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RVol & RoC - Relative Volume & Rate of Change by haciyatmaz

Relative Volume ( RVol ) is a critical measure of volume flows. It measures current volume in relation to the "usual" volume for this time of the day.

Rate of Change ( RoC ) is a momentum-based technical indicator that measures the percentage change in price between the current price and the price a certain number of periods ago.
开源脚本

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评论

"Relative Volume ( RVol ) is a critical measure of volume flows. It measures current volume in relation to the "usual" volume for this time of the day."

that quote above is what you wrote. However, the code says otherwise. If we use loopback period of 5 days and a 1-minute bar at 9:35 AM, let's say the volume is 10 for day 1, 20 for day 2, 5 for day 3, 15 for day 4, 10 for day 5... that is average volume of 10 for that 1-minute bar at time of 9:35 AM. On day 6 at 9:35 AM ET, volume jumps to 50. The RVOL reads 5. Why? Because current volume / average volume = 50 / 10 = 5. Which means the current volume on day 6 is five (5) times larger than the average of the 10 from the previous 5 days at 9:35 AM. This means now that the stock is in play and there will be lots of action. This is what you should program as RVOL. Look up Volume+ (time of the day) indicator on TV as it is properly programmed. Hope that helps :)
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Vimal1984 jasminko.dogladovic
@jasminko.dogladovic, Good explanation. I am unable to find this "Look up Volume+ (time of the day)" you have mentioned in your post. Could you please let me know if there is anyother correct indicator for RVOL.
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Vimal1984 jasminko.dogladovic
@jasminko.dogladovic, Thank You !
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