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Posts: 1,054
Reply with quote  #1 
Since the late summer of 2007, the NYSE has now posted thirty-four 90% or higher down volume days, defined as:

Down Volume/(Up Volume + Down Volume)

To determine how the current number of 90% down volume days compares with other bear markets, a 300 day moving sum of 90% down volume days can be constructed.  Prior to the early 1950s, the NYSE traded six days a week, thus the 300 day moving window represents one year's action prior to the early 1950s, a little over a year's action since then.

This exercise covers NYSE 90% down volume days from 1940, due the limited historical data available (to me at least). In the 2007-08 300 day time frame, the NYSE has endured 34 days of down volume exceeding 90% of total up and down volume. One has to go back to right after World War II to find 300 trading days with more than 34 days of 90% down volume.

Note: since MS Excel logarithmic charting capabilities are not stellar, the Dow price proxy has been adjusted so the Dow High is less than 10,000.  The price pattern is the same as the raw Dow prices, the prices are adjusted for better fitting an Excel logarithmic chart.

In early September 1947, the 300 day sum of 90% down volume days reached 43 days.... an average of one 90% down volume day every seven trading days.  Over the current 300 day time frame, one 90% down volume day has occurred an average of 8.8 days. The current rate of 90% down volume days exceeds even the early 1940s when the world was at war.

Since my NYSE up-down volume data is limited to 1940, let's take a look at NYSE Advance-Decline (AD) days when the declines constituted 85% of the NYSE AD total, as defined by:

Declines/(Advances + Declines)

The AD data is available from 1926 so we can investigate how the current breadth plurality configuration compares with the 1930s.  The 85% declines threshold was selected since 90% decline days significantly reduce the number of sample data points.

As with the 90% down volume, a 300 day moving sum is used in the following 85% decline day chart. The lower curve(s) in the following chart include the composite AD numbers until 1980.  After 1980, two moving sum curves are illustrated:

1) The charcoal curve is the 300 day moving sum of 85% decline days for NYSE common stocks only.

2) The blue curve is the 300 day moving sum of 85% decline days for all NYSE issues.

The reason for both 300 day moving sum variants, is due to the several hundred "non-operating company" issues added to the NYSE list over the past 20 years. The common stock only 300-day moving sum provides (arguably) a better "apples-to-apples" comparison with the NYSE constituency of 50 to 80 years ago.

If one focuses on the blue curve (all NYSE issues since 1980), the current 300 day moving sum of 85% declines days recently hit 16 days, which is the highest value since 1980, but far less than the 300-day moving sum extremes of the 1930s and 1940s.

By focusing upon the charcoal curve representing the 300 day moving sum of 85% declines days, where the commons' data kicks in at 1980, we see the current 300 day sum of thirty-nine 85% decline days is only exceeded by the 1938 action, that peaked out at 43 days. Thus, this 300 day moving sum of 85% decline days sends a clear message of the damage incurred on US common stocks over the past year.

I find it interesting the extremes in negative NYSE internals (breadth and volume) occurred at times when the US government accelerated its deficit spending versus GDP to dizzying heights: currently, during the New Deal in the 1930s, and World War II in the 1940s, the latter being a necessity.

I'll leave it up to the reader to derive your own conclusions of where the current US government intervention and "bail out" activities are likely to take us.



Posts: 5,135
Reply with quote  #2 
Exceptional work Randy...thanks.


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