Up-Down Volume Average Hits a 52-week High
By
Rennie on Wednesday, December 9th, 2009 at 1:50 am
Despite the fact that S&P futures gapped lower at the open and remained under pressure throughout the session, our TICKscore indicator settled in positive territory at +4, suggesting institutions were not active sellers Tuesday. Since 2002, there have only been five other instances in which S&P futures posted an unfilled downside gap and TICKscore closed above zero (11/27/09, 06/03/09, 01/15/08, 08/06/04, 03/31/03). In four out of those five cases, the S&P was higher three sessions later. We can’t read much into only five occurrences, but it’s interesting to note how unusual it is to see a positive TICKscore reading on a gap down day. Consider that in the same period of time, there were over 60 occurrences of a downside gap and a negative closing TICKscore.
On Monday, the 200-day moving average of NYSE up volume minus down volume surged to a fresh 52-week high. This long-term indicator is best utilized in terms of crossing above/below the zero level (see long-term chart), but I thought it would be interesting to check instances in which the 200-day moving average of NYSE up volume minus down volume hit a 52-week high for the first time in at least two months…
200d Avg of Up Vol – Down Vol at 52wk High
12/07/09… S&P500 ??? three months later
07/01/09… S&P500 +13.1% three months later
03/12/07… S&P500 +7.9% three months later
03/01/06… S&P500 -1.4% three months later
10/14/03… S&P500 +6.9% three months later
04/29/03… S&P500 +7.0% three months later
01/31/01… S&P500 -8.3% three months later (*)
06/16/99… S&P500 +1.6% three months later
02/10/98… S&P500 +7.5% three months later
04/30/97… S&P500 +17.2% three months later
01/14/97… S&P500 -1.4% three months later
04/03/95… S&P500 +8.5% three months later
02/03/94… S&P500 -5.8% three months later
07/14/93… S&P500 +2.0% three months later
01/22/93… S&P500 +2.1% three months later
05/09/91… S&P500 +0.5% three months later
08/23/89… S&P500 -1.2% three months later
05/12/89… S&P500 +11.3% three months later
03/03/89… S&P500 +9.6% three months later
05/13/87… S&P500 +9.9% three months later
06/26/86… S&P500 -5.6% three months later
01/07/86… S&P500 +8.7% three months later
01/16/85… S&P500 +5.5% three months later
09/03/82… S&P500 +12.9% three months later
12/23/80… S&P500 -0.9% three months later
08/22/80… S&P500 +10.9% three months later
10/03/79… S&P500 -1.6% three months later
05/12/78… S&P500 +6.1% three months later
09/17/76… S&P500 -1.1% three months later
07/14/76… S&P500 -2.3% three months later
03/10/75… S&P500 +9.0% three months later
In 20 out of 30 cases, or 67% of the time, the S&P was higher three months later, virtually identical to the 65% random chance for a higher S&P three months later. That indicates an initial 52-week high for the volume average is not predictive of higher prices. One noteworthy point, however, is that downside potential was typically limited to 5% or less over the next quarter. The S&P was down 6% or more three months later only once out of thirty occurrences, while it was up 6%+ fifteen times.
Up-Down Volume Average Hits a 52-week High
By Rennie on Wednesday, December 9th, 2009 at 1:50 amDespite the fact that S&P futures gapped lower at the open and remained under pressure throughout the session, our TICKscore indicator settled in positive territory at +4, suggesting institutions were not active sellers Tuesday. Since 2002, there have only been five other instances in which S&P futures posted an unfilled downside gap and TICKscore closed above zero (11/27/09, 06/03/09, 01/15/08, 08/06/04, 03/31/03). In four out of those five cases, the S&P was higher three sessions later. We can’t read much into only five occurrences, but it’s interesting to note how unusual it is to see a positive TICKscore reading on a gap down day. Consider that in the same period of time, there were over 60 occurrences of a downside gap and a negative closing TICKscore.
On Monday, the 200-day moving average of NYSE up volume minus down volume surged to a fresh 52-week high. This long-term indicator is best utilized in terms of crossing above/below the zero level (see long-term chart), but I thought it would be interesting to check instances in which the 200-day moving average of NYSE up volume minus down volume hit a 52-week high for the first time in at least two months…
200d Avg of Up Vol – Down Vol at 52wk High
12/07/09… S&P500 ??? three months later
07/01/09… S&P500 +13.1% three months later
03/12/07… S&P500 +7.9% three months later
03/01/06… S&P500 -1.4% three months later
10/14/03… S&P500 +6.9% three months later
04/29/03… S&P500 +7.0% three months later
01/31/01… S&P500 -8.3% three months later (*)
06/16/99… S&P500 +1.6% three months later
02/10/98… S&P500 +7.5% three months later
04/30/97… S&P500 +17.2% three months later
01/14/97… S&P500 -1.4% three months later
04/03/95… S&P500 +8.5% three months later
02/03/94… S&P500 -5.8% three months later
07/14/93… S&P500 +2.0% three months later
01/22/93… S&P500 +2.1% three months later
05/09/91… S&P500 +0.5% three months later
08/23/89… S&P500 -1.2% three months later
05/12/89… S&P500 +11.3% three months later
03/03/89… S&P500 +9.6% three months later
05/13/87… S&P500 +9.9% three months later
06/26/86… S&P500 -5.6% three months later
01/07/86… S&P500 +8.7% three months later
01/16/85… S&P500 +5.5% three months later
09/03/82… S&P500 +12.9% three months later
12/23/80… S&P500 -0.9% three months later
08/22/80… S&P500 +10.9% three months later
10/03/79… S&P500 -1.6% three months later
05/12/78… S&P500 +6.1% three months later
09/17/76… S&P500 -1.1% three months later
07/14/76… S&P500 -2.3% three months later
03/10/75… S&P500 +9.0% three months later
In 20 out of 30 cases, or 67% of the time, the S&P was higher three months later, virtually identical to the 65% random chance for a higher S&P three months later. That indicates an initial 52-week high for the volume average is not predictive of higher prices. One noteworthy point, however, is that downside potential was typically limited to 5% or less over the next quarter. The S&P was down 6% or more three months later only once out of thirty occurrences, while it was up 6%+ fifteen times.