Event days · MES
How does MES's trading volume on its 20 largest-range days compare to a typical day
130
total trading days
total trading days
130
avg volume top20 range days
1,244,127
avg volume all days
882,879.38
median volume all days
835,918.5
ratio top20 to avg
1.4%
ratio top20 to median
1.5%
avg range top20
129.83
avg range all days
68.97
Methodology
Analysis code was generated by an AI model up to 25 times, run in a sandbox against real MES 1-minute bars from 2026-03-05 to 2026-09-07, and reviewed automatically. Attempts that computed the same set of measures were grouped, and the figures shown are the median of the largest group. Agreement between attempts lowers the chance of a one-off coding slip; it does not prove the code matches the question, so the exact code is shown below.
Show the code
bars_et = to_et(bars)
rth = rth_session(bars_et)
dates = trading_date(rth)
daily = rth.groupby(dates).agg(high=('high','max'), low=('low','min'), volume=('volume','sum'))
daily['range'] = daily['high'] - daily['low']
n_days = len(daily)
if n_days == 0:
result = {"sample_size": 0}
else:
top20 = daily.sort_values('range', ascending=False).head(20)
top_n = len(top20)
avg_vol_top20 = top20['volume'].mean()
avg_vol_all = daily['volume'].mean()
median_vol_all = daily['volume'].median()
ratio_to_avg = avg_vol_top20 / avg_vol_all if avg_vol_all else None
ratio_to_median = avg_vol_top20 / median_vol_all if median_vol_all else None
result = {
"sample_size": int(top_n),
"total_trading_days": int(n_days),
"avg_volume_top20_range_days": float(avg_vol_top20),
"avg_volume_all_days": float(avg_vol_all),
"median_volume_all_days": float(median_vol_all),
"ratio_top20_to_avg": float(ratio_to_avg) if ratio_to_avg is not None else None,
"ratio_top20_to_median": float(ratio_to_median) if ratio_to_median is not None else None,
"avg_range_top20": float(top20['range'].mean()),
"avg_range_all_days": float(daily['range'].mean()),
}
- Small sample size (n=20) -- treat this result with extra caution.
- Generated by an AI model up to 25 times, run in a sandbox, and reviewed automatically; the figures above are the median of the largest group of attempts that computed the same measures. Agreement between attempts lowers the chance of a one-off coding slip -- it does not prove the code matches the question, so check the definition and code. A one-off calculation, not a permanent fixture.
Related
This is historical statistical information only. It is not investment advice, and past performance does not indicate future results. Trading involves risk of loss.