StockFetcher Forums · General Discussion · up volume, down volume<< >>Post Follow-up
danv83
44 posts
msg #60967
Ignore danv83
4/2/2008 1:06:57 AM

how can i seperate volume into up volume and down volume
????

i'd like to make a filter that derives an indicator based on up volume days and down volume days, in sf2 i see it right there in the key for volume it says "up volume, down volume"

the up/down volume is not correlated to up or down days necessarily , right?
i'd like to think it is based on uptick to downtick volume, can someone clarify this?



nikoschopen
2,824 posts
msg #60968
Ignore nikoschopen
4/2/2008 3:31:54 AM

Are you merely wanting to screen for stocks with up (down) volume for the day or are you asking for a way to separate up days to down day within the last x days (eg. within the last 10 days, XYZ had 7 up days and 3 down days)?

UP VOLUME DAY

Fetcher[
sign(VROC) equals 1
add column volume 1 day ago{Vol(-1)}
add column VROC{Vol%Chg}
]



DOWN VOLUME DAY

Fetcher[
sign(VROC) equals -1
add column volume 1 day ago{Vol(-1)}
add column VROC{Vol%Chg}
]



UP/DOWN VOLUME RATIO
within the last 10 days

Fetcher[
set{up, count(sign(VROC) equals 1,10)}
set{down, 10 - up}
set{ratio, up / down}
add column volume 1 day ago{Vol(-1)}
add column VROC{Vol%Chg}
add column separator
add column up
add column down
add column ratio
]



danv83
44 posts
msg #61008
Ignore danv83
4/2/2008 7:21:01 PM

nm, i see now the way sf shows up or down volume is just based on if the close is higher than the close one day ago... i was hoping it had something more intraday to it

nikoschopen
2,824 posts
msg #61012
Ignore nikoschopen
4/2/2008 7:45:21 PM

Not really. You could have a stock closing higher on lighter volume than the previous day. Whether this might be helpful or not I cannot say but you could run the filter while the market is open to get an intraday cumulative volume, albeit delayed by 20 minutes.

StockFetcher Forums · General Discussion · up volume, down volume<< >>Post Follow-up

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