Opening Volume

Can today's total volume be predicted from the opening 5 minutes volume? If the first 5 minutes volume is 50% greater than yesterdays volume during that same period, what chance will todays total volume be 50% greater than yesterdays?
Has anyone checked this out? Thanks; JJ

 

Is there no interest in predicting the present day volume among the traders here???
JJ

 

Everybody would love to be able to predict volume or anything else about the market.

 

Until they start trading an index based on volume I wouldn't get to concerned.

 

I believe that the volume in relation to the market is
of more concern. Predicting the daily volume based
on the first 5 minutes for a single equity may be difficult.
On a generally high volume day it may be high & visa-versa.

A better predictor would be the ratio of the volume of the
a single stock related to the overall volume of the market
or sector.. based on historical information. This can be expressed
as a ratio. On days that the ratio is out of alignment it is more
likely that something will bust loose in the stock for a greater
than average move.

One key to trading is to spot events that are out of the norm
for the market. These events will eventually correct themselves,
but in the short term there is the possibility of a good profit by
forming the right play. Volume is just one of the indicators that
can show a trader when something is out of alignment.....
however betting on the daily volume based on the first 5
minutes would have to go through a historical analysis to
determine if it had any key benefits for tradable moves to
the equity during the remainder of the session.

- Greg

 

Greg; Good point. Check out yesterday's first 30 min. in IBM. Almost 4 mil traded, 1.6 in a single 5 min. period, took market right down to move low, then selling exhausted, led to light volume 6% move up.

 

I'm a swing trader and have noticed that on days with heavier volume for an individual issue, that issue tends to move up in price. With lower volume it tends to move lower in price.
That's why I'm interested in predicting volume as the previous day's volume has no correlation to today's price movement.
JJ

 

JJ,

This fits the theory... if there is greater volume then there
is greater interest and the price will go up. If there is less volume
then there is less interest and the price will go down.

In practical reality however, I would do a historical study on
the equities you are interested in regarding this phenomenon.
Determine the average opening 5 minute and daily volumes
for the stock under study. Find the days where the volume is
x% (20?) greater or lower at the open... then find if the stock
went up or down by Y percentage on these days. You will have
to adjust your volume over time with a 100 day moving average
(or something similar) because normal volume does change
based on the market. See if the results indicate something
that varies greatly from 50% up and 50% down... then you may
be on to something.... it may vary from stock to stock.

This type of study is easy to through together on a spreadsheet.
If you include ratios of the volume to the overall market or your
sector then you may even get better results. It all comes down
to looking for patterns out of the ordinary that get corrected by
market forces. The patterns should based on historical evidence,
and a trading strategy created based on them.

- Greg

 

Thank's for the advice! I have dayly data that goes back 25 years for 100 equities and have based my studies on that. I have recently subscribed to "quotelinks" and I am saving intraday data within the first 30 minutes of trading each day. Obviously this would take years for any results; I am hoping I can find some correlation between opening volume and total volume. I could then trade with more confidence with this system.
JJ

 

For those of you who may be interested in volume. I ran a study over the last couple of weeks to see if there is any corellation between opening volume and total volume: I found none. For stocks whose opening volume was over the average; the final volume was 1.1 of the average final volume with about 50% over and 50% under. For stocks whose opening volume was less than the average; the final volume was .9 of the average final volume and had a breakdown of also 50%, 50%.
I ran fruther tests at 5 min intervals and the r^2 improved up to about .35 for volume at 10am. The final volume average stayed about the same as above.
Hope this is informative for those who look at volume.
JJ