Longer-term Clues from the NYSE Down Volume Average

Update: Drawdown figures added

With only two sessions in December registering more than 50% down volume on the NYSE, the 20-day moving average of NYSE Down Volume % has fallen below 40% as of Wednesday’s close. That’s traditionally a bullish longer-term development. The table below lists each of the last thirty instances in which the 20-day moving average of NYSE Down Volume fell below 40% for the first time in at least twenty trading days…

20day Average of NYSE Down Volume <40% First Time in a Month
12/22/10… S&P500 ??? two months later
09/24/10… S&P500 +4.4% two months later… Drawdown 1.5%
08/02/10… S&P500 +1.9% two months later… Drawdown 7.7%
03/05/10… S&P500 +5.6% two months later… Drawdown 0.3%
08/03/09… S&P500 +5.8% two months later… Drawdown 2.4%
04/02/09… S&P500 +13.0% two months later… Drawdown 2.4%
12/19/08… S&P500 -12.3% two months later (*)… Drawdown 12.5%
04/16/07… S&P500 +1.7% two months later… Drawdown 0.3%
11/25/05… S&P500 -0.1% two months later… Drawdown 1.8%
11/17/04… S&P500 +0.2% two months later… Drawdown 1.2%
09/07/04… S&P500 +0.8% two months later… Drawdown 2.8%
01/06/04… S&P500 +2.8% two months later… Drawdown 0.8%
09/02/03… S&P500 +2.4% two months later… Drawdown 3.1%
05/09/03… S&P500 +8.0% two months later… Drawdown 2.3%
11/06/02… S&P500 +0.6% two months later… Drawdown 5.9%
11/02/98… S&P500 +10.8% two months later… Drawdown 0.5%
02/09/98… S&P500 +9.8% two months later… Drawdown 0.2%
05/05/97… S&P500 +7.3% two months later… Drawdown 2.2%
03/11/97… S&P500 +0.5% two months later… Drawdown 9.6%
01/10/97… S&P500 +7.1% two months later… Drawdown 0.4%
11/18/96… S&P500 +4.4% two months later… Drawdown 2.4%
08/12/96… S&P500 +5.2% two months later… Drawdown 3.3%
05/09/96… S&P500 +1.1% two months later… Drawdown 0.0%
02/01/96… S&P500 +1.1% two months later… Drawdown 1.7%
11/24/95… S&P500 +2.1% two months later… Drawdown 0.5%
01/09/95… S&P500 +4.6% two months later… Drawdown 0.5%
07/25/94… S&P500 +2.0% two months later… Drawdown 0.6%
05/19/94… S&P500 -0.3% two months later… Drawdown 3.7%
12/27/93… S&P500 +0.2% two months later… Drawdown 1.3%
10/14/93… S&P500 -0.6% two months later… Drawdown 2.7%
08/17/93… S&P500 +1.8% two months later… Drawdown 0.8%

In 26 out of the last 30 occurrences, or 87% of the time, the S&P was trading at a higher level two months (forty trading days) later, significantly greater than the 62% random chance. The S&P was down more than 1% two months later only once out of the last thirty signals. Also noteworthy that the maximum drawdown exceeded 5% only four times, with 3 of those 4 occurrences still leading to a higher S&P at the two-month mark.

Categories : Archived EOD Commentary, End-of-Day Commentary

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