Comparing Intraday Volume with Its Time-and-Weekday Baseline

Summary

The document explains why a simple moving average of intraday volume can give misleading comparisons. Volume patterns vary across times of day, particularly across regional sessions, and can also differ by weekday. Comparing a bar with an average that mixes all hours or weekdays may therefore label activity as unusually high or low when it is typical for that specific period.

The proposed indicator builds a historical average for each combination of intraday time and weekday, then compares current volume with that matched baseline. The article illustrates the rationale with an average-volume profile for light crude oil across times and weekdays, showing substantial variation. It describes an implementation that stores observations in a time-and-weekday array and calculates the corresponding average. The document offers no quantitative test of signal quality, trading results, lookback guidance, or details about handling holidays and changing market regimes, so the baseline should be treated as a context measure rather than a validated trading signal.

Key ideas

• Intraday volume should be compared with observations from the same time of day.
• Weekday-specific volume patterns can make an all-days average misleading.
• The proposed indicator averages volume separately for each time-and-weekday combination.
• The light crude oil example illustrates variation across both dimensions.
• The document does not report tests showing that the volume comparison predicts returns.

Tags

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