Calculating a Volume-Weighted Relative Price-Range Factor

Summary

This factor note defines a volume-weighted measure of a stock’s intraday relative price range. For each instrument and date, it calculates the high-low range divided by the opening price, weights that value by volume, and divides the summed weighted values by total volume. In principle, this gives higher-volume observations more influence while scaling the range relative to price. The post includes a SQL aggregation example and describes querying with a ten-day lookback buffer before filtering results to the requested dates.

The document gives a formula and implementation sketch but no empirical test, comparison, or evidence that the factor predicts returns. Its code groups by date and instrument, so the described calculation is a daily measure; the stated lookback buffer does not itself create a rolling ten-day factor. Practical use would require checking the data frequency, handling missing or zero opening prices and zero volume, and deciding whether a rolling aggregation is intended. The claimed interpretation as participant sensitivity is an explanation, not a demonstrated result.

Key ideas

• The factor is the volume-weighted average of each bar’s high-low range divided by its opening price.
• Higher-volume observations receive greater weight in the calculation.
• The provided query aggregates by instrument and date, yielding a daily factor value.
• A ten-day data buffer is queried, but the shown formula does not calculate a rolling ten-day measure.
• The note includes no tests showing that the factor predicts returns.

Tags

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