Understanding Stock Data

The first time I looked at a stock quote

I remember the first time I seriously opened a stock page, probably Moneycontrol or NSE's own site. There were so many numbers. A big price in the centre. A green percentage. Open, High, Low, Close, Volume. 52-week range. Circuit limits. Market cap. P/E. P/B. EPS.

I had no idea what any of it meant. I assumed I needed to understand all of it before I could do anything. So I closed the tab and went back to my Fixed Deposit.

Here's what I wish someone had told me then: most of those numbers are noise. There are really only five that matter to understand what a stock is doing on any given day, they're called OHLCV. And if you're building a systematic strategy, you only need to deeply understand one of the five.

Reading a stock quote, the five numbers

Every stock listed on NSE or BSE generates five pieces of data every single trading day. These five numbers tell the complete story of everything that happened to that stock that day.

These five numbers are called OHLCV, Open, High, Low, Close, Volume. Every systematic strategy, every factor model, every backtest runs on these five numbers going back years. That's the raw material. Nothing else is needed.

O, Open: where the day began

The opening price is not whoever shows up first at 9:15 AM. NSE runs a pre-open session from 9:00 to 9:15 AM where buyers and sellers submit orders but no trades execute. At 9:15 AM, the system runs an auction, finding the single price that allows the maximum shares to change hands. That's the open.

H and L, High and Low: the day's range

During 9:15 AM to 3:30 PM, every trade gets recorded. The highest price any trade occurred at is the High. The lowest is the Low. Together they show how much the stock swung during the day.

SEBI has a circuit breaker system built on this, if a stock moves more than 5%, 10%, or 20% intraday, trading pauses to prevent panic-driven crashes.

For a systematic investor, High and Low are mainly useful for understanding volatility, how much a stock tends to swing. The Low Volatility factor (stocks that move less tend to deliver better risk-adjusted returns) is built entirely on this idea. We go deep on that in Path 3.

C, Close: the only number that really matters

Here's my honest view after years of building systematic strategies: the closing price is the most important number in all of stock market data.

The closing price on NSE is the volume-weighted average price (VWAP) of all trades in the last 30 minutes, 3:00 PM to 3:30 PM. Not the last trade. Not the average of High and Low. A full 30-minute VWAP.

This matters because it's resistant to manipulation. One large order can briefly spike the High or Low at some moment during the day. But moving a 30-minute VWAP takes sustained effort across many trades. The closing price is what the market, as a whole, genuinely thought about this stock at the end of a full day.

This is also why RupeeCase updates after market hours, not during the day. After 6:30 PM, NSE publishes EOD data, every closing price gets loaded, every factor score recalculates, and your screens update. That's the rhythm systematic investing runs on, not second-by-second, but day-by-day.

V, Volume: how many shares changed hands

Volume is the total shares traded in a day. If 3.2 million shares of INFYInfosys traded today, that's the volume. It signals two things: conviction and liquidity.

Reading a real stock quote: what to ignore

When you open any stock page, on NSE's own site or any broker app, you'll see more than OHLCV. Here's what else shows up and whether it matters right now:

What historical data actually looks like

A single day's OHLCV is one data point. String together 10 years of daily OHLCV for 500 stocks, and you have the raw material to build and test almost any systematic strategy.

This is exactly what RupeeCase stores. When you backtest "buy the top 30 momentum stocks in Nifty 500, rebalance quarterly," the system loops through years of historical closing prices, simulates every buy and sell, and shows you exactly what would have happened, transaction costs included.

This is the moment that changed how I thought about investing. You don't have to guess. You don't have to trust tips or follow your gut. You can test a strategy on real historical data. That's the difference between systematic investing and gut-feel investing, one uses evidence, the other uses hope.

Adjusted vs unadjusted prices

This trips up a lot of people building their first strategies. Companies occasionally do things that change their share price without any real change in value, stock splits, bonus shares, rights issues. If INFYInfosys did a 2-for-1 split, the price would halve overnight. But you'd own twice as many shares, so nothing actually changed.

If you don't account for this in historical data, your backtest shows a 50% crash in one day. That's an unadjusted price series.

Adjusted prices retroactively scale all historical prices as if the split had always been in effect. BSE and NSE both publish corporate action data so this adjustment can be done cleanly.

Key terms from this module