The relationship between returns, volatility and trading volume has interested financial economists and analysts for a long time.
Is there any dynamic relationship between trading volume, returns and volatility in the financial markets?
In recent financial studies, the linkage between return, volatility and trading volume is a central issue as it provides insights into the microstructure of financial markets. The price-volume relationship is seen as it is related to the role of information in price formation. Trading volume is defined as the number of shares traded each day and is an important indicator in technical analysis as it is used to measure the worth of stock price movement either up or down.
Investors' motive to trade is solely dependent on their trading activity; it may be to speculate on market information or portfolios diversification for risk sharing, or else the need for liquidity. These different motives to trade are a result of processing different available information. In consequence, trading volume may originate from any of the investors who may have different information sets. As various studies reported, the information flow into the market is linked to the trading volume and volatility. Thus, since the stock price changes when new information arrives, there exists a relation between prices, volatility and trading volumes.
Significant efforts have been made, empirically and theoretically, on the phenomenon of stock price and volume relationship. Although the majority of those findings have confirmed the existence of positive contemporaneous relationship between trading volume and returns, the study of different stock markets have given mixed results about the causal return-volume relationship.
So, if you think that price and volume is important, maybe this indicator full of information around this topic may help you or make it easier in many ways.
Let me briefly guide you through.
To the right you have all the information within a label directly on the chart. Inside the label you will see following information:
-Number of bars -Volume -Average true range -Daily range -OHLC -Probability for tomorrow´s daily range -Warning of increased volatility
In the chart, you will also see where the expected daily range is likely to be within, with high and low levels.
Finally, I like to say this:
I have put a lot of work into this script and let me know if you use the indicator and what you think of it. Also if it is of some help or maybe you who use it, have found something wrong that needs to be reviewed and changed or information that would be important to add?
Enjoy!
Phát hành các Ghi chú
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Changed a misstake in the script that calculated probability of the High and Low for the next bar incorrect.
Phát hành các Ghi chú
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Phát hành các Ghi chú
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Updated the same issue.
Phát hành các Ghi chú
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Duplicate the names in the data window for High, Low, Positiv Close, Negative Close.
This Strategy is not giving Buy/Sale signals and also not showing the back testing results.
Investoz
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@shivtradingview, That is because this is not a strategy indicator. This script is collecting all the valuable(in my opinion) data into the chart. So no buy/sell signal.
SpxGh0st
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great idea I like all the criteria you're analyzing, would you mind opening the script up publicly? Id like to tweak it so its a little more user friendly and functional
DeuceDavis
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I really like this script. I have been watching over the last several days in detail with it (specifically with ES futures, SPX, and SPY) and I think I will make a trade or two this week using it.
One question, could you name the plots for the data window? The High, Low, Positiv Close, Negative Close, duplicate the names in the data window...High average and low average for both types. I know you call them out separately in the "narrative" label, but I like looking at the data table, especially when reviewing historical bars. It would just make it more efficient for me.
Thanks for sharing and spending your time on it. I think it is useable, as is, that is just a small tweak hopefully... I'll let you know how it goes for me. :)
Investoz
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@DeuceDavis, For some reason, I completely missed what you asked for. The change is now made and I hope that it was what you were looking for. Thanks for finding it useful! How did it go?