{ "about": "Volume study, 345 Strategies (https://345strategies.com/research/volume). For each question (id) and test (h), per market and period: a = group A average, b = group B average (R per trade net of costs, or for H9 percent of days closing beyond the level), d = a - b, t = session-clustered t, se = standard error of d, na/nb = trades (days for H9). Luck range = d +/- 1.96 se. Periods: dev = 2018-2022 (Bitcoin Binance 2020-2022), holdout = 2023-2026. Stocks (stk) = AAPL, MSFT, NVDA, AMZN, TSLA pooled, May 2018 to October 2026, 0.02% round-trip cost. gd/gt/gse = Bitcoin and stocks before costs. Research-only, not advice.", "published": "2026-10-25", "url": "https://345strategies.com/research/volume", "questions": [ { "id": "setup", "question": "Does a high-volume setup bar make the break more likely to work?", "answer": "No. On NQ, ES and SPY, breaks from a high-volume setup bar finished within 0.05R per trade of breaks from a low-volume one, inside the range luck alone produces. That held for 2-1-2 and 3-1-2 setups too. On five large stocks, high-volume setup bars did 0.05R better in 2023-2026 but only 0.01R better in 2018-2022, and before trading costs the later gap halves and falls inside luck: the same cost arithmetic as Bitcoin.", "tests": [ { "h": "H1", "label": "Every break", "A": "High volume", "B": "Low volume" }, { "h": "s_212", "label": "2-1-2 only", "A": "High volume", "B": "Low volume" }, { "h": "s_312", "label": "3-1-2 only", "A": "High volume", "B": "Low volume" } ] }, { "id": "breakout", "question": "Does heavy volume on the breakout confirm the move?", "answer": "No. Heavy volume on the breakout minute, or on the breakout bar so far, did not separate breaks that ran from breaks that failed. The later-years gaps run from \u22120.02R to +0.03R on NQ, ES, SPY and five large stocks.", "tests": [ { "h": "H2", "label": "The breakout minute", "A": "High volume", "B": "Low volume" }, { "h": "H3", "label": "The breakout bar so far", "A": "High volume", "B": "Low volume" } ] }, { "id": "day", "question": "Do breakouts work better on high-volume days?", "answer": "No. Breaks taken on busy sessions and quiet sessions finished about the same on every index market and on five large stocks, in both periods.", "tests": [ { "h": "H4", "label": "Session volume so far", "A": "High volume", "B": "Low volume" } ] }, { "id": "side", "question": "Does volume leaning your way help (buying volume on a long, selling volume on a short)?", "answer": "No. It looked slightly helpful on futures in the early years, then not in the later ones, and SPY went the opposite way. On stocks it did nothing in either period. Once you know whether the setup bar's minutes went up or down, weighting them by volume adds nothing.", "tests": [ { "h": "H5", "label": "Setup bar", "A": "Volume your way", "B": "Volume against you" } ] }, { "id": "tfc", "question": "With full timeframe continuity, does high volume add anything?", "answer": "No. With the 60-minute, daily and weekly bars all on the trade's side, high-volume setups did slightly worse than low-volume ones in all six index market-and-period cells, though none by more than luck explains. On stocks