Volume Category Indicator

3 พ.ย.

This indicator analyzes historical volume data and categorizes each trading period into one of six levels: Outlier, Low, Below Average, Average, Above Average, or High.
How it works:

1. Filters out extremities - Excludes abnormal volume spikes/drops using standard deviation (default: 3σ threshold) to create a "clean" dataset
2. Calculates percentiles - Divides the clean volume distribution into quintiles (20th, 40th, 60th, 80th percentiles)
3. Reduces noise - Applies a 3-period moving average to volume to prevent rapid category changes
4. Categorizes current volume - Compares today's smoothed volume against historical percentiles to assign a category
5. Visual display - Shows volume bars in grayscale (darker = lower volume, lighter = higher volume) with an optional info table

Key parameters:

* Lookback Period (100): How many bars of history to analyze
* Smoothing (3): Moving average length to stabilize categories
* Outlier Threshold (3.0): Standard deviations for filtering extremes

The result is a stable, clean indicator that identifies whether current volume is genuinely low, average, or high relative to recent history—without being thrown off by occasional volume anomalies.

3 พ.ย.

เอกสารเผยแพร่

Updated to allow user to see levels.

3 พ.ย.

เอกสารเผยแพร่

Updated to show average return of every volume category.

3 พ.ย.

เอกสารเผยแพร่

Adjusted average return to be 50x average return for significance.

3 พ.ย.

เอกสารเผยแพร่

Allowed for custom placement of table and optional volume levels.

3 พ.ย.

เอกสารเผยแพร่

Added compound return for the selected period.