Daily Commentary - Posted on Tuesday, December 13, 2011, 1:11 PM GMT +1

2 Comments


Dec Tuesday 13

Sequence of Lopsided Volume Sessions

On December 8 and December 12, 2011, NYSE volume in declining issues accounted for 96.73% and 89.51% (respectively) of NYSE total volume, and on December 9, 2011 (the day in between), NYSE volume in advancing issues accounted for 90.85% of NYSE total volume. This alternating pattern of lopsided volume sessions is quite rare, and in order to get a two-digit sample size I’d to lower volume thresholds to 77.75%.

Table I below shows all occurrences (since 1990) and the SPY‘s (S&P 500 SPDR) performance 1 to 3 sessions later, by the end of the week and until the end of the then following week as well (in this event on Friday, December 23) in the event NYSE volume associated with declining / advancing / declining issues always came in above the 77.50% threshold on three consecutive sessions (in a down | up | down sequence).

The SPY closed at a higher level 1 to 3 sessions later and by the end of the running week on 9 out of 11 occurrences, and at the end of the then following week on all 11 occurrences (always compared to the SPY‘s close on the day the signal had been triggered, in this event on December 12, 2011). In addition, the SPY closed at a higher level at least once 4 sessions later (at the latest) on all 11 occurrences, and never looked back and did not post a single close below the trigger day’s close on 6 out of those 11 occurrences (means the trigger day’s close marked THE lowest close at least until the end of the then following week).

 

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Conclusion(s)

A down | up | down sequence of lopsided volume sessions (always ≥ 77.50%) had bullish implications in the past, besides the fact that positive seasonalities are already suggesting higher prices over the remainder of the year.

Have a profitable week,

Frank

Disclosure: No position in the securities mentioned in this post at time of writing.

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Remarks: Due to their conceptual scope – and if not explicitly stated otherwise – , all models/setups/strategies do not account for slippage, fees and transaction costs, do not account for return on cash and/or interest on margin, do not use position sizing (e.g. Kelly, optimal f) – they’re always ‘all in‘ – , do not use leverage (e.g. leveraged ETFs), do not utilize any kind of abnormal market filter (e.g. during market phases with extremely elevated volatility), do not use intraday buy/sell stops (end-of-day prices only), and models/setups/strategies are not ‘adaptive‘ (do not adjust to the ongoing changes in market conditions like bull and bear markets). Index data (e.g. S&P 500 cash index) does not account for dividend and cash payments.

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Disclaimer

The information on this site is provided for statistical and informational purposes only. Nothing herein should be interpreted or regarded as personalized investment advice or to state or imply that past results are an indication of future performance. The author of this website is not a licensed financial advisor and will not accept liability for any loss or damage, including without limitation to, any loss of profit, which may arise directly or indirectly from use of or reliance on the content of this website(s). Under no circumstances does this information represent an advice or recommendation to buy, sell or hold any security.

I may or may not hold positions for myself, my family and/or clients in the securities mentioned here. Actions may have been taken before or after information is presented, and any opinions expressed in this site are subject to change without notice.

(Data courtesy of MetaStock and Pinnacle Data Corp., and for data import, testing, surveys and statistics I use MATLAB from MathWorks)

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Comments (2)

 

  1. John says:

    never mind I found my mistake. I like your work!

    John

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