Nov 23, 2011

Volume by Price Charts using R

R-Bloggers is a wonderful site which offers some great ideas for analysis.

While I have been busy of late, hence could not do much with R, I was inspired by this post by Eric Nguyen on Volume by Price chart. 

This chart can be used with a great effect in ones trading strategies. It helps in identifying the support and resistance zones, and a breakout from these levels used as entry/exit points

Extending the work done by Eric, and making few changes in his original code, here is what I have achieved.

Reliance EOD Volume by Price chart

It can now be visually observed the role of volume in providing support/resistance zones.

Future Work: Make animation-like effect to show case the strength offered by volumes at various price levels over a period of time.

Not the best way to code, here is the workable version for more experimentation and extension

It can also be downloaded from here

library(quantmod)
###############################################################
 
#Original Code
#http://blog.datapunks.com/2011/10/volume-by-price-charts-with-r-first-attempt/
 
#Change the ticker to get chart of any "yahoo" symbol
ticker = "RELIANCE.NS" 
symbol <- getSymbols(ticker)
stock <- xts(get(symbol))
 
#remove stock name
names(stock)[names(stock)==paste(symbol,'.Open',sep="")] <- 'Open' 
names(stock)[names(stock)==paste(symbol,'.Close',sep="")] <- 'Close' 
names(stock)[names(stock)==paste(symbol,'.Volume',sep="")] <- 'Volume' 
names(stock)[names(stock)==paste(symbol,'.Adjusted',sep="")] <- 'Adjusted' 
names(stock)[names(stock)==paste(symbol,'.High',sep="")] <- 'High' 
names(stock)[names(stock)==paste(symbol,'.Low',sep="")] <- 'Low'
 
#Add Positive and Negative Volumes
stock$posVbP <- Vo(stock[which(Lag(Cl(stock)) <= Cl(stock))])
stock$negVbP <- Vo(stock[which(Lag(Cl(stock)) > Cl(stock))])
 
 
 
#Since NAs got generated, replace NAs with 0.
stock[is.na(stock)] <- 0
 
#Subset for data since May 2011
myQ <- stock['2011-06::']
 
 
#Define function to add positive and negative volumes by prices
pVolBlock <- function(x) sum(myQ$posVbP[myQ$t==x])
nVolBlock <- function(x) sum(myQ$negVbP[myQ$t==x])
 
funcPriceByVol <- function(x){
 myDiv <- 50         #Divisor for stock
 myQHi <- as.integer(ceiling(max(Cl(myQ))/myDiv)*myDiv)  #Identify High of Series
 myQLo <- as.integer(floor(min(Cl(myQ))/myDiv)*myDiv) #Identify Low of Series
 
 myBreaks <- as.integer(seq(myQLo, myQHi, by=myDiv))  #Create Breaks of interval divisor
 
 # Identify and assign price intervals
 myQ$t <<- myBreaks[findInterval(myQ$Close,myBreaks,all.inside=T)]
 
 myVolsP <- unlist(lapply(myBreaks,pVolBlock)) #Add Positive Volumes to block
 myVolsN <- unlist(lapply(myBreaks,nVolBlock)) #Add Negative Volumes to block
 myVols <- rbind(myVolsP,myVolsN)   #Bind the Positive and Negative Volumes
 colnames(myVols) <- myBreaks    #Define Column Naes
 x=myVols
}
 
myPBV <- funcPriceByVol()
 
 
#lets Plot the graph now
 
  plot(Cl(myQ),yaxt="n", ylab="",xlab="Time",
  ylim=c(min(as.integer(colnames(myPBV))),max(as.integer(colnames(myPBV)))),
  main=paste(ticker, "Close:- Volume by Price"),sub="Market Analyzer http://mypapertrades.blogspot.com/")
 axis(side=2,las=1)
 par(new=T)
 barplot(height=myPBV, 
  beside=F,horiz=T, col=c(rgb(0,1,0,alpha=.3),rgb(1,0,0,alpha=.3)),
  xlim=c(0,max(myPBV[1,]+myPBV[2,])*1.1), 
  space=10, width=3,xaxt="n",yaxt="n",
  las=2)


2 comments:

  1. Very Nice work! Myself Selva. Would like to work with you if you are still interested in this area. a fan of R and interested in computational finance!

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  2. Is really good, I love your website! Thank you so much for sharing and imparting.
    Stochastic Oscillator Analyzer

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