Relative Volume

The Relative Volume indicator identifies high/low volume bars by comparing current volume against the average volume over the same period during the preceding n days/weeks. Other than the below description, you may also review our Relative Volume Indicator Spotlight (with video).

Relative Volume indicator for NinjaTrader 8

Indicator Description

One may use the Relative Volume indicator to address changes in volume between the overnight, European and US regular sessions. For example, if you analyze volume with a volume weighted average, spikes will be seen during the European and US sessions. This is because the data in the lookback period for the European/US sessions are compared to the overnight session. Of course, the overnight session has comparatively light volume. Conversely, comparing the European and US sessions with the overnight will always show a fall-off in volatility.

Relative Volume Comparisons

Therefore, Relative Volume compares the average volume at a specific time of day, with the N days average. In other words, it compares:

  • Overnight volume with the overnight volume in the lookback period
  • European volume with the European volume in the lookback period
  • Regular session with the regular volume in the lookback period

The Relative Volume indicator allows you to compare the average volume at a specific time and day of the week. This is useful for days and times with regular news releases, such as the weekly petroleum / natural gas reports. You’ll then compare the average volume for the same day/time of the week over the N preceding weeks.

Identify increasing / decreasing volume can help in locate breakout and reversal patterns together with the Relative Ranges indicator. This information can be used to run breakout strategies when cumulated relative volume are above average and countertrend strategies when cumulated relative volume are low.

Other Library Indicators

For ideas on how to use the indicator you may consider reviewing our posts on the TDI indicator or the Squeeze momentum setup. Furthermore, the Relative Volume indicator may be used in combination with Trend FiltersTrend Analysis and Momentum Oscillators such as the Adaptive LaguerreADXKnow Sure Thing or the Heikin Ashi candles for determining market trends. Support / resistance indicators are located the Session Tools category and we have a post on Fibonacci retracement levels.

The indicator is available for NinjaTrader 8. For instruments that lack reliable volume information (FX/Crypto currencies), you may consider using the Relative Ranges indicator, which was discussed this post.

Relative Volume