OPEN-SOURCE SCRIPT

CNS - zVol

168
Normalized volume using the Z-score of a lookback period "X" for each time slice.

So if you are on a 5-minute chart, and it is 9:30am, it calculates the standard deviation of the current volume from the mean volume for that time slice (9:30-9:35am) over X number of days.

It was designed to filter out the noise of volume spikes that occur at market open/close, power hour, etc.

I believe the default lookback period is set to 20 days. I often use 14.

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