Results were choppy and even the better periods generally underperformed a random 1-2 week period.
Next I looked at what happened if the volume rose both days as it has the last 2:
Generally positive results. Nothing eye-popping but “worse than random” has turned to a positive bias.
What if I look at only those times when the market was up 1.5% for two days in a row and there wasn’t a progressively higher volume pattern?
As you’d expect, things have gone from choppy to choppy with a slight downside bias.
What if instead of rising two days in a row, we look at the same price pattern where volume sank two days in a row?
A gently positive bias with rising volume becomes a violently negative bias on decreasing volume. Of course the number of instances here is quite small. To remedy this I lowered the price requirement from 1.5% to 1%. Results below:
Similar story here. Any way you look at it, the moral is this: Pay attention to volume. It matters.
As a bit of a tease I’ll let everyone know that I’m currently conducting a large research project related to volume. I hope to be able to release results some time in August.