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Thanks everyone for your feedback. Final result posted to my blog in case anybody is interested.
http://etoke.wordpress.com/2009/05/07/making-sense-of-volume/
eToke
--- In amibroker@xxxxxxxxxxxxxxx, Rajiv Arya <rajivarya87@xxx> wrote:
>
>
> This is what I use
>
> I modified Bill Schmidt's code
>
>
> z is the z score
>
> Rajiv
>
>
>
>
>
> H1=V;
> Avgvol=0;
> sqsum=0;
> relsd=0;
> if (Interval()<inDaily) {
> n = round(3600*6.75/Interval()); //number of bars in the day
> barnum = BarsSince(Day()!=Ref(Day(),-1)); //bar number from start of the day
> for (i=0; i<n; i++) {
> VarSet("vol"+i,IIf(i==barnum,H1,0));
> VarSet("vols"+i,IIf(i==barnum,H1*H1,0));
> }
>
>
> for (i=0; i<n; i++) {
> Avgvol=IIf(barnum==i,Sum(VarGet("vol"+i),n*d)/d,Avgvol);
> sqsum=IIf(barnum==i,Sum(VarGet("vols"+i),n*d)/d,sqsum);
> }
>
>
> relsd=sqrt(sqsum-(Avgvol*Avgvol));
>
> }
>
> // Z-Score
> z=100*((H1-Avgvol)/relsd);
>
>
>
> To: amibroker@xxxxxxxxxxxxxxx
> From: angus@xxx
> Date: Tue, 5 May 2009 18:39:22 +0000
> Subject: [amibroker] Re: Relative Volume by time
>
>
>
>
>
>
>
> Hi Etoke,
>
> I tried to code this formula some time ago and run into the same problem. I didn't manage to fix it as my programming skills are a little lacking, however I believe the problem is that the AvgVol referenced for the StDev calculation is not the last calculated value.
>
> As I understand it (in other words this could be wrong), if the last bar is todays time 09:15, the AvgVol for the last 5 days is caculated. Then the loop subtracts Vol[0] of now - AvgVol[0] of now, Vol[0] of yesterday - AvgVol[0] of yesterday (thus not the AvgVol calculated now but from yesterday) and so on. The AvgVol variable is changing in the loop instead of remaining static with the final calculated value.
>
> I hope this makes sense / helps.
>
> Could you post a copy of the code when you have it figured out?
>
> Thanks.
>
> Tip2012
>
> --- In amibroker@xxxxxxxxxxxxxxx, "etoketrader" <etoke420@> wrote:
> >
> > Hi all once again.
> >
> > I have been able to create the indicator I was after with one issue,
> > which maybe somebody with better math skills than me could help me with
> > [:)] . Basically it is a variation on a standard formula already in the
> > library and does the following:
> >
> > The code below works for sub 15 minute charts, and will show volume in
> > 15 minute segments.
> >
> > 1. It plots current volume over the average volume for a specific 15
> > minute timeframe.
> > 2. If plots standard deviation bands above and below the average volume
> > in order to put the current volume relative to the average volume in
> > better context.
> >
> > My problem is with the standard deviation : It shows something close,
> > but not the same, as the standard deviation I calculate manually in
> > Excel. Like the average volume, the standard deviation is also per 15
> > minute timeperiod.
> >
> > Below is the code. Can anybody spot anything wrong with the standard
> > deviation calculation??
> >
> > eToke.
> >
> > TimeFrame = 900; //15 minute
> > n = (3600*6.5)/timeframe;// number of bars in day
> >
> > TimeFrameSet(timeframe);
> > Avgvol=0;
> > StdDev=0;
> > d = 5;
> > barnum = BarsSince(Day()!=Ref(Day(),-1)); //bar number from start of the
> > day
> > for (i=0; i<n; i++) {
> > VarSet("vol"+i,IIf(i==barnum,V,0));
> > }
> > for (i=0; i<n; i++) {
> > Avgvol=IIf(barnum==i,Sum(VarGet("vol"+i),n*d)/d,Avgvol);
> > VarSet("AvgVol"+i,IIf(i==barnum,Avgvol,0));
> > }
> > for (i=0; i<n; i++) {
> >
> > StdDev=IIf(barnum==i,sqrt(Sum((VarGet("vol"+i)-VarGet("AvgVol"+i))*VarGe\
> > t("vol"+i)-VarGet("AvgVol"+i)),n*d)/d),StdDev);
> > }
> >
> > CurrentVolume = Ref(V,1);
> > AvgVol = Ref(AvgVol,1);
> > VolStdDev = Ref(StdDev,1);
> >
> > TimeFrameRestore();
> >
> > AvgVol = TimeFrameExpand(AvgVol,timeframe);
> > VolStdDev = TimeFrameExpand(VolStdDev,timeframe);
> > CurrentVolume = TimeFrameExpand(CurrentVolume,timeframe);
> >
> > Plot(CurrentVolume,"Volume",colorGreen,styleHistogram);
> > Plot(Avgvol-VolStdDev,"Lower",colorDarkRed,styleHistogram|styleThick);
> > Plot(Avgvol,"Avg Vol",colorRed,styleHistogram|styleThick);
> > Plot(Avgvol+VolStdDev,"Upper",colorPink,styleHistogram|styleThick);
> > Plot(0,"ZeroLine",colorBlack,styleNoTitle|styleNoLabel);
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "etoketrader" <etoke420@> wrote:
> > >
> > > Hi everybody,
> > >
> > > I am trying to create a relative volume indicator which would plot a
> > volume bar relative to it's moving average by timeframe.
> > >
> > > If this is done across all timeframes, then the code would be very
> > simple.. for example :
> > >
> > > RelativeVol = V - MA(V,20)
> > >
> > > However what I am looking for is to be able to compare the current
> > volume with the MA of the equivalent bar of the same time, so for
> > example the Volume of the 9:30 bar is compared to the moving average of
> > the 9:30 bars of the previous 20 days.
> > >
> > > Is there a straightforward method of coding this?
> > >
> > > thanks!
> > > etoke
> > >
> >
>
>
>
>
>
>
>
>
>
> _________________________________________________________________
> Hotmail® has ever-growing storage! Don't worry about storage limits.
> http://windowslive.com/Tutorial/Hotmail/Storage?ocid=TXT_TAGLM_WL_HM_Tutorial_Storage1_052009
>
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