Volume Forecast for stocks

Z

zeek

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Curious to know if anyone here have a Volume Forecast indicator for stocks? I know there are some traders that have this tool and i contacted one of them to ask if he could share but unfortunately he did not want to. From what i have seen, the forecast works extremely well and can be very useful to spot demand/supply imbalances.
If anyone here could code something like this, i would be very interested in it.

The image below comes from Twitter and from this trader https://twitter.com/team3dstocks

 
Z

zeek

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Unfortunately not. Feels like everyone who has this tool does not want to share it like it’s a big secret or something.
 
C

cabbie83w

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We will figure it on this forum, many smart people on here. It's probably posted on github or a website anyway. If we can't find it, we will create a better one.
 
markos

markos

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Sad when something as simple as a label can't be shared without a good reason. If they bought it, that's different.
How to find a comparable:
1. https://usethinkscript.com/threads/yesterdays-volume-vs-todays-volume-at-same-time-indicator.317/
2. Use the search box above.
3. Go to the Universe of Thinkscript in the Tutorials on our site. There's more there than can be read in a week.
When you open the onedrive link, look for a tab that says 02. Education Scripts and StanL Snippets (200 pages of indexed goodies). Then go to Tab 14, JQs Workshop. From there the 3rd tab will be 'Other Onenote. Inside are 2 excellent resources. The first one will have labels galore, Duncan's Onenote.

@zeek and @cabbie83w , Do all three and I'll pin a medal on ya'.
Let us know what you've found! Thanks, Markos
 
Z

zeek

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here something i found on the tube:
That script by Enigma is also good but unfortunately does not show forecasting of volume.

This trader also has a VF tool and he hints in one of his tweets on what to look for when building a forecast tool. The blogpost he mention is this one by EpicaCapital talking about relative strength & weakness for intraday trading https://www.siliconinvestor.com/readmsg.aspx?msgid=29390810
The first step is to figure out the formula used to do the forecasting. Once we know this, coding the tool should be fairly easy is my guess.

 
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Z

zeek

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Sad when something as simple as a label can't be shared without a good reason. If they bought it, that's different.
How to find a comparable:
1. https://usethinkscript.com/threads/yesterdays-volume-vs-todays-volume-at-same-time-indicator.317/
2. Use the search box above.
3. Go to the Universe of Thinkscript in the Tutorials on our site. There's more there than can be read in a week.
When you open the onedrive link, look for a tab that says 02. Education Scripts and StanL Snippets (200 pages of indexed goodies). Then go to Tab 14, JQs Workshop. From there the 3rd tab will be 'Other Onenote. Inside are 2 excellent resources. The first one will have labels galore, Duncan's Onenote.

@zeek and @cabbie83w , Do all three and I'll pin a medal on ya'.
Let us know what you've found! Thanks, Markos
Will look into this, thanks!
 
markos

markos

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That script by Enigma is also good but unfortunately does not show forecasting of volume.

This trader also has a VF tool and he hints in one of his tweets on what to look for when building a forecast tool. The blogpost he mention is this one by EpicaCapital talking about relative strength & weakness for intraday trading https://www.siliconinvestor.com/readmsg.aspx?msgid=29390810
The first step is to figure out the formula used to do the forecasting. Once we know this, coding the tool should be fairly easy is my guess.

@zeek my almost 40 years of trading says this one sounds fishy. Markets are Fractal but intraday is random, flip a coin. The successful day traders I know put risk management first. Then for the day, they have a system to capture Alpha. IMO.
 
T

Thanhly

New member
I think the formula is .
As a baseline, i propose a naive strategy that uses the in-
traday volume information. This strategy simply sums the n prior volume intervals of the current day interval, where n is the number of total intervals of a day. As an example, in the beginning of a day, the strategy sums all intraday volume intervals of the previous day. In the end of the day, the strategy uses all the intraday information of that day. The idea behind this strategy is that the previous volume of the day is a good estimative to the volume of the next day. Moreover, this strategy reduces the volume estimative error during the day
 
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horserider

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OK here is a 30 min chart of Point of control with 80% value area. You can see if 80 % rule might work with this interpretation.
 
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zeek

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Here`s two examples of how Volume Forecasting can be of great use when thinking about shorting over extended stocks. The VF images are borrowed from user Team3dStocks twitter page.
In example 1, symbol MBIO traded about 38 million shares on april 18th 2019 and as you can see, the volume forecast was very close to the actual end of day volume.
In example 2, symbol MBRX on april 22nd had a volume forecast of 19,6 million shares and the end of day volume was over 4 times of that.

So basically, as soon as the traded volume exceeds the forecasted volume early in the day, its a good sign to stay away from shorting because of the imbalance between demand/supply. Vice versa, when the traded volume doesn't even come close to exceed the forecasted volume, its very likely to fade and can be a good short opp as can be seen in the charts.

Example 1

Example 2
 
markos

markos

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Let me understand this, you want volume to tell you if it's ok to jump onto or off of a Wide Spread Penny Stock??? Good luck with that strategy. I don't understand it, maybe someone else does.
 
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zeek

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@markos

I have been trading small caps for many years now and don't see the problem with it. I trade big caps too but sometimes the small caps offer good opportunities so i like to take advantage of that.

The VF tool will of course work for all type of stocks so its not exclusively for small caps.
 
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horserider

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How is this possible? My guess it is the VF is just an average of previous volume. If it was an actual forecast the events zeek described prove there is no such thing as a volume forecast, at least not a accurate one(VF 19m Vol 82M). So why not just look at stock with high or low volume for the day, would that not give the same information as comparing volume to some nebulous VF.
 
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zeek

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How is this possible? My guess it is the VF is just an average of previous volume. If it was an actual forecast the events zeek described prove there is no such thing as a volume forecast, at least not a accurate one(VF 19m Vol 82M). So why not just look at stock with high or low volume for the day, would that not give the same information as comparing volume to some nebulous VF.
So 37,5mil VF vs 37,3mil actual is not accurate enough?
The VF is very accurate from what i have seen and its quite fascinating actually how close it gets when they correspond. The whole reason for the 19 vs 82 is that there was a ton more of demand which the chart clearly shows. Shorts got murdered on this particular day.
 
markos

markos

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@zeek if that works for you, then that is ok. Just out of the mainstream of my, and apparently, @horserider 's trading accumen. What was the short interest on the stock? Thanks.
 
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