Volume (ROC) Rate of Change

pegasis

Member
Hello

is there a good strategy for Volatility rate of change?

or a good indicator to use for scans for vol rate of change?

Thanks
 
I wanted to create a volume rate of change percentile indicator. This indicator works on just about everything but not on options (like ticker .SPXW211011P4255). The standard Volume Rate of Change Indicator works, but not the percentile.

Does anyone know why that would be? Any help is greatly appreciated!

Code:
#Volume Rate of Change Percentile

declare lower;

input TimePeriod = 252;
input length = 14;
input colorNormLength = 14;

assert(length > 0, "'length' must be positive: " + length);

def VROC = if volume[length] <> 0 then (volume / volume[length] - 1) * 100 else 0;

def data = if !IsNaN(VROC) then VROC else VROC[-1];
def hi = Highest(data, TimePeriod);
def lo = Lowest(data, TimePeriod);
plot Percentile = (data - lo) / (hi - lo) * 100;
def lowend = Percentile < 25;
def highend = Percentile > 50;

input high_range = 95;
input low_range = 5;
 

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