StockFetcher Forums · General Discussion · how to filter for relative volume<< >>Post Follow-up
ronbary
16 posts
msg #105558
Ignore ronbary
3/20/2012 4:46:08 PM

Hellow Support

i'm new to StockFetcher

can you help me how to filter stocks that has Relative volume greater then 1.5 of the average (30)

i mean relative volume greater then 1.5 times then the average volume for the last 30 days ?

thanks

Ron

mahkoh
891 posts
msg #105559
Ignore mahkoh
3/20/2012 5:35:52 PM

Assuming you mean intraday relative to average, you could use a {set} statement:

set{x, average volume(30)*1.5}
set{lunch,x/2}
volume above lunch

assuming that half of that day's volume will have changed hands at lunchtime you run the filter around 13:00

I also use a "buzz" filter

set {buzz , volume / volume 1 day ago}
set {5dbuzz , volume/average volume(5)}
add column buzz
add column 5dbuzz

sort by the desired column descending and the ones with most relative activity come out on top.

ronbary
16 posts
msg #105561
Ignore ronbary
3/20/2012 6:00:27 PM

thanks

yes what i mean is exactly the current daily volume to be greater than (1.5 * average (30 days) )

is that what you provide correct ?

so what is the SET keyword it's for saving result into variable ? nice
then you can use your variable and show it or filter correct ?

thanks



decipherlinda
133 posts
msg #105562
Ignore decipherlinda
3/20/2012 6:01:03 PM

Relative Volume:

set{RelVol, volume / average volume(30)}

Add to filter criteria: RelVol > 1.5

mahkoh
891 posts
msg #105573
Ignore mahkoh
3/21/2012 5:16:38 AM

That will only trigger exceptional volume increase unless you are near the close.


decipherlinda
133 posts
msg #105603
Ignore decipherlinda
3/22/2012 5:09:14 PM

Not so my friend!

The relative volume for many stocks are higher than average even before the market opens.

A high relative volume can occur any time during the day.



mahkoh
891 posts
msg #105607
Ignore mahkoh
modified
3/22/2012 7:06:13 PM

This may be true my friend.

Nevertheless a stock with an average volume of 500.000 will not trigger until it has traded 750.000 shares. Should this be the case at 10:00 it wouldn't surprise me if the total number of shares traded for that day exceeded 4.000.000. That would make it 8 times average volume which I classify as exceptional.

What you could do is this to weigh it in as a factor against another indicator.

Fetcher[
apply to shared list(penny options)
set{x,volume/average volume(12)}
set{y, rsi(9)}

set{z,x*y}
add column z
sort column 5 descending
add column x
add column rsi(9)
rsi(9) above 60
]





decipherlinda
133 posts
msg #105683
Ignore decipherlinda
3/26/2012 7:05:33 PM

Sorry but I don't really follow your post - my problem.

Today I downloaded all stocks (not ETF's, etc.) from FINVIZ six different times. FINVIZ uses a 90-Day (60 trading days) Average Volume.

I selected BWLD to show the change over the time in Relative Volume. It was up over 7% today.

I downloaded at 9:23 AM, 10:26 AM, 11:13 AM, 12:12 PM, 1:03 PM and 2:19 PM.

Average Volumes changed during the day.

The Relative Volumes were (early to later - all on 3/26/12):

.01
4.43
3.65
2.94
2.58
2.17

Then I ran a test on StockFetcher at 3:46 PM and then after the close. The same sort of thing happened.

For AAP, for example, showed Average Volume(30) at 3:46 PM as 1,195,459 then after 4:00 PM as 1,197,709. Relative Volume had moved from .22 to end at .27. This just shows that it wasn't a FINVIZ-only thing.

What this appears to show is that:

Average Volume changes during the day. Therefore, Relative Volume changes on more than just changes in the volume at any given time.

Since Average Volume is Volume divided by, say, 30 in the StockFetcher test, the volume added is not represented the same in the Average Volume(30).

The results with BWLD make sense when you look at its ups-and-downs during the day.

From the market open to 10:26 Rel Vol was up significantly. BWLD's target price was upped by $10 by Stephens before the market opened. It's also an IBD Top 50 stock so that may have magnified early buying. Any news after the close of the day before is likely to bring buyers in soon after the market opens.

Then BWLD had a pullback between 10:26 and 11:13 AM. The Rel Vol dropped from 4.43 to 3.65. While volume increases all day, as Mahkoh said, other variables play a rather unexpected role in Rel Vol calculations.

So, Relative Volume is a valid metric at all times during the day, however, if it's near, for example, 1.5, and that's what you're looking for, it may show up on a filter run during the day at one time but not the next.






mahkoh
891 posts
msg #105695
Ignore mahkoh
3/27/2012 3:37:17 AM

In my understanding relative volume is average volume but typically measured for that time of day. At 10.26 Finviz looks at the volume and compares that to the typical volume at 10.26, but I am not sure whether they sample volume from the open until 10.26 or, say from 10.20 to 10.26. Maybe someone else has knowledge on this.

"For AAP, for example, showed Average Volume(30) at 3:46 PM as 1,195,459 then after 4:00 PM as 1,197,709. Relative Volume had moved from .22 to end at .27. This just shows that it wasn't a FINVIZ-only thing."

How long after 4.00 PM did you run average volume? If it was 20 min after the close it is likely that SF used that day's volume to calculate the new 30 day average.

mahkoh
891 posts
msg #107585
Ignore mahkoh
8/13/2012 3:57:20 PM

I believe this is a better way to show relative volume during the day.
It also takes into account whether the overall market's volume has been low.

Fetcher[
set{avgvolspy,ind(spy,average volume(20))}
set{volspy1,ind(spy,volume)}
set{spyvol,volspy1/avgvolspy}

set{xvol,volume/average volume(20)}

set{relvol,xvol/spyvol}
add column relvol
sort column 5 descending

S&P500
]



StockFetcher Forums · General Discussion · how to filter for relative volume<< >>Post Follow-up

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