Effective Volume for Amibroker (AFL)
arcadianskies over 9 years ago Amibroker (AFL)
Description: Effective volume (EfVol), defined in this case as the close times the volume, gives us a better idea of the approximate amount of money being exchanged for a given day. If the EfVol is divided by the EfVol of an index that roughly correlates with a given stock, and is divided a long-term moving average of the above ratio, we get a standardized ratio (SR) of EfVol. This standardized ratio gives us a better idea of the relative magnitude the EfVol of a stock moves compared to the market.
An SR of approximately 1 means that the EfVol of a given stock moves approximately the same amount as it usually does compared to the index’s EfVol for that day, whereas a value of 3 would mean that the EfVol of stock was three times higher relative to the index than it normally is.
Indicator / Formula
_SECTION_BEGIN("Effective Volume to Comparison Index");
StandardizedRange = Param("Strd Rng", 40, 0, 1000, 1);
EfVol = C*V/1000000; //Effective volume (in millions) of the stock being analyzed
Comparison = "SPY"; //Symbol of an index that an individual stock is compared to; it is best if the index closely correlates to the stock that is being compared
CompEfVol = Foreign(Comparison,"C")*Foreign(Comparison,"V")/1000000;
Ratio = (EfVol/CompEfVol);
StandardizedRatio = Ratio/MA(Ratio,StandardizedRange);
Plot(StandardizedRatio," SR of relative EfVol", colorGold,ParamStyle("Style"));
//Plot(EfVol,"Ef Vol (mils)", colorOrange,styleOwnScale);
//Plot(CompEfVol,"Comparison Ef Vol (mils)",colorGreen,styleOwnScale);
_SECTION_END();0 comments
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