Intraday Volume Slope as a Daily Equity Signal

Summary

The document describes a daily factor based on the linear-regression slope of a stock’s minute-bar volume during the first 30 minutes of trading. A positive slope represents volume increasing over that window; the suggested interpretation is that early volume acceleration may reflect buying interest and help inform next-day positioning. The accompanying query calculates the slope from time and volume averages for each instrument and date.

It cites claimed China CSI 1000 results for 2018–2023, including a next-day excess-return association for rising morning volume and a five-day negative association when afternoon volume falls alongside heavy sell orders. These figures are presented without supporting methodology, sample details, or validation. There is also a mismatch between the prose, which describes significance filtering using a t-statistic and neutralizing insignificant trends, and the supplied calculation, which returns only the raw slope from morning bars. The code’s comments also describe a different factor, so the implementation and claims should be checked before use.

Key ideas

• The factor is the regression slope of minute-bar volume against time during the first 30 minutes of the session.
• A positive slope is interpreted as increasing early-session trading activity and possible buying interest.
• The document reports associations with subsequent returns but does not provide enough detail to assess their robustness.
• The described significance filter is absent from the supplied slope calculation, which returns a raw estimate.

Tags

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