Building Daily Money Flow Factors from Intraday Price and Volume Data

Summary

The document asks whether minute or second level price and volume data can be aggregated into daily net flow measures for very large, large, medium, and small trades. It points readers to two implementations: a general set of high frequency factors and a factor measuring returns driven by large orders. The central idea is to use intraday observations to reconstruct daily capital flow signals.

The article itself provides no formulas, code, empirical results, or validation details; those are only referenced through external videos and shared strategy pages. It is explicitly an older implementation offered for study, so the factor definitions, data requirements, and whether they reproduce the platform’s signals cannot be assessed from this text alone.

Key ideas

• Intraday price and volume observations can be aggregated into daily capital flow factors.
• The proposed flow categories are very large, large, medium, and small trades.
• The document points to a general factor set and a large order driven return factor.
• The text does not provide the construction formulas or evidence needed to evaluate either factor.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.