Tuesday, September 2, 2008

What If Volume Doesn't Return?

So the general consensus is that the traders will return from vacation on Tuesday and volume will come back. But does volume always return after Labor Day? What if it doesn’t? I studied it tonight:

The study above suggests negative consequences should Tuesday’s volume not surpass Friday’s. The sample size is quite small, though and there have been no occurrences since 1994. Therefore I decided to widen the parameters. In this case I’m looking for instances where post Labor Day Tuesday volume doesn’t manage to exceed all of the days the previous week.

More instances. Similar results. The bulls should hope traders make a quick return from vacation Tuesday. Otherwise, September could be a difficult month.


Marc said...

While I can appreciate the statistics, I don't see where it has any real meaning in reality.

For instance, last week I read that the Thursday before Labor Day is "always" a down day and the following Friday is an up day. We had exactly the opposite. Anyone trading from this would have been unhappy.

I really think it would take many more parameters into the equation to get more meaningful results.

Otherwise it is fascinating to watch the search for "the magic formula".


Rob Hanna said...


Thanks for the note. A few things I should point out:

1) You did not read the "Thurday prior to Labor Day is always down" here.
2) There is no "magic formula" search here either. The studies mostly help traders to see how indicators have influenced action in the past. By carefully considering the clues the market provides, traders should be able to gain an edge that is quantified and exploitable. See the Aggregator post from early July for a better idea of how I visualize and utilize the studies.