high volume leaned slightly better (+0.03R), also within luck, and the lean disappears before costs.", "tests": [ { "h": "H6", "label": "Setup bar volume", "A": "High volume", "B": "Low volume" }, { "h": "s_tfc_trig", "label": "Breakout minute volume", "A": "High volume", "B": "Low volume" } ] }, { "id": "spike", "question": "Is a 2-2 reversal off a volume spike more reliable?", "answer": "Not reliably. In the later years spike reversals did a little better on all three index markets and on stocks, but every gap sits inside the luck range, a fresh check on 2026 data did not confirm it, and on stocks spike reversals did clearly worse in 2018-2022.", "tests": [ { "h": "H8", "label": "2-2 reversals", "A": "Spike setup bar", "B": "Other 2-2s" } ] }, { "id": "pdhl", "question": "Does a high-volume break of yesterday's high or low hold?", "answer": "No, if anything the opposite. High-volume breaks held into the close 4 to 9 points less often than low-volume ones, then went the other way on five symbols the pattern wasn't found on. On five large stocks there was no difference either way.", "tests": [ { "h": "H9", "label": "Yesterday's high or low", "A": "High volume", "B": "Low volume" } ] }, { "id": "fakeout", "question": "Are low-volume breakouts more likely to be fakeouts?", "answer": "No. Breakouts on the quietest third of breakout minutes reached +1R before the stop 49.6% to 51.3% of the time on NQ, ES and SPY, the same as the busiest third (49.1% to 51.5%). On five large stocks it was 50% to 51% either way. Their average result per trade was the same too.", "tests": [ { "h": "s_hit_rv_trig", "label": "Reached +1R before the stop", "A": "Low volume", "B": "High volume" }, { "h": "H2", "label": "Average result per trade", "A": "Low volume", "B": "High volume" } ] }, { "id": "quietsetup", "question": "Does a quiet setup bar mean nobody is behind the move?", "answer": "No. Breaks from the quietest setup bars averaged \u22120.03R to +0.03R per trade on NQ, ES and SPY, within luck of breaks from the busiest ones, and reached +1R first just as often. The one exception: on five large stocks in 2023-2026, the quietest setup bars reached +1R first slightly less often (49.6% against 51.0%), a gap that was absent in 2018-2022.", "tests": [ { "h": "H1", "label": "Average result per trade", "A": "Low volume", "B": "High volume" }, { "h": "s_hit_rv_c1", "label": "Reached +1R before the stop", "A": "Low volume", "B": "High volume" } ] }, { "id": "quietday", "question": "Should you skip breakouts on low-volume days?", "answer": "Not on this evidence. Breaks taken on the quietest sessions finished within about 0.05R per trade of breaks on the busiest sessions, on every index market and on five large stocks, in both periods.", "tests": [ { "h": "H4", "label": "Average result per trade", "A": "Low volume", "B": "High volume" }, { "h": "s_hit_rv_day", "label": "Reached +1R before the stop", "A": "Low volume", "B": "High volume" } ] }, { "id": "pullback", "question": "Does low volume on a pullback (inside bar) mean the trend will continue?", "answer": "No. Inside bars where volume dried up (quietest quarter) broke no better than other inside bars: \u22120.03R