, you are probably best off using a 1-minute time frame for these formulas, but this will limit the data history to 1500 minutes in TC2000 v19 (you actually have 1890 1-minute bars by the end of the trading day, but we can't count on that much data when writing the formula).

The formulas are relatively short and simple if it is just an average volume calculation.

5-Minute:

100 * AVGV5 / AVGV1495.5

30-Minute:

100 * AVGV30 / AVGV1470.30

But the formulas a bit longer when trying to compare to the same time of day on previous trading days.

5-Minute:

300 * AVGV5 / (AVGV5.390 + AVGV5.780 + AVGV5.1170)

30-Minute

300 * AVGV30 / (AVGV30.390 + AVGV30.780 + AVGV30.1170)

You can go back further if you use the time frame related to the span of interest, but these will in fact be small at the beginning of the bar. The formula versus just average volume is the same but would use a 5-minute time frame for the 5-minute version and a 30-minute time frame for the 30 minute version.

100 * V / AVGV1499.1

But you would have different time frames when comparing to the same time of day for the 5-minute version.

1900 * V / (V78 + V156 + V234 + V312 + V390 + V468 + V546 + V624 + V702 + V780 + V858 + V936 + V1014 + V1092 + V1170 + V1248 + V1326 + V1404 + V1482)

And the 30-minute version.

11500 * V / (V13 + V26 + V39 + V52 + V65 + V78 + V91 + V104 + V117 + V130 + V143 + V156 + V169 + V182 + V195 + V208 + V221 + V234 + V247 + V260 + V273 + V286 + V299 + V312 + V325 + V338 + V351 + V364 + V377 + V390 + V403 + V416 + V429 + V442 + V455 + V468 + V481 + V494 + V507 + V520 + V533 + V546 + V559 + V572 + V585 + V598 + V611 + V624 + V637 + V650 + V663 + V676 + V689 + V702 + V715 + V728 + V741 + V754 + V767 + V780 + V793 + V806 + V819 + V832 + V845 + V858 + V871 + V884 + V897 + V910 + V923 + V936 + V949 + V962 + V975 + V988 + V1001 + V1014 + V1027 + V1040 + V1053 + V1066 + V1079 + V1092 + V1105 + V1118 + V1131 + V1144 + V1157 + V1170 + V1183 + V1196 + V1209 + V1222 + V1235 + V1248 + V1261 + V1274 + V1287 + V1300 + V1313 + V1326 + V1339 + V1352 + V1365 + V1378 + V1391 + V1404 + V1417 + V1430 + V1443 + V1456 + V1469 + V1482 + V1495)



-Bruce
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traderlady
Posted : Monday, April 08, 2019 10:33:18 AM
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Joined: 10/7/2004
Posts: 1,178

Thanks for looking into this extensively.  I will begin to test these alternatives!

Bruce_L
Posted : Monday, April 08, 2019 10:48:15 AM


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Joined: 10/7/2004
Posts: 65,138

You're welcome.



-Bruce
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