Info!! Breadth Volatility Together With Stock Marketplace Cycles

Above is a mensurate that I've been working alongside lately that I telephone band breadth volatility.  The indicator is created past times tracking the per centum of stocks trading higher upward diverse brusk term moving averages as well as and thence calculating the criterion difference of that series.  What nosotros detect is that breadth volatility tends to last depression ahead of bike peaks as well as crests every bit markets make--and rally from--bottoms. Going dorsum to 2012, when breadth volatility has been inwards its highest quartile (greatest volatility of breadth), the side past times side v days inwards SPY bring averaged a gain of +.54%, much greater than the +.10% for all other occasions inwards the sample.

Interestingly, the breadth volatility mensurate shown higher upward correlates entirely .41 alongside VIX going dorsum to 2012.  That's a meaning correlation to last sure, merely suggests that VIX entirely accounts for 16% of the variance inwards breadth volatility.  Indeed, when I've tracked breadth volatility for specific VIX regimes, the predictive results alongside SPY bring been quite good.

As you lot tin meet from the nautical chart above, nosotros made a depression inwards breadth volatility ahead of the recent cost peak inwards stocks as well as straight off bring been trending higher every bit the marketplace position has sold off.  As of yesterday's close, nosotros were non notwithstanding at levels associated alongside intermediate-term marketplace position bottoms.

Further Reading:  Perspectives on Stock Market Breadth
.