Profiling Sigma Return Spikes by Hour and Weekday

Summary

This indicator counts when absolute hourly returns exceed a configurable multiple of recent return volatility, then allocates those spike observations across the 24 hours of the day. The user can include all weekdays or restrict the count to one selected weekday. The plotted hourly bars express each hour’s spike count as a percentage of all counted spikes, providing a descriptive profile of when unusually large moves have occurred. The author specifies that it should be used on an hourly chart.

The output is a historical frequency breakdown, not a forecast of the next spike or a tested trading strategy. The document gives no sample period, count totals, statistical significance, or evidence that the hourly pattern persists. Results depend on the threshold, weekday selection, chart’s time-zone conventions, and the instrument’s trading schedule; selecting a weekday with no data can leave the display empty. The indicator therefore supports exploratory analysis, with any timing hypothesis requiring separate validation.

Key ideas

• The indicator flags hourly returns whose absolute size exceeds a configurable multiple of recent return standard deviation.
• It groups confirmed spike observations by hour and shows each hour’s share of the total.
• Users can count all weekdays or filter the calculation to a selected weekday.
• The author specifies an hourly chart, and a weekday without data can produce no visible results.
• The display is descriptive and provides no evidence that historical spike timing predicts future moves.

Tags

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