Volume of each day against the days before it

Each day's volume divided by the median volume of the days days before it: 2 is twice the usual volume of the time, 0.5 half of it. The median keeps a single busy day from raising the bar, and the ratio follows the index's volume as it grows over the years. Days without volume (0 or missing, as Yahoo Finance has for the earliest days of most indices, and for the VIX) are left out, and a day needs volume on two thirds of the days before it.

Usage

volume_ratio(volume, days = 30)

Arguments

volume

Numeric vector of daily volumes, sorted by date.

days

Number of days before each day to compare with.

Value

A numeric vector as long as volume, NA where there is no ratio.

Examples

golemstockindices:::volume_ratio(c(rep(100, 30), 300, 50), days = 30)
#>  [1]  NA  NA  NA  NA  NA  NA  NA  NA  NA  NA  NA  NA  NA  NA  NA  NA  NA  NA  NA  NA  NA  NA  NA  NA  NA  NA  NA  NA  NA  NA 3.0 0.5