Below is a table taken from the S&P 500 Spyx Volume 1 document (Volume 2 should be out shortly). The document is 6 pages long and details market statistics related to Spyx levels. The document is available in the Quantifiable Edges Charts page. To access the charts pages you must be a subscriber, but trial memberships are available with just a name and email address. (Click here to sign up.) The table below looks at the period 1/1/1994 - 6/30/2008.
While volume Spyx can be used to help establish a trading bias on its own, Spyx tend to show larger edges when used in conjunction with price movement or other indicators. Below is a study from last night’s Subscriber Letter which demonstrates how I might use Volume Spyx in my analysis.
Low levels of Volume Spyx have typically led to market underperformance. This is especially true when they occur on an up day. There have only been 2 instances where the S&P 500 Volume Spyx has come in under 40 and the market has gained 5%. Therefore I loosened the parameters to a 3% gain.
Still the number of instances is low, but a low Volume Spyx combined with a price spike higher has been a bad combination. Below are the 7 instances and their 2-day returns:
I will be pointing out unusual Spyx activity and what it may suggest as instances arise. I’ve also decided that at least through the end of the year I will post the chart of the S&P 500 Volume Spyx on the Quantifiable Edges home page for all to see.