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Thursday, October 14, 2010

Market Report - October 14

MARKET REPORT NOTES:

·         Dollar volume showed another sign of significant distribution again today, this is the second time in a little over a week.
·         Most of the distribution was in the banking sector and seems to be fairly localized with only a total of 17 stocks passing the DV DOWN criteria (compared to over 40 stocks showing DV UP on the breakout days 9/1, 9/24, 10/5).
·         There has been good sector rotation over the past couple of weeks.  New highs are still indicating that there is a flight to safety underway.  Sectors like Utilities, Defense, Insurance, and Energy are still breaking out over the past week with many new 52 week highs.
·         6-month and 1-month momentum are still positive, and there has been no signs of any significant downside breadth.





The Market Report is updated daily and summarizes the short (1 week), intermediate (1 month), and long-term (6 months) market behavior.  The 6-month relative strength for each industry, top 20 sub-industries, and bottom 20 sub-industries is calculated to help gauge the long term behavior of the market.  The 1-month change in relative strength for each industry, top 20 sub-industries, and bottom 20 sub-industries is calculated to gauge the intermediate behavior of the market.  The top 10 instrustries with the largest percent of stocks making new 52-week highs helps identify weak industries that may be starting new up trends, or to gauge the continuing strength of current up trends.  The bottom 10 instrustries with the largest percent of stocks making new 52-week lows helps identify strong industries that may be starting new down trends, or to gauge the continuing weakness of current down trends.  The dollar volume analysis shows the ten largest stocks (>$100 million DV) that are making daily moves larger than 4% up or down.  This helps to determine if institutions are buying or selling stocks, which can effect market direction in the short term.

This daily routine keeps me connected to the behavior of the market, and I do it for my own uses as a personal exercise.  The calculations are strongly influenced by Pradeep Bonde's market analysis at StockBee and William O'Neil's analysis at Investor's Business Daily.  I highly recommend you check out both sites.


2 comments:

  1. What is the criteria for DV Down & DV Up?
    Also, what formulas are you using to define 1-month and 6-month momentum?

    Thanks,

    Bill H.

    ReplyDelete
  2. Hey Bill,

    I obtained the criteria for my dollar volume scans from Pradeep Bonde's website, StockBee (located in blog roll). Essentially, the dollar volume scans look at large, one day excursions which move large amounts of money. Here is the scan for the DV Up criteria:

    (100 * (C - C1) / C1) >= 4 AND C * V >= 1000000

    There are two parts to the scan:
    1) I am looking for stocks that have moved greater than 4% up or down ((100 * (C - C1) / C1) >= 4)
    2) The dollar volume, which is the closing price multiplied by that day's volume, has to be greater than $100 million (C * V >= 1000000)

    Here is the scan for the DV DOWN criteria:
    (100 * (C - C1) / C1) <= (-4) AND C * V >= 1000000

    For 6-month momentum, I use the following scan:
    ((C - AVGC125) / AVGC125) * 100

    This formula calculates the percent deviation of the close from the 6 month moving average of the industry.

    For 1-month momentum or Stocks on the Move scan I use the following formula:
    (((C - AVGC125) / AVGC125) * 100) - (((C20 - AVGC125.20) / AVGC125.20) * 100)

    This formula calculates the change in the 6-month momentum over the past 20 days.

    I use Telechart to rank and compare the industries, sub-industries, or stocks by the calculation values.

    ReplyDelete