Constructing a Volatility-to-Turnover Feature and Investigating Missing Index Data

Summary

This forum post describes a feature calculated from the 000300.HIX index data. It derives daily returns from the close, calculates a rolling standard deviation over 250 observations, and divides that volatility measure by average turnover over the same window, with a scaling factor. The author says the resulting chart is missing data over a multi-year interval and asks for help identifying the cause.

The post provides the input fields and feature formula, but no replies or diagnosis. It therefore documents a feature construction and a data-coverage problem rather than a resolved method. The missing interval is reported as spanning April 2017 through August 2020; the text does not establish whether the issue comes from the source data, rolling calculations, or another part of the workflow.

Key ideas

• The feature uses daily close-to-close returns to estimate rolling volatility.
• It compares rolling volatility with average turnover over a 250-observation window.
• The author reports missing chart data from April 2017 through August 2020.
• No explanation or fix for the missing interval is supplied.

Tags

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