Saturday, March 8, 2008

Up Down Volume

I downloaded the Advancing and Decling volumes and had a look relative to the comment in my previous post. The chart is more or less self-explanatory. I calculated the ratio the down volume was relative to the total volume DNVOL.ny/TVOL.ny. On the chart I filtered the results, the red plot is DN/TOT > 90% and the green plot is DN/TOT > 80%. It looked to me like there are some errors in the dataset about mid chart, but since I was more interested in the current timeframe, I let them be.

In any case, it looks to me, based on a very limited dataset, that there are more extreme volume ratio days now than there were in the past. It may be that the advent of both Ultra (or 2x) Index ETF's and Short Index ETF's (inc 2x) is increasing volatility and that results from past volume studies may be deceptive. This is about as far as I'm going with it, I'll leave it to someone else with a bigger and more reliable dataset.

Click to enlarge

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