Strategies based on abnormally high volumes
Posted: Sun Jan 28, 2007 12:12 pm
Did someone backtest on US mid caps (let's say between 3 and 15 billions capitalization) the following idea:
Whenever the daily volume is significantly above the average (let's say 4 times bigger than the quarterly average) and if there are no news on the market, then play the trend. Exit when the news come or after a significant profit(loss) has been locked in.
It typically looks to work quite well a few days before the announcement of quarterly results when some insiders trade for massive amounts in one direction. But I have troubles to backtest it extensively on the 300-400 considered stocks
Shivar
Whenever the daily volume is significantly above the average (let's say 4 times bigger than the quarterly average) and if there are no news on the market, then play the trend. Exit when the news come or after a significant profit(loss) has been locked in.
It typically looks to work quite well a few days before the announcement of quarterly results when some insiders trade for massive amounts in one direction. But I have troubles to backtest it extensively on the 300-400 considered stocks
Shivar