Forecasting Daily Volume from Same-Weekday Historical Averages
Summary
The indicator estimates current and upcoming daily volume by averaging historical observations from the same weekday. Users choose the number of weeks to include and whether to display tick volume or real volume. The plotted average can be compared with current volume to gauge whether market activity is above or below its weekday-specific norm.
The actual sample may be shorter than requested when the terminal lacks enough stored history; a tooltip reports how many weeks were available. An optional median filter smooths the average line, but may also flatten meaningful volume spikes and is disabled by default. The document offers no forecast accuracy tests or evidence of trading performance. It also notes that comparisons are most interpretable when the data provider’s volume methodology has remained consistent, and suggests forecast values as possible inputs to neural-network training.
Key ideas
- The forecast averages historical volume observations from the same weekday.
- Users can select tick or real volume and set the requested averaging period.
- Limited chart history can reduce the number of observations actually used.
- A median filter can smooth the average but may suppress significant peaks.
- Provider changes to volume calculation can weaken comparisons over time.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.