According to the definition in Jim Dalton's book "Mind Over Market", the main character of Normal Day is its wide Initial Balance not upset during the day and it is more of an exception rather than normal.
After this morning's somewhat slow trading, I decided to spend some time doing some counting on Normal Day, and here is what I have found:
Since 9/7/2005, there have only been 20 trading days that has the characteristics of Normal Day outside of holiday. It is indeed a exception rather than the norm to have market traded within the IB outiside of holiday.
Another interesting observation I found is that Normal Day is generally caused by lack of participation rather than strong directional conviction. Outside if IB, the volume of each 30-minute period is -36% less than 20-day average of the same 30-minute period. The two 30-minute periods that make up IB has 7% more volume than 20-day average.
From the daily data, I doubt Normal Day has any much significance. I can't find any strategy to trade Normal Day to produce profit better than a coin flip.
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