Looking at futures data I am trying to calculate/estimate the number of "day trades", i.e. positions that were initiated and closed during the same day, as distinct from those positions that were initiated and held for one (overnight) or more days.
I'm not sure this is possible but my instinct is that this can be done using some combination of volume and open interest with the addition of some external data (e.g. COT reports) to represent longer term positions. However, I feel like there must be an accepted model for figuring this out (or there's other data I don't know about somewhere).
To be 100% clear I'm not looking to simply model intraday volume for a VWAP strategy or something along those lines. I'm just looking to see if I can drop out day trades (or an estimate) from the overall trading volume.