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 [email protected], "etoketrader" <etoke...@...> 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 [email protected], "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 > > >
