StockFetcher Forums · Filter Exchange · Volume comparison past 4 days<< >>Post Follow-up
glgene
535 posts
msg #97796
Ignore glgene
12/4/2010 1:42:50 AM

The last 3 days generally found down volume, at least with these 4 ETF proxies: SPY,QQQQ,IWM and DIA.

Script below shows the day-to-day % Vol. change on the above-named ETFs.

Does SF have the stock volume for these 4 major indices: SPY 500, Nasdaq, DIA and NYSE? That's what I would really like to include in the script instead of the ETFs. If so, what are the major indices SF symbols?

Fetcher[
symlist(dia,spy,qqqq,iwm)

set{v,volume}
set{v1,volume 1 day ago}
set{v2,volume 2 days ago}
set{v3,volume 3 days ago}
set{v4,volume 4 days ago}

add column separator
add column v1{vol 1 day ago}
add column v2{vol 2 days ago}
add column v3{vol 3 days ago}
add column v4{vol 4 days ago}
add column separator

set{c,v/v1}
set{c1,c*100}
add column c1{% Vol today vs. 1 d}

set{c2,v1/v2}
set{c3,c2*100}
add column c3{1d vs. 2d}

set{c4,v2/v3}
set{c5,c4*100}
add column c5{2d vs. 3d}

set{c6,v3/v4}
set{c7,c6*100}
add column c7{3d vs. 4d}
]




four
4,012 posts
msg #97798
Ignore four
12/4/2010 2:37:14 AM

http://help.stockfetcher.com/sfhelp/?id=100358&isiframe=&isiframe=

Can an index appear in filter results?

No. Because StockFetcher does not carry volume details for indices they will not appear in filter results. Additionally, due to the the lack of volume information, charts for an index will not include details beyond basic pricing information.

Please note that this applies to any "apply to symlist" or "apply to watchlist" phrases that contain index(es).


glgene
535 posts
msg #97825
Ignore glgene
12/4/2010 11:53:24 PM

Well, then, I'll just have to stick with my 4 proxy ETFs (shown above). That is, unless there is an ETF representing the NYSE. ???

four
4,012 posts
msg #97826
Ignore four
modified
12/5/2010 12:13:31 AM

http://finance.yahoo.com/q?s=NY&ql=0

perhaps...

... NY (iShares NYSE 100 Index)

... NYC (iShares NYSE Composite Index)

glgene
535 posts
msg #97828
Ignore glgene
12/5/2010 6:17:42 AM

On the right track with your ideas of NY and NYC, except one BIG problem:

Both of them have puny volume (avg vol(3 months)) according to Yahoo Finance:

NY: 7,388

NYC: 4,550

Kevin_in_GA
4,553 posts
msg #97830
Ignore Kevin_in_GA
12/5/2010 9:42:29 AM

More useful would be using the up and down volumes for the NYSE and other markets - total volume is like saying "I'm driving 60 mph". No indication of direction.

SF does have the up and down volumes for the NYSE as indices:

^NVLU - NYSE total up volume
^NVLD - NYSE total down volume

You can use these as inputs to make a volume-based indicator. For example:

Fetcher[

set{upvol, ind(^nvlu, close)}
set{downvol, ind(^nvld, close)}

set{upvolMA, cma(upvol, 10)}
set{downvolMA, cma(downvol, 10)}
set{updownratio, upvolMA / downvolMA}

draw downvolMA on plot upvolMA
draw updownratio line at 1
symlist(SPY)

]



Note that this calls the tops and bottoms fairly well.

duke56468
683 posts
msg #97831
Ignore duke56468
12/5/2010 10:20:06 AM

Thanks Kevin.... as always very helpful.

glgene
535 posts
msg #97838
Ignore glgene
12/5/2010 2:32:45 PM

Kevin....Thanks! Your "look-under-the-hood" approach always finds the best spark plug!

That said, could you just clarify for me one point about your script, the excerpt as shown below:

set{upvolMA, cma(upvol, 10)}
set{downvolMA, cma(downvol, 10)}

Is your "10" reference

a) 10-day lookback, as in ROC(10) or
b) 10-day average, as in RSI(10)

Gene

Kevin_in_GA
4,553 posts
msg #97839
Ignore Kevin_in_GA
12/5/2010 2:38:12 PM

The function used here should be giving you a hint - CMA is the custom moving average, so this is just the 10 day simple moving average of the up or down volume for the NYSE.

glgene
535 posts
msg #97843
Ignore glgene
12/5/2010 7:01:03 PM

Thanks, again, Kevin. Just wanted to be sure

StockFetcher Forums · Filter Exchange · Volume comparison past 4 days<< >>Post Follow-up

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