on NQ, +0.09R on ES and \u22120.07R on SPY and \u22120.03R on five large stocks in the later years, all inside the luck range.", "tests": [ { "h": "H7", "label": "Inside bar, then the break", "A": "Volume dried up", "B": "Other inside bars" } ] }, { "id": "quietpdhl", "question": "Does a low-volume break of yesterday's high or low fail?", "answer": "No, the reverse. Low-volume breaks of yesterday's high or low held into the close more often than high-volume ones on NQ, ES and SPY (59% to 69% of days against 55% to 60%). The later-years gaps were within luck, the pattern flipped on new symbols, and on five large stocks there was no difference.", "tests": [ { "h": "H9", "label": "Yesterday's high or low", "A": "Low volume", "B": "High volume" } ] } ], "markets": { "nq": "Nasdaq-100 futures", "es": "S&P 500 futures", "spy": "S&P 500 ETF", "btc": "Bitcoin, Binance", "btccb": "Bitcoin, Coinbase", "stk": "Five large stocks (AAPL, MSFT, NVDA, AMZN, TSLA), pooled" }, "results": { "H1": { "nq": { "dev": { "d": 0.0047, "t": 0.12, "se": 0.0397, "a": 0.0339, "b": 0.0292, "na": 13849, "nb": 13849 }, "holdout": { "d": 0.0496, "t": 1.03, "se": 0.048, "a": 0.0459, "b": -0.0037, "na": 9247, "nb": 9866 } }, "es": { "dev": { "d": 0.0665, "t": 1.24, "se": 0.0535, "a": 0.0321, "b": -0.0344, "na": 8193, "nb": 8193 }, "holdout": { "d": 0.0099, "t": 0.2, "se": 0.0502, "a": -0.0186, "b": -0.0284, "na": 8936, "nb": 8672 } }, "spy": { "dev": { "d": 0.0116, "t": 0.27, "se": 0.0424, "a": 0.0008, "b": -0.0108, "na": 12656, "nb": 12656 }, "holdout": { "d": 0.0138, "t": 0.26, "se": 0.0534, "a": 0.0106, "b": -0.0032, "na": 7977, "nb": 8561 } }, "btc": { "dev": { "d": 0.2037, "t": 3.51, "se": 0.058, "a": -0.0657, "b": -0.2694, "na": 37669, "nb": 37669, "gd": 0.0862, "gt": 1.5, "gse": 0.0575 }, "holdout": { "d": 0.1362, "t": 3.03, "se": 0.0449, "a": -0.208, "b": -0.3442, "na": 52579, "nb": 36785, "gd": -0.0051, "gt": -0.1, "gse": 0.051 } }, "btccb": { "dev": { "d": 0.1817, "t": 3.16, "se": 0.0574, "a": -0.0217, "b": -0.2034, "na": 57678, "nb": 57678, "gd": 0.103, "gt": 1.8, "gse": 0.0572 }, "holdout": { "d": 0.162, "t": 3.21, "se": 0.0504, "a": -0.1519, "b": -0.3138, "na": 36424, "nb": 45971, "gd": 0.025, "gt": 0.5, "gse": 0.05 } }, "stk": { "dev": { "d": 0.0101, "t": 0.45, "se": 0.0222, "a": 0.0169, "b": 0.0068, "na": 60535, "nb": 60535, "gd": -0.0147, "gt": -0.67, "gse": 0.0219 }, "holdout": { "d": 0.0479, "t": 2.27, "se": 0.0211, "a": -0.033, "b": -0.0808, "na": 46568, "nb": 49694, "gd": 0.0243, "gt": 1.16, "gse": 0.0209 } } }, "s_212": { "nq": { "dev": { "d": -0.055, "t": -0.77, "se": 0.0715, "a": -0.0144, "b": 0.0406, "na": 1011, "nb": 1983 }, "holdout": { "d": 0.0076, "t": 0.07, "se": 0.1082, "a": 0.0016, "b": -0.006, "na": 530, "nb": 1433 } }, "es": { "dev": { "d": 0.1345, "t": 1.19, "se": 0.113, "a": 0.0738, "b": -0.0607, "na": 607, "nb": 1187 }, "holdout": { "d": -0.0983, "t": -0.99, "se": 0.0997, "a": -0.1011, "b": -0.0029, "na": 561, "nb": 1331 } }, "spy": { "dev": { "d": 0.0498, "t": 0.61, "se": 0.0822, "a": 0.0545, "b": 0.0047, "na": 936, "nb": 1666 }, "holdout": { "d": 0.0077, "t": 0.07, "se": 0.1163, "a": -0.0351, "b": -0.0428, "na": 478, "nb": 