RelativeVolume — Relative Volume

Volume as a multiple of its own N-bar average: 2.0 means twice the usual participation. The cleanest “is anyone here” test there is, and dimensionless, so the same thresholds work on any instrument.

Signature

RelativeVolume(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Averaging window. Default 20, bounds 1–400.
on=	symbol	No	Source symbol. Defaults to the trade symbol. Reads volume.

Formula

$$ \text{RelVol} = \frac{V_t}{\text{SMA}(V, n)} $$

Warmup

period bars; the average uses the bars available before that.

Reading the value

rv.value
rv > 1.5

Example

class ParticipationGate(Strategy):
    """Require above-average participation for any entry."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        rv = RelativeVolume(20, on=self.trade)
        sma = SMA(50, on=self.trade)
        if rv.value > 1.5 and self.trade.close > sma.value and self.trade.is_flat:
            self.buy(self.trade, reason=f"RelVol {rv.value:.2f}")
        if rv.value < 0.7 and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Participation gone")

Notes

• Note the window includes the current bar, so a single enormous bar raises its own denominator slightly — the reading is conservative by construction.