Wednesday, June 1, 2011

When 95% of Volume is to the Downside, Where Does $SPY Go From Here?

Today, looking at NYSE advancing and declining volume (unchanged not included), 95% of of it was on declining issues. This could be a short term exhaustion. Here is a study.


The historical data for the test came from Norgate. But you can use $NYDNV and $NYUPV from stockcharts.com. On June 1, $NYDNV was 935.46 and $NYUPV was 49.05 for a total of 984.52. 935.46/984.52 = 95.02%.


Buy SPY when NYSE Volume is 95% to the downside; sell after first SPY up day . $10,000 per trade; 1995 to present.

Net Profit
# Trades
# of winners
% of Winners
Max. Trade % DD
Avg % P/L
W. Avg. Profit
L. Avg. Loss
Profit Factor
Payoff Ratio

  4,608
  29
  25
  86.21
 -11.53
1.59
  209
  (152)
  8.56
1.37


Hasn't happened a whole lot, but looks pretty bullish short term.
Give it a day or two, and we should bounce.

Now it has only happened 6 times when the SPY was above its 200 moving average. Here are those 6 trades.


Ticker
Date
Price
Ex. date
Ex. Price
% chg
# bars
MAE
MFE
SPY
10/27/1997
 86.93
10/28/1997
91.73
5.52%
2
-3.23%
7.74%
SPY
2/27/2007
  139.50
2/28/2007
140.93
1.03%
2
-0.36%
3.37%
SPY
11/27/2009
109.57
11/30/2009
109.94
0.34%
2
-1.17%
0.68%
SPY
2/4/2010
106.44
2/5/2010
106.66
0.21%
2
-0.02%
2.43%
SPY
5/6/2010
112.94
5/10/2010
116.16
2.85%
3
-7.03%
3.59%
SPY
5/14/2010
113.89
5/17/2010
113.95
0.05%
2
-0.90%
1.26%

2 comments:

m.kapler said...

I'm curious, where do you get the data for NYSE volume attributed to declining issues?

Chris said...

from Norgate and Stockcharts.com. I updated the post to explain a bit.

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