Volume Scaling

[mike_scott]

Anybody got a script or a procedure that rescales daily volume bars so that really tall bars don't set the scale factor so that all the rest of the bars can'b be read?

My first thought was to use a log scale but the changing to log scale seems to only control the price field. I wrote a simple log volume scripts but that gives me the log of the volume which is non intutitive to interpret. I want to control the volume scale to be nonlinear.

Mike Scott
Tarzana, CA

[Guest]

Re: Volume Scaling

Hi Mike,

I played around with this, and have come up with a technique. As you said, it is not a typical normalization. I thought of getting a median or range of the data on efs start-up then using a sigmoid function, but after re-reading your post I figured I would try a nonlinear suggestion. Maybe it will give you some ideas.

Hope this helps.

Steve

Originally posted by mike_scott
Anybody got a script or a procedure that rescales daily volume bars so that really tall bars don't set the scale factor so that all the rest of the bars can'b be read?

My first thought was to use a log scale but the changing to log scale seems to only control the price field. I wrote a simple log volume scripts but that gives me the log of the volume which is non intutitive to interpret. I want to control the volume scale to be nonlinear.

Mike Scott
Tarzana, CA

/* 
normalizing volume.efs test script to reduce volume spikes by using some JavaScript 
built in MATH functions.  Not written for efficiency, more of a science project
or for consideration

Written By Steve Hare 4/8/2011
For a question in thread \"http://forum.esignalcentral.com/showthread.php?s=&threadid=35919\"
Saved in FileShare \"http://share.esignal.com/groupgo.jsp?groupid=339\"
 */
 
function preMain() {
 setPriceStudy(false);
 setStudyTitle("VolNormalized");
 setCursorLabelName("normalized Volume", 0);
 setCursorLabelName("volString", 1);
 setDefaultBarFgColor(Color.blue, 0);
 setDefaultBarFgColor(Color.red, 1);
 setPlotType(PLOTTYPE_LINE, 0);
 setDefaultBarThickness(1, 0);
}
var bInit, V;

function main() {
 if (!bInit) {
  V = volume();
  bInit = true;
 }
 var vol = V.getValue(0);
 var volString = vol + ""; //~ converting number to string so it is not plotted in chart but available in cursor window
 return [normalizeVolume(vol), volString];
}

function normalizeVolume(x) {
 var n = 2 * Math.sqrt((Math.log(x + 1) + 1)) * (Math.pow((2 + x), 1 / 4));
 return n;
}
//~ end of function normalizeVolume(x)

function normalizeSigmoid(x) { // ~ not used
 return 1 / (1 + Math.exp(-x)); //~ applying a Sigmoid Squashing technique 
}
//~ end of normalizeSigmoid


//~ alternate techniques ~~~~~~~~~~~~ 
/* function normalizeVolume(x) {
 //~ var n=Math.pow((1+x),1/2);
 //~ var n=(Math.log(x)+1)*(Math.pow((1+x),1/2);
 //~ var n=(Math.log(x)+1)*(Math.pow((1+x),1/2)-Math.pow((1+x),1/4));
 //~ if(x>68000){x*=200;}
 //~ var n=Math.sqrt((Math.log(x+1)+1))*(Math.pow((1+x),1/2)-Math.pow((1+x),1/3))/50;
 //~ alternate techniques ~~~~~~~~~~~~
 var n=2*Math.sqrt((Math.log(x+1)+1))*(Math.pow((2+x),1/4));
 return n;
} */
//~ end of function normalizeVolume(x) 

I saved the efs in my fileShare too.