Volume Forecast (VF) Indicator for ThinkorSwim

[Drob8]

Hey guys,

lately I have been doing my research regarding this topic, I have a vague idea of how to solve this yet still very new to thinkscript. nonetheless, I wanted to share a post that I found in one of the forums. This might be closer to what everyone here is looking for yet I still think it might need some work but very close to the end goal.

Enjoy!

https://usethinkscript.com/threads/...ing-and-forecasting-vtf-for-thinkorswim.2950/

 

[XeoNoX]

testing the code for "forecasting" the vol at regular trading hours closing bell

 

[stockscouter87]

@XeoNoX how did it work out?

 

[XeoNoX]

Looks like it works to me, going to have to try it for a few days.

 

[stockscouter87]

Looks like it works to me, going to have to try it for a few days.

Did you buy it or code it? Are you willing to share it?

 

[XeoNoX]

I'm still seeing if it works. Lets see what happens today with INDO and RIOT

 

[XeoNoX]

@zeek how does the strategy work on this?

 

[jmftattoo]

@zeek how does the strategy work on this?

you're using the forecast as a confirmation of thesis and to score the play before you ever get into it. if a low float runner forecasts its goin to trade a billion shares on the day you know not to step in front of the train short. or it helps with long conviction

 

[K_O_Trader]

@XeoNoX I looked at the numbers and they were somewhat close, any possible way you can share that code?

 

[jngy2k]

@XeoNoX microcaps<50m float that gap up in premarket >25% have a high probability it will close in the red by end of day from its high in premarket. the reason these microcaps gap and fade is because they have poor fundamentals meaning they don't have income. so why do they gap up in premarket in the first place? it is because these companies don't have money so they hire a underwriter to help them raise money by selling their shares in a public offering. but in order to create a market to sell the shares at a higher price the company will release some positive news to create demand on the market for the stock while the underwriter will pump up the price in the premarket. since we know their plan is to sell their shares from the offering onto the market, our edge is to borrow shares and short them from high and cover buy at low. now because more and more people know about this edge underwriters started manipulating prices during the morning open to pump the stock price even higher which ends up with the short sellers cover buying their shares at a higher price instead of a lower price. it is very frustrating as a short seller to have to constantly cover a short squeeze instead of being able to short at the high and then watch the stock price fade all day. so in order to find stocks that are likely to fade all day and not have a short squeeze, short sellers have started statistically tracking volume for every stock that gets pumped and fades. with their statistics they can create a formula that takes a stocks historical volume and predict the gap days volume. that morning if the Volume is greater than the VF then it is likely the stock will be squeezed and not fade all day. with a VF if you know the other characteristics of a microcap gap and crap such as biotech, price under 25, float under 50m, low cash burn rate, then you know which stock to short that morning.
there is a problem with VF that most users don't account for is tail dependency. if the user doesn't continually track data and update the VF then it will have less and less probability of working in the future. and taht's the catch22 because people that are looking for the VF to buy and use as a money printing tool don't want to put in the work to track the data in the first place.

 

[zeek]

@XeoNoX I mainly use it as a way to find out how strong the demand is when I short smallcap runners/gappers. Around 10AM is the time of day i pay most attention to VF if I am short a stock from premarket or the open. Many times, the % of VF can be very high at this time of day and that’s a good indication to stay away from shorting or to cover position because if the VF is that high early in the day, usually what happens is buyers trap shorts and then you will see a squeeze midday or late day.

But if VF is low between 10-11AM, there is higher chance the stock will continue to fade all day.

 

[XeoNoX]

@zeek you said... "I mainly use it as a way to find out how "... can you share the code to the one you are using?

 

[zeek]

Unfortunately I can't share the code. A friend of mine was kind enough to share the VF with me on the promise I don't share it further and I will respect that wish. It appears the calculation used in my VF differs from yours based on those tickers you posted yesterday when I compared them.

 

[Drob8]

@jngy2k I think this is a key factor, what you just mentioned here. Most people think that it is just a formula and that is it. besides constantly updating data, this formula can not apply to the every stock. It will strictly be an indicator for the market subset that you have data for. therefore, you will need to have volume forecast for each different market which you are tracking...small caps, large caps..etc

 

[XeoNoX]

Unfortunately i can't share the code. A friend of mine was kind enough to share the VF with me on the promise i don't share it further and i will respect that wish. It appears the calculation used in my VF differs from yours based on those tickers you posted yesterday when i compared them.

Almost seems like you were trying to hype a product from the way you sounded like you had it but didn't have it.. aside from that point ..
since the title of this is "volume forecast" here is my version of it, obviously it wont be the same as yours since the formula is different. As others in the thread have stated, it seems more like hype that anything else, but here goes the code for whoever can find it useful.

Note: Every timeframe will be different as it "forecasts" by the closest volume bars. If you want it relative to the Daily then use the day, if you want it relative to the minute then use the minute, if you want it relative to 30 mins, then use 30 mins and so on. It "Forecasts" till the closing bell, will not factor in afterhours.

