Exploration formula for detecting higher than average volume.

pabmove · #1 30th May 2008, 03:56 PM

Hi guys,

Does anyone know if there is a exploration formula for detecting higher than average volume?

Maybe, for example over a period of 5 days a spike in volume can be viewed as a beginning of a trend move.

In fact, is there an alert system to detect higher volume spikes intraday?

Thanks in advance!

deb99891 · #2 30th May 2008, 03:59 PM

Quote:

Originally Posted by pabmove

Hi guys,

Does anyone know if there is a exploration formula for detecting higher than average volume?

Maybe, for example over a period of 5 days a spike in volume can be viewed as a beginning of a trend move.

In fact, is there an alert system to detect higher volume spikes intraday?

Thanks in advance!

can check G u p p y t r a d e r s . com
some free formulas found there

Adheer · #3 30th May 2008, 04:45 PM

There are many ideas and techniques to accomplish this. The code is simple, but you have to decide what is implied by "average" and what is implied by "volume".
For example, do you want to use the Marked-For-Delivery Volume or the Total Traded Volume, or a combination of both. Also, what would be a good period for considering Average - 5-days, 10-days, 20-days etc ? It may vary from stock to stock, market to market.

That being said, here is the sample code :

Identify stocks where the Volume has crossed above its 15-bar EMA Volume.

Code:

Filter = Cross(V, EMA(V,15));

Identify stocks where the 5-bar EMA Volume has crossed above its 15-bar EMA Volume.

Code:

Filter = Cross(EMA(V,15), EMA(V,15));

and a little more advanced that eliminates noisy spikes :

Identify stocks where the Volume has crossed above the sum of 15-bar EMA Volume and its 15-bar Standard Deviation

Code:

Filter = Cross(V, EMA(V,15) + EMA(StDev(V,15),15));

Quote:

Originally Posted by pabmove

Hi guys,

Does anyone know if there is a exploration formula for detecting higher than average volume?

Maybe, for example over a period of 5 days a spike in volume can be viewed as a beginning of a trend move.

In fact, is there an alert system to detect higher volume spikes intraday?

Thanks in advance!

vvvv · #4 30th May 2008, 05:26 PM

hi adheer,
thnks for the stuff..wht do we actually achieve by taking the standard deviation of a variable
for ex : we take the standard dev of the closing price of the last 10 days.
wht are we achieving by this method

Adheer · #5 30th May 2008, 06:14 PM

Standard Deviation (sigma) gives an idea of how much the values are spread from the mean. It provides a good indicator of volatility of the stock and where to place stop-losses.

For example, the 10-day StdDev of closing price with indicate how much the price varies from its 10-day average using the root-mean square technique.

In addition to using ATR (Average True Range), I look at the StdDev to determine volatility in the stock as I feel that StdDev is more responsive than ATR.

Here is the sample code :

Code:

Plot( ATR(15) / EMA(C,15), "ATR / C", colorRed );
Plot( StDev(C,15) / EMA(C,15), "StDev / C", colorBlue);

Another idea is in using StdDev in writing covered calls.
We have 21 (trading) days to the June expiry. Now consider State Bank (SBIN), yesterday's closing of Rs 1,461.15. The 21-day StdDev is around Rs 102. Now, if I feel bullish on SBIN for the June series then I would consider buying the June Future and then writing a covered call for the strike price of atleast Rs 1,560 and above (Rs 1461 + 102) if (and when) the premium becomes attractive. (Note, this just an example, not a trading call)

Quote:

Originally Posted by vvvv

hi adheer,
thnks for the stuff..wht do we actually achieve by taking the standard deviation of a variable
for ex : we take the standard dev of the closing price of the last 10 days.
wht are we achieving by this method

pabmove · #6 31st May 2008, 07:57 AM

Quote:

Originally Posted by Adheer

There are many ideas and techniques to accomplish this. The code is simple, but you have to decide what is implied by "average" and what is implied by "volume".
For example, do you want to use the Marked-For-Delivery Volume or the Total Traded Volume, or a combination of both. Also, what would be a good period for considering Average - 5-days, 10-days, 20-days etc ? It may vary from stock to stock, market to market.

That being said, here is the sample code :

Identify stocks where the Volume has crossed above its 15-bar EMA Volume.

Code:

Filter = Cross(V, EMA(V,15));

Identify stocks where the 5-bar EMA Volume has crossed above its 15-bar EMA Volume.

Code:

Filter = Cross(EMA(V,15), EMA(V,15));

and a little more advanced that eliminates noisy spikes :

Identify stocks where the Volume has crossed above the sum of 15-bar EMA Volume and its 15-bar Standard Deviation

Code:

Filter = Cross(V, EMA(V,15) + EMA(StDev(V,15),15));

>Adheer

Sorry for the confusion.

What I want to do is a scan to detect a sudden peak in volume over the mean volume in the past 10 to 20 minutes of a stock. That way, I may be able to detect a trend or if a stock is reversing etc...

You have been very helpful Adheer and you've help me in another problem I had, sincerely, thank you. If you don't mind and please don't take this the wrong way, do you mind me sending you a donation by paypal?

I could start learning coding into Amibroker and do it myself but I know that some people are better than others in one skill. For me, programming is not my thing

vvvv · #7 31st May 2008, 10:57 AM

HI PABMOVE,
since u mentiones " paypal" i want to asku whether u stay in india or not.if yes then pls tell me how u have opened the paypal account.id there any paypal office in india??

Adheer · #8 31st May 2008, 11:04 AM

You can open PayPal account online via www.pay pal.c o m (remove spaces in the web address).
It is very safe, I have used both from US and India and never had any issues for the last 5-6 years.

Quote:

Originally Posted by vvvv

HI PABMOVE,
since u mentiones " paypal" i want to asku whether u stay in india or not.if yes then pls tell me how u have opened the paypal account.id there any paypal office in india??

Adheer · #9 31st May 2008, 11:12 AM

Quote:

What I want to do is a scan to detect a sudden peak in volume over the mean volume in the past 10 to 20 minutes of a stock.

Lets assume you are using 1min interval. The, the following filter will identify stocks whose volume is greater than the 10-min and 20-min moving average of the volume.

Code:

Filter = ( V > Ref(EMA(V,10), -1) ) AND ( V > Ref(EMA(V,20), -1) );

You can also use threshold level and filter only when the current volume is e.g. 25% greater than 10-min and 20-min moving average of volume.

Code:

Filter = ( V > 1.25 * Ref(EMA(V,10), -1) ) AND ( V > 1.25 * Ref(EMA(V,20), -1) );

vvvv · #10 31st May 2008, 11:55 AM

i want to use a simple volume breakout strategy.
1)volume of the stock is equal to or less than avg volume(u can specify any no of period as the avg).as per the eod charts.
2)i start the scan during my intraday trading
3)the scan detects - at tht particular time the traded intraday volume > avg volume (according to eod charts)

can u pls provide the code.