If you trade a very large account (and accordingly large position size), consider an average
dollar volume above 80 million to be extremely liquid.
Not exact matches
Although ALDI has a much smaller
dollar share of the market, it is already punching
above its weight in term of customer
volume and has more than doubled shopper numbers since January 2007.
e.g. on a universe of all liquid stocks with pretty generous liquidity filters (price > $ 1, mcap > $ 100 million, on the market for at least 1 year, inflation - adjusted daily
dollar volume in the last 63 days > $ 100,000), before friction, and hold for 5 days (no other sell rule), tested on all start dates Sept 2, 1997 forward to Aug 18, 2015 and then averaged CAGR, leaving an average of 3360 stocks in the universe to then test: a. 17.6 % cagr bottom 5 % of stocks left by bad 4 day return (requiring price > ma200 was slightly worse than this at 17.4 %; but requiring price < ma5 was better at 18.1 %) b. 16.0 % cagr bottom 5 % of stocks left by bad 5 day return c. 14.6 % cagr bottom 5 % by rsi (2) d. 14.7 % cagr for rsi (2) < 5 I have tested longer backtests on simpler liquidity filters (since my tests can't use all of the
above filters on very long tests) and this still holds true: bad return in the last 4 or 5 days beats low rsi (2) for 1 week holds.
The «consolidated tape» — which tracks real - time data on trading
volume and price for exchange - traded securities across all market venues — shows that the
dollar value traded in the U.S. equity market jumped markedly
above the 2017 daily average of $ 270 billion (Exhibit 3).
NYC multifamily sales make comeback in March «
Dollar volume pushed
above $ 1 billion after falling below the threshold in the previous month.