Volume Filter Experiments — SPY
Each section below applies a different definition of "unusual volume" to SPY daily data (from 1-second intraday ticks, split-adjusted). The baseline chart shows all SPY daily candles with a red signal marker on every day that the filter triggers.
Signal markers use the filter color. All charts share the same time axis so you can visually compare which filters catch the same days and which catch different patterns.
Z-Score Volume
(78 historical signals)Volume z-score ≥ 2.0 (relative to trailing 20-day mean & std). Normalizes by the stock's own volume volatility — a naturally lumpy stock needs a higher multiple to register.
SPY — Signal Days $714.24
95th Percentile Volume
(75 historical signals)Volume ≥ 95th percentile of trailing 40 days. Auto-adjusts threshold — always catches the top 5% of days regardless of how lumpy the volume distribution is.
SPY — Signal Days $714.24
3× Median (Robust)
(6 historical signals)Volume ≥ 3× trailing 20-day median. Robust to right-skewed volume distributions — a few mega-volume days won't pull the baseline up.
SPY — Signal Days $714.24
50-Day Baseline (5×)
(0 historical signals)Volume ≥ 5× trailing 50-day average. Longer lookback means each signal is rarer — roughly a 'one in two months' event vs the short 10-day window.
Dollar-Volume Surge
(2 historical signals)Dollar volume (close × shares) ≥ 3× trailing 10-day avg. Captures economic magnitude — a $900 stock with moderate share volume can carry huge dollar flow.
SPY — Signal Days $714.24
Volume×Range Product
(62 historical signals)Range × volume ≥ 3× trailing 20-day avg. Catches 'wide-range high-volume' days where neither individual metric hits 3× but the product is extreme.
SPY — Signal Days $714.24
VWAP-Deviation Footprint
(113 historical signals)Volume × |close - (high+low)/2| ≥ 3× trailing avg. Heavy volume far from the mid-price signals institutional/informed flow — the classic 'footprint' pattern.
SPY — Signal Days $714.24
Day-Over-Day Acceleration
(0 historical signals)Today's total volume ≥ 3× yesterday's (consecutive trading days only). The simplest acceleration filter — but SPY is so liquid that no single day has ever tripled the prior day's volume. More useful on individual stocks.