Volume · MNQ

Does a low-volume day on MNQ tend to precede a large range day

n low volume days

n=2572025-08-30 to 2026-09-06

n low volume days

n other days

180

low vol threshold

1,165,555.4

high range threshold

428.05

avg range after low volume

299.48

avg range after other

397.78

large range rate after low volume

18.2%

large range rate after other

35.0%

correlation prevvol range

0.38

Methodology

Analysis code was generated by an AI model up to 25 times, run in a sandbox against real MNQ 1-minute bars from 2025-08-30 to 2026-09-06, 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.

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et = to_et(bars)
rth = rth_session(et)
rth = rth.copy()
rth['date'] = trading_date(rth)

daily = rth.groupby('date').agg(
    high=('high','max'),
    low=('low','min'),
    volume=('volume','sum')
)
daily['range'] = daily['high'] - daily['low']
daily = daily.dropna()
daily = daily.sort_index()

# shift volume to previous day, align with next day's range
daily['prev_volume'] = daily['volume'].shift(1)
daily['prev_range'] = daily['range'].shift(1)

valid = daily.dropna(subset=['prev_volume','range'])

if len(valid) >= 5:
    low_vol_thresh = valid['prev_volume'].quantile(0.3)
    high_range_thresh = valid['range'].quantile(0.7)

    low_vol_days = valid[valid['prev_volume'] <= low_vol_thresh]
    other_days = valid[valid['prev_volume'] > low_vol_thresh]

    low_vol_next_range_mean = float(low_vol_days['range'].mean())
    other_next_range_mean = float(other_days['range'].mean()) if len(other_days) > 0 else None

    low_vol_large_range_rate = float((low_vol_days['range'] >= high_range_thresh).mean())
    other_large_range_rate = float((other_days['range'] >= high_range_thresh).mean()) if len(other_days) > 0 else None

    corr = float(valid['prev_volume'].corr(valid['range']))

    result = {
        'sample_size': int(len(valid)),
        'n_low_volume_days': int(len(low_vol_days)),
        'n_other_days': int(len(other_days)),
        'low_vol_threshold': float(low_vol_thresh),
        'high_range_threshold': float(high_range_thresh),
        'avg_range_after_low_volume': low_vol_next_range_mean,
        'avg_range_after_other': other_next_range_mean,
        'large_range_rate_after_low_volume': low_vol_large_range_rate,
        'large_range_rate_after_other': other_large_range_rate,
        'correlation_prevvol_range': corr,
    }
else:
    result = {
        'sample_size': int(len(valid)),
        'n_low_volume_days': 0,
        'n_other_days': 0,
        'low_vol_threshold': None,
        'high_range_threshold': None,
        'avg_range_after_low_volume': None,
        'avg_range_after_other': None,
        'large_range_rate_after_low_volume': None,
        'large_range_rate_after_other': None,
        'correlation_prevvol_range': None,
    }

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.

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This is historical statistical information only. It is not investment advice, and past performance does not indicate future results. Trading involves risk of loss.

Does a low-volume day on MNQ tend to precede a large range day

Methodology

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