DailyVolume on intraday study
Posted: Mar 03 2011
My study is on 1 minute data. However, I would like to know the average volume of the last 100 days, as a filter (e.g. to avoid trading those stocks with too low a volume).
The function DailyVolume (so that I could average DailyVolume[0....100]) would appear to help, but seems to return only "0".
The other alternative would be to load 100 days of 1min data, but that seems excessive! Surely there is a more elegant solution?
The function DailyVolume (so that I could average DailyVolume[0....100]) would appear to help, but seems to return only "0".
The other alternative would be to load 100 days of 1min data, but that seems excessive! Surely there is a more elegant solution?