Data Brief Posted 12/02/10 at 3:40pm EST by Jason Goepfert
Yesterday was obviously an impressive showing for the markets, but today may be even more so. Instead of rolling over, or at least consolidating, we're adding substantially to yesterday's gains.
The push Wednesday was strong, with more than 90% of all volume on the NYSE being focused on issues that were up on the day. Today isn't much worse, with more than 80% Up Volume.
The chart below shows how the S&P performed in the 30 days after a >90% Up Volume day was followed immediately by a >75% Up Volume day.
Lots of green there, as the market didn't really ever take much of a dip. Out of 22 occurrences, we saw higher prices over the next three weeks 86% of the time, and the average returns were impressively large.
The table below takes a longer look, showing how the S&P performed over the next three months after each occurrence.
There were a few negative returns in there, but overall the maximum gain swamped the maximum loss.
There was only one instance that showed a max loss of more than -10% at any point during the next three months, while nine of them showed a gain of more than +10%.
Also interesting to note is that 13 out of the 22 happened right at or right after the beginning of a new month.
Perhaps we need to take these breadth readings with a grain of salt, as the proliferation of ETFs and prominance of high-frequency traders have made "all or nothing" days much more common than we've seen historically. For what it's worth, though, today's follow-through looks to be a positive development...and it's in conflict with the "unfilled gap" study we looked at yesterday, at least when looking at the next week or so.
Forwarding or other distribution of this report is prohibited without the express permission of Sundial Capital Research, Inc. If you do not possess a firm-wide license, then forwarding this message will violate your subscription agreement.
© 2001-2010 Sundial Capital Research, Inc. All rights reserved.
sentimenTrader.com is a trademark of Sundial Capital Research, Inc.
Sundial Capital Research, Inc. 12527 Central Avenue NE, Suite 165 Blaine, MN 55434