As usual, idea for this particular test has been borrowed from this blog post (Link)
I wanted to check whether there was any such change when the same was applied to Indian Markets. I used CNX Nifty and the Volumes are the total market volumes. While I have used close as entry price since that was the same used in the above test, Next day open is the ideal way to test since one cannot know whether today was a low volume day or not during the market hours.
But then again, such test would have been warranted if the results showed something significant. As the chart below showcases, no strategy can be build around low volume days since there is just no correlation between low correlation days and how markets behave over the next few days.
The Profit / Loss is in terms of Points gained (1 Nifty Unit being the trade size). Profits were not compounded and no transaction charges applied.