#Volume ForeCast v1.0 by XeoNoX via usethinkscript.com
#Note: Every timeframe will be different as it "forecasts" by the closest volume.
# If you want it relative to the Daily then use the day, if you want it relative to the minute then use the minute, if you want it relative to 30 mins, then use 30 mins and so on.
# It "Forecasts" till the closing bell, will not factor in afterhours.

def Daily_Total_Vol = volume(period = AggregationPeriod.DAY);
def Current_Vol = volume;
def VolAvg = Average(volume, 10);
def VolAvg2 = Average(volume, 20);
def VolAvg3 = Average(volume, 50);


def mid_vol = (
if VolAvg > VolAvg2 and VolAvg < VolAvg3 then VolAvg else
if VolAvg < VolAvg2 and VolAvg > VolAvg3 then VolAvg else

if VolAvg2 > VolAvg3 and VolAvg2 < VolAvg then VolAvg2 else
if VolAvg2 < VolAvg3 and VolAvg2 > VolAvg then VolAvg2 else

if VolAvg3 > VolAvg2 and VolAvg3 < VolAvg then VolAvg3 else
if VolAvg3 < VolAvg2 and VolAvg3 > VolAvg then VolAvg3 else volavg2 );

def vf = (mid_vol * (RegularTradingEnd(GetYYYYMMDD()) - GetTime()) / GetAggregationPeriod()) + Daily_Total_Vol;

def percent = (Daily_Total_Vol)/vf;

AddLabel (yes, "VF: " +  vf  , Color.YELLOW);

AddLabel (yes, "Volume So Far: " + Daily_Total_Vol , Color.GREEN);

AddLabel (yes, "% of VF: " + round(percent*100,0) , Color.GRAY);

 

[MColb]

Almost seems like you were trying to hype a product from the way you sounded like you had it but didn't have it.. aside from that point ..
since the title of this is "volume forecast" here is my version of it, obviously it wont be the same as yours since the formula is different. As others in the thread have stated, it seems more like hype that anything else, but here goes the code for whoever can find it useful.

Note: Every timeframe will be different as it "forecasts" by the closest volume bars. If you want it relative to the Daily then use the day, if you want it relative to the minute then use the minute, if you want it relative to 30 mins, then use 30 mins and so on. It "Forecasts" till the closing bell, will not factor in afterhours.

#Volume ForeCast v1.0 by XeoNoX via usethinkscript.com
#Note: Every timeframe will be different as it "forecasts" by the closest volume.
# If you want it relative to the Daily then use the day, if you want it relative to the minute then use the minute, if you want it relative to 30 mins, then use 30 mins and so on.
# It "Forecasts" till the closing bell, will not factor in afterhours.

def Daily_Total_Vol = volume(period = AggregationPeriod.DAY);
def Current_Vol = volume;
def VolAvg = Average(volume, 10);
def VolAvg2 = Average(volume, 20);
def VolAvg3 = Average(volume, 50);


def mid_vol = (
if VolAvg > VolAvg2 and VolAvg < VolAvg3 then VolAvg else
if VolAvg < VolAvg2 and VolAvg > VolAvg3 then VolAvg else

if VolAvg2 > VolAvg3 and VolAvg2 < VolAvg then VolAvg2 else
if VolAvg2 < VolAvg3 and VolAvg2 > VolAvg then VolAvg2 else

if VolAvg3 > VolAvg2 and VolAvg3 < VolAvg then VolAvg3 else
if VolAvg3 < VolAvg2 and VolAvg3 > VolAvg then VolAvg3 else volavg2 );

def vf = (mid_vol * (RegularTradingEnd(GetYYYYMMDD()) - GetTime()) / GetAggregationPeriod()) + Daily_Total_Vol;

def percent = (Daily_Total_Vol)/vf;

AddLabel (yes, "VF: " +  vf  , Color.YELLOW);

AddLabel (yes, "Volume So Far: " + Daily_Total_Vol , Color.GREEN);

AddLabel (yes, "% of VF: " + round(percent*100,0) , Color.GRAY);

I have found the 1 minute to be the most accurate after using this indicator for quite some time. Can you agree with this?

 

[mansor]

I have found the 1 minute to be the most accurate after using this indicator for quite some time. Can you agree with this?

how do you change aggregation to 1 minute? Thanks

def Daily_Total_Vol = volume(period = AggregationPeriod.DAY);

 

[XeoNoX]

I have found the 1 minute to be the most accurate after using this indicator for quite some time. Can you agree with this?

yes it was meant to be used on the one minute time frame

 

[rad14733]

how do you change aggregation to 1 minute? Thanks

def Daily_Total_Vol = volume(period = AggregationPeriod.DAY);

def Daily_Total_Vol = volume(period = AggregationPeriod.1MIN);

The only problem is that it then is not Daily_Total_Vol and also introduces other aggregation related problems...

 

[mansor]

def Daily_Total_Vol = volume(period = AggregationPeriod.1MIN);

The only problem is that it then is not Daily_Total_Vol and also introduces other aggregation related problems...

how can we fix this then? please advise