Estimating Intraday Volume from Matching Times on Prior Days

Summary

This indicator estimates expected intraday volume by comparing a bar with volume recorded at the same time on prior trading days. It calculates a mean across a configurable number of observations and plots that estimate alongside upper and lower bands one standard deviation away. The lower band is floored at zero, since volume cannot be negative. The approach aims to account for the recurring time-of-day pattern that can make a conventional moving average misleading for intraday volume.

The code identifies an offset between trading days using the intraday bar index, then samples historical volume at that interval. Its usefulness depends on the data having consistent intraday bar structure and on the sampling offset correctly identifying matching times across sessions. The document does not define handling for holidays, missing bars, changing session lengths, or unusual volume distributions. It presents an indicator construction, not a trading rule, and offers no backtest or evidence that the bands predict future price movement.

Key ideas

• The indicator compares current intraday volume with volume at the same time on prior trading days.
• It computes an average and bands one standard deviation above and below that average.
• The lower band is constrained to remain at or above zero.
• Consistent bar spacing and correct session alignment are important for matching observations.
• The document provides no trading rules or performance evaluation.

Tags

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