Relative Volume

• 10/06/2019 at 10:45 PM #109456
  jbeagle2

  Relative volume is an important indicator in intraday trading. PRT does not include this indicator however. I have tried to program some sort of relative volume indicator using the EstimatedVolume function but this function assumes volume is added in a linear fashion which is not true since stocks generally have much more volume close to the open than later on. I currently use this in my intraday screeners :

   

  It occurs to me that perhaps the intradaybar index can be used for this much like Nicholaus used it for the intraday VWAP.

   

  I tried this:

  d = max(1,intradaybarindex) d1=SUMMATION[d](volume) d2=average[30](d1) relvolume=d1/d2 RETURN relvolume as “relvol”

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  d = max(1,intradaybarindex)   d1=SUMMATION[d](volume)   d2=average[30](d1)   relvolume=d1/d2   RETURN relvolume as “relvol”

  But it does not look right on the charts. The relative volume is too low at the opening bars even on stocks that I know had high relative volume at the open.  For this to work d1 and d2 would have to be calculated on the same bar. I have a feeling this is not happening. Any ideas?

  

  jbeagle2

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  10/07/2019 at 12:09 AM #109458
  robertogozzi

  >> For clarity of messages on ProRealCode’s forums, please use the “insert code PRT” button to separate the text of the code part! Thank you! <<

  

  robertogozzi

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  10/07/2019 at 10:13 AM #109496
  Nicolas

  I think that the code is not using the first bar volume when intradaybarindex=0.

  Try this amended code:

  if intradaybarindex=0 then first=volume endif d = max(1,intradaybarindex) d1=first+SUMMATION[d](volume) d2=average[30](d1) relvolume=d1/d2 RETURN relvolume as “relvol”

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  if intradaybarindex=0 then first=volume endif   d = max(1,intradaybarindex)   d1=first+SUMMATION[d](volume)   d2=average[30](d1)   relvolume=d1/d2   RETURN relvolume as “relvol”

   

  

  Nicolas

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  10/11/2019 at 6:24 PM #109964
  jbeagle2

  The following formula:

  if intradaybarindex=0 then first=volume endif d = max(1,intradaybarindex) RV=first+SUMMATION[d](volume)

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  if intradaybarindex=0 then first=volume endif   d = max(1,intradaybarindex) RV=first+SUMMATION[d](volume)

  Gives a nice graphical depiction of intraday volume as it accumulates on an intraday chart. What I am trying to accomplish is to find this formula to get this same calculation for the previous day and for the day before and so on. Then I could get a ratio of the volume compared to an average as it accumulates on the chart. I am very confused trying to apply some of the time functions as they do not seem to work in this instance or maybe my syntax is not quite right. I tried this:

  while Openday[1] e= max(1,intradaybarindex) RV1=SUMMATION[e](volume) wend RETURN RV1 as "RV"

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  while Openday[1]     e= max(1,intradaybarindex)   RV1=SUMMATION[e](volume) wend   RETURN RV1 as "RV"

  But it just plots as a null value. Are there any time functions that can be used with the intradaybarindex function?

  

  jbeagle2

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