Institutional Participation Nonexistent During Monday’s Upside Gap
By
Rennie on Tuesday, December 22nd, 2009 at 12:45 am
TICKscore settled at -2, reflecting a complete absence of institutional participation during Monday’s unfilled upside gap. New 20-day highs jumped to over 1,500, but 20-day lows also remained fairly high at 450, keeping the 20-day high-low index at a relatively low 77.4%. So far, there’s little evidence that the current breakout attempt is generating any more broad-based momentum than previous attempts over the past month.
The Last Hour indicator fell sharply Monday given the combination of a very strong first hour and weak last hour. This continues the trend that started with the big down move in the late October/early November time frame. See the last half of this column from a month ago for more on this indicator.
Volume was predictably light, down over 50% from Friday’s elevated level. It’s generally a short-term negative sign when volume contracts sharply on a lopsided positive breadth session, although like the gap study from December 10th (which was also triggered Monday), it’s not quite enough of an edge to qualify as a signal. The last thirty times that NYSE volume fell 20%+ from the previous day on a 2:1+ positive breadth session are listed in the table below. Note that in 24 out of 30 cases, or 80% of the time, the S&P posted a subsequently lower close (below the setup day’s close) within the next two days vs. 62% at-any-time odds for a lower S&P close within two sessions in the same time frame…
2:1 Positive Breadth & NYSE Volume Down 20%+
12/21/09… ???
10/19/09… Lower S&P close one session later
10/05/09… No lower close within next two days
07/01/09… Lower S&P close one session later
04/03/09… Lower S&P close one session later
03/23/09… Lower S&P close one session later
03/17/09… No lower close within next two days
11/28/08… Lower S&P close one session later
11/26/08… Lower S&P close two sessions later
10/20/08… Lower S&P close one session later
10/13/08… Lower S&P close one session later
03/24/08… Lower S&P close two sessions later
01/14/08… Lower S&P close one session later
12/24/07… Lower S&P close two sessions later
11/23/07… Lower S&P close one session later
06/01/07… Lower S&P close two sessions later
05/25/07… No lower close within next two days
03/19/07… No lower close within next two days
03/15/07… Lower S&P close one session later
07/03/06… Lower S&P close one session later
05/26/06… Lower S&P close one session later
05/25/06… Lower S&P close two sessions later
11/24/04… Lower S&P close two sessions later
05/11/04… No lower close within next two days
03/12/04… Lower S&P close one session later
10/25/02… Lower S&P close one session later
07/05/02… Lower S&P close one session later
06/17/02… Lower S&P close two sessions later
01/31/02… Lower S&P close one session later
11/23/01… Lower S&P close two sessions later
09/24/01… No lower close within next two days
Institutional Participation Nonexistent During Monday’s Upside Gap
By Rennie on Tuesday, December 22nd, 2009 at 12:45 amTICKscore settled at -2, reflecting a complete absence of institutional participation during Monday’s unfilled upside gap. New 20-day highs jumped to over 1,500, but 20-day lows also remained fairly high at 450, keeping the 20-day high-low index at a relatively low 77.4%. So far, there’s little evidence that the current breakout attempt is generating any more broad-based momentum than previous attempts over the past month.
The Last Hour indicator fell sharply Monday given the combination of a very strong first hour and weak last hour. This continues the trend that started with the big down move in the late October/early November time frame. See the last half of this column from a month ago for more on this indicator.
Volume was predictably light, down over 50% from Friday’s elevated level. It’s generally a short-term negative sign when volume contracts sharply on a lopsided positive breadth session, although like the gap study from December 10th (which was also triggered Monday), it’s not quite enough of an edge to qualify as a signal. The last thirty times that NYSE volume fell 20%+ from the previous day on a 2:1+ positive breadth session are listed in the table below. Note that in 24 out of 30 cases, or 80% of the time, the S&P posted a subsequently lower close (below the setup day’s close) within the next two days vs. 62% at-any-time odds for a lower S&P close within two sessions in the same time frame…
2:1 Positive Breadth & NYSE Volume Down 20%+
12/21/09… ???
10/19/09… Lower S&P close one session later
10/05/09… No lower close within next two days
07/01/09… Lower S&P close one session later
04/03/09… Lower S&P close one session later
03/23/09… Lower S&P close one session later
03/17/09… No lower close within next two days
11/28/08… Lower S&P close one session later
11/26/08… Lower S&P close two sessions later
10/20/08… Lower S&P close one session later
10/13/08… Lower S&P close one session later
03/24/08… Lower S&P close two sessions later
01/14/08… Lower S&P close one session later
12/24/07… Lower S&P close two sessions later
11/23/07… Lower S&P close one session later
06/01/07… Lower S&P close two sessions later
05/25/07… No lower close within next two days
03/19/07… No lower close within next two days
03/15/07… Lower S&P close one session later
07/03/06… Lower S&P close one session later
05/26/06… Lower S&P close one session later
05/25/06… Lower S&P close two sessions later
11/24/04… Lower S&P close two sessions later
05/11/04… No lower close within next two days
03/12/04… Lower S&P close one session later
10/25/02… Lower S&P close one session later
07/05/02… Lower S&P close one session later
06/17/02… Lower S&P close two sessions later
01/31/02… Lower S&P close one session later
11/23/01… Lower S&P close two sessions later
09/24/01… No lower close within next two days