Wednesday, March 31, 2010

Lowest Volume In Over A Month Suggesting a Pullback

I’ve noted before how extremely low volume during an upmove can lead to a pullback. Below is a study the Quantifinder identified from the 11/16/09 weekly subscriber letter.

Implications seems to be that there is a downside edge over the next few days – especially days 1 and 2. Below is an equity curve using a 2-day exit strategy.


FinancialTraders Editors said...

On March 24, 2010, our timing models told me to look for the top on QQQQs at around 48.77 and for SPY at around 118.49. At the time we were less than 1% from those levels, we then had the pullback, and we are now at those levels-- tomorrow will be interesting.


FinancialTraders Editors said...

The first part of my message got cut. Here is the part that got cut:

A reader from my blog suggested that I check your blog posts. You seem to be doing great work.

In relation to the study, did you adjust the dollar returns to the level of implied volatility?

Given the current level of volatility, if a down move happens, I would not be surprised with gains far above the numbers you showed--- How about a 600 to 1200 for tomorrow?