TRAI — Daily Quant Day-Trading Research

Intraday patterns

When during the day do these stocks move and trade, and do classic intraday setups (opening-range breakout, VWAP reversion) have an edge? Built from 5-minute regular-session bars, 2026-08-14 → 2026-11-06 (60 sessions).

Computed: Nov 6, 2026, 5:17 PM ET · Data through: 2026-11-06
Source: Yahoo Finance public chart API, 5-minute regular-session bars (60-day maximum lookback Yahoo serves for 5m).

First-hour volume

24%

of the regular session (avg stock)

Last-hour volume

26%

excl. closing auction print

ORB long, net

-11.9 bp

n 4268 · follow-through 46% · t -4.9

ORB short, net

3.3 bp

n 4339 · follow-through 52% · t 1.4

VWAP reversion, net

-7.2 bp

n 4384 · touch VWAP again 62% · t -3.1

Market-wide volatility by time of day — average |5-min return| relative to each stock's daily average (1.0 = average)

Market-wide volume by time of day — share of the session's volume in each 5-minute bar

The classic U-shape: volatility and volume are highest right after the open, trough around midday, and pick up into the close. TRAI's rule of no new entries 9:30–10:00 avoids the noisiest bars; midday entries face the thinnest participation.

Opening-range breakout by time of breakout

Enter on the first break of the 9:30–10:00 high/low (stop-entry at the boundary), exit at the close; 5 bp cost.

Breakout time	n	Follow-through	Net/trade
10:00–10:59	6829	48%	-4.7 bp
11:00–12:59	1171	52%	-1.9 bp
13:00–15:55	607	51%	-3.5 bp

Days with no breakout at all: 8.0%.

VWAP reversion by time of signal

First stretch ≥ 0.3 × daily ATR(14) away from session VWAP, signals 10:00–14:59 ET; exit at the 16:00 close; fade toward VWAP.

Signal time	n	Re-touch VWAP	Net/trade
10:00–11:59	3303	71%	-7.9 bp
12:00–13:29	604	38%	-13.2 bp
13:30–14:59	477	24%	5.1 bp

Per-ticker intraday profile

158 rows · click headers to sort

Ticker	Sessions	1st 30m vol share	Last 30m vol share	Open/midday vol	ORB trades	ORB follow-through	ORB hit	ORB net/trade ▼	VWAP signals	VWAP re-touch	VWAP fade net
MRNA	60	21.9%	13.5%	3.57	54	44%	44%	+0.61%	30	63%	-0.89%
MSTR	60	23.8%	11.8%	3.11	56	52%	52%	+0.48%	31	52%	-0.29%
MARA	60	16.6%	11.8%	2.93	57	53%	51%	+0.47%	29	66%	+0.16%
HIMS	60	16.2%	17.6%	3.18	55	60%	58%	+0.46%	30	67%	-0.81%
CRWD	60	21.0%	13.8%	4.65	51	59%	59%	+0.43%	23	35%	-0.51%
ZS	60	16.8%	20.4%	4.13	52	48%	48%	+0.42%	27	44%	-0.65%
PINS	60	9.1%	28.8%	3.72	53	62%	62%	+0.37%	29	62%	-0.04%
COIN	60	21.2%	13.6%	3.20	58	53%	52%	+0.36%	26	50%	-0.37%
DASH	60	12.2%	23.6%	3.65	53	57%	55%	+0.30%	26	62%	-0.08%
NET	60	15.3%	18.0%	4.30	53	60%	60%	+0.29%	28	61%	-0.02%
SOFI	60	19.1%	12.1%	3.75	54	52%	52%	+0.29%	24	58%	-0.21%
PANW	60	18.7%	17.1%	4.76	47	51%	51%	+0.27%	25	52%	-0.42%
HPQ	60	12.4%	23.3%	3.73	54	52%	50%	+0.26%	24	67%	+0.14%
GEV	60	17.9%	13.4%	3.66	53	59%	53%	+0.21%	25	56%	-0.10%
NOW	60	21.8%	14.9%	4.62	47	57%	53%	+0.20%	20	40%	-0.52%
AFRM	60	13.7%	22.3%	3.74	54	57%	57%	+0.19%	26	54%	-0.18%
TGT	60	12.3%	23.5%	3.73	56	54%	50%	+0.16%	31	71%	-0.29%
SLB	60	12.4%	18.6%	3.80	58	57%	57%	+0.16%	26	62%	+0.00%
VRT	60	17.7%	16.3%	4.05	54	57%	54%	+0.15%	27	63%	-0.25%
CSCO	60	14.9%	22.0%	3.49	59	53%	51%	+0.15%	29	45%	-0.57%
ON	60	12.8%	25.0%	2.93	57	51%	49%	+0.14%	34	71%	-0.26%
INTU	60	17.4%	18.6%	4.60	50	60%	60%	+0.14%	30	63%	+0.13%
ARM	60	21.5%	16.6%	3.30	54	50%	48%	+0.14%	24	46%	-0.41%
WMT	60	17.9%	18.5%	3.59	56	52%	50%	+0.14%	29	38%	-0.37%
CVNA	60	12.1%	21.8%	3.13	57	49%	47%	+0.13%	33	82%	+0.44%
GE	60	14.0%	17.4%	3.71	53	55%	55%	+0.13%	28	68%	-0.06%
ISRG	60	14.3%	20.3%	3.87	57	58%	54%	+0.12%	38	55%	-0.11%
SNOW	60	16.4%	17.6%	3.87	53	55%	53%	+0.12%	23	65%	-0.07%
BX	60	11.6%	20.4%	3.26	55	49%	47%	+0.12%	26	65%	-0.29%
GM	60	11.1%	20.3%	3.11	56	63%	63%	+0.12%	29	62%	-0.38%
DIS	60	12.8%	21.5%	3.57	57	63%	54%	+0.11%	23	65%	-0.10%
NEE	60	13.1%	20.8%	3.21	56	59%	54%	+0.11%	33	76%	-0.06%
ABNB	60	12.7%	22.1%	3.57	57	53%	49%	+0.11%	22	59%	-0.21%
LMT	60	13.3%	19.7%	3.56	59	54%	54%	+0.11%	27	67%	-0.06%
DDOG	60	14.8%	21.4%	4.34	51	51%	49%	+0.11%	26	62%	-0.56%
CMG	60	12.6%	22.4%	4.04	55	51%	49%	+0.09%	19	79%	+0.21%
DVN	60	13.0%	20.3%	3.00	56	50%	50%	+0.09%	29	66%	-0.15%
TSM	60	19.5%	15.3%	2.95	60	50%	50%	+0.08%	35	49%	-0.17%
CVS	60	10.4%	23.3%	3.74	57	54%	54%	+0.08%	31	71%	-0.09%
UPS	60	11.8%	20.5%	3.29	57	53%	47%	+0.06%	28	46%	-0.24%

Per-ticker results rest on ≤ 60 sessions — noisy. Yahoo serves at most 60 days of 5-minute bars, so this is a rolling ~3-month window. Screening/research, not investment advice.