Posts Tagged ‘capitulation’

Average Volume by Time Indicator for Think or Swim

February 11, 2010

Here’s two studies that show you how the current day’s volume bars are comparing to the same bars from the recent past. There are no inputs to these studies–they are all automatic. They only work on intraday charts. They are designed to be used for the current day only, so there is no historical record.

The time period for averaging is dependent on how you set up the chart. The minimum supported is 5 minute bars. If you put up a 5 days, 5-min chart, you’ll get the average volume for each bar over the last 4 days (ignores today). A 20 day, 15 minute chart will give the average volume of each specific 15 min bar over the last 19 days. Hopefully that makes sense; just put up as many days of data as you want averaged. (In reality, these studies are plotting average volume by bar. But if you plot them on a time-based chart, say 5-min, then you are seeing average volume by 5-min time period. Because of this, if you put it on a tick chart, the time linkage is gone. Instead, you are seeing only bar-for-bar comparisons. Just so you know.)

“AverageVolumeByTime.ts” will plot on top of the normal volume panel. It’s just the straight volume compared to the average volume seen at that bar in the past (gray shaded region). If the volume is above average, the bar is yellow, and if not it is light gray. “RelativeAverageVolumeByTime.ts” plots in a lower panel of its own, and shows the percentage of average volume for the current bar, so if all bars were at their own average volume, you’d get 100% across the board (the gray region). The bar painting is the same as for the Average Volume study.

Here’s a plot for ES yesterday, when we saw that huge volume spike come in around 11:30 ET:

In the Relative Volume study, you can see that we had a 600%(!) of normal volume bar near 12:15 ET. I remarked on twitter that this had to be a capitulation, which it was, temporarily.

These studies are free. You can download both studies in “” from “Released Thinkscript Studies” from my Google site.