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Frank Hogelucht

Frank Hogelucht

Individual investor, trading for a living since 2007, taking a statistical approach in combination with historical market data and addicted to developing market-neutral algorithmic trading…

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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).

spy-12-12-2011-1

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,

 


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

 

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