All donations go towards web site maintenance for all of Technical Watch,
keep it free of charge, and may be tax deductable as an investment expense.


PayPal Verified
Join our market chat sessions every Tuesday and Thursday at 4:00 pm Pacific time!
More information on subscriber services can be found at
http://www.technicalwatch.com/subs.htm

Sign up Calendar Latest Topics
 
 
 


Reply
  Author   Comment  
mortiz

TW Patron++
Registered:
Posts: 1,054
Reply with quote  #1 

Since it looks like I've been booted from the Main board, will post in this section a very quick look at the returns of the NASDAQ index following a 9:1 down to up volume day.  This summary is completely raw, i.e. there is no filtering for consecutive 9:1 down volume days, or clusters of 9:1 down volume days with a short time span (within a few weeks).

 

Without compensating for clusters of 9:1 down volume days, the percentage returns can be skewed in either direction.  I hope to look at the historic ramifications of 9:1 down volume days going forward with a more rigorous approach this weekend.

 

The sample space for these results includes all of the NASDAQ 9:1 down volume days since September 1974.  Wednesday, 9-6-06, was the 62nd 9:1 down volume day in 8073 trading days.

 

NAS 10 Days Later NAS 20 Days Later NAS 30 Days Later NAS 60 Days Later NAS 90 Days Later NAS 180 Days Later NAS 240 Days Later
0.01% 0.98% 1.20% 6.46% 9.97% 13.41% 13.71%

 

FWIW

 

Randy

 

0
tuffy88

TW Member
Registered:
Posts: 56
Reply with quote  #2 

Randy,

 

With those 10 to 240 days in future all up it looks as if the 9 to 1 down days were washout or capitulation days, even though the volume did not seem high enough to be a capitulation day. Could you tell us what you think it means?

 

Charles


__________________
Charles
0
GarySmith

TW Patron
Registered:
Posts: 129
Reply with quote  #3 

 

Interesting study Randy and those Nasdaq returns are above the historical norm.  Guess I better look through the archives to see if you did a similar study on NYSE down 9 to 1 days.

 

Somehow because of Zweig's NYSE 9 to 1 indicator traders use the same benchmark for the Nasaq and not sure if that is correct for several reasons.  I would be curious what double buy signal benchmark for the Nasdaq most represents the 9 to 1 double buy signal benchmark for the NYSE.

0
mortiz

TW Patron++
Registered:
Posts: 1,054
Reply with quote  #4 

Charles,

 

The table presented thus far of NASDAQ price returns going forward following a 9:1 down volume day is of the "quick and dirty" variety.  When a cluster of 9:1 down volume days occur within, say a 20 day period, the results I have posted would be skewed due to multiple close-in-time events being counted in the final averages.  For example, in the summer 2002 crash there were several of these events in June and July that all resulted in negative shorter term returns (the 10 day for instance). 

 

Even though there was one price decline in the NASDAQ (the summer price crash), there were multiple data points included in the 10 and 20 day future price returns that were all negative, thus the near term average results are likely skewed to the downside due to these clusters.  I should have more time this weekend to conduct some filtering that will likely give us a truer picture of 9:1 down volume days going forward.  The above table was a 10 minute job without proper filtering.

 

Gary,

 

Once the spreadsheets are set up with extensive filtering parameters for the NASDAQ 9:1 down volume days, I can quickly replicate the data for the NYSE down days, which as we know, did not transpire Wednesday.

 

I think a study was conducted mixing the NASDAQ and NYSE volume for 9:1 up volume days, but I don't think I have created an up volume file for the NASDAQ only, but I'll add that to the list.

 

As you suggest, different criteria may be needed for the NASDAQ. 

 

Guess I'm on the hook now for a weekend project  .

 

Thanks for the feedback and suggestions.

 

Randy

 

 

 

0
tuffy88

TW Member
Registered:
Posts: 56
Reply with quote  #5 

Randy,

 

Thanks.

 

Charles


__________________
Charles
0
mortiz

TW Patron++
Registered:
Posts: 1,054
Reply with quote  #6 

Over the weekend, was able to dig further into the ramifications of a 9:1 down-to-up volume day on the NASDAQ.  The most recent 9:1 down volume day on the NASDAQ occurred only one day following a three month NASDAQ price high.  Therefore, I based the filtering for this study upon the following criteria:

 

1) Down volume exceeded up volume by at least a 9.00 to 1 ratio

 

2) Within seven trading days prior to the 9:1 down-to-up volume ratio, a new three month price high had been posted by the NASDAQ

 

I started out with a five day window for a new three month price high when the 9:1 down volume ratio occurred, but only had four qualifiers, so expanded to seven days and nine days met the requirements above.

 

Here are the results for NASDAQ percentage price returns at varying time intervals following the event:

 

 

 

As the table notes, average returns for all time windows were positive, however, the average returns returns were not stellar until 90 trading days later.  The fonts for the worst draw downs are in red, the fonts for the best returns within a particular time frame are in green.

 

Also took a look at the NYSE using the same criteria, beginning in 1960.  Over the past 46 years, the NYSE had 18 events meeting the criteria described above.  Price returns following the NYSE events are that of the SPX.

 

 

Both the NASDAQ and NYSE tables have three rows highlighted with a greenish background, these are 9:1 down volume events that occurred on both exchanges.  A drive-by analysis of those three days where both exchanges suffer 9:1 down volume ratios suggest more negative implications going forward in all time frames relative to 9:1 down volume events occurring on only one exchange.

 

Other than in 1979, a 9:1 down-to-up volume day following a recent new three month price high did not result in significant near term price  damage in the NASDAQ.

 

Hope to study later the implications of the down volume ratio events that fell into certain time frames where multiple up-to-down volume ratios exceeding 9:1 transpired, as occurred earlier this summer.  For those who want to check that out, there are a few threads providing the dates of the positive UD volume ratio events.

 

FWIW

 

Randy

0
Previous Topic | Next Topic
Print
Reply

Quick Navigation:

Easily create a Forum Website with Website Toolbox.






Copyright 2000-2019 Technical Watch