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I am confused about the implementation of RVOL or RDV as you named it.
“The Relative Daily Volume indicator is an indicator that compares current cumulative volume to the cumulative volume for a given time of day, measured as a ratio. Current volume from open to current time of day / Average over the past x days from open to current time of day”
The typical implementation for intraday trading is: Multiplier of the average 21 day volume based on time of day with an adjustment for simple cosine wave (higher volumes at beginning and end).
Forget about the cosine adjustment for now. The indicator should give me the ratio of the current cumulative volume for the day over the 21 day average of the volume at that time.
The example provided is for daily data and only gives RVOL at 16:00. For intraday trading you need RVOL for every minute.
The Introduction exactly stipulates what I am trying to do but I can't figure out a combination of period and resolution to achieve that.
Our trading platform has RVOL on the level 2 window and it is heavily used by our traders.
RV field below.
Mia Alissi
Sources: Relative Daily Volume - QuantConnect.com, Relative Vigor Index - QuantConnect.com, Volume Renko Consolidator Algorithm, Indicator Ribbon Benchmark, Volume Weighted Average Price Execution Model Regression Algorithm
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Sylvain Thibault
Thank you for the instant response ! My bad, I had another issue in the backtest where I tried that combination.
Sylvain Thibault
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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