Picking Bottoms with the Up Volume Moving Average
By
Rennie on Monday, March 9th, 2009 at 7:03 pm
The 20-day moving average of up volume closed below the 40% level for the third consecutive session Monday. That triggers a buy signal that remains in effect until the moving average rebounds back above 40%. Historically, consecutive readings in this territory indicate buyers have been completely washed out of the market (see long-term chart). The table below lists each of the last thirty occurrences in which the 20-day average closed under 40% three days in a row, along with the date when it rose back over 40% and the performance of the S&P in this time frame…
Up Volume 20day Avg <40% Three Consecutive Days
03/09/09 – ??/??/??… S&P500 ???
10/10/08 – 10/31/08… S&P500 +7.7%
07/16/08 – 07/17/08… S&P500 +1.2%
08/16/07 – 08/17/07… S&P500 +2.5%
02/13/03 – 02/18/03… S&P500 +4.1%
10/08/02 – 10/14/02… S&P500 +5.4%
07/18/02 – 07/29/02… S&P500 +2.4%
06/25/02 – 06/27/02… S&P500 +1.5%
09/19/01 – 10/02/01… S&P500 +3.5%
08/31/98 – 09/01/98… S&P500 +3.8%
08/17/98 – 08/18/98… S&P500 +1.6%
07/24/96 – 08/01/96… S&P500 +3.7%
12/09/94 – 12/14/94… S&P500 +1.8%
07/05/94 – 07/07/94… S&P500 +0.5%
04/15/94 – 04/25/94… S&P500 +1.5%
08/27/92 – 09/02/92… S&P500 +1.1%
12/10/91 – 12/16/91… S&P500 +1.7%
06/28/91 – 07/08/91… S&P500 +1.8%
01/09/91 – 01/17/91… S&P500 +5.3%
09/27/90 – 10/18/90… S&P500 +3.8%
08/07/90 – 08/31/90… S&P500 -3.7%
04/25/90 – 05/03/90… S&P500 +1.1%
01/29/90 – 02/07/90… S&P500 +2.6%
11/06/89 – 11/08/89… S&P500 +1.7%
11/16/88 – 11/29/88… S&P500 +2.7%
08/30/88 – 09/02/88… S&P500 +0.8%
05/25/88 – 05/26/88… S&P500 +0.3%
12/07/87 – 12/08/87… S&P500 +2.7%
10/20/87 – 11/05/87… S&P500 +7.5%
09/22/87 – 09/28/87… S&P500 +1.2%
01/02/87 – 01/05/87… S&P500 +2.3%
Note that in 29 out of the last 30 occurrences, or 97% of the time, the S&P was trading at a higher level when the Up Volume 20-day average rebounded back over 40%. Sometimes it took just a few days, other times it was a number of weeks before it occurred. About half of the time the S&P posted a subsequently lower close at some point before the setup was fulfilled. But with short-term bearish setups from last week falling off the board at today’s close, it looks like we’re at or near a tradeable bottom.
Picking Bottoms with the Up Volume Moving Average
By Rennie on Monday, March 9th, 2009 at 7:03 pmThe 20-day moving average of up volume closed below the 40% level for the third consecutive session Monday. That triggers a buy signal that remains in effect until the moving average rebounds back above 40%. Historically, consecutive readings in this territory indicate buyers have been completely washed out of the market (see long-term chart). The table below lists each of the last thirty occurrences in which the 20-day average closed under 40% three days in a row, along with the date when it rose back over 40% and the performance of the S&P in this time frame…
Up Volume 20day Avg <40% Three Consecutive Days
03/09/09 – ??/??/??… S&P500 ???
10/10/08 – 10/31/08… S&P500 +7.7%
07/16/08 – 07/17/08… S&P500 +1.2%
08/16/07 – 08/17/07… S&P500 +2.5%
02/13/03 – 02/18/03… S&P500 +4.1%
10/08/02 – 10/14/02… S&P500 +5.4%
07/18/02 – 07/29/02… S&P500 +2.4%
06/25/02 – 06/27/02… S&P500 +1.5%
09/19/01 – 10/02/01… S&P500 +3.5%
08/31/98 – 09/01/98… S&P500 +3.8%
08/17/98 – 08/18/98… S&P500 +1.6%
07/24/96 – 08/01/96… S&P500 +3.7%
12/09/94 – 12/14/94… S&P500 +1.8%
07/05/94 – 07/07/94… S&P500 +0.5%
04/15/94 – 04/25/94… S&P500 +1.5%
08/27/92 – 09/02/92… S&P500 +1.1%
12/10/91 – 12/16/91… S&P500 +1.7%
06/28/91 – 07/08/91… S&P500 +1.8%
01/09/91 – 01/17/91… S&P500 +5.3%
09/27/90 – 10/18/90… S&P500 +3.8%
08/07/90 – 08/31/90… S&P500 -3.7%
04/25/90 – 05/03/90… S&P500 +1.1%
01/29/90 – 02/07/90… S&P500 +2.6%
11/06/89 – 11/08/89… S&P500 +1.7%
11/16/88 – 11/29/88… S&P500 +2.7%
08/30/88 – 09/02/88… S&P500 +0.8%
05/25/88 – 05/26/88… S&P500 +0.3%
12/07/87 – 12/08/87… S&P500 +2.7%
10/20/87 – 11/05/87… S&P500 +7.5%
09/22/87 – 09/28/87… S&P500 +1.2%
01/02/87 – 01/05/87… S&P500 +2.3%
Note that in 29 out of the last 30 occurrences, or 97% of the time, the S&P was trading at a higher level when the Up Volume 20-day average rebounded back over 40%. Sometimes it took just a few days, other times it was a number of weeks before it occurred. About half of the time the S&P posted a subsequently lower close at some point before the setup was fulfilled. But with short-term bearish setups from last week falling off the board at today’s close, it looks like we’re at or near a tradeable bottom.