% of Average Volume

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% of Average Volume (RVOL)

What it is
This indicator measures cumulative volume during pre market and separately during the first 10 minutes of trading and compares it to the average 30 day volume. This matters as a high ratio of volume within the premarket and then during the first 10 minutes of trading can correlate to a stock that has a higher probability of trending in that direction throughout the day.

What it’s meant to do

Identify abnormally high or low participation early in the day.

Normalize volume by time of session, so 9:40 volume is compared to past 9:40 volume—not to the full-day total.

Provide consistent RVOL across 1–5–15–60 minute charts (the same market state yields similar readings).

Handle pre-market cleanly (optional) without inflating RVOL.

How it works (plain English)

Cumulative Intraday Volume: Adds up all bars from the session (or pre-market, if enabled) up to “now.”

Time-Matched Baseline: For each prior day in your lookback, it accumulates only up to the same intraday minute and averages those values.

RVOL %: RVOL = (Today cumulative / Average cumulative at same time) × 100.

This “like-for-like” approach prevents the classic mistakes that overstate RVOL in pre-market or make it drift with timeframe changes.

Works best on

Intraday charts: 1, 2, 3, 4, 5, 10, 15, 30, 45, 60 min

Regular & extended hours: NYSE/Nasdaq equities, futures, ETFs

Daily/weekly views are supported for reference, but the edge comes from intraday time-matched analysis.

Tip: For thin names or very early pre-market, expect more variability—lower liquidity increases noise.

Customization (Inputs → Settings)

Lookback Sessions (e.g., 20): How many prior trading days to build the average.

Include Pre-Market (on/off): If on, RVOL accumulates from pre-market start and compares to historical pre-market at the same time; if off, it begins at the regular session open only.

Session Timezone / Exchange Hours: Choose the session definition that matches your market (e.g., NYSE) so “time-matched” means the same thing every day.

Cutoff Minute (Optional): Fix a reference minute (e.g., 6:40 a.m. PT / 9:40 a.m. ET) to evaluate RVOL at a standard check-in time.

Smoothing (Optional): Apply a short moving average to the RVOL line to reduce jitter.

Thresholds & Colors: Set levels (e.g., 150%, 300%) to color the plot/labels and trigger alerts.

Show Labels/Debug: Toggle on-chart labels (current RVOL%, baseline vols) for quick audits.

On-chart visuals & alerts

RVOL% Line/Histogram: Color-coded by thresholds (e.g., >300% “exceptional”, >150% “elevated”).

Session Markers: Optional vertical lines for pre-market/regular open.

Alerts:

RVOL Crosses Above X% (e.g., 150%, 300%)

RVOL Crosses Below X%

RVOL Rising/Falling (slope-based, optional)

Good defaults to start

Lookback: 20 sessions

Pre-market: Off for large caps, On for momentum screens

Thresholds: 150% (notable), 300% (exceptional)

Smoothing: 0–3 bars (or off for fastest response)

Notes & best practices

Timeframe consistency: Because calculations are time-matched, RVOL should remain directionally consistent across intraday timeframes. If you see divergences, confirm your session hours & timezone match your instrument’s exchange.

Holiday/half days: These are included in history; you can shorten lookback or exclude such sessions if your workflow prefers.

Low-float names: Consider a slightly longer lookback to reduce outlier effects.

TL;DR

A time-matched RVOL that treats pre-market correctly, stays stable across intraday timeframes, and is fully customizable for your exchange hours, thresholds, and alerts—so you can spot real participation when it matters.

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Versionshinweise

Updates to enable use in the pine screener.

vor 24 Minuten

Versionshinweise

Updated average volume to exclude the current day. This will ensure the % avg vol calculation remains constant after the first 10 min.