Wednesday, June 16, 2010

Two 90% Up Days in One Week

On the NYSE yesterday Up Volume made up nearly 96% of all volume. This was the 2nd 90% up day in the last week (the other being last Thursday). I’ve shown before that this setup, while rare, has led to some extremely bullish returns. The last time I discussed this setup was in the May 28th Subscriber Letter. I’ve updated the stats below.



So while instances are low, returns have been very explosive. The results over the 1st few days are choppy – likely thanks to the fact that the 2nd 90% day will normally put the market in an overbought position. Once you get out over a week, the upside overwhelms.

4 comments:

PCP said...
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PCP said...

Why does the total number of trades decrease from 15 to 8? One reason I can think of is that 7 of those 15 instances have happened during the last few days (< 20).

Highgamma said...

Given the choppiness of the first few days, would you think that the best entry point is the end of the day after expiration (which, from MarketSci Blog is a seasonally bad day)?

gingersue said...

Thanks for all the work, Rob. I fear that these 90% upside days aren't as valuable as they used to be in past decades.