Volume zscore clip
How unusual this bar's volume is against the recent average, in standard deviations, from 0 to 3.
For each one-minute bar it takes the volume, subtracts the average volume over the last window bars (960 by default), and divides by the sample standard deviation of those bars. That gives a z-score, where 1 means one standard deviation above the recent average. The result is clipped to clip_min through clip_max, which at defaults is 0 to 3: every bar at or below average reads 0, and anything above 3 reads 3.
How to read it
- The line sits in its own pane below the price: flat at 0 on quiet bars, rising on each volume burst.
- Half the bars read exactly 0, so the line sits on the floor most of the time; the bumps above it are the signal.
- Above 1 is a bar one standard deviation heavier than average. The 95th percentile here is about 0.96, so such bars are under 5% of the sample.
- Read a burst against the candles: it marks heavy trading and says nothing about whether price went up or down.
What it outputs
- Volume z-score
- This bar's volume against its recent average in standard deviations, from 0 (at or below average) up to 3 (the clip ceiling).
Settings
- window
- Bars in the average and spread (960 by default, 16 hours of one-minute bars). Raising it gives a steadier, slower baseline; lowering it tracks recent bars, so spikes shrink as the average catches up. At 1 every bar goes blank.
- clip_min
- Floor for the z-score (0 by default), so every bar below this reads this value. At 0 all below-average bars sit flat on the line. At -1 they dip below it, so quiet bars show. Above 0 it flattens more bars onto one level.
- clip_max
- Ceiling for the z-score (3 by default); bars above it read exactly this value. Lowering it, say to 1, flattens everything above one standard deviation. Raising it, up to 301, shows the full size of volume bursts that the default cuts at 3.
Pitfalls
- Volume alone does not say which way price moved: its correlation with the close is about zero in this sample, so a burst is heavy trading, not a buy or a sell.
- Half the bars read exactly 0 at defaults, and the first 960 bars plus any window where volume never varies are blank, so the line is often flat or empty.
- Each bar is scored against a window that includes the bar itself, so a spike lifts its own average and spread; the effect is larger with short windows.