Relative Volume Comparison?

Discussion in 'Technical Analysis' started by marko1045, Jul 16, 2011.

  1. Hey so I'm sure this has been thought of many times, but I was wondering if there is a volume indicator that can compare the volume of a specific time bar to the average of the previous day time bars. For example, I would like to compare the volume of 9:00am to 9:15am and compare that to the last 10 days' volume from 9:00am to 9:15am. My thoughts would be that these values would then be plotted as a percentage based on the average volume of x periods. Is there a tool out there that does this? BTW I use TOS and have no idea how to program.
  2. ==========
    Mark, its Murray T Turtle;
    my thoughts are sure . [IBD Newspaper/ free trial]]has been doing it for years;50 day moving average;
    some chart services auto draw that as a 50 period ma,
    15 minute,58 or 60 or 77 minute chart.

    Wisdom is profitable to direct
  3. I have searched endlessly for a service that will do it. The closest I have found was this:

    However, I am fairly certain it is incorrect as when I load the code in Thinkscript the values seem way off. Also, the volume averages that some chart services provide is basically just an SMA of what ever time period(i.e. VolumeAvg(50) is just the last 50 bars weighed).
  4. ddude


    Sure about 25 t0 30 lines of code in R ;^)

    Did you want a sum or average of volume for each time period or a quantile 8^)


  5. I think I want the average volume. For example, if stock abc had volumes of 1,000,000; 1,500,000; 1,600,000; 1,200,000; 1,000,000 for the first 5 minute bar of each of the last 5 trading days, then I would like to average those values out and compare it to the current day's 5 min bar. To show it analytically:

    (1,000,000 + 1,500,000 + 1,600,000 + 1,200,000 + 1,000,000)/5 = 1,260,000 shares is the average over the last 5 days

    And lets say that today's volume came in 1,700,000 for the first 5 min bar of the trading day. Now we can compare that by:

    (1,700,000/1,260,000) = 135%

    Implying that today's volume is 35% higher than what the average has been for the past 5 days. So in essence if one could see this for whatever time frame of interest and have it charted for the entire trading day, they might be able to see an unusual volume spike. I think it could have some usage especially in the morning to sniff out excess volume which could imply a breakout trend of some sort, etc.
  6. ddude


    I don't use TOS...

    So, if you can easily export your time series as a csv file then you could run an R script on it and get your numbers in a few seconds...

    What you do with those numbers is up to you ;^)

    If you want to send me a 10 day time series example CSV file, I'll modify my R script to read it and we can double check the numbers...

    If we can get this to work I'll give you a copy the R script... I guess you will have to figure out how to install and abuse/use R 8^)


  7. Arnie


    check out this

    They have an indicator called "Vol Buzz"

    You can read about it here...on page 18

    I use this all the time to find trade ideas.

    You could also program this yourself with Sierra Charts or with a API to a spreadsheet.

    "What is Volume Buzz? At any given point in the trading day, the indicator looks back over the previous 100 days and normalizes the volume at that point in the day. Then, it makes a comparison of today's volume with that norm. (E.g. At 9:45 a.m., it compares the volume of the stock at 9:45 a.m. for the last 100 days, creates a norm and then compares today's volume to that value. A value of 200% at 9:45 a.m. Indicates that the stock is
    experiencing more than 3x its normal volume for 9:45 a.m.)"
  8. Trade Ideas also does this with an algorithim... What is nice about TI is that you can combine it with other parameters.
  9. Lornz


  10. Lucrum


    I used to do this with Ensign it's no "holy grail" but I did find it useful.
    I think they have a canned study that does it without you having to write your own.
    #10     Aug 1, 2011