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Has anybody built a scan based on the Zanger Volume Ratio? As far as i know he is using the volume every 5 minutes to calculate the Avg 20 days volume in Percent. All I have is a scan for the Avg 50 days volume in % which must be higher than 150%.
[Daily Volume > Daily SMA(50,Daily Volume) * 1.50]
Can this be adapted into 5 minutes samples based on the SMA(20,Daily Volume)?
So, as I understand it, the purpose of ZVR is to identify stocks intraday that are trading at heavier than daily volume's one month average.
On Stockcharts, if you run a scan intraday, it treats the most recent intraday data update as closing data. So, if you run a scan at the session halfway point, you would multiply the volume by 2 to get an estimated total volume for the day. If you run it at the quarter session point, you would multiply by 4, etc. Of course, this assumes that volume is equally distributed throughout the day, which it isn't. But it might be useful anyway.
Let's say you decide to run a scan every half hour. To get the estimated daily volume, at each half hour, you would need to figure out how many segments have passed, divide the current volume by that number and multiply by the total number of segments. So, there are thirteen half hour segments in the trading day. At ten a.m. two segments have passed, so you divide the current volume by 2 and multiply by 13. At one pm, seven segments have passed, so divide the volume by 7 and multiply by 13. And so on. Then you would compare that number to some threshold multiple of average volume.
For instance, the 1 pm scan would be:
and [[volume/7] * 13 > sma(21,volume) * 1.5]
You could build one scan and edit it for each half hour, or build separate scans - 10 am, 1030am, 11 am, etc.
Obviously, if you want to run the scan every five minutes instead of every half hour, you could adjust the divisors and multiplier for that.
I don't use ZVR and I haven't tested this myself (other than it passes check syntax and runs), so you would have to do that.
Thanks for the detailed explanation. I have configured the first 6 scans (10:30am to 1pm), according to your recommendation and i'll test them during the next 1-2 weeks.