A Variation of Brett Steenbarger’s Demand/Supply Index (DSI)
By
Rennie on Thursday, April 16th, 2009 at 2:14 am
Note from our intraday market internals snapshot that the TICKscore indicator in particular (and the Cumulative TICK line as well) remained in positive territory throughout Wednesday’s session. That was a good clue that institutions were not sellers, even during the morning selloff, which subsequently emboldened buyers and contributed to the market’s solid rebound in afternoon trading. Note that the TICKscore indicator is now updated on a near-realtime basis via the intraday snapshot.
Somewhat interesting to note that since the mid-90′s, the week following the April 15th tax deadline has been a positive one for the market. The table below highlights the S&P’s performance in the week following the deadline (or the first trading day after if it fell on a weekend)…
S&P Performance Following April Tax Deadline
04/15/09… S&P500 ??? one week later
04/15/08… S&P500 +3.1% one week later
04/17/07… S&P500 +0.6% one week later
04/17/06… S&P500 +1.8% one week later
04/15/05… S&P500 +0.8% one week later
04/15/04… S&P500 +1.0% one week later
04/15/03… S&P500 +3.2% one week later
04/15/02… S&P500 +0.5% one week later
04/16/01… S&P500 +3.8% one week later
04/17/00… S&P500 +5.4% one week later
04/15/99… S&P500 +2.7% one week later
04/15/98… S&P500 +1.0% one week later
04/15/97… S&P500 +2.6% one week later
04/15/96… S&P500 +0.8% one week later
04/17/95… S&P500 +1.3% one week later
To be clear, this does not hold up prior to the mid-90′s, so it’s hard not to say this is just a coincidence.
Here’s a look at an interesting dataset I’ve been researching the last few days. The pink line is the S&P500 since January 2008, the blue line is the daily difference between the number of stocks (across all major exchanges) that closed above their upper bollinger band (20-day) and the number that closed below their lower bollinger band. If this sounds familiar, Brett Steenbarger regularly posts his proprietary ‘Demand/Supply Index’, or DSI, over at TraderFeed. The chart here is a simplified variation, but it does build on the idea put forth by Brett regarding the value of looking at a broad universe of stocks relative to their respective ‘volatility envelopes’. Note that it does appear to function as a lead indicator, with the raw number generally topping out ahead of market tops and bottoming out ahead of market bottoms. This can also be seen in this chart, where the daily number is smoothed with a 20-day moving average. Note that there’s very little lag between the S&P500 and the 20-day average, indicating the raw data does indeed lead. I’ll have more on this indicator shortly.
A Variation of Brett Steenbarger’s Demand/Supply Index (DSI)
By Rennie on Thursday, April 16th, 2009 at 2:14 amNote from our intraday market internals snapshot that the TICKscore indicator in particular (and the Cumulative TICK line as well) remained in positive territory throughout Wednesday’s session. That was a good clue that institutions were not sellers, even during the morning selloff, which subsequently emboldened buyers and contributed to the market’s solid rebound in afternoon trading. Note that the TICKscore indicator is now updated on a near-realtime basis via the intraday snapshot.
Somewhat interesting to note that since the mid-90′s, the week following the April 15th tax deadline has been a positive one for the market. The table below highlights the S&P’s performance in the week following the deadline (or the first trading day after if it fell on a weekend)…
S&P Performance Following April Tax Deadline
04/15/09… S&P500 ??? one week later
04/15/08… S&P500 +3.1% one week later
04/17/07… S&P500 +0.6% one week later
04/17/06… S&P500 +1.8% one week later
04/15/05… S&P500 +0.8% one week later
04/15/04… S&P500 +1.0% one week later
04/15/03… S&P500 +3.2% one week later
04/15/02… S&P500 +0.5% one week later
04/16/01… S&P500 +3.8% one week later
04/17/00… S&P500 +5.4% one week later
04/15/99… S&P500 +2.7% one week later
04/15/98… S&P500 +1.0% one week later
04/15/97… S&P500 +2.6% one week later
04/15/96… S&P500 +0.8% one week later
04/17/95… S&P500 +1.3% one week later
To be clear, this does not hold up prior to the mid-90′s, so it’s hard not to say this is just a coincidence.
Here’s a look at an interesting dataset I’ve been researching the last few days. The pink line is the S&P500 since January 2008, the blue line is the daily difference between the number of stocks (across all major exchanges) that closed above their upper bollinger band (20-day) and the number that closed below their lower bollinger band. If this sounds familiar, Brett Steenbarger regularly posts his proprietary ‘Demand/Supply Index’, or DSI, over at TraderFeed. The chart here is a simplified variation, but it does build on the idea put forth by Brett regarding the value of looking at a broad universe of stocks relative to their respective ‘volatility envelopes’. Note that it does appear to function as a lead indicator, with the raw number generally topping out ahead of market tops and bottoming out ahead of market bottoms. This can also be seen in this chart, where the daily number is smoothed with a 20-day moving average. Note that there’s very little lag between the S&P500 and the 20-day average, indicating the raw data does indeed lead. I’ll have more on this indicator shortly.