I have a strategy that generates too many trades. I would like to prioritize my trades by volume high. In other words if a strategy gives a buy for many stocks, I would like to assign first priority to that which has a 20 day high in volume, lower priority to a stock that only has a 15 day high in volume, lower for one with a 10 day high in volume, and lowest for one that has a 5 day high in volume. I would appreciate it if someone could show me the code for such an assignment.
Thanks,
Rich Man

What if a security has, say, a 200 day low in volume i.e. has not had a n-day high for a long time? What is the maximum and minimum lookbacks to search for the highs?

I haven't looked at lows in volume. I have found that my strategy gives better results if on the trigger day there is a high in volume and that the results improve as the look back period increases, so a 200 day high is better than a 100 day high, etc. I haven't looked at days between 100 and 200 days but the average profit per trade and profit per bar follows: 200 > 100 > 50 > 20 > 10 > 5 day high in volume. I have back tested the strategy and it generates too many trades so I am looking to limit the number with this prioritization. I guess 200 days is enough of a look back. I hope that clarifies. Thanks, Eugene.
Rich Man

If you want truly an universal solution, I'd suggest constructing an oscillator (maybe in a manner similar to Dr.Koch's NewMax which finds new highs and lows). If a quick & dirty approach would suffice, then create a sort of a "binary wave" indicator that assigns different weights to different volume extremes e.g.:

CODE:
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Hope you get the picture. This weight value can then be assigned as your position's priority.