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Has anyone developed the relative vol and FoM for intraday charts?
Current EFS are only good on D and W time frames.
Regarding intraday efs Mr. Dickover wrote in to the S&C, "
For the relative volume and FoM indicators to be
meaningful when trading intraday, you must replace volume
with adjusted volume in the calculations.
Adjusted volume averages the volume of bars occurring at
the same time of day over a number of days. This adjusts for
volume variations at each particular time bar. For example,
for five-minute emini futures bars, the 14-day adjusted
volume for the 9:35 am five-minute bar would be computed
by adding up the volume for the last 14 9:35 am five-minute
bars and dividing by 14 to get the average volume of a 9:35
am bar. You would then divide the current 9:35 am bar’s volume
by that average. Note that a 14-day average calculation
requires at least a 14-day backfill of real-time data. To use
the code in the sidebars for intraday charts, replace volume
with adjusted volume."
Has anyone done this? Can anyone help me do this?
Thx!
Current EFS are only good on D and W time frames.
Regarding intraday efs Mr. Dickover wrote in to the S&C, "
For the relative volume and FoM indicators to be
meaningful when trading intraday, you must replace volume
with adjusted volume in the calculations.
Adjusted volume averages the volume of bars occurring at
the same time of day over a number of days. This adjusts for
volume variations at each particular time bar. For example,
for five-minute emini futures bars, the 14-day adjusted
volume for the 9:35 am five-minute bar would be computed
by adding up the volume for the last 14 9:35 am five-minute
bars and dividing by 14 to get the average volume of a 9:35
am bar. You would then divide the current 9:35 am bar’s volume
by that average. Note that a 14-day average calculation
requires at least a 14-day backfill of real-time data. To use
the code in the sidebars for intraday charts, replace volume
with adjusted volume."
Has anyone done this? Can anyone help me do this?
Thx!