I am backtesting a 1-minute strategy on a portfolio of symbols, and I'd like to avoid entering into a position if a particular symbol does not have sufficient hourly volume (calculated in USD). The issue I'm having is that many of these 1-minute bars can be 0 volume bars and aren't included in the DataSet history, so I'm not sure how to get a good approximation of "volume per hour". If I just used something like the SMA(volume, 60), it might end up looking back 6 hours instead of 1, if there's only 10 candles with volume each hour.
Any suggestions? I'd like to use a design block strategy for this, if possible. I might be missing something simple or obvious here.
Any suggestions? I'd like to use a design block strategy for this, if possible. I might be missing something simple or obvious here.
Rename
The ScaleInd Indicator could give you this:
Thank you, Glitch. It's my first time using this indicator, does the following look like it would correctly check for $10,000 total volume in the past hour, regardless of the number of 1-minute candles in that hour?
EDIT: After looking through a chart like you showed in your example, it does seem to work as needed. I suppose the only downside is that it won't react to large increases in volume until the next hourly interval. But that's probably fine in my case.
EDIT: After looking through a chart like you showed in your example, it does seem to work as needed. I suppose the only downside is that it won't react to large increases in volume until the next hourly interval. But that's probably fine in my case.
Just OR another condition that looks for a large change in Volume every bar (1 minute).
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