Volume Buzz is a very useful tool that compares the current volume to the intraday cumulative 100-day average volume. In other words it compares the current volume of an instrument to the average volume over the last 100 days up to the current time of day.

However, once we are further into the day and a stock begins to make an advance or consolidate, it becomes less useful to see the cumulative volume for the day as it relates to what is happening with this stock right now at this time of day.

It would be very useful to have an indicator that could tell you how the volume of a stock compares to previous periods for this exact time of day. This is because, as we know, volume varies greatly across different time periods during the day with the most volume being generated closer to the opending and closing of the day.

The Volume Ratio Indicator for TC2000 attempts to solve this problem a couple of different ways.

1) It takes a particular slice of time such as the period between 1pm and 2pm (as an example) on a 60 minute chart and compares it to all other periods between 1pm and 2pm over the last 20 days as a ratio. In this way you eliminate the effects of averaging in volume from time frames such as the open from 9:30am to 10:00am that are not indicative of the average volume that normally is seen between 1pm and 2pm.

2) It places the ratio (%) on a sliding scale as a color coded indicator that quickly tell you if the volume is out of a normal range:

Extreme Volume: VR % > 200  MAGENTA

High Volume: VR % >120 and <200  RED

Average Volume: VR % >80 and <200  ORANGE

Light Volume: VR % >60 and <80  LIGHT GRAY

Dry-Up Volume: VR % < 60  GRAY

These indicators are very useful. For example Extreme volume could be confimatory at the beginning of a move but is also an important indicator of exhaustion at the end of a move and a sign that the trend may reverse.   Dry-Up volume during an advance can show a lack of support for the move. However, during a pullback, Dry-Up volume is an excellent sign that the stock is consolidating for a further advance.

The following chart illustrates one possible implementation of the indicator.

The colored bars show the where the volume ratio sits within a normal range.

The white dots show that actual volume ratio (VR) value with the horizontal lines delineating the ranges; extrem, high, average, light, and dry-up volume. 

The yellow line is a 10 period weighted average of VR to better show trends in the data.

Here is the Volume Ratio formual for a 60 min chart and lookback period:

(V / ((V + V7 + V14 + V21 + V28 + V35 + V42 + V49 + V56 +V63 + V70 + V77 + V84 + V91 + V98 + V105 + V112 + V119 + V126 + V133) / 20) * 100)

And these are the formulas that would be used to create the ranges:

Extreme Volume:

(V / ((V + V7 + V14 + V21 + V28 + V35 + V42 + V49 + V56 +V63 + V70 + V77 + V84 + V91 + V98 + V105 + V112 + V119 + V126 + V133) / 20) * 100) > 200

High Volume:

(V / ((V + V7 + V14 + V21 + V28 + V35 + V42 + V49 + V56 +V63 + V70 + V77 + V84 + V91 + V98 + V105 + V112 + V119 + V126 + V133) / 20) * 100) > 120 AND (V / ((V + V7 + V14 + V21 + V28 + V35 + V42 + V49 + V56 +V63 + V70 + V77 + V84 + V91 + V98 + V105 + V112 + V119 + V126 + V133) / 20) * 100) < 200

Average Volume:

(V / ((V + V7 + V14 + V21 + V28 + V35 + V42 + V49 + V56 +V63 + V70 + V77 + V84 + V91 + V98 + V105 + V112 + V119 + V126 + V133) / 20) * 100) > 80 AND (V / ((V + V7 + V14 + V21 + V28 + V35 + V42 + V49 + V56 +V63 + V70 + V77 + V84 + V91 + V98 + V105 + V112 + V119 + V126 + V133) / 20) * 100) < 120

Light Volume:

(V / ((V + V7 + V14 + V21 + V28 + V35 + V42 + V49 + V56 +V63 + V70 + V77 + V84 + V91 + V98 + V105 + V112 + V119 + V126 + V133) / 20) * 100) > 60 AND (V / ((V + V7 + V14 + V21 + V28 + V35 + V42 + V49 + V56 +V63 + V70 + V77 + V84 + V91 + V98 + V105 + V112 + V119 + V126 + V133) / 20) * 100) < 80

Dry-Up Volume:

(V / ((V + V7 + V14 + V21 + V28 + V35 + V42 + V49 + V56 +V63 + V70 + V77 + V84 + V91 + V98 + V105 + V112 + V119 + V126 + V133) / 20) * 100) < 60

If there is additional interest in this topic I can provide formulas for several more time frames in future posts.

I can also provide info on how to create watchlist columns that allow you to sort by the most, or least active stocks in any time frame. There are some issues around refresh rates that must be addressed for shorter time frames.

Telework,

    Many thanks for creating this.

I really appreciate your willingness to share this elegant solution to finding elevated volume intraday.

For me the 30 minute time frame is also quite useful.

I having adapted your formula for my needs using only a 5 lookback and not including the current bar in the averaging.

(V / (( V7 + V14 + V21 + V28 + V35)/5)*100)

Thank you for you efforts.

Don

Thanks to Telework for the formula.

Based on my understanding of the Zanger Volume Ratio, it doen't include current bar's volume.

Could you also post the fomula for 5/10/15/30 minutes? Appreciate it!

Telework,

Thanks for sharing this, I really find this helpful.

How did you place the horizontal lines on the chart representing the various volume bars?

Thanks

Mark

I am unable to see answer for this ? how to get time formulas ?

or say how to get # of minutes from 9.30 ?

There isn't a way to determine the number of bars since the open in the Personal Criteria Formula Language.