Finding the Highest-Volume Day in a Shifted Rolling Window

Summary

This Chinese-language forum post addresses how to identify, for each stock, the day with the greatest trading volume in a prior window and retrieve that day’s closing price along with the previous day’s close. It outlines a windowing approach: shift the data by 20 trading days, then search a 30-trading-day rolling period for the maximum volume. The stated range of interest is roughly 20 to 50 trading days back.

Two implementation routes are mentioned: a custom Python module using a loop, or feature expressions. The post links to example strategy implementations and a video, but provides no code, worked output, or performance evidence in the text itself. It is a data-feature construction example rather than a tested trading signal; users would need to confirm how the platform handles window boundaries, missing observations, and the alignment of the selected day’s close with the prior close.

Key ideas

• Shift the price and volume series to focus on observations before the current date.
• Use a rolling window to locate the day with the maximum volume.
• Retrieve the selected day’s close and the close from the preceding trading day.
• The post proposes either a Python loop or feature expressions, without presenting their implementation details.

Tags

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