1121 } }, "btc": { "dev": { "d": 0.2736, "t": 2.87, "se": 0.0952, "a": -0.0526, "b": -0.3263, "na": 4003, "nb": 6109 }, "holdout": { "d": 0.1007, "t": 1.61, "se": 0.0625, "a": -0.2758, "b": -0.3765, "na": 5757, "nb": 5209 } }, "btccb": { "dev": { "d": 0.189, "t": 2.29, "se": 0.0825, "a": -0.0443, "b": -0.2333, "na": 6823, "nb": 8882 }, "holdout": { "d": 0.1023, "t": 1.52, "se": 0.0674, "a": -0.1941, "b": -0.2964, "na": 3912, "nb": 6095 } }, "stk": { "dev": { "d": -0.0021, "t": -0.05, "se": 0.0403, "a": 0.0024, "b": 0.0044, "na": 4695, "nb": 9559 }, "holdout": { "d": 0.0441, "t": 1.04, "se": 0.0423, "a": -0.0521, "b": -0.0963, "na": 3466, "nb": 7592 } } }, "s_312": { "nq": { "dev": { "d": 0.0456, "t": 0.32, "se": 0.1436, "a": 0.0446, "b": -0.001, "na": 190, "nb": 357 }, "holdout": { "d": -0.0781, "t": -0.51, "se": 0.1527, "a": -0.1898, "b": -0.1116, "na": 102, "nb": 305 } }, "es": { "dev": { "d": 0.2531, "t": 1.32, "se": 0.1922, "a": 0.0149, "b": -0.2382, "na": 108, "nb": 205 }, "holdout": { "d": -0.3361, "t": -1.58, "se": 0.2122, "a": -0.2275, "b": 0.1087, "na": 97, "nb": 229 } }, "spy": { "dev": { "d": 0.1782, "t": 0.95, "se": 0.1875, "a": 0.1406, "b": -0.0376, "na": 147, "nb": 265 }, "holdout": { "d": 0.0385, "t": 0.19, "se": 0.1982, "a": -0.1402, "b": -0.1786, "na": 82, "nb": 190 } }, "btc": { "dev": { "d": 0.2263, "t": 1.19, "se": 0.1901, "a": 0.0605, "b": -0.1658, "na": 651, "nb": 1386 }, "holdout": { "d": -0.0057, "t": -0.04, "se": 0.1521, "a": -0.1984, "b": -0.1927, "na": 802, "nb": 1091 } }, "btccb": { "dev": { "d": 0.1876, "t": 1.21, "se": 0.1551, "a": 0.0508, "b": -0.1368, "na": 905, "nb": 1759 }, "holdout": { "d": 0.1213, "t": 0.78, "se": 0.1547, "a": -0.1752, "b": -0.2965, "na": 558, "nb": 1208 } }, "stk": { "dev": { "d": -0.1691, "t": -1.9, "se": 0.0889, "a": -0.0931, "b": 0.076, "na": 530, "nb": 1124 }, "holdout": { "d": -0.1218, "t": -1.32, "se": 0.0921, "a": -0.1463, "b": -0.0245, "na": 402, "nb": 1009 } } }, "H2": { "nq": { "dev": { "d": -0.0233, "t": -0.72, "se": 0.0323, "a": 0.0311, "b": 0.0543, "na": 13849, "nb": 13849 }, "holdout": { "d": 0.0296, "t": 0.83, "se": 0.0357, "a": 0.0343, "b": 0.0047, "na": 8817, "nb": 11227 } }, "es": { "dev": { "d": -0.0333, "t": -0.75, "se": 0.0447, "a": -0.0209, "b": 0.0124, "na": 8193, "nb": 8193 }, "holdout": { "d": 0.0177, "t": 0.42, "se": 0.0421, "a": -0.0056, "b": -0.0233, "na": 8481, "nb": 9350 } }, "spy": { "dev": { "d": -0.0398, "t": -1.15, "se": 0.0345, "a": -0.0153, "b": 0.0245, "na": 12656, "nb": 12656 }, "holdout": { "d": -0.0161, "t": -0.36, "se": 0.0451, "a": 0.0058, "b": 0.0219, "na": 7509, "nb": 9669 } }, "btc": { "dev": { "d": 0.1331, "t": 3.29, "se": 0.0405, "a": -0.111, "b": -0.244, "na": 37669, "nb": 37669, "gd": 0.0322, "gt": 0.8, "gse": 0.0402 }, "holdout": { "d": 0.1029, "t": 3.33, "se": 0.0309, "a": -0.2025, "b": -0.3053, "na": 44364, "nb": 43900, "gd": -0.0146, "gt": -0.5, "gse": 0.0292 } }, "btccb": { "dev": { "d": 0.1531, "t": 3.51, "se": 0.0436, "a": -0.0356, "b": -0.1886, "na": 57678, "nb": 57678, "gd": 0.0823, "gt": 1.9, "gse": 0.0433 }, "holdout": { "d": 0.1028, "t": 2.9, "se": 0.0355, "a": -0.2045, "b": -0.3073, "na": 30143, "nb": 49828, "gd": -0.0115, "gt": -0.3, "gse": 0.0383 } }, "stk": { "dev": { "d": 0.0422, "t": 2.49, "se": 0.0169, "a": 0.0385, "b": -0.0037, "na": 60535, "nb": 60535, "gd": 0.0213, "gt": 1.26, "gse": 0.0169 }, "holdout": { "d": 0.0215, "t": 1.24, "se": 0.0173, "a": -0.0436, "b": -0.0651, "na": 41612, "nb": 56351, "gd": -0.0014, "gt": -0.08, "gse": 0.0175 } } }, "H3": { "nq": { "dev": { "d": -0.0041, "t": -0.11, "se": 0.0369, "a": 0.0371, "b": 0.0412, "na": 13849, "nb": 13849 }, "holdout": { "d": 0.0103, "t": 0.26, "se": 0.0393, "a": 0.0132, "b": 0.0029, "na": 9128, "nb": 10188 } }, "es": { "dev": { "d": 0.0222, "t": 0.45, "se": 0.0499, "a": 0.0063, "b": -0.0159, "na": 8193, "nb": 8193 }, "holdout": { "d": 0.0131, "t": 0.29, "se": 0.0455, "a": -0.0182, "b": -0.0313, "na": 8754, "nb": 8813 } }, "spy": { "dev": { "d": -0.0164, "t": -0.43, "se": 0.0384, "a": -0.0001, "b": 0.0163, "na": 12656, "nb": 12656 }, "holdout": { "d": -0.0127, "t": -0.26, "se": 0.0486, "a": 0.0043, "b": 0.017, "na": 8021, "nb": 8733 } }, "btc": { "dev": { "d": 0.1761, "t": 3.32, "se": 0.0531, "a": -0.0921, "b": -0.2682, "na": 37669, "nb": 37669, "gd": 0.072, "gt": 1.4, "gse": 0.0514 }, "holdout": { "d": 0.16, "t": 4.23, "se": 0.0378, "a": -0.1867, "b": -0.3467, "na": 47522, "nb": 40703, "gd": 0.0324, "gt": 0.9, "gse": 0.036 } }, "btccb": { "dev": { "d": 0.1751, "t": 3.53, "se": 0.0496, "a": -0.025, "b": -0.2, "na": 57678, "nb": 57678, "gd": 0.1028, "gt": 2.1, "gse": 0.049 }, "holdout": { "d": 0.1685, "t": 4.11, "se": 0.041, "a": -0.1496, "b": -0.3182, "na": 34866, "nb": 47069, "gd": 0.0447, "gt": 1.1, "gse": 0.0406 } }, "stk": { "dev": { "d": 0.0262, "t": 1.33, "se": 0.0196, "a": 0.0275, "b": 0.0013, "na": 60535, "nb": 60535, "gd": 0.0052, "gt": 0.27, "gse": 0.0193 }, "holdout": { "d": 0.027, "t": 1.4, "se": 0.0193, "a": -0.0516, "b": -0.0786, "na": 45466, "nb": 51406, "gd": 0.0056, "gt": 0.29, "gse": 0.0193 } } }, "H4": { "nq": { "dev": { "d": -0.0077, "t": -0.17, "se": 0.045, "a": 0.0378, "b": 0.0455, "na": 13849, "nb": 13849 }, "holdout": { "d": -0.0012, "t": -0.02, "se": 0.0618, "a": 0.0311, "b": 0.0323, "na": 9194, "nb": 9465 } }, "es": { "dev": { "d": 0.0173, "t": 0.28, "se": 0.0618, "a": 0.0049, "b": -0.0124, "na": 8193, "nb": 8193 }, "holdout": { "d": 0.0073, "t": 0.11, "se": 0.0646, "a": -0.0273, "b": -0.0347, "na": 9746, "nb": 8301 } }, "spy": { "dev": { "d": -0.0542, "t": -1.06, "se": 0.0513, "a": -0.0226, "b": 0.0317, "na": 12656, "nb": 12656 }, "holdout": { "d": -0.0209, "t": -0.33, "se": 0.0635, "a": -0.0045, "b": 0.0164, "na": 8436, "nb": 8399 } }, "btc": { "dev": { "d": 0.076, "t": 1.03, "se": 0.074, "a": -0.1296, "b": -0.2057, "na": 37669, "nb": 37669, "gd": 0.0003, "gt": 0.0, "gse": null }, "holdout": { "d": 0.0335, "t": 0.54, "se": 0.0624, "a": -0.2453, "b": -0.2788, "na": 59297, "nb": 33424, "gd": -0.0537, "gt": -0.9, "gse": 0.0597 } }, "btccb": { "dev": { "d": 0.0824, "t": 1.2, "se": 0.0688, "a": -0.0623, "b": -0.1447, "na": 57678, "nb": 57678, "gd": 0.051, "gt": 0.7, "gse": 0.0729 }, "holdout": { "d": 0.1427, "t": 2.16, "se": 0.0661, "a": -0.1939, "b": -0.3365, "na": 34561, "nb": 46436, "gd": 0.0483, "gt": 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