Intraday Profiles: Individual Assets

I was expecting some differences in the profiles for differing equities.  Some of the factors that may provide differences:

  1. Liquidity
  2. Domestic or Foreign
  3. Institutional vs Individual Investor Holdings
  4. Industry?

I chose Apple (AAPL) and 2 other stocks at random with liquidity / trading volume declining from left to right { AAPL, ARO, CHT }.  Here are the Up Day charts for the high and low:

Of course looking at just one asset may not give a good read.   We may want to run on pools of stocks for a given liquidity and industry to give a better overall read.

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2 Comments

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2 responses to “Intraday Profiles: Individual Assets

  1. mg

    I get the feeling that this might vary by market regime/trend. Also, broadly speaking, the market on an intraday basis can be trending or range bound and much of the individual stock behavior, I would think, would be dependent on that.

    • tr8dr

      Regarding regime, I would think you’re right.

      With regard to trending vs range bound, to some extent would expect the categories I used for close-to-close return would capture a bit of that. A range-bound day would tend to have a small +/- return close to close, I would think. I think regime, which could include range-bound and trending in its categorization and spans multiple days, might be the better categorization. Short of regime, one does not know up front, generally, whether the day will be trending or range bound.

      Another improvement, more useful measure than highs and lows, is to observe the behavior of the volume-weighted average price relative to the close for the day. I have to decide how much to put into the analysis 😉

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