Daily Stock Volume% Applications
The following table is one of my daily report generated on 4-Mar-16. The 1st column group the stocks by range. The 2nd and the 3rd column are HSI constituents stock code and names. The last column shows the daily volume%. The second stock in the list CK Property(1113) has 264.5% volume% and that means traders in the market are in favor to this stock and the trade volume is 2.6 times higher than the average. The buy force is large and it pushes the stock price raise more than 4%.
Change Range
|
Stock Name
|
Volume%
|
|
>4%
|
494
|
Li & Fung
|
108.2%
|
>4%
|
1113
|
CK Property
|
264.5%
|
2% - 4%
|
4
|
Wharf (Hldgs)
|
127.5%
|
2% - 4%
|
11
|
Hang Seng Bank
|
208.0%
|
2% - 4%
|
12
|
Henderson Land
|
149.5%
|
2% - 4%
|
16
|
SHK Prop
|
175.3%
|
2% - 4%
|
17
|
New World Dev
|
177.5%
|
2% - 4%
|
83
|
Sino Land
|
197.2%
|
2% - 4%
|
135
|
Kunlun Energy
|
91.6%
|
2% - 4%
|
151
|
Want Want China
|
230.2%
|
2% - 4%
|
267
|
CITIC
|
112.0%
|
2% - 4%
|
322
|
Tingyi
|
120.2%
|
2% - 4%
|
688
|
China Overseas
|
145.2%
|
2% - 4%
|
836
|
China Res Power
|
92.8%
|
2% - 4%
|
883
|
CNOOC
|
186.4%
|
2% - 4%
|
992
|
Lenovo Group
|
170.2%
|
2% - 4%
|
2318
|
Ping An
|
153.6%
|
2% - 4%
|
2628
|
China Life
|
235.3%
|
2% - 4%
|
3328
|
Bankcomm
|
143.4%
|
0% - 2%
|
1
|
CKH Holdings
|
128.9%
|
0% - 2%
|
2
|
CLP Hldgs
|
91.1%
|
0% - 2%
|
3
|
HK & China Gas
|
126.4%
|
0% - 2%
|
5
|
HSBC Hldgs
|
99.8%
|
0% - 2%
|
6
|
Power Assets
|
111.7%
|
0% - 2%
|
19
|
Swire Pacific A
|
110.2%
|
0% - 2%
|
23
|
Bank of E Asia
|
99.9%
|
0% - 2%
|
27
|
Galaxy Ent
|
109.1%
|
0% - 2%
|
101
|
Hang Lung Prop
|
166.4%
|
0% - 2%
|
144
|
China Mer Hldgs
|
91.1%
|
0% - 2%
|
293
|
Cathay Pac Air
|
206.6%
|
0% - 2%
|
386
|
Sinopec Corp
|
126.8%
|
0% - 2%
|
388
|
HKEx
|
108.6%
|
0% - 2%
|
762
|
China Unicom
|
92.1%
|
0% - 2%
|
823
|
Link REIT
|
167.2%
|
0% - 2%
|
857
|
PetroChina
|
88.1%
|
0% - 2%
|
939
|
CCB
|
101.0%
|
0% - 2%
|
941
|
China Mobile
|
81.4%
|
0% - 2%
|
1088
|
China Shenhua
|
117.8%
|
0% - 2%
|
1109
|
China Res Land
|
121.3%
|
0% - 2%
|
1398
|
ICBC
|
118.1%
|
0% - 2%
|
1880
|
Belle Intl
|
71.5%
|
0% - 2%
|
1928
|
Sands China
|
93.5%
|
0% - 2%
|
2319
|
Mengniu Dairy
|
147.3%
|
0% - 2%
|
2388
|
BOC Hong Kong
|
86.3%
|
0% - 2%
|
3988
|
Bank of China
|
116.1%
|
0% - -2%
|
66
|
MTR Corporation
|
164.1%
|
0% - -2%
|
700
|
Tencent
|
123.1%
|
0% - -2%
|
1044
|
Hengan Intl
|
194.8%
|
0% - -2%
|
1299
|
AIA
|
111.6%
|
>=-4%
|
291
|
China Res Beer
|
261.1%
|
I convert the volume into percentage and make it easier for me to understand the trade volume size. If I use the actual volume figure in this report, I'll find it harder to compare the volume between stocks.
Volume% Formula
This formula use the latest trade volume compare to the Median of the latest 100 days volumes. The following is my version of Trade Volume% formula:
Unlike ADTV, I use Median instead of Average due to the fact that some of the stocks may have extreme large or small volumes in some trade days. Using Median may be more accurate to reflect the true volume.
SQL Statement for Calculating Volume%
All the stock history data are stored in the database table tblHistory and I use the following 2 SQL statements to calculate the Volume%.
This SQL statement is to copy Hong Kong Stock Exchange(388) latest 100 calendar days close prices into a data table tblClose100.
SELECT h2.Close INTO tblClose100
FROM tblHistory AS h2
WHERE h2.TradeDate>=
(
SELECT Max(h1.TradeDate)
FROM tblHistory AS h1
) -100 AND
h2.StockCode=388;
The 2nd SQL statement reads the data in the tblClose100 and then calculate the Median for a stock.
SELECT AVG(h1.Close) AS Median
FROM
(
SELECT h1.Close
FROM tblClose100 AS h1, tblClose100 AS h2
GROUP BY h1.Close
HAVING
SUM(IIF([h1].[Close]<=[h2].[Close],1,0))>=COUNT(*)/2 AND
SUM(IIF([h1].[Close]>=[h2].[Close],1,0))>=COUNT(*)/2
)
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