StockFetcher Forums · Filter Exchange · QQQ...Price vs. Volume Differences<< 1 2 >>Post Follow-up
glgene
534 posts
msg #102958
Ignore glgene
10/16/2011 12:58:29 AM

Written after the market close on 10/14/2011:

The recent run-up in major indexes has drawn a comment from a major financial newspaper, in its Oct. 17, 2011 edition (available at the newsstand Oct. 15).

One of the excerpts from the paper’s article says “If this uptrend continues, the low-volume trend would be similar to the brief run the Nasdaq enjoyed from late March to late April.”

From March 16 thru April 27, 2011, the Nasdaq (using QQQ as a proxy) gained 9.4 % as QQQ’s volume / QQQ AvgVol(30) dropped from 253% to 94%. [100% occurs when Volume = AvgVol(30) from the study I did below].
During the next 7 weeks, QQQ dropped in price by about 9%.

Investor’s Business Daily (IBD), for sure, is a strong advocate that you need to look at Price AND Volume to assess the current market. Most news media talk about price with less (if any) mention of volume.

Interestingly, as I researched 2011 year-to-date thru Oct. 14, I found that 8 out of 9 times, price difference vs. volume difference were INVERSE for the time periods studied. Not sure what this means, if anything. Anyway, here are my date references, using end-of-day 12/31/2010 as the starting point and 10/14/2011 as the ending date. Note: Volume diff. = Vol / AvgVol(30).

……………..……Price………Vol. diff.….….Price diff..……. Volume diff.
Start, 12/31……. $54.46 …….. 73%
High, 2/16 ………$58.88 …….. 90% …....... increase …….. increase
Low, 3/16 ……… $54.15 ……. 253% ……...decrease ….... increase
High, 4/27 ……… $59.22 ……... 94% ……...increase ……… decrease
Low, 6/17 ……… $53.79 ……..138% ………decrease …….. increase
High, 7/26 ….….. $59.63 ……….69% …….. increase ……… decrease
Low, 8/19 …..….. $50.03 ……… 98% ……..decrease ……. increase
High, 9/19 …...… $56.61 ……… 80% …….. increase …….. decrease
Low, 10/03 …...... $51.14 ……..126% ……… decrease …….. increase
High, 10/14 ....…. $58.18 ……… 81% ……… increase …….. decrease

To see how I calculated Volume Difference, go to the SF script below:

Fetcher[
/* Compare today's volume to AvgVol 30 and 50*/
symlist(spy,dia,qqq)
add column volume 1 day ago{vol 1d ago}
add column separator
add column avgvol(30)
set{a,avgvol(30)}
set{a2,volume/a}
set{a3,a2*100}
add column a3{vol/avgvol30.%}
add column separator
add column avgvol(50)
set{b,avgvol(50)}
set{b2,volume/b}
set{b3,b2*100}
add column b3{vol/avgvol50.%}
add column separator
]


As I stated before, not sure if this study accomplishes anything, or how one would use it in future periods. I did this study, because I am keenly aware the recent market run-up has been done on lighter-than-average volume, and that makes me suspicious. I would appreciate your thoughts on this study, and/or if you would change the script to better measure a study of Price and Volume difference. I'm not married to the 30-day and 50-day periods. Comments, anyone?

coolsf
21 posts
msg #102961
Ignore coolsf
10/16/2011 11:49:08 AM

Since March 2009, can you claim that there is a period in the market when both volume and price increased significantly on the upswing?

There could be several periods, I am willing to know from you, but my assumption is that there are very few and that is considered an aberration and not normal.

straken
469 posts
msg #102963
Ignore straken
10/16/2011 1:57:18 PM

Gene,
Ever been to a superbowl? Getting there is easy..because so many get there ahead of you, or have been there already. But leaving after the game is a whole other story. A Mass exodus to the gates, on the road, and at the airport. The market is very similar in that respect.

glgene
534 posts
msg #102968
Ignore glgene
10/16/2011 5:18:41 PM

Cool,

All I know is that IBD cautions on getting too excited about steep Mkt. Advances without corresponding higher volume. IBD went cautiously with a "Confirmed Uptrend" recommendation on Oct. 12. Cautious because of sub-par volume activity. IBD had previously been in "Market Correction" since Sept. 22.

I have only studied 2011 with the script I wrote. I welcome opinions on it; how to improve it, etc.

Gene

glgene
534 posts
msg #102969
Ignore glgene
10/16/2011 5:30:14 PM

Stricken,

No, I have never been to a Superbowl. Are you saying it's faster to fall from a ladder than climb it?

Anyway, I would appreciate your comments on Price and Volume correlation. My 2011 study, as a result of my SF script above, shows an inverse relationship 8 out of 9 times (back and forth between Mkt. Lows and highs). I may be missing something here, and that's why I would like your thoughts on scripting my study. You are a smarter investor than I am.

Gene

ps: Any constructive comments (on Price and Volume) from anyone are appreciated. Feel free to modify my script in search of improvement.


coolsf
21 posts
msg #102970
Ignore coolsf
modified
10/16/2011 7:07:02 PM

Gene, I would say IBD has been forced to do it. Otherwise they would be a mockery. What I am implying is that, the herding behavior increased with HFT. It is easy to get out than get in. You just place a stop and all stops are hit at once. But, would buying be the same? Does everyone buy at the same time? Not really.

Good luck on your research. Please continue and post the validity.

straken
469 posts
msg #102972
Ignore straken
10/16/2011 8:44:48 PM

Are you saying it's faster to fall from a ladder than climb it? EXACTLY

High volume and price increase shows confidence in the market and retail buying. Price up volume down shows me only market makers manipulating and pesimism. I'm still trading it, every day I trade what I see, and what the markets willing to give. But I'm far less inclined to leave anything on the table that correlates too closely to the indexes.

glgene
534 posts
msg #102973
Ignore glgene
10/16/2011 9:11:45 PM


I reference the major indexes as a "barometer" of the overall market, simply because I've seen it printed many times that 3 out of every 4 stocks direction follow the major market.

I wonder what % of the SP 500 stocks, for example, made gains in 2008? And what SF strategies found those money-making stocks?

Gene

glgene
534 posts
msg #102990
Ignore glgene
10/17/2011 7:39:00 PM

I know that SPY is the ETF for the SP 500, but I need to get output in Stockfetcher on ^SPX and other major indices.

I put ^SPX in a Symlist(^SPX), but I can't get SF to show volume, etc.

?????

Gene

straken
469 posts
msg #102991
Ignore straken
10/17/2011 8:01:58 PM

Click for Stroll down memory lane

StockFetcher Forums · Filter Exchange · QQQ...Price vs. Volume Differences<< 1 2 >>Post Follow